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TheRumpledOne
6,529 posts
msg #43729
- Ignore TheRumpledOne

5/15/2006 1:54:28 AM

I added another criteria - the close had to be higher/lower than the previous day's. This would be what the swing trader's would look for.

What this shows it that there are stocks that give you better than a 50% chance.

That's called an "edge".

fixme1too
7 posts
msg #43746
- Ignore fixme1too

5/15/2006 4:35:22 PM

hey tro is there a bug in this filter. I get this message "Your StockFetcher filter exceeds filter performance restrictions"

TheRumpledOne
6,529 posts
msg #43937
- Ignore TheRumpledOne
modified

5/20/2006 9:04:26 AM

Fetcher[
/* Middle of the Range Filter Display - ENHANCED */

set{MidLx1, high 1 day ago + low 1 day ago }
set{Middle, MidLx1 / 2}
set{HiMid, high - Middle}
set{MidLo, Middle - low}

set{CMDiff, close - Middle}

set{xRange, high 1 day ago - low 1 day ago }

set{CMb,days(close is above middle , 100)}
set{CMa,days(close is below middle ,100)}
set{CLxMid, CMa - CMb}

set{MaxCXM, CLxMid 19 week high}
set{MinCXM, CLxMid 19 week low}

set{HM100, count(HiMid above 1 , 100)}
set{ML100, count(MidLo below -1 , 100)}

set{HM050, count(HiMid above .50 , 100)}
set{ML050, count(MidLo below -.50 , 100)}

set{T10, count(10 day slope of the close above 0,1)}
set{T60, count(60 day slope of the close above 0,1)}
set{T200, count(200 day slope of the close above 0,1)}

Set{u1, T200 * 1}
Set{u2, T60 * 10}
Set{u3, T10 * 100}

Set{uu, u1 + u2}
Set{TREND, uu + u3}

/* column displays */

and add column CLxMid
and add column CLxMid 1 day ago

and add column MaxCxM
and add column MinCxM
and add column CMDiff

and add column HM050
and add column HM100
and add column ML050
and add column ML100

and add column Middle
and add column HiMid
and add column MidLo
and add column xRange

and add column Trend

and add column industry

/* selection criteria */

and close above open

and close above 20
and xrange above 1

and volume > 1000000
and average volume(5) > 2000000
and average volume(30) > 2000000

/* sort criteria */

and sort column 5 descending

and market is nasdaq

draw CLxMid

/* and date offset is 1 */
]

Added the white candle selection statement:

and close above open.

Remember:

When CLxMid = 3 or -3, look for a reversal.

When CLxMid = 1 or -1, look for continuation.

MAY ALL YOUR FILLS BE COMPLETE.

TheRumpledOne
6,529 posts
msg #43942
- Ignore TheRumpledOne

5/20/2006 9:56:24 AM

Fetcher[
/* Middle of the Range Filter Display - ENHANCED */

set{WKMidLx1, weekly high 1 week ago + weekly low 1 week ago }
set{WKMiddle, WKMidLx1 / 2}
set{HiWKMid, weekly high - WKMiddle}
set{WKMidLo, WKMiddle - weekly low}

set{CWKMDiff, weekly close - WKMiddle}

set{xWKRange, weekly high 1 week ago - weekly low 1 week ago }

set{CWKMb,days(weekly close is above WKmiddle , 100)}
set{CWKMa,days(weekly close is below WKmiddle ,100)}
set{CLxWKMid, CWKMa - CWKMb}

set{MidLx1, high 1 day ago + low 1 day ago }
set{Middle, MidLx1 / 2}
set{HiMid, high - Middle}
set{MidLo, Middle - low}

set{CMDiff, close - Middle}

set{xRange, high 1 day ago - low 1 day ago }

set{CMb,days(close is above middle , 100)}
set{CMa,days(close is below middle ,100)}
set{CLxMid, CMa - CMb}

set{MaxCXM, CLxMid 19 week high}
set{MinCXM, CLxMid 19 week low}

set{HM100, count(HiMid above 1 , 100)}
set{ML100, count(MidLo below -1 , 100)}

set{HM050, count(HiMid above .50 , 100)}
set{ML050, count(MidLo below -.50 , 100)}

set{T10, count(10 day slope of the close above 0,1)}
set{T60, count(60 day slope of the close above 0,1)}
set{T200, count(200 day slope of the close above 0,1)}

Set{u1, T200 * 1}
Set{u2, T60 * 10}
Set{u3, T10 * 100}

Set{uu, u1 + u2}
Set{TREND, uu + u3}

/* column displays */

and add column CLxWkMid
and add column xWKRange

and add column CLxMid
and add column CLxMid 1 day ago

and add column MaxCxM
and add column MinCxM
and add column CMDiff

and add column HM050
and add column HM100
and add column ML050
and add column ML100

and add column Middle
and add column HiMid
and add column MidLo
and add column xRange

and add column Trend

and add column industry

/* selection criteria */

and close above open

and close above 20
and xrange above 1

and volume > 1000000
and average volume(5) > 2000000
and average volume(30) > 2000000

/* sort criteria */

and sort column 5 descending

and market is nasdaq

draw CLxMid
draw CLxWkMid

/* and date offset is 1 */
]

I added weekly columns.

woodstock
10 posts
msg #43945
- Ignore woodstock

5/20/2006 3:46:19 PM

Sorry but this idea does not work.
Results from filter -
price is above 5
and average volume(5) is above 500000
and Market is Nasdaq

Entry Rule - Day Position(0.51) 1 Day ago
Exit Rule - Open Next Day

As we see - our chances 50/50. We have no edge.

Approach Information

Approach Name: CrossMidPoint

Test started on 04/01/2004 ended on 03/31/2006, covering 503 days

Filter used:

CrossMidPoint (saved filter)

Trade Statistics

There were 12575 total stocks entered. Of those, 12550 or 99.80% were complete and 25 or 0.20% were open.

Of the 12550 completed trades, 6310 trades or 50.28%resulted in a net gain.

Your average net change for completed trades was: 0.06%.

The average draw down of your approach was: -1.78%.

The average max profit of your approach was: 1.91%

The Reward/Risk ratio for this approach is: 1.08

Annualized Return on Investment (ROI): 14.60%, the ROI of ^SPX was: 7.35%.

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 (1 days) 12550 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	1 day chg	2 day chg	3 day chg	5 day chg	10 day chg
Winners:	6310	6096	6123	6249	6304	6237
Losers:	6206	6433	6428	6306	6261	6332
Win/Loss Ratio:	1.02:1	0.95:1	0.95:1	0.99:1	1.01:1	0.98:1
Net Change:	0.06%	-0.04%	-0.00%	0.01%	0.03%	0.05%

Statistics By Variable: Match Price
	<20	<40	<60	<80	<100	<120	<140	<160	<180	<200
Completed	2756:2757	2517:2450	775:753	208:197	25:28	11:5	13:10	5:6	-	-
1 day chg	2640:2879	2446:2522	750:781	206:201	24:30	9:7	15:8	6:5	-	-
2 day chg	2640:2889	2458:2521	759:773	209:198	26:28	13:3	15:8	3:8	-	-
3 day chg	2699:2831	2502:2478	788:745	205:203	27:27	13:3	12:11	3:8	-	-
5 day chg	2724:2811	2546:2442	792:739	194:213	25:29	11:5	9:14	3:8	-	-
10 day chg	2709:2825	2563:2428	758:774	165:243	16:38	8:8	11:12	7:4	-	-

Statistics By Variable: Average Volume
	<20.0M	<40.0M	<60.0M	<80.0M	<100.0M	<120.0M	<140.0M	<160.0M	<180.0M	<200.0M
Completed	5621:5451	237:246	199:252	142:160	76:73	31:18	1:2	1:1	2:3	-
1 day chg	5446:5633	224:263	189:265	132:170	73:75	28:21	1:2	1:1	2:3	-
2 day chg	5454:5642	231:258	187:266	146:158	74:76	27:22	1:2	0:2	3:2	-
3 day chg	5579:5520	230:259	190:264	143:161	74:76	30:19	1:2	0:2	2:3	-
5 day chg	5638:5471	231:258	177:278	154:149	71:79	30:19	1:2	0:2	2:3	-
10 day chg	5569:5544	237:252	177:277	161:143	50:100	40:9	2:1	1:1	0:5	-

fixme1too
7 posts
msg #43964
- Ignore fixme1too

5/21/2006 12:23:07 AM

TRO can you explain how to interpret the two new col. you added
"When CLxMid = 3 or -3, look for a reversal. When CLxMid = 1 or -1", look for continuation we now have 2 CLxMid col. does this new rule relate to each column respectively. EX when column 1, shows CLxMid= 3 or -3 would I look for reversal only if CLxMid =3 or - 3 in col. 1 does it matter which CLxMid col. I see the 3 or -3 is the question. I hope this makes sence.

TheRumpledOne
6,529 posts
msg #43975
- Ignore TheRumpledOne

5/21/2006 10:29:40 AM

"TRO can you explain how to interpret the two new col. you added
"When CLxMid = 3 or -3, look for a reversal. When CLxMid = 1 or -1", look for continuation we now have 2 CLxMid col. does this new rule relate to each column respectively. EX when column 1, shows CLxMid= 3 or -3 would I look for reversal only if CLxMid =3 or - 3 in col. 1 does it matter which CLxMid col. I see the 3 or -3 is the question. I hope this makes sence."

If you are refering to the WEEKLY columns, I was thinking of Mark Crisp, who likes weekly charts.

My "rules" were for the daily because that's what I ran statistics on.

I just coded the weekly and have NOT run stats .... yet.

TheRumpledOne
6,529 posts
msg #43976
- Ignore TheRumpledOne

5/21/2006 10:31:34 AM

Woodstock:

You put close above 5.

I use close above 20.

You exit open next day.

I exit intraday ( with profit ).

Just look at the value of HIGH - MIDDLE and you will see the profit potential.

HTH.

clam61
92 posts
msg #43991
- Ignore clam61

5/21/2006 3:52:57 PM

TRO

I am going to use this method tommorrow

Typically, what is your profit percentage for this method?

I have about 50K in my account and usually day trade about 5K at a time for each stock. I take profit at about 2.5% or more for a quick couple hundred bucks

clam61
92 posts
msg #44042
- Ignore clam61

5/22/2006 1:23:56 PM

Hi TRO I have a question.

If a price is above the midpoint, go long. If a price is below the midpoint go short. But you said that even if the price is above the midpoint it can head south, and even if the price is below the midpoint, it can head north.

So could you explain how using the midpoint only gives us a good signal?

Thanks

------------------------------------------

"Simple trading strategy: if the stock opens above it's midpoint, go long, if it opens below go short.

Alternative trading strategy: wait for the price to cross the midpoint and trade in the direction of the cross.

One thing to note is that sometimes, the price opens above the midpoint and keeps heading north or the price opens below the midpoint and keeps heading south.

Of course, sometimes the opposite happens - the price heads towards the midpoint instead of away from it. "

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