| StockFetcher Forums · Filter Exchange · RSI(2) REVISITED | << 1 ... 6 7 8 9 10 ... 12 >>Post Follow-up |
| TheRumpledOne 6,529 posts msg #61160 - Ignore TheRumpledOne modified |
4/6/2008 6:02:54 PM Klynn: Once again, if you would take the time to read and study what I just posted, you would see that it uses RSI(2) < 1 one day ago which is END OF DAY. The filter then shows what happened if you had bought at the open THE NEXT DAY!! All you have to do is enter your EXIT order after you get confirmation. Or if your broker allows OCO orders, you can enter your SL and TP at the same time. HINT: If you look at my RUN FOREST, RUN filters you just might find what you are looking for. |
| klynn55 747 posts msg #61164 - Ignore klynn55 |
4/6/2008 8:42:58 PM I'm up for a "remedial training" filter , I can only learn. That's why i paid my fee. |
| klynn55 747 posts msg #61168 - Ignore klynn55 |
4/6/2008 10:08:04 PM Well; how long have you followed IBD and rsi(2)? Buy when rsi2 is below 10 and sell when rsi2 is above 90 from 1/2006 to now AGU 17 trades of 22 to the plus ANSS 12 of 18 plus SNHY 13 of 18 but -10 dd, 1-3-08 to 1-24-08 AUY 16 of 20 plus but 3-19-08 - 4-4-08 -10 dd TISI 15 of 18 plus trades CF 10-12 plus trade HMSY 11-16 plus trades but 1-23-08 to 3-3-13-08 -8.32 dd i guess the problem with trying to get a handle on the ibd 100 is if they stay on the list, i wonder what the average time spent on the ibd 100 is? |
| rtucker 318 posts msg #61170 - Ignore rtucker modified |
4/6/2008 11:55:06 PM Klynn, Here is a an IBD list of composite scores 90+ from May 2007, so there is about 1 year of data to test. It aint IBD100 but its close. How long do they stay on the IBD100. Answer: as long as the chart doesnt break down. They come on and off mostly according to relative strength. You can approximate the same by requiring the stock stay above ma(50) so, now, who cares how/why IBD keeps it on its list. The list is simple to acquire and it seems a far better basket to trade long (watchlist) than say, the sp500, sp100, or nas100 as long as you go with the flow. Here below is a simple slow stochs enty/exit run on this basket for this past year that includes good and bad times (Must have advanced SF for one year). Market bad times are filtered out and individual stock bad times are filtered out. In othe words trade with the trend. Click "trades" in the backtester and "hover" (on the left) over each trades chart to see the entries and exits. Look at max profit for each trade and see that your exit "keeps" most of it. Many questions that you have can be answered through your own testing. IMO, markets to trade, or, stock selection does matter. It may be one or 100 stocks but people usually "filter" to get the stock/stocks. Bet rsi(2) < 10 would work good too. Let me know. Good luck. ESI ATI CF DVR GLP CPL CNX GGB CAM MR AWC CLF FTI GIL WFR DE MT CE CMC AER CW JAH ASR BGC ETN MTL CMI ACL CRS ATN CVA ALY COH CNH JEC ESV RIO APH GTI CPY CPX CXW CLB MDR EGR EOC IEX KCI MTW EGN JCI GRP DRQ PVD BEZ LFL CBI AA FLS CBE ITC GNA FIS GEO BCO CVS HON BT BHI BLL CAT FMC AG BBD MIR LZ HP HSC HOS CI MER BAX DPM AXE CGX GEF MSM CTB HAS KDN DAC MAN CAE DRC NTY BW BAP MTD HXM KMT ME LLL ATR BPH NPO BNI EXC GME BMC CHL ATK ITU ISE ETR CKP CS EE CEG HS MLM DYS HRZ AVT BGH GDI CHA AET GSH CNS BVF GS ACH BSY HUM DB IDC ARW ARD DLB CPA CTV HOC LUX GES ATB AME FDS HPQ ICE ALJ DCO DSX CRH LH ARO EMS CBG ALB EXM AMG BKC DRI CRN JLL AOB CMG MA CHE BEN SNP AMX KSU MFE MOV CV MS FTO DK B HDB MFW MYE ELX AZZ Statistics · Performance Chart · Trades · Equity Summary new! · System Summary · Edit Backtests · Backtest Forum · Help Approach Information Approach Name: set{spytest, count(ind(spy,close) above ind(spy,MA... Test started on 05/31/2007 ended on 04/04/2008, covering 213 days Filter used: /****************************************************************************/ /****************************************************************************/ Trade Statistics There were 285 total stocks entered. Of those, 285 or 100.00% were complete and or 0.00% were open. Of the 285 completed trades, 143 trades or 50.18%resulted in a net gain. Your average net change for completed trades was: 0.84%. The average draw down of your approach was: -3.40%. The average max profit of your approach was: 4.86% The Reward/Risk ratio for this approach is: 1.45 Annualized Return on Investment (ROI): 40.40%, the ROI of ^SPX was: -12.16%. Exit Statistics Stop Loss was triggered 79 times or 27.72% 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 (0 days) 0 times or 0.00% of the time. An exit trigger was executed 206 times or 72.28% of the time. EXIT TRIGGER /***************************************************************************** slow stochastics(5,3) fast %k crossed below slow stochastics(5,3) slow %d /**************************************************************************** Statistics By Holding Period Completed 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg Winners: 143 132 163 149 135 105 Losers: 141 151 122 130 145 175 Win/Loss Ratio: 1.01:1 0.87:1 1.34:1 1.15:1 0.93:1 0.60:1 Net Change: 0.84% -0.24% 0.54% 0.18% -2.05% -3.80% Statistics By Variable: Match Price <25 <50 <75 <100 <125 <150 <175 <200 <225 <250 Completed 19:17 56:68 43:31 12:13 8:2 3:5 1:3 - 0:2 1:0 2 day chg 16:21 58:66 39:33 9:16 6:4 3:5 0:4 - 0:2 1:0 5 day chg 26:11 61:63 47:27 15:10 7:3 3:5 1:3 - 2:0 1:0 10 day chg 21:15 64:57 37:36 13:12 9:0 2:6 1:3 - 1:1 1:0 25 day chg 19:17 55:67 36:37 12:13 8:1 3:5 1:3 - 0:2 1:0 40 day chg 14:22 48:74 23:50 9:16 6:3 3:5 1:3 - 0:2 1:0 Statistics By Variable: Average Volume <2.5M <5.0M <7.5M <10.0M <12.5M <15.0M <17.5M <20.0M <22.5M <25.0M Completed 116:123 19:9 1:3 2:1 2:2 1:0 1:1 0:2 1:0 - 2 day chg 107:131 16:12 2:2 0:3 2:2 1:0 2:0 1:1 1:0 - 5 day chg 133:107 20:8 1:3 2:1 4:0 1:0 1:1 0:2 1:0 - 10 day chg 120:116 20:6 1:3 1:2 3:1 1:0 1:1 1:1 1:0 - 25 day chg 112:125 17:9 0:4 2:1 1:3 1:0 1:1 0:2 1:0 - 40 day chg 85:152 15:11 0:4 2:1 0:4 0:1 2:0 0:2 1:0 - |
| welliott111 98 posts msg #61201 - Ignore welliott111 modified |
4/7/2008 4:50:33 PM klynn, When/ If price pops, hold as long as slow stoch(5,3) %k above %d, but as volatile as the markets are as of late, rsi(2) oversold > 75 is a good target. Greed Kills. Check out this blog about trading IBD http://ibdindex.blogspot.com/ |
| TheRumpledOne 6,529 posts msg #61215 - Ignore TheRumpledOne modified |
4/8/2008 2:57:12 AM Check out this thread if you really want to learn about trading: http://www.elitetrader.com/vb/showthread.php?s=&threadid=113456&perpage=6&pagenumber=1 |
| welliott111 98 posts msg #61237 - Ignore welliott111 |
4/8/2008 3:18:12 PM I "mis-spoke" in previous post (I was also under sniper fire with Hillary in Bosnia). Should have read "overbought > 75. My Apologies. |
| TheRumpledOne 6,529 posts msg #61252 - Ignore TheRumpledOne |
4/9/2008 11:17:23 AM Klynn said "i took a look at rimm and its RSI2 from 2/29/08 to around 10/3/ 07 , its POP the next day when rsi2 is below 25 is no sure thing , i didnt include a few losers, but i got around 12 up days and 7 down days." ==================================================== 4/7/08 RIMM close $117.95 rsi(2) 23.74 4/8/08 RIMM open $116.77 high 121.02 close 120.98 Did anyone take advantage? |
| klynn55 747 posts msg #61269 - Ignore klynn55 |
4/9/2008 7:34:12 PM TRO: says "4/7/08 RIMM close $117.95 rsi(2) 23.74" amibroker 118.16 telechart 2008 data yahoo 118.07 amibroker rsi(2) 37.07 for 4/7/08, yahoo same rsi2 37.07 hmmmm! potato , potato! |
| drew9 171 posts msg #61271 - Ignore drew9 |
4/9/2008 11:50:21 PM TRO, I removed the RIMM limitation and WOW, what an enlightening filter. Certainly can be used for many others as well. Once again, what terrific work! Thank you! Drew |
| StockFetcher Forums · Filter Exchange · RSI(2) REVISITED | << 1 ... 6 7 8 9 10 ... 12 >>Post Follow-up |
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