Billirider321
62 posts
msg #104962
- Ignore Billirider321 |
2/13/2012 8:25:56 PM
That's right we need to have some kind of tool like basket trader, where we can enter multiple orders and once account has been used up should cancel all other orders
I researched basket trader interacting with ib, they have dichotomy a tool for 89 euro
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xzajic
14 posts
msg #104972
- Ignore xzajic |
2/14/2012 5:21:18 AM
I see! QPSA was included in BOTH lists(!) Cool...
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mahkoh
1,065 posts
msg #104974
- Ignore mahkoh
modified |
2/14/2012 4:07:52 PM
Something skewing results on the gap down filter may be dividend distributions. According to SF HCA gapped down some 6 % today but that drop was associated with a dividend payout. Obviously that problem does not apply to the gap up filter.
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xzajic
14 posts
msg #105000
- Ignore xzajic |
2/16/2012 11:50:43 AM
Kevin I'am just thinking about your rule "open must be ABOVE the previous week's low for the Gap Down". Does it mean my orders must been CONDITIONAL orders? For example: buy a share for a maximum limit of $ 5, but not less than $ 4? Right? It will be tedious to enter into platform ;-(
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sohailmithani
192 posts
msg #105001
- Ignore sohailmithani |
2/16/2012 12:31:35 PM
Kevin,
Let me first start by saying that I have been following some of your filters and they are great. I truly respect your ability to come up with such amazing filters. Thanks for that.
With regard to this one, I think atleast I am (if not most of us) a little confused about the filter's approach and how to trade this one. When to buy, what price, which ones and what exceptions etc.
Could you please help me understand it. Would really appreciate it.
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mmaurice
51 posts
msg #105002
- Ignore mmaurice |
2/16/2012 1:12:12 PM
Just friendly advice.
If you can't read the code and understand what it is doing and then review the back test results and understand how they were calculated, do not attempt to trade.
Break down the code, understand the results and then build your trading plan to replicate.
Take an hour and figure it out.
Don't trade any strategy without paper trading for a month.
Good luck
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mahkoh
1,065 posts
msg #105006
- Ignore mahkoh
modified |
2/16/2012 5:49:53 PM
I found the best way to find trades on this filter is through Google docs. You'll have your picks within a couple of minutes.
I think it was mmaurice mentioning it. Use a form like this:
https://docs.google.com/spreadsheet/ccc?key=0AgVFJDk1gPekdFdxaTREX1QwV0hOX0NLcGt3eVF1WkE#gid=0
run the filter during the weekend, download csv file and copy "symbol" column and "%gapfill" column into columns A and B.
column C will show open price, column D previous close. E and F calculate % gap which you will find in column G. Sort sheet by column G from A to Z for gap down. Create a second document for the gap up and sort that sheet by column G from Z to A .
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mahkoh
1,065 posts
msg #105022
- Ignore mahkoh |
2/17/2012 1:17:38 PM
I have changed the settings for this file in sharing for Google docs. You should now be able to edit and copy.
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Kevin_in_GA
4,599 posts
msg #105024
- Ignore Kevin_in_GA |
2/17/2012 3:07:49 PM
Kevin I am just thinking about your rule "open must be ABOVE the previous week's low for the Gap Down". Does it mean my orders must been CONDITIONAL orders? For example: buy a share for a maximum limit of $ 5, but not less than $ 4? Right? It will be tedious to enter into platform ;-(
+++++++++++++++
I see what you mean. That filter criterion was to avoid backtest buying of stocks that had plummeted over the weekend on some type of bad news, and stood no chance of filling the gap.
These types of gaps are sometimes called Conditional gaps versus full gaps. To see what impact there might be on removing this condition, I ran side by side backtests from 12/31/1999 until 2/10/2012.
Without "open above last week's low":
Average Annual Return - 37.29%
Compound Annual Return - 15.13%
Net Equity Gain - 452%
Percent Profitable - 82.10%
Percent in Market (Portfolio size of 5, no bet ever above $20,000 regardless of total equity) - 12.46%
Sharpe Ratio - 1.82 (monthly SR = 0.5265)
With "open above last week's low":
Average Annual Return - 39.11%
Compound Annual Return - 15.51%
Net Equity Gain - 474%
Percent Profitable - 83.50%
Percent in Market (Portfolio size of 5, no bet ever above $20,000 regardless of total equity) - 10.36%
Sharpe Ratio - 1.73 (monthly SR = 0.5008)
Honestly, it does not add all that much to keep this criterion, and you're right in that the orders would be more complex to execute. Feel free to remove.
I want to add one other "real world insight" to trading this, which is around the potential impact of your $20,000 trade on the liquidity and price of a given stock. I think that you should not have more than 1% of the typical daily trade dollars in any stock trade, since you begin to move the price and that changes the equation (usually NOT in your favor).
I'll update the filter a bit this weekend. I have already tested this out in SS and it slightly reduces the stats but is more realistic in terms of which stocks are really able to be traded.
Kevin
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xzajic
14 posts
msg #105039
- Ignore xzajic |
2/18/2012 2:54:52 PM
Kevin, if you are calculating "historical" gapfill, do you consider "historical" volume (at the time of succesfull gapfill)?
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