| StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER | << 1 ... 3 4 5 6 7 ... 22 >>Post Follow-up |
| optionplayer333 801 posts msg #94701 - Ignore optionplayer333 |
7/11/2010 3:56:48 PM here is my filter--stock is optionable and average volume(50) above 1000000 and set{d5,atr(6)/ma(6)} and set{dd5,d5*100} and add column dd5 and and set{pro,weekly atr(6)/weekly ma(6)} and rsi(2) below 10 and pro between 0.10 and 0.20 and close above 5-----------------here are the results--Performance results for your filter covering the dates: Friday July 2, 2010 to Friday July 9, 2010 Change Offset << Week · Day Previous Next Day · Week >> Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%) 1 Day -1.15% 60 (+1.31%) 112 (-2.51%) 4 +0.10% +0.59% 2 Days +4.17% 165 (+4.75%) 10 (-4.92%) 1 +3.24% +3.43% 3 Days +5.80% 167 (+6.39%) 8 (-5.79%) 1 +4.00% +4.67% 4 Days +8.09% 174 (+8.43%) 2 (-21.95%) 0 +5.00% +5.28% Current +8.09% 174 (+8.43%) 2 (-21.95%) 0 +5.00% +5.28% 176 matching stocks here are the results when you change vol to 200000Performance results for your filter covering the dates: Friday July 2, 2010 to Friday July 9, 2010 Change Offset << Week · Day Previous Next Day · Week >> Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%) 1 Day -1.52% 86 (+1.33%) 212 (-2.71%) 4 +0.10% +0.59% 2 Days +3.43% 268 (+4.27%) 33 (-3.27%) 1 +3.24% +3.43% 3 Days +5.36% 277 (+6.13%) 24 (-3.25%) 1 +4.00% +4.67% 4 Days +7.74% 293 (+8.18%) 9 (-6.69%) 0 +5.00% +5.28% Current +7.74% 293 (+8.18%) 9 (-6.69%) 0 +5.00% +5.28% 302 matching stocks general option filter |
| misfithab 6 posts msg #94703 - Ignore misfithab |
7/11/2010 5:07:57 PM Kevin....I am continuing working to modify the filter. Right now I'm getting very good results as you did but there are a number of 4 month periods that come up negative. All in all not that many but my thought is that on the LONG side for example there is no protection against the market tanking...and when the market tanks there's a good chance that LONGS (no matter how good the filter) are sure to go with it... I've tried adding something to the filter so that it only picks stocks when the S & P MA is above 30 but I must be doing something wrong because across the board I get zero stock returns... This is what I'm playing around with... Close is above MA(200) Close is below MA(10) Close is above 5 Close is below 20 Average volume(50) above 500,000 where Fast Stochastic(5,3) Fast %K is below 20 where Slow Stochastic(5,3) Slow %D is below 20 RSI(2) 1 day ago below 2 RSI(2) below 1 But I'm a newbie at this and adding something as simple as ^SPX price above MA (30) is shooting blanks...might you or anyone else help so I can try to protect from huge market downdrafts? Best |
| optionplayer333 801 posts msg #94704 - Ignore optionplayer333 |
7/11/2010 6:38:43 PM you all are making this way to hard- im the one who started the use of the rsi-2 back in 2000 and i still make it simple-- daily rsi(2) below 10 and average volume (50) above 500000 and stock is optionable and close above 4 and set{pro,weekly atr(6)/weekly ma(6)} and pro above 0.10--( 0.10 means these stock move an average of 10% a week for thr last 6 weeks)-----------you have to have your filter follow the market spy qld vix and qid- there are very few non optionable stocks that move with the market-nlst is one of the few-- pro is just the profit indicator-i use this in the context of the filter because it is also under my settings- here are all the settings i use on my graphs--set{daily, rsi(2)} and draw daily --------draw linear regression channel(100)---settings that appear on each filter you create--set{D, rsi(2)} and add column D-----set{W,weekly rsi(2)}and add column W------set{X, weekly atr(6)/weekly ma(6)} set{PROFIT,X*100} AND ADD COLUMN PROFIT------set{low1,close - low 336 day low}set{low2, low1 / low 336 day low} set{%above336daylow, low2 * 100}add column %above336daylow---------------------set{bearorbull,close/ weekly ma(52)} and add column bearorbull-------------------set{rb200,close/ma(200)} and add column rb200------------------------------set{v%,volume/average volume(30)} and add column v%---now lets look at what the filter gives me--------------Performance results for your filter covering the dates: Friday July 2, 2010 to Friday July 9, 2010 Change Offset << Week · Day Previous Next Day · Week >> Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%) 1 Day -1.47% 77 (+1.35%) 183 (-2.69%) 4 +0.10% +0.59% 2 Days +3.65% 238 (+4.44%) 25 (-3.65%) 1 +3.24% +3.43% 3 Days +5.42% 243 (+6.21%) 19 (-4.16%) 2 +4.00% +4.67% 4 Days +7.73% 255 (+8.25%) 9 (-6.94%) 0 +5.00% +5.28% Current +7.73% 255 (+8.25%) 9 (-6.94%) 0 +5.00% +5.28% 264 matching stocks now if we up the profit indicator to 0.15 and the rsi(2) below(5)---by just adjusting the profit--rsi(2) volume and price you can get better and better results-Performance results for your filter covering the dates: Friday July 2, 2010 to Friday July 9, 2010 Change Offset << Week · Day Previous Next Day · Week >> Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%) 1 Day -1.74% 14 (+1.21%) 27 (-3.40%) 2 +0.10% +0.59% 2 Days +4.70% 39 (+5.32%) 4 (-1.35%) 0 +3.24% +3.43% 3 Days +7.37% 41 (+7.83%) 2 (-2.02%) 0 +4.00% +4.67% 4 Days +10.66% 43 (+10.66%) 0 (n/a) 0 +5.00% +5.28% Current +10.66% 43 (+10.66%) 0 (n/a) 0 +5.00% +5.28% 43 matching stocks now we have 100% winners with a higher % gain-its that easy guys- and when you do a back test you need to do from the topa and bottoms of the major short and long etfs for accuracy of your trading system-- lets look at the long etfs from the 2-5 bottom to the 4-15 top-------------------------long etfs 7/11/2010 2/5/2010 4/15/2010 87% 13% 6.62:1 4.89 185.16% - we grt 87% winners and risk to reward of 6.6 to 1-- now lets looks at the short etfs from their bottom of 4-15- to their top on 7-2-these all matched the weekly rswi(2) highs and lows-back testing short etfs--short etf s 7/11/2010 4/15/2010 7/2/2010 82% 18% 4.50:1 4.56 222.83% --82% winners risk to reward 1 to 4.56- how come i can get 90% winners all the time-- you guys are going off on to many tangents and confusing yourselves--here are the buys my wife made at their dead bottom on 7-2-- on the regular stock contest-- on wss---------------------------------------------------------------------------------------------------------------weekly 19 19.52% ----------------------------------------------------------------------------------------------------------------------------------------------Action Symbol Description QTY Price Paid Last Price Change MKT Value Profit Loss % Post Sell JA SOLAR HOLDINGS CO LTD JASO JA SOLAR HOLDINGS CO LTD 2,000 $4.73 $6.16 $0.35 $12,320.00 $2,860.00 30.23% Sell TRINA SOLAR LIMITED TSL TRINA SOLAR LIMITED 500 $17.73 $21.11 $0.15 $10,555.00 $1,690.00 19.06% Sell ASSURED GUARANTY LTD AGO ASSURED GUARANTY LTD 500 $13.68 $15.68 $0.73 $7,840.00 $1,000.00 14.62% Sell STEC INC STEC STEC INC 800 $12.96 $14.75 $0.65 $11,800.00 $1,435.00 13.84% Sell GAFISA S.A GFA GAFISA S.A 500 $12.30 $13.69 $0.09 $6,845.00 $695.00 11.30% Cover DIREX DLY FINANCIAL BEAR 3X FAZ DIREX DLY FINANCIAL BEAR 3X -500 $16.64 $14.79 -$0.74 $7,395.00 $925.00 11.12% Sell DIREX DLY FINAN BULL 3X FAS DIREX DLY FINAN BULL 3X 500 $20.02 $22.05 $1.01 $11,024.50 $1,014.50 10.13% Sell FOCUS MEDIA HLDGS LTD FMCN FOCUS MEDIA HLDGS LTD 700 $15.73 $17.06 $0.54 $11,942.00 $931.00 8.46% Sell CIRRUS LOGIC INC CRUS CIRRUS LOGIC INC 733 $16.40 $17.64 $0.23 $12,930.12 $906.93 7.54% Sell CENTURY ALUMINUM CO CENX CENTURY ALUMINUM CO 1,000 $9.16 $9.77 $0.30 $9,770.00 $610.00 6.66% Sell CITIZENS REPUBLIC BANCORP IN... CRBC CITIZENS REPUBLIC BANCORP INC 10,000 $0.85 $0.90 $0.06 $9,049.00 $530.00 6.22% Sell RESEARCH IN MOTION LIMITED RIMM RESEARCH IN MOTION LIMITED 300 $50.74 $53.33 $3.87 $15,999.00 $777.00 5.10% Sell MIPS TECHNOLOGIES INC MIPS MIPS TECHNOLOGIES INC 800 $5.07 $5.28 $0.16 $4,224.00 $168.00 4.14 |
| Kevin_in_GA 4,599 posts msg #94705 - Ignore Kevin_in_GA |
7/11/2010 6:42:55 PM M4M: Here's what I am seeing from the backtest over the last 4 months. Approach Name: m4m Test started on 03/09/2010 ended on 07/09/2010, covering 85 days Filter used: close above 4 stock is optionable average volume(50) above 1000000 set{d5,atr(6)/ma(6)} set{dd5,d5*100} set{pro,weekly atr(6)/weekly ma(6)} rsi(2) below 10 pro between 0.10 and 0.20 add column dd5 add column pro add column rsi(2) sort on column 6 descending Trade Statistics There were 952 total stocks entered. Of those, 918 or 96.43% were complete and 34 or 3.57% were open. Of the 918 completed trades, 459 trades or 50.00% resulted in a net gain. Your average net change for completed trades was: -0.09%. The average draw down of your approach was: -5.32%. The average max profit of your approach was: 4.38% The Reward/Risk ratio for this approach is: 0.96 Annualized Return on Investment (ROI): -7.78%, the ROI of ^SPX was: -15.22%. Exit Statistics Stop Loss was triggered 0 times or 0.00% of the time. Stop Profit was triggered 0 times or 0.00% of the time. Trailing Stop Loss was triggered 0 times or 0.00% of the time. You held for the maximum period of time (3 days) 918 times or 100.00% of the time. An exit trigger was executed 0 times or 0.00% of the time. Statistics By Holding Period Completed 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg Winners: 459 471 441 330 199 64 Losers: 456 471 450 446 340 223 Win/Loss Ratio: 1.01:1 1.00:1 0.98:1 0.74:1 0.58:1 0.29:1 Net Change: -0.09% -0.09% -0.20% -1.15% -2.55% -3.95% I chose a maximum holding period of 3 days, as you had indicated that you were getting >85% wins in this time frame. With all due respect, this is nowhere near what you had claimed in terms of consistency, win rate, or return. Now please let me get back to what I was trying to do with this thread, which was to validate a trading approach in real-time. Kevin |
| alf44 2,025 posts msg #94711 - Ignore alf44 modified |
7/11/2010 11:54:46 PM ........................................... M4M ... why Kevin and not ME ? 
...................................... what am I ... A FRICKEN CARP ? |
| optionplayer333 801 posts msg #94712 - Ignore optionplayer333 modified |
7/11/2010 11:56:05 PM did you not read what i said about timing the stocks with the tops and bottoms of the .spy vix qid and qld-- your back test date is totally worthless your started in the middle of the 2-5 to 4-15 up move-then you caught the whole down move from 4-15 to 7-2- are you like clueless off in some stupid stock planet that doesnt exist kevin- you have to move with the ups and down of the market mr if you are serious about making money- your work on here is worthless if it doesnt match the waves of the market- you can t do any long term back test because the market changes directions to fast- its a waste of time- mine is real time 5-28 to 6-9 down 6-9 to 6-16 up 6-16 to 7-2 down 7-2 to 7-9 up-that the tops and bottoms of the qld and vix-kevin ask yourself this question- how do you think i win 90% of all the options contests i enter- the last 6 weeks my family has won the weekly option contest on wss with gains of 1400% 1500% 2200% 980% and 590%-its all been done by swing trading the best option stocks - with 2 hours to 3 days time frames-using the system i gave you on here- |
| Kevin_in_GA 4,599 posts msg #94720 - Ignore Kevin_in_GA |
7/12/2010 11:17:08 AM Had hoped to post this ahead of the bell today, but I've been in meetings and did not get to post this until now - updated to include positions taken at the open of trading this morning: Long Plays ID - scored 3/6 on the Connors filters, and has moved more than 2 SD from its usual relationship with the SPY. In on the open at 7.72, stop loss at 7.38 and profit target at 8.09 (set at open price +/- 1 ATR(10)). FDO - scored 2/6 on the Connors filters, and closed below the lower BB(20,2). In on the open at 36.02, stop loss at 34.77 and profit target at 37.25 (set at open price +/- 1 ATR(10)). ORLY - scored 4/6 on the Connors filters. In on the open at 46.11, stop loss at 45.01 and profit target at 47.21 (set at open price +/- 1 ATR(10)). FCN - closed below the lower BB(20,2). My concern here is that this stock is currently below its MA(200), so no hits on the Connors filters. In on the open at 32.69, stop loss at 30.88 and profit target at 34.50 (set at open price +/- 1 ATR(10)). RGS - closed below the lower BB(20,2), and has moved more than 2 SD from its usual relationship with the SPY. Again a concern here is that this stock is currently below its MA(200), so no hits on the Connors filters. In on the open at 13.78, stop loss at 13.05 and profit target at 14.50 (set at open price +/- 1 ATR(10)). Short Plays STEC - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY. In on the open at 15.36, stop loss at 15.98 and profit target at 14.75 (set at open price +/- 1 ATR(10)). STP - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), and has moved more than 2 SD above its usual relationship with the SPY. In on the open at 10.97, stop loss at 11.56 and profit target at 10.39 (set at open price +/- 1 ATR(10)). AGU - Scored 5/6 on Conners filters, closed above the upper BB(20,2), RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY. In on the open at 58.39, stop loss at 60.25 and profit target at 56.53 (set at open price +/- 1 ATR(10)). PM - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), and gave a BB(16,2.5) SELL signal. In on the open at 48.57, stop loss at 49.50 and profit target at 47.63 (set at open price +/- 1 ATR(10)). HAFC - Scored 5/6 on the Connors filters, RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY. In on the open at 1.64, stop loss at 1.78 and profit target at 1.50 (set at open price +/- 1 ATR(10)). |
| cath_campbell 5 posts msg #94728 - Ignore cath_campbell |
7/12/2010 3:04:06 PM Hey Kevin, Nice filter... Your short plays worked out amazing today! I'm impressed... Quick question, how do you get the Connors' number (ie 5/6 or 6/6)? thanks for all your posts! |
| Kevin_in_GA 4,599 posts msg #94731 - Ignore Kevin_in_GA |
7/12/2010 6:23:25 PM Sure - here are the two filters that I am currently using: COMPOSITE LONG FILTER COMPOSITE SHORT FILTER When you run these filters, the stocks with the highest composite score are at the top, ranked in descending order. I usually am OK trading any composite 8 or 9, but look at each of the other criteria (RSI(2), Bollinger %B, Z-score, and the somewhat rare BB(16,2.5) signal) for some added assurance before pulling any triggers. You usually only have to review the top 5-10 from each filter to find good long/short candidates. |
| Kevin_in_GA 4,599 posts msg #94733 - Ignore Kevin_in_GA |
7/12/2010 7:54:29 PM Update: Long Plays ID - scored 3/6 on the Connors filters, and has moved more than 2 SD from its usual relationship with the SPY. In on the open at 7.72, stop loss at 7.38 and profit target at 8.09 (set at open price +/- 1 ATR(10)). Closed at 7.51, for a loss of 2.72% FDO - scored 2/6 on the Connors filters, and closed below the lower BB(20,2). In on the open at 36.02, stop loss at 34.77 and profit target at 37.25 (set at open price +/- 1 ATR(10)). Closed at 36.11, for a gain of 0.25% ORLY - scored 4/6 on the Connors filters. In on the open at 46.11, stop loss at 45.01 and profit target at 47.21 (set at open price +/- 1 ATR(10)). Closed at 46.19, for a gain of 0.17% FCN - closed below the lower BB(20,2). My concern here is that this stock is currently below its MA(200), so no hits on the Connors filters. In on the open at 32.69, stop loss at 30.88 and profit target at 34.50 (set at open price +/- 1 ATR(10)). Closed at 32.61, for a loss of 0.24% RGS - closed below the lower BB(20,2), and has moved more than 2 SD from its usual relationship with the SPY. Again a concern here is that this stock is currently below its MA(200), so no hits on the Connors filters. In on the open at 13.78, stop loss at 13.05 and profit target at 14.50 (set at open price +/- 1 ATR(10)). Closed at 13.58, for a loss of 1.45% Short Plays STEC - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY. In on the open at 15.36, stop loss at 15.98 and profit target at 14.75 (set at open price +/- 1 ATR(10)). PROFIT TARGET HIT. Covered at 14.75, for a gain of 3.97% STP - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), and has moved more than 2 SD above its usual relationship with the SPY. In on the open at 10.97, stop loss at 11.56 and profit target at 10.39 (set at open price +/- 1 ATR(10)). PROFIT TARGET HIT. Covered at 10.36, for a gain of 5.56% AGU - Scored 5/6 on Conners filters, closed above the upper BB(20,2), RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY. In on the open at 58.39, stop loss at 60.25 and profit target at 56.53 (set at open price +/- 1 ATR(10)). PROFIT TARGET HIT. Covered at 56.53, for a gain of 3.18% PM - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), and gave a BB(16,2.5) SELL signal. In on the open at 48.57, stop loss at 49.50 and profit target at 47.63 (set at open price +/- 1 ATR(10)). Closed at 48.84, for a loss of 0.56% HAFC - Scored 5/6 on the Connors filters, RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY. In on the open at 1.64, stop loss at 1.78 and profit target at 1.50 (set at open price +/- 1 ATR(10)). PROFIT TARGET HIT. Covered at 1.51, for a gain of 7.92% |
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