StockFetcher Forums · Filter Exchange · CHUTES and LADDERS<< 1 2 >>Post Follow-up
tomm1111
202 posts
msg #67723
- Ignore tomm1111
modified		 9/25/2008 1:10:04 AM

CHUTES and LADDERS

...work in progress. (Updated filter last post.)

This filter calculates probability of price change % based on past performance of specified intervals. I believe it can be applied to both short and longer term trading.

To provide a normal distribution for the probability calculations (important), I used the daily price change percentage. The calculation is basically a z-table value of a normal distribution (bell curve).

Sort by "x-day" columns. Negative "x-day" (or z-table) numbers reflect a positive change in close price.

Please feel free to modify, tweak, and add your criteria. Please share your work on this post.

In the next few days, I will try to get a out a more detailed explanation.

tomm


Fetcher[
/* CHUTES and LADDERS */
/* Price change(%) probability calculations */

/*my_ind calcs*/
set{prc_chg,close - close 1 day ago}
set{np, prc_chg / close 1 day ago}
set{my_ind,np * 100}

/*5 day*/
set{my_sd_5,cstddev(my_ind,5)}
set{my_sum_5,sum(my_ind,5)}
set{my_mean_5,my_sum_5 / 5}

/* 5 day, z-table calc*/
set{target_L5,0}
set{p5,target_L5 - my_mean_5}
set{z_5,p5 / my_sd_5}

/*10 day*/
set{my_sd_10,cstddev(my_ind,10)}
set{my_sum_10,sum(my_ind,10)}
set{my_mean_10,my_sum_10 / 10}

/* 10 day, z-table calc*/
set{target_L10,0}
set{p10,target_L10 - my_mean_10}
set{z_10,p10 / my_sd_10}

/*20 day*/
set{my_sd_20,cstddev(my_ind,20)}
set{my_sum_20,sum(my_ind,20)}
set{my_mean_20,my_sum_20 / 20}

/* 20 day, z-table calc*/
set{target_L20,0}
set{p20,target_L20 - my_mean_20}
set{z_20,p20 / my_sd_20}

/*30 day*/
set{my_sd_30,cstddev(my_ind,30)}
set{my_sum_30,sum(my_ind,30)}
set{my_mean_30,my_sum_30 / 30}

/* 30 day, z-table calc*/
set{target_L30,0}
set{p30,target_L30 - my_mean_30}
set{z_30,p30 / my_sd_30}

/*45 day*/
set{my_sd_45,cstddev(my_ind,45)}
set{my_sum_45,sum(my_ind,45)}
set{my_mean_45,my_sum_45 / 45}

/* 45 day, z-table calc*/
set{target_L45,0}
set{p45,target_L45 - my_mean_45}
set{z_45,p45 / my_sd_45}

/*60 day*/
set{my_sd_60,cstddev(my_ind,60)}
set{my_sum_60,sum(my_ind,60)}
set{my_mean_60,my_sum_60 / 60}

/* 60 day, z-table calc*/
set{target_L60,0}
set{p60,target_L60 - my_mean_60}
set{z_60,p60 / my_sd_60}

/*100 day*/
set{my_sd_100,cstddev(my_ind,100)}
set{my_sum_100,sum(my_ind,100)}
set{my_mean_100,my_sum_100 / 100}

/* 100 day, z-table calc*/
set{target_L100,0}
set{p100,target_L100 - my_mean_100}
set{z_100,p100 / my_sd_100}

show stocks where close is above 1
and volume is above 100000
and not otcbb

add column separator
add column z_5{5-day}
add column z_10{10-day}
add column z_20{20-day}
add column z_30{30-day}
add column z_45{45-day}
add column z_60{60-day}
add column z_100{100-day}
and add column separator
add column average day range(10)

set{ma5,cema(z_5,5)}
draw z_5
draw ma5 on plot z_5

set{ma10,cema(z_10,8)}
draw z_10
draw ma10 on plot z_10

set{ma20,cema(z_20,20)}
draw z_20
draw ma20 on plot z_20

set{ma60,cema(z_60,60)}
draw z_60
draw ma60 on plot z_60
]
chetron
2,817 posts
msg #67724
- Ignore chetron		 9/25/2008 6:30:30 AM

FOR THE CHEAP SEATS....


YOU NEED TO OVERLAY THE PLOTS BY EYE.....


Fetcher[


/* CHUTES and LADDERS */
/* Price change(%) probability calculations */

/*my_ind calcs*/
set{prc_chg,close - close 1 day ago}
set{np, prc_chg / close 1 day ago}
set{my_ind,np * 100}

/*5 day*/
set{my_sd_5,cstddev(my_ind,5)}
set{my_sum_5,sum(my_ind,5)}
set{my_mean_5,my_sum_5 / 5}

/* 5 day, z-table calc*/
set{target_L5,0}
set{p5,target_L5 - my_mean_5}
set{z_5,p5 / my_sd_5}

/*10 day*/
set{my_sd_10,cstddev(my_ind,10)}
set{my_sum_10,sum(my_ind,10)}
set{my_mean_10,my_sum_10 / 10}

/* 10 day, z-table calc*/
set{target_L10,0}
set{p10,target_L10 - my_mean_10}
set{z_10,p10 / my_sd_10}

/*20 day*/
set{my_sd_20,cstddev(my_ind,20)}
set{my_sum_20,sum(my_ind,20)}
set{my_mean_20,my_sum_20 / 20}

/* 20 day, z-table calc*/
set{target_L20,0}
set{p20,target_L20 - my_mean_20}
set{z_20,p20 / my_sd_20}

/*30 day*/
set{my_sd_30,cstddev(my_ind,30)}
set{my_sum_30,sum(my_ind,30)}
set{my_mean_30,my_sum_30 / 30}

/* 30 day, z-table calc*/
set{target_L30,0}
set{p30,target_L30 - my_mean_30}
set{z_30,p30 / my_sd_30}

/*45 day*/
set{my_sd_45,cstddev(my_ind,45)}
set{my_sum_45,sum(my_ind,45)}
set{my_mean_45,my_sum_45 / 45}

/* 45 day, z-table calc*/
set{target_L45,0}
set{p45,target_L45 - my_mean_45}
set{z_45,p45 / my_sd_45}

/*60 day*/
set{my_sd_60,cstddev(my_ind,60)}
set{my_sum_60,sum(my_ind,60)}
set{my_mean_60,my_sum_60 / 60}

/* 60 day, z-table calc*/
set{target_L60,0}
set{p60,target_L60 - my_mean_60}
set{z_60,p60 / my_sd_60}

/*100 day*/
set{my_sd_100,cstddev(my_ind,100)}
set{my_sum_100,sum(my_ind,100)}
set{my_mean_100,my_sum_100 / 100}

/* 100 day, z-table calc*/
set{target_L100,0}
set{p100,target_L100 - my_mean_100}
set{z_100,p100 / my_sd_100}

show stocks where close is above 1
and volume is above 100000
and not otcbb

add column separator
add column z_5{5-day}
add column z_10{10-day}
add column z_20{20-day}
add column z_30{30-day}
add column z_45{45-day}
add column z_60{60-day}
add column z_100{100-day}
and add column separator
add column average day range(10)

set{ma5,cema(z_5,5)}
draw z_5
draw ma5

set{ma10,cema(z_10,8)}
draw z_10
draw ma10

set{ma20,cema(z_20,20)}
draw z_20
draw ma20

set{ma60,cema(z_60,60)}
draw z_60
draw ma60
]
chetron
2,817 posts
msg #67725
- Ignore chetron		 9/25/2008 6:47:09 AM

AND MAYBE....



Fetcher[




/* CHUTES and LADDERS */
/* Price change(%) probability calculations */

/*my_ind calcs*/
set{prc_chg,close - close 1 day ago}
set{np, prc_chg / close 1 day ago}
set{my_ind,np * 100}

/*5 day*/
set{my_sd_5,cstddev(my_ind,5)}
set{my_sum_5,sum(my_ind,5)}
set{my_mean_5,my_sum_5 / 5}

/* 5 day, z-table calc*/
set{target_L5,0}
set{p5,target_L5 - my_mean_5}
set{z_5,p5 / my_sd_5}

/*10 day*/
set{my_sd_10,cstddev(my_ind,10)}
set{my_sum_10,sum(my_ind,10)}
set{my_mean_10,my_sum_10 / 10}

/* 10 day, z-table calc*/
set{target_L10,0}
set{p10,target_L10 - my_mean_10}
set{z_10,p10 / my_sd_10}

/*20 day*/
set{my_sd_20,cstddev(my_ind,20)}
set{my_sum_20,sum(my_ind,20)}
set{my_mean_20,my_sum_20 / 20}

/* 20 day, z-table calc*/
set{target_L20,0}
set{p20,target_L20 - my_mean_20}
set{z_20,p20 / my_sd_20}

/*30 day*/
set{my_sd_30,cstddev(my_ind,30)}
set{my_sum_30,sum(my_ind,30)}
set{my_mean_30,my_sum_30 / 30}

/* 30 day, z-table calc*/
set{target_L30,0}
set{p30,target_L30 - my_mean_30}
set{z_30,p30 / my_sd_30}

/*45 day*/
set{my_sd_45,cstddev(my_ind,45)}
set{my_sum_45,sum(my_ind,45)}
set{my_mean_45,my_sum_45 / 45}

/* 45 day, z-table calc*/
set{target_L45,0}
set{p45,target_L45 - my_mean_45}
set{z_45,p45 / my_sd_45}

/*60 day*/
set{my_sd_60,cstddev(my_ind,60)}
set{my_sum_60,sum(my_ind,60)}
set{my_mean_60,my_sum_60 / 60}

/* 60 day, z-table calc*/
set{target_L60,0}
set{p60,target_L60 - my_mean_60}
set{z_60,p60 / my_sd_60}

/*100 day*/
set{my_sd_100,cstddev(my_ind,100)}
set{my_sum_100,sum(my_ind,100)}
set{my_mean_100,my_sum_100 / 100}

/* 100 day, z-table calc*/
set{target_L100,0}
set{p100,target_L100 - my_mean_100}
set{z_100,p100 / my_sd_100}

show stocks where close is above 1
and volume is above 100000
and not otcbb

add column separator
add column z_5{5-day}
add column z_10{10-day}
add column z_20{20-day}
add column z_30{30-day}
add column z_45{45-day}
add column z_60{60-day}
add column z_100{100-day}
and add column separator
add column average day range(10)

set{ma5,cema(z_5,5)}
draw z_5
draw ma5

MA5 CROSSED BELOW 0
Z_5 1 DAY AGO CROSSED BELOW 0

set{ma10,cema(z_10,8)}
draw z_10
draw ma10

set{ma20,cema(z_20,20)}
draw z_20
draw ma20

set{ma60,cema(z_60,60)}
draw z_60
draw ma60


]
johnpaulca
12,036 posts
msg #67727
- Ignore johnpaulca		 9/25/2008 9:05:56 AM

You guys are amazing...thanks for the great work.

Chet....thanks for the tickets to the nose bleed seats....lol.
chetron
2,817 posts
msg #67728
- Ignore chetron		 9/25/2008 9:13:32 AM


MY PLEASURE.


Sqwii
160 posts
msg #67750
- Ignore Sqwii		 9/25/2008 4:52:21 PM

PLease explain this filter in DETAILS... which stocks would be best to buy and hold ?

The stocks on the top of the list ? what are YOU looking after?
chetron
2,817 posts
msg #67763
- Ignore chetron		 9/25/2008 11:00:20 PM

AND EVEN .....

I'M JUST CRANKIN' HERE, BOSS.
WHAT DO YOU THINK?

Fetcher[

/* CHUTES and LADDERS */
/* Price change(%) probability calculations */

/*my_ind calcs*/
set{prc_chg,close - close 1 day ago}
set{np, prc_chg / close 1 day ago}
set{my_ind,np * 100}

/*5 day*/
set{my_sd_5,cstddev(my_ind,5)}
set{my_sum_5,sum(my_ind,5)}
set{my_mean_5,my_sum_5 / 5}

/* 5 day, z-table calc*/
set{target_L5,0}
set{p5,target_L5 - my_mean_5}
set{z_5,p5 / my_sd_5}

/*10 day*/
set{my_sd_10,cstddev(my_ind,10)}
set{my_sum_10,sum(my_ind,10)}
set{my_mean_10,my_sum_10 / 10}

/* 10 day, z-table calc*/
set{target_L10,0}
set{p10,target_L10 - my_mean_10}
set{z_10,p10 / my_sd_10}

/*20 day*/
set{my_sd_20,cstddev(my_ind,20)}
set{my_sum_20,sum(my_ind,20)}
set{my_mean_20,my_sum_20 / 20}

/* 20 day, z-table calc*/
set{target_L20,0}
set{p20,target_L20 - my_mean_20}
set{z_20,p20 / my_sd_20}

/*30 day*/
set{my_sd_30,cstddev(my_ind,30)}
set{my_sum_30,sum(my_ind,30)}
set{my_mean_30,my_sum_30 / 30}

/* 30 day, z-table calc*/
set{target_L30,0}
set{p30,target_L30 - my_mean_30}
set{z_30,p30 / my_sd_30}

/*45 day*/
set{my_sd_45,cstddev(my_ind,45)}
set{my_sum_45,sum(my_ind,45)}
set{my_mean_45,my_sum_45 / 45}

/* 45 day, z-table calc*/
set{target_L45,0}
set{p45,target_L45 - my_mean_45}
set{z_45,p45 / my_sd_45}

/*60 day*/
set{my_sd_60,cstddev(my_ind,60)}
set{my_sum_60,sum(my_ind,60)}
set{my_mean_60,my_sum_60 / 60}

/* 60 day, z-table calc*/
set{target_L60,0}
set{p60,target_L60 - my_mean_60}
set{z_60,p60 / my_sd_60}

/*100 day*/
set{my_sd_100,cstddev(my_ind,100)}
set{my_sum_100,sum(my_ind,100)}
set{my_mean_100,my_sum_100 / 100}

/* 100 day, z-table calc*/
set{target_L100,0}
set{p100,target_L100 - my_mean_100}
set{z_100,p100 / my_sd_100}

show stocks where close is above 1
and volume is above 100000
and not otcbb

add column separator
add column z_5{5-day}
add column z_10{10-day}
add column z_20{20-day}
add column z_30{30-day}
add column z_45{45-day}
add column z_60{60-day}
add column z_100{100-day}
and add column separator
add column average day range(10)

set{ma5,cema(z_5,5)}
draw z_5
draw ma5

Z_5 CROSSED BELOW 1.5
RSI(2) BELOW 25

set{ma10,cema(z_10,8)}
draw z_10
draw ma10

set{ma20,cema(z_20,20)}
draw z_20
draw ma20

set{ma60,cema(z_60,60)}
draw z_60
draw ma60

]
tomm1111
202 posts
msg #67768
- Ignore tomm1111
modified		 9/26/2008 2:00:59 AM

I couldn't do exactly what I wanted to. I think I ran out of available nested calculations, even with the advanced subscription. However, this is a step in the direction I wanted to go.

Here is what you want to look for:

1. clo in extreme low or extreme high
2. sort by the "5-day" column at both ends
3. Spike in at least z_5, z_10, or z-20. All 3 is best. (2 better than 1)
4. Also, look for fake outs. Pull backs from extreme top or bottom to quickly rebound.
5. All indicators are inverse. Up = decrease in price, down = increase in price
6. This filter has great trend finding abilities. Sort by x-day column. (neg = upward trend, pos = downward trend.)
7. The change in close price was the only metric used in this filter.

tomm

Fetcher[
/* CHUTES and LADDERS */
/* Price change(%) probability calculations */

/*my_ind calcs*/
set{prc_chg,close - close 1 day ago}
set{np, prc_chg / close 1 day ago}
set{my_ind,np * 100}

/*5 day*/
set{my_sd_5,cstddev(my_ind,5)}
set{my_sum_5,sum(my_ind,5)}
set{my_mean_5,my_sum_5 / 5}

/* 5 day, z-table calc*/
set{target_L5,0}
set{p5,target_L5 - my_mean_5}
set{z_5,p5 / my_sd_5}

/*10 day*/
set{my_sd_10,cstddev(my_ind,10)}
set{my_sum_10,sum(my_ind,10)}
set{my_mean_10,my_sum_10 / 10}

/* 10 day, z-table calc*/
set{target_L10,0}
set{p10,target_L10 - my_mean_10}
set{z_10,p10 / my_sd_10}

/*20 day*/
set{my_sd_20,cstddev(my_ind,20)}
set{my_sum_20,sum(my_ind,20)}
set{my_mean_20,my_sum_20 / 20}

/* 20 day, z-table calc*/
set{target_L20,0}
set{p20,target_L20 - my_mean_20}
set{z_20,p20 / my_sd_20}

/*30 day*/
set{my_sd_30,cstddev(my_ind,30)}
set{my_sum_30,sum(my_ind,30)}
set{my_mean_30,my_sum_30 / 30}

/* 30 day, z-table calc*/
set{target_L30,0}
set{p30,target_L30 - my_mean_30}
set{z_30,p30 / my_sd_30}

/*45 day*/
set{my_sd_45,cstddev(my_ind,45)}
set{my_sum_45,sum(my_ind,45)}
set{my_mean_45,my_sum_45 / 45}

/* 45 day, z-table calc*/
set{target_L45,0}
set{p45,target_L45 - my_mean_45}
set{z_45,p45 / my_sd_45}

/*60 day*/
set{my_sd_60,cstddev(my_ind,60)}
set{my_sum_60,sum(my_ind,60)}
set{my_mean_60,my_sum_60 / 60}

/* 60 day, z-table calc*/
set{target_L60,0}
set{p60,target_L60 - my_mean_60}
set{z_60,p60 / my_sd_60}

/*100 day*/
set{my_sd_100,cstddev(my_ind,100)}
set{my_sum_100,sum(my_ind,100)}
set{my_mean_100,my_sum_100 / 100}

/* 100 day, z-table calc*/
set{target_L100,0}
set{p100,target_L100 - my_mean_100}
set{z_100,p100 / my_sd_100}

/* Calculate CLO */
set{hat,z_5 + z_10}
set{hat1,z_20 + z_45}
set{hat2,hat + hat1}

set{var1,hat2 * 1.5}
set{x,cema(var1,3)}
set{s,exp10(x)}

set{var3,s - 1}
set{var4,s + 1}
set{clo,var3 / var4}

draw clo
set{u_lim,0.9}
set{l_lim,-0.9}
draw u_lim on plot clo
draw l_lim on plot clo


show stocks where close is above 1
and volume is above 200000
and not otcbb

add column separator
add column clo
add column separator
add column z_5{5-day}
add column z_10{10-day}
add column z_20{20-day}
add column z_30{30-day}
add column z_45{45-day}
add column z_60{60-day}
add column z_100{100-day}
and add column separator
add column average day range(30)

sort column 8 descending

set{ma5,cema(z_5,5)}
draw z_5
draw ma5 on plot z_5

set{ma10,cema(z_10,8)}
draw z_10
draw ma10 on plot z_10

set{ma20,cema(z_20,20)}
draw z_20
draw ma20 on plot z_20
]
tomm1111
202 posts
msg #67769
- Ignore tomm1111		 9/26/2008 2:26:32 AM

Thanks chetron for crankin' away. :o)

I'm not sure if the filter in the last post will work up in the nose bleed section.


chetron
2,817 posts
msg #67772
- Ignore chetron		 9/26/2008 8:28:57 AM


CONGRATULATIONS, TOMM. YOU HAVE TRULY CROSSED THE THRESHOLD OF ACTUALLY WRITING AN ADVANCED SUBSCRIPTION FILTER. THIS MAKES 6 SUCH FILTERS THAT HAVE NOW BEEN PUBLISHED ON THIS SITE. THERE IS NO QUICK WORK AROUND FOR THIS NEW FILTER OF YOURS. YOU ARE OFFICIALLY AN "EXCEEDER".



StockFetcher Forums · Filter Exchange · CHUTES and LADDERS<< 1 2 >>Post Follow-up

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