WESTFALL
9 posts
msg #99437
- Ignore WESTFALL |
3/1/2011 11:12:21 AM
Loosely base on RFR I call this filter UHAUL trying to find stocks with the likelyhood of ONLY MOVING ONE WAY.
Seems like a starting point anyway!
No clue how to make it clickable.
SET {MOVEMENTUP, HIGH - OPEN}
SET{MOVEMENTDOWN, LOW - OPEN}
SET{PCTUP, MOVEMENTUP / OPEN}
SET{PCTDOWN, MOVEMENTDOWN / OPEN}
SET{PCTUP100, COUNT(PCTUP GREATER THAN .0049, 100)}
SET{PCTDOWN100, COUNT(PCTDOWN LESS THAN -.0051,100)}
SET{PCTUP10, COUNT(PCTUP GREATER THAN .0049, 10)}
SET{PCTDOWN10, COUNT(PCTDOWN LESS THAN -.0051,10)}
SET{PCTCOMBO100, PCTUP100 + PCTDOWN100}
SET{PCTUP1, COUNT(PCTUP GREATER THAN .0049, 1)}
SET{PCTDOWN1, COUNT(PCTDOWN LESS THAN -.0049,1)}
SET{ONEWAYUP100, COUNT(MOVEMENTDOWN EQUALS 0, 100)}
SET{ONEWAYDOWN100, COUNT(MOVEMENTUP EQUALS 0, 100)}
SET{ONEWAYUP1, COUNT(MOVEMENTDOWN EQUALS 0, 1)}
SET{ONEWAYDOWN1, COUNT(MOVEMENTUP EQUALS 0, 1)}
SET{ONEWAY100, ONEWAYUP100 + ONEWAYDOWN100}
SET{ONEWAY1, ONEWAYUP1 + ONEWAYDOWN1}
SET{ONEWAY1FLAG, COUNT( ONEWAY1 EQUALS 1, 1)}
SET{PCTFLAG1, PCTUP1 - PCTDOWN1}
SET{COMBOFLAG1, ONEWAY1FLAG + PCTFLAG1}
SET{COMBO100, COUNT(COMBOFLAG1 EQUALS 2, 100)}
ADD COLUMN COMBO100
ADD COLUMN AVERAGE VOLUME (100)
ADD COLUMN MARKET
ADD COLUMN PCTUP10
ADD COLUMN PCTDOWN10
ADD COLUMN PCTCOMBO100
AVERAGE VOLUME(10) ABOVE 750000
AVERAGE VOLUME (100) ABOVE 750000
VOLUME ABOVE 750000
MARKET NOT OTCCB
CLOSE ABOVE 49.99
COMBO100 ABOVE 9
SORT COLUMN 1 DESCENDING
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duke56468
683 posts
msg #99438
- Ignore duke56468 |
3/1/2011 12:42:44 PM
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bkhurana43
103 posts
msg #99456
- Ignore bkhurana43 |
3/2/2011 12:14:51 PM
I clicked on the above filter and got "Filter performance restrictions" Why ? What is the way to overcome this problem in SF?
It mainly relates to SET statements.
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mktmole
325 posts
msg #99457
- Ignore mktmole |
3/2/2011 1:58:46 PM
This is because you are a Basic subscriber and the number of permitted formula set/count etc statements lower.
The above requires an Advanced Subscription to SF
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duke56468
683 posts
msg #99490
- Ignore duke56468 |
3/5/2011 10:26:00 AM
mktmole
msg #99457
- Ignore mktmole 3/2/2011 1:58:46 PM
This is because you are a Basic subscriber and the number of permitted formula set/count etc statements lower.
The above requires an Advanced Subscription to SF
=======================================================================================
mktmole....I still don't understand the limitation, here is one of Kevins filters with over 60 set functions and it works on basic subscription.
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lillian
26 posts
msg #99491
- Ignore lillian |
3/5/2011 10:50:01 AM
one day's data? whats the trigger for long or short? thanks!
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WESTFALL
9 posts
msg #99493
- Ignore WESTFALL |
3/5/2011 11:59:24 AM
Since the concept is "Moving one way" the trigger is direction of movement. So, if price goes up from open go long. If price goes down from open go short. If price goes against you close the position and try another day on current selections. Thats is where the payoff is in being in on the days it only goes one way.
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reels
29 posts
msg #99495
- Ignore reels |
3/5/2011 12:25:04 PM
hi all, check if results are the same..
Reels
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WESTFALL
9 posts
msg #99498
- Ignore WESTFALL |
3/5/2011 12:48:43 PM
Indeed the results are the same and thank you!
Has anybody noticed the backtesting limitation of SF on short positions? It appears to me the equity summary calculates the running gain/loss correctly but reduces capital by the gain amounts and increase capital by the loss amounts. Thus componding using gains is impacted significantly. As far as backtesting this filter I set a maximum 1 day hold with a maximum of 10 positions. In the advanced tab I use the following filters.
LONG BACKTEST
Entryprice:
Set {mybuy, open + .01}
mybuy
ExitPrice:
Set {myexit, open 1 day ago - .01}
myexit
Do not enter if target price is not met on following date. <------ check this box
*********************************************************************************************
SHORT BACKTEST
Entryprice:
Set {mybuy, open - .01}
mybuy
ExitPrice:
Set {myexit, open 1 day ago + .01}
myexit
Do not enter if target price is not met on following date. <------ check this box
This backtecst approach removes a large percentage of erroneous losers due to overnight carry requirement of SF backtesting.
Obviously the remaining losses would not exitst based on the entry/exit rules just no way to more accurately test in SF.
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Kevin_in_GA
4,599 posts
msg #99503
- Ignore Kevin_in_GA |
3/5/2011 1:39:43 PM
THE ISSUE IS NOT HOW MANY SET FUNCTIONS ARE USED, BUT WHETHER OR NOT THEY ARE NESTED. ONE TYPICALLY USES A SET FUNCTION, THEN DOES SOME MATH ON IT IN ANOTHER SET FUNCTION, THEN DIVIDES IT BY YET ANOTHER SET FUNCTION, ETC. BEYOND A CERTAIN COMPLEXITY THE BASIC SUBSCRIPTION ENDS.
OFTER THE ISSUE SHOWS UP WHEN PLOTTING ONE FUNCTION ON ANOTHER GRAPH (AT LEAST FOR ME). THE FUNCTIONS THEMSELVES ARE FINE AND CAN BE ACCESSED USING THE "ADD COLUMN" COMMAND.
SORRY - DID NOT MEAN TO USE ALL CAPS!
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