nsusa
11 posts
msg #122462
- Ignore nsusa |
1/4/2015 8:34:23 PM
Kevin - thank you for sharing this with us. It is appreciated.
Question: I noticed today that some stocks that I saw on the list last week (Wednesday / after Market closed) are again on the list = 2 days in a row. Apparently the stocks closed lower, but are still meeting the filter requirements for this system.
Is there anything special to look out for when this happens?
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Kevin_in_GA
4,599 posts
msg #122463
- Ignore Kevin_in_GA |
1/4/2015 8:44:05 PM
Not really - this happens to a percentage of the trades, and I even tried to test whether or not waiting a certain amount helped. It gave a slightly higher % return per trade, but fewer trades so that it actually performed worse.
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nsusa
11 posts
msg #122464
- Ignore nsusa |
1/4/2015 9:37:12 PM
Cool. Good to know. Thank you.
One more question - how do you handle large lists like today? You enter them all with Buy-Stops before the market opens?!
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Kevin_in_GA
4,599 posts
msg #122465
- Ignore Kevin_in_GA |
1/4/2015 10:32:31 PM
Yes, but only to the extent that I could cover the trades with my capital. If you are using margin then you need to be careful.
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nsusa
11 posts
msg #122467
- Ignore nsusa |
1/5/2015 4:34:06 PM
Thank you again :-)
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stratiG
147 posts
msg #122479
- Ignore stratiG |
1/7/2015 3:54:00 PM
Thanks for sharing Kevin..Happy New Year to you and your family.
George
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evo34
82 posts
msg #122505
- Ignore evo34 |
1/11/2015 1:34:27 AM
Just curious: you say that you look for a reward-to-risk ratio of > 1.00. The code doesn't seem to filter for that, though. Have you found that taking only trades where that value is > 1.00 performs better in the backtests, or is it simply a discretionary criteria for you? Thanks.
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Kevin_in_GA
4,599 posts
msg #122508
- Ignore Kevin_in_GA |
1/11/2015 4:48:26 PM
Simply discretionary - truth is either selection results in about the same overall performance.
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ssapp80
1 posts
msg #122515
- Ignore ssapp80 |
1/12/2015 9:03:44 PM
Thanks for sharing Kevin.....much appreciated. Could you elaborate just a touch more on the entry?
/*DETERMINE LIMIT ENTRY POINT*/
SET{LIMITENTRY, MIN(CLOSE, REVERSERSI(2,5))}
Here we are using the limit entry at the price the would correspond to a RSI(2) of 5. If the stock is already below that value, you use the current close instead - that is why I use the MIN() function here as it automatically chooses the lower price of the two possible limit entries.
If I'm understanding correctly, if the limit entry here is the close......any pop upward the next day keeps us out of the trade?
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Kevin_in_GA
4,599 posts
msg #122516
- Ignore Kevin_in_GA |
1/13/2015 1:01:12 PM
Yes - you could simplify the trade and just use a limit order at the value where the RSI(2) is 5 and it would fill if the stock were below it at the next day open, but for me I wanted to make sure that the stop loss (which is calculated from the close on the day of the trigger) is calculated correctly. If you were to use the reversersi(2,5) value your stop loss would be a little closer than it was designed to be.
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