| StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER | << 1 ... 4 5 6 7 8 ... 22 >>Post Follow-up |
| 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 |
| jhar3 23 posts msg #94745 - Ignore jhar3 |
7/13/2010 7:49:18 AM kevin, great thread,I find this so informative. on the web site,tradingmarkets.com on the right side of the blue toolbar, look under free tools, then open rsi solver, this will show stock prices with rsi levels so you can set your stops. the stock scanner is also a great tool. |
| Kevin_in_GA 4,599 posts msg #94746 - Ignore Kevin_in_GA |
7/13/2010 9:07:30 AM 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 +++++++++++ Not really. All of the stock selection is based on the prior day's action. I am currently experimenting (for lack of a better word) with using the ATR(10) as the stop loss and profit stop settings. In essence, wherever the stock opens in the morning, just add 1 ATR(10) to that price for your profit target (for longs, and for shorts this becomes the stop loss). In all likelihood I will be exiting from many trades earlier than I should, since some of these setups have played out very well over a few days time span. However, locking in a decent profit (3-7%) over a short window and then moving on to the next good setup works as well. Normally, one would set their stops and targets to have a high reward/risk ratio - here it is deliberately set at 1.0. The underlying thinking here is that these trades are statistically very likely to mean-revert, and often have just closed outside of the Bollinger Bands. So while the reward/risk is set at 1.0 the likelihood of the profit target being hit is much higher than the likelihood of getting stopped out (I hope). Again, this is a work in progress. |
| Kevin_in_GA 4,599 posts msg #94747 - Ignore Kevin_in_GA |
7/13/2010 9:08:09 AM kevin, great thread,I find this so informative. on the web site,tradingmarkets.com on the right side of the blue toolbar, look under free tools, then open rsi solver, this will show stock prices with rsi levels so you can set your stops. the stock scanner is also a great tool. +++++ Thanks. I'll take a look at this. |
| Kevin_in_GA 4,599 posts msg #94748 - Ignore Kevin_in_GA |
7/13/2010 10:04:10 AM New Short Plays - Entries and Proposed Exits 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. In on the open at 14.94, stop loss at 15.37 and profit target at 14.51 (set at open price +/- 1 ATR(10)). APC - Scored 6/6 on the Connors filters, and RSI(2) is above 99. In on the open at 47.59, stop loss at 49.64 and profit target at 45.54 (set at open price +/- 1 ATR(10)). 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. In on the open at 3.10, stop loss at 3.21 and profit target at 2.99 (set at open price +/- 1 ATR(10)). BP - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), and RSI(2) is above 99. In on the open at 37.71, stop loss at 39.34 and profit target at 36.08 (set at open price +/- 1 ATR(10)). |
| optionplayer333 801 posts msg #94756 - Ignore optionplayer333 |
7/13/2010 1:10:55 PM kevin why dont you just play faz and fas--they move abocve 18% a week just the last 6 weeks faz 13.80-18 fas 19-25 faz 13.50 to 19 fas 17.80 to 23.50- they have both had 3 moves up for an average gain of 24% that >230% compounded |
| Kevin_in_GA 4,599 posts msg #94758 - Ignore Kevin_in_GA |
7/13/2010 2:03:31 PM kevin why dont you just play faz and fas--they move abocve 18% a week just the last 6 weeks faz 13.80-18 fas 19-25 faz 13.50 to 19 fas 17.80 to 23.50- they have both had 3 moves up for an average gain of 24% that >230% compounded +++++ Well, in part I am attempting to do here is to develop and optimize a dollar-neutral trading system (equal long and short dollar positions) using stocks that are statistically more overbought or oversold, and are highly likely to revert back to the mean. This is not about timing the market - I have tried that in the past with disastrous results. This is about creating above market returns with low overall volatility. While I acknowledge that if you catch the tops and bottoms on these stocks you can make a bundle, that is not what this thread is about. Please - if you want to comment on the system that is being demonstrated real-time here, you are welcome. This discussion about "just play the 3x ETFs from their tops to bottoms" stuff is best placed in a separate thread. |
| Kevin_in_GA 4,599 posts msg #94765 - Ignore Kevin_in_GA modified |
7/13/2010 8:00:40 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)). STOPPED OUT at 7.38, for a loss of 4.40% 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 36.54, for a gain of 1.44% 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)). PROFIT TARGET HIT. Sold at 47.21, for a gain of 2.39% FCN - closed below the lower BB(20,2). 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 33.00, for a gain of 0.95% 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 14.20, for a gain of 3.05% (CLOSE TO PROFIT TARGET) Short Plays 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 49.30 for a loss of 1.50% (CLOSE TO STOP LOSS) 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. In on the open at 14.94, stop loss at 15.37 and profit target at 14.51 (set at open price +/- 1 ATR(10)). STOPPED OUT at 15.37, for a loss of 2.79% APC - Scored 6/6 on the Connors filters, and RSI(2) is above 99. In on the open at 47.59, stop loss at 49.64 and profit target at 45.54 (set at open price +/- 1 ATR(10)). Closed at 47.62 for a loss of 0.06% 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. In on the open at 3.10, stop loss at 3.21 and profit target at 2.99 (set at open price +/- 1 ATR(10)). STOPPED OUT at 3.21, for a loss of 3.42% BP - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), and RSI(2) is above 99. In on the open at 37.71, stop loss at 39.34 and profit target at 36.08 (set at open price +/- 1 ATR(10)). PROFIT TARGET HIT. Covered at 36.08, for a gain of 4.32% Net change for today - a gain of 0.36% Net change for this week - a gain of 1.90% I may need to use 1.5 x ATR(10) as my triggers - these stops are a little tight. |
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