nibor100
1,099 posts
msg #145923
- Ignore nibor100 |
1/8/2019 12:57:30 PM
@ksk8,
Did you look at the Maximum Favorable Excursion column on that spreadsheet image, it looks like every one day short, in that backtest, would have had a greater profit if exited earlier than the close, including all of the losing trades to include the those involving reverse split stocks.
Not sure if there is logical and repeatable way to take advantage of that phenomenom....
Also, in early posts where you told us to not take a trade if RSI(2) was above 98 the day before the signal date on your original filter, it seemed to me that most of those signals if shorted on 2nd day after, once RSI(2) exceeded 99 would result in a profit. I believe Mahkoh noticed some better results in his backtests related to the 99 level.
Ed S.
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KSK8
561 posts
msg #145924
- Ignore KSK8
modified |
1/8/2019 1:18:47 PM
On that note, perhaps someone could craft up a statistics filter that is based upon the RSI(2) and its threshold "98" or "99". I was a big fan of Run Forest Run but didn't quite know how to go about modifying it to be tailored for this type of filter.
So maybe exploiting this phenomenon could begin by giving it a statistical edge?
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nibor100
1,099 posts
msg #145951
- Ignore nibor100 |
1/9/2019 4:42:24 PM
@ksk8,
a. What do you mean CPHI didn't happen on Jan 8th?
b. The only stock split I can find for NCTY is after the trade date of 1/12/18 so I believe that trade would be taken by your shorting system.
Thanks,
Ed S.
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KSK8
561 posts
msg #145954
- Ignore KSK8 |
1/9/2019 5:06:49 PM
Nibor can you show me CPHI on a chart. I am seeing different for some reason.
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nibor100
1,099 posts
msg #145969
- Ignore nibor100 |
1/10/2019 10:59:21 AM
@ksk8,
I think we are crossing terms as when I state happened on Jan 8th I mean that is the day of the short; and I believe when you say "didn't happen on Jan 8th" you mean the day of the signal to short the next day.
Below is the filter I wrote to check the next day profit or losses based on your corrected filter, with an offset back to the date of the actual short on CPHI. Hopefully you'll see the chart ok.
CPHI signal was the trading day before Jan 5, 2018.
Ed S.
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KSK8
561 posts
msg #145994
- Ignore KSK8
modified |
1/11/2019 10:17:57 AM
Ahh ok I see, I suppose the visual extent of the candle body is what confused me considering its very disproportionate with its prior candle body. Oh well, a loss is a loss.
I've been experimenting with candle size in conjunction with the 2 period rsi and developed this newer improved version yielding a higher win rate;
It doesn't give me a trade every day but the gain is worth the wait.
This version and another similar variation are my current setups.
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scottoddscom
26 posts
msg #146013
- Ignore scottoddscom
modified |
1/12/2019 2:09:19 PM
@KSK8: Why didn't you mention hard to borrow fees and $120/month minimum fees for Centerpoint?
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scottoddscom
26 posts
msg #146014
- Ignore scottoddscom |
1/12/2019 2:21:03 PM
@KSK8
To silence any skeptics, can you post screenshots of your Centerpoint brokerage statements showing month by month gains/losses and trades executed? OR save a PDF on Google Drive?
I think this would be easy to do and provide validation of the "holy grail" claim.
Thanks in advance.
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KSK8
561 posts
msg #146017
- Ignore KSK8 |
1/12/2019 5:11:39 PM
scottoddscom,
@KSK8: Why didn't you mention hard to borrow fees and $120/month minimum fees for Centerpoint?
1. Do you even USE Centerpoint as your broker? You SHOULD be well aware you can avoid monthly fee's if you trade over a specific quantity of shares.
As for HTB fee's........ let me quote Ben Franklin;
"In this world nothing can be said to be certain, except death and taxes"
Now as for your DOUBT concern;
2. You could VERIFY my claims of "consistently having an up month" by simply going back in time and view the candidates the filter gives me and see the results yourself. I don't trade each and every stock it gives me since shares available to short are not always guaranteed and on top of that I do have additional rules (which I have already mentioned) but you can clearly see the filter speaks for itself...
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scottoddscom
26 posts
msg #146048
- Ignore scottoddscom |
1/14/2019 12:02:26 PM
Yes.
I still don't believe you unless you prove it. Sorry.
Any experienced trader knows picks revealed with a filter aren't always tradeable in real life especially with hard to borrow securities. I worked for a hedge fund.
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