Telling the Future... - StockFetcher.com Stock Screener

StockFetcher Forums · Filter Exchange · Telling the Future...

<< 1 2 3 4 >>Post Follow-up

heyen
124 posts
msg #43693
- Ignore heyen

5/13/2006 3:53:36 PM

Ok, crazy idea, but i was surprised...
c'mon, what would you give to know the future???

... donations accepted :-)

hscott
34 posts
msg #43696
- Ignore hscott 5/13/2006 4:58:17 PM

Changed your filter a little:

set{c2,count(ind(qqqq,day change) 1 day ago below 0,1) + count(day change below 0,1)}
set{correl,count(c2 equal 2,100)}
add column correl
correl less than 6
and average volume(20) greater than 50000
and price greater than 2
sort by column 5 descending

This selects stocks that go up when Nasdaq fall. Backtests pretty well with 1% stop

heyen
124 posts
msg #43697
- Ignore heyen
modified

5/13/2006 5:56:33 PM

But isnt MNCS a little non-volatile for day trading?
I'd rather go with

Interesting: no stock correlates (lag 1) to the QQQQ more than 36% ....

hscott
34 posts
msg #43698
- Ignore hscott 5/13/2006 6:50:52 PM

Yes it probably is not volatile enough - but I don't daytrade.
(I didn't realize that SF was that great for daytraders since it uses EOD data)

Heres a mod:

set{c1,count(ind(qqqq,day change) 1 day ago above 0,1)}
set{c11,count(day change above 0,1)}
set{c12,c1+c11}
set{c13,count(c12 equal 2,100)}
set{c2,count(ind(qqqq,day change) 1 day ago below 0,1)}
set{c21,count(day change below 0,1)}
set{c22,c2 + c21}
set{c24,count(c22 equal 2,100)}
set{c23,2*c24}
set{c3,c13-c23}
c3 greater than 7
add column c3
and add column c13
and add column c23
and average volume(20) greater than 50000
and price greater than 2

This weights a fall with Nasdaq higher. Also backtests well

heyen
124 posts
msg #43699
- Ignore heyen

5/13/2006 7:10:13 PM

Or have you ever asked yourself, if there are stocks foretelling the market?

at a "being right rate" between 60% and 70% i'd propably take a democratic vote of the majority for being right.

shelupinin
120 posts
msg #43707
- Ignore shelupinin 5/14/2006 4:03:26 PM

heyen, your last filter may show stocks (if precaution is, say, above 60) which has strong correlation with QQQQ, but what is practical advantage to know such stocks? sorry, may be I'm too stupid, but I can't understand... ok, you know some stock wich has high correlation with qqqq, for example AMLN, so How you may predict the future price of AMLN knowing current QQQQ and AMLN???
Alex

hscott
34 posts
msg #43708
- Ignore hscott

5/14/2006 4:21:15 PM

If I may add something here.

My mod of heyen's filter was designed as a reaction to the crash last week.
Looking for stocks that go up when Nasdaq goes up but do not fall when Nasdaq falls. So I "add points" for a positive correlation with Nasdaq uptrend and "subtract points" for a correlation with Nasdaq downtrend. Seems to work pretty well. Backtest with 25% stop gives about a 65% ROI but over 90% gains which I don't see that much.

Approach Information

Approach Name: set{c2,count(ind(qqqq,day change) 1 day ago below ...

Test started on 12/30/2005 ended on 05/12/2006, covering 91 days

Filter used:

set{c1,count(ind(qqqq,day change) 1 day ago above 0,1)} set{c11,count(day change above 0,1)} set{c12,c1+c11} set{c13,count(c12 equal 2,100)} set{c2,count(ind(qqqq,day change) 1 day ago below 0,1)} set{c21,count(day change below 0,1)} set{c22,c2 + c21} set{c24,count(c22 equal 2,100)} set{c23,1.8*c24} set{c3,c13-c23} c3 greater than 12 and Historical Volatility(100,1) less than 40 add column c3 and add column c13 and add column c23

Trade Statistics

There were 190 total stocks entered. Of those, 103 or 54.21% were complete and 87 or 45.79% were open.

Of the 103 completed trades, 95 trades or 92.23%resulted in a net gain.

Your average net change for completed trades was: 6.07%.

The average draw down of your approach was: -3.07%.

The average max profit of your approach was: 7.54%

The Reward/Risk ratio for this approach is: 12.21

Annualized Return on Investment (ROI): 80.50%, the ROI of ^SPX was: 7.97%.

Exit Statistics

Stop Loss was triggered 1 times or 0.97% of the time.

Stop Profit was triggered 46 times or 44.66% of the time.

Trailing Stop Loss was triggered 0 times or 0.00% of the time.

You held for the maximum period of time (150 days) 0 times or 0.00% of the time.

An exit trigger was executed 56 times or 54.37% of the time.

Statistics By Holding Period
	Completed	2 day chg	5 day chg	10 day chg	25 day chg	40 day chg
Winners:	95	88	110	114	116	43
Losers:	8	94	78	72	65	30
Win/Loss Ratio:	11.88:1	0.94:1	1.41:1	1.58:1	1.78:1	1.43:1
Net Change:	6.07%	0.08%	1.13%	2.18%	3.67%	2.04%

Statistics By Variable: Match Price
	<20	<40	<60	<80	<100	<120	<140	<160	<180	<200
Completed	24:2	31:5	22:1	10:0	3:0	4:0	-	1:0	-	-
2 day chg	24:24	19:34	23:14	11:15	6:3	3:2	0:2	2:0	-	-
5 day chg	25:24	28:30	29:8	15:11	6:3	4:1	2:0	1:1	-	-
10 day chg	23:26	30:27	27:10	19:6	7:2	4:1	2:0	2:0	-	-
25 day chg	24:24	31:26	25:10	21:3	7:2	4:0	2:0	2:0	-	-
40 day chg	14:4	10:16	9:5	7:4	3:1	-	-	-	-	-

Statistics By Variable: Average Volume
	<1000000	<2.0M	<3.0M	<4.0M	<5.0M	<6.0M	<7.0M	<8.0M	<9.0M	<10.0M
Completed	82:8	9:0	2:0	-	1:0	-	-	-	-	1:0
2 day chg	77:80	6:10	3:3	0:1	1:0	-	-	-	-	1:0
5 day chg	96:67	10:6	3:3	0:1	1:0	-	-	-	-	0:1
10 day chg	96:65	11:5	4:2	1:0	1:0	-	-	-	-	1:0
25 day chg	97:60	12:3	4:2	1:0	1:0	-	-	-	-	1:0
40 day chg	32:25	9:3	2:1	-	0:1	-	-	-	-	-

Statistics By Variable: ADX(14\|14)
	<10	<20	<30	<40	<50	<60	<70	<80	<90	<100
Completed	3:0	19:0	21:3	24:1	17:2	8:1	2:0	1:1	-	-
2 day chg	1:2	22:16	19:32	16:21	16:18	10:3	2:0	1:2	1:0	-
5 day chg	1:2	27:11	23:30	20:18	24:11	10:3	1:1	3:2	1:0	-
10 day chg	1:2	28:10	23:29	24:14	24:11	10:2	1:1	2:3	1:0	-
25 day chg	2:1	31:7	25:27	28:11	19:12	9:2	1:1	1:4	-	-
40 day chg	1:0	9:2	10:9	8:9	12:7	2:1	-	1:2	-	-

Statistics By Variable: Comparative Relative Strength(^IXIC\|10)
	<0.96	<0.99	<1.02	<1.05	<1.08	<1.11	<1.14	<1.17	<1.2	<1.23
Completed	0:1	10:0	20:1	27:0	16:5	15:0	4:0	1:1	1:0	1:0
2 day chg	0:2	10:6	20:31	23:23	19:19	11:8	2:3	2:1	0:1	1:0
5 day chg	0:2	11:9	37:16	28:18	17:21	12:6	1:5	3:0	0:1	1:0
10 day chg	2:0	13:6	38:14	31:15	16:22	11:8	1:5	1:1	0:1	1:0
25 day chg	0:2	13:8	35:16	33:10	22:14	9:10	1:4	1:1	1:0	1:0
40 day chg	0:1	4:1	13:7	10:8	9:6	5:5	0:1	0:1	1:0	1:0

Statistics By Variable: Historical Volatility(100\|1\|365)
	<4	<8	<12	<16	<20	<24	<28	<32	<36	<40
Completed	-	5:0	4:0	6:1	4:1	12:1	12:3	20:1	20:1	12:0
2 day chg	-	5:3	3:7	12:14	7:8	11:19	11:8	16:10	11:14	12:11
5 day chg	0:1	6:4	8:4	15:11	8:6	13:17	9:10	19:8	14:11	18:6
10 day chg	0:1	8:1	9:2	17:9	7:8	12:18	13:6	19:8	15:9	14:10
25 day chg	0:1	5:3	7:5	20:6	9:6	15:15	13:6	19:6	13:10	15:7
40 day chg	0:1	5:3	2:3	3:3	4:5	8:5	3:2	4:3	9:3	5:2

heyen
124 posts
msg #43711
- Ignore heyen

5/14/2006 5:46:21 PM

@ shelupinin

Precaution?

You see how our boys dropped in price all together?

And our market index was a little late... to be precise: 1 day late!
Now we know that the qqqq tells the rest of the market where to go...

@ hscott

nice work! my backtests weren't as good.

shelupinin
120 posts
msg #43716
- Ignore shelupinin 5/14/2006 7:20:18 PM

ok, heyen, thanks
according to your filter most stocks dropped in price at friday, May 12. So at Monday, May 15, index QQQQ also should drop .... lets see...

Alex

heyen
124 posts
msg #43719
- Ignore heyen
modified 5/14/2006 7:46:09 PM

Hi shelupinin,

well, for the statistics sake, thats what I expect.
This could be interesting for day trading as to wether go long or short with the first initial position in pre market or at the opening. Because thats where the most volatility is. I will watch this the next days to see how that works until reversal time.
I have missed the biggest move waiting for the reversal time to pass by more than once.

Thomas

StockFetcher Forums · Filter Exchange · Telling the Future...

<< 1 2 3 4 >>Post Follow-up