| StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER | << 1 ... 3 4 5 6 7 ... 22 >>Post Follow-up |
| 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% |
| Kevin_in_GA 4,599 posts msg #94734 - Ignore Kevin_in_GA |
7/12/2010 8:39:33 PM New Short Plays to Replace Today's Closed Trades EEFT - Scored 5/6 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. APC - Scored 6/6 on the Connors filters, and RSI(2) is above 99. NRF - Scored 5/6 on Conners filters, RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY. BP - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), and RSI(2) is above 99. |
| misfithab 6 posts msg #94739 - Ignore misfithab |
7/12/2010 10:47:36 PM OK so resuming my last post I figured out the moving average exit and was able to backtest a filter that picked 71% winners by my count...here is the last filter I tested.... Close is above MA(200) Close is below MA(10) Close is above 5 close is below 50 where close is near lower bollinger band(20) Average volume(50) above 500,000 where Fast Stochastic(5,3) Fast %K is below 10 where Slow Stochastic(5,3) Slow %D is below 10 RSI(2) 1 day ago below 2 RSI(2) below 1 where ^DJI above MA (10) I tried to skew every possible way I knew how to scan for stocks ready to bounce (stochastics, BB, RSI from the Connors filter etc) plus tried to build in a movie average exit so if the market tanked it wouldn't crush the chosen stocks too badly...besides the two exits Kevin listed in his original post I added a third exit (when DJI went below MA (30)... Since 2002 this filter has only yielded 266 (!) picks to the long side with 190 winners...meaning you could go months without getting a hit on this filter...but your odds of success if you do are over 70% so to make this worthwhile at all you need to bet large when the filter gets a hit... I've tested the long side a lot more than the short side but so far I don't see and relationship between the long and short trades....meaning the bad periods on the long side didn't necessarily mean that the short side saw any benefit...but that's just my take quick take... If anyone can offer improvements I'd be happy to test them out... |
| misfithab 6 posts msg #94743 - Ignore misfithab |
7/13/2010 2:50:19 AM Obviously my last post was based on your original filter at the start of the thread Kevin, and I see you've moved well past that... One question, does your filter take into account gaps (up/down?)...meaning if ABC closed at 50.00 and the filter gave you a buy signal but it gaps up to 51.00 the next day does that affect entry...stop...profit target...etc Thanks |
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