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mazotrade1 5 posts msg #83845 - Ignore mazotrade1	12/4/2009 2:39:56 PM I have looked at systems of this nature. My overall impression is that they show you past momentum and current highs, with low probability of similar future performance. If you trade the top picks from the list, they have a high probability of being at their highs, and will reverse and cost you $. Beware.
Kevin_in_GA 4,599 posts msg #83858 - Ignore Kevin_in_GA	12/4/2009 4:11:38 PM Did you look at the backtesting I posted on the first page? While I don't disagree with your opinion, I prefer to rely on results. How well will this particular filter do in the coming months? I'm not sure. But I think that it has shown over the past 52 weeks to produce a very decent return, even during periods of extreme volatility in the markets.
Radiomuse 288 posts msg #83863 - Ignore Radiomuse	12/4/2009 5:36:07 PM Sure these stocks can reverse at some point - but I like the idea of trying to jump on a well-established trend better than trying to pick a reversal. But it is a good point - any other variable we can add to avoid buying at extreme highs or lows? Maybe outside of a big upper or lower BB?
Kevin_in_GA 4,599 posts msg #83926 - Ignore Kevin_in_GA	12/6/2009 10:56:23 PM A slightly modified version - here I have only looked back 8 weeks instead of 13. The goal here is to look at just the last two months of performance, and not allow older data to drive the stock selection process Fetcher[ /MEASURE THE DIFFERENCE FROM WEEKLY OPEN TO WEEKLY HIGH/ set{whiop, weekly high - weekly open} set{Long_Profit, whiop / weekly open } /DETERMINE THE FREQUENCY THAT 5% IS ACHIEVED OVER MULTIPLE TIME FRAMES/ set{5_1wk, count(Long_Profit > .05,1)} set{5_4wk, count(Long_Profit > .05,4)} set{5_8wk, count(Long_Profit > .05,8)} /APPLY WEIGHTING FACTORS/ set{var1,5_4wk0.5} /WEIGHT 4 WK AVERAGE AT 2X/ set{var2,5_8wk0.125} /WEIGHT 8 WK AVERAGE AT 1X/ /CREATE A WEIGHTED SUMMATION OF STOCK PERFORMANCE (MAX SCORE = 3)/ set{reward,var1+var2} /DETERMINE THE RISK OF TRIPPING A 10% STOP LOSS/ set{wloss, weekly open - weekly low} set{max_loss, wloss / weekly open} /DETERMINE THE FREQUENCY THAT A 10% STOP LOSS IS TRIPPED OVER MULTIPLE TIME FRAMES/ set{loss_1wk, count(max_loss > .10,1)} set{loss_4wk, count(max_loss > .10,4)} set{loss_8wk, count(max_loss > .10,8)} /APPLY WEIGHTING FACTORS/ set{var11,loss_4wk0.5} /WEIGHT 4 WK AVERAGE AT 2X/ set{var21,loss_8wk0.125} /WEIGHT 8 WK AVERAGE AT 1X/ /CREATE A WEIGHTED SUMMATION OF RISK (MAX SCORE = 3)/ set{risk,var11+var21} set{performance,reward/risk} add column performance add column reward {reward} add column risk {risk} add column 5_4wk {4 wk reward} add column loss_4wk {4 wk risk} add column 5_8wk {8 wk reward} add column loss_8wk {8 wk risk} /SCREEN FOR THE STRONGEST CANDIDATES/ weekly open is above 1 average volume(90) above 500000 and reward is greater than 2.8 and draw 5_1wk and draw loss_1wk on plot 5_1wk and do not draw reward sort column 6 descending chart-display is weekly ] This yields only three stocks for the coming week: PWER, YMI, and NANO. Good luck.
mazotrade1 5 posts msg #84061 - Ignore mazotrade1	12/8/2009 5:43:44 PM I back tested it for a 5% profit target and and maximum 5 holding days. ROI: -264% (that's a minus)
Kevin_in_GA 4,599 posts msg #84062 - Ignore Kevin_in_GA	12/8/2009 6:05:33 PM I back tested it for a 5% profit target and and maximum 5 holding days. ROI: -264% (that's a minus) ++++++++++++++++++++++++ Not to put too fine a point on this, but you are incorrect. If you use the offset function and go back 1 year ago last Friday, you will get a list of several stocks. Pick the top score (in case of a tie in the reward score, use the highest performance score to choose). Now advance forward to the next week for those specific stocks and see how they have done. Record performance. Repeat for each week. Every week needs to be done this way to get accurate data. If you do this you see that the performance I posted in the first post of this thread is correct. If you don't want to, that's fine as well. Simply do not trade off of the results from this filter.
Radiomuse 288 posts msg #84072 - Ignore Radiomuse modified	12/8/2009 11:05:30 PM Kev - here's my ideas to the long version (have the short as well if you're interested). Main thing I wanted to accomplish was to weight the "near term" weeks separately than the "prior term" weeks to avoid putting extra weight on the near term. In this case, the last 5 weeks gets 45%, and the previous 10 weeks gets 55% (totally arbitrary weights). After some more tweaking - at some point I'll try doing some informal backtesting like you said...a lot of work! Btw, the screening output only works correctly if it's run on weekends, right? How do I do date offsets to go back that far in time, and how can you tell what day the results are from? We want them to always be from previous Friday's closes, correct? Fetcher[/MEASURE THE DIFFERENCE FROM WEEKLY OPEN TO WEEKLY HIGH/ set{whiop, weekly high - weekly open} set{Long_Profit, whiop / weekly open } /DETERMINE THE FREQUENCY THAT 5% IS ACHIEVED OVER MULTIPLE TIME FRAMES/ set{5_1wk, count(Long_Profit > .05,1)} set{5_5wk, count(Long_Profit > .05,5)} set{5_15wk, count(Long_Profit > .05,15)} set{5_nextten,5_15wk-5_5wk} /APPLY WEIGHTING FACTORS/ set{var1,5_5wk0.45} /WEIGHT 5 WK AVERAGE AT 45%/ set{var2,5_nextten0.55} /WEIGHT NEXT 10 WK AVERAGE AT 55%/ /CREATE A WEIGHTED SUMMATION OF STOCK PERFORMANCE (MAX SCORE = 7.75)/ set{reward,var1+var2} /DETERMINE THE RISK OF TRIPPING A 10% STOP LOSS/ set{wloss, weekly open - weekly low} set{max_loss, wloss / weekly open} /DETERMINE THE FREQUENCY THAT A 10% STOP LOSS IS TRIPPED OVER MULTIPLE TIME FRAMES/ set{loss_1wk, count(max_loss > .10,1)} set{loss_5wk, count(max_loss > .10,5)} set{loss_15wk, count(max_loss > .10,15)} set{loss_nextten,loss_15wk-loss_5wk} /APPLY WEIGHTING FACTORS/ set{var11,loss_5wk0.45} /WEIGHT 5 WK AVERAGE AT 45%/ set{var21,loss_nextten0.55} /WEIGHT NEXT 10 WK AVERAGE AT 55%/ /CREATE A WEIGHTED SUMMATION OF RISK (MAX SCORE = 7.75)/ set{risk,var11+var21} set{performance,reward/risk} set{LP%,long_profit100} set{LP%1,LP% 1 week ago} set{LP%2,LP% 2 weeks ago} set{LP%3,LP% 3 weeks ago} set{LP%4,LP% 4 weeks ago} set{xrange, weekly high - weekly low} set{xrange%,xrange/weekly open} set{AvgRng5, cma(xRange%,5) } set{avgrng15, cma(xrange%,15)} add column performance {performance} add column reward {reward} add column risk {risk} and add column AvgRng5 and add column avgrng15 add column 5_5wk {5 wk reward} add column 5_15wk {15 wk reward} add column 5_nextten {wk 6 to 15 reward} add column var1 add column var2 add column loss_5wk {5 wk risk} add column loss_15wk {15 wk risk} add column loss_nextten {wk 6 to 15 risk} add column var11 add column var21 /SCREEN FOR THE STRONGEST CANDIDATES/ weekly open is above 5 average volume(30) above 500000 and reward is greater than 6.0 and risk is less than 3.5 sort by performance descending and draw performance do not draw risk / Global Filter Text */]
Kevin_in_GA 4,599 posts msg #84124 - Ignore Kevin_in_GA	12/10/2009 8:26:57 AM PWER and NANO have both hit their 5% target for the week.
Kevin_in_GA 4,599 posts msg #84375 - Ignore Kevin_in_GA modified	12/13/2009 9:30:19 PM PWER, YMI and NANO all hit their 5% target for the week. Only 4 picks for this next week - in descending order, they are: PWER performance - perfect hit for the last 8 weeks reward 3.00 YMI performance 12.00 reward 3.00 NANO performance 2.18 reward 3.00 GGWPQ performance 11.50 reward 2.88
mazotrade1 5 posts msg #84403 - Ignore mazotrade1	12/14/2009 2:31:30 PM Kevin- Your manual back test suggestion requires a lot of work. Are you saying SF's back test feature does not work correctly?

StockFetcher Forums · Filter Exchange · 5% A WEEK FILTER (BASED ON TRO'S CROCK POT)

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