HOW TO DESIGN A SYSTEM (NOT JUST A FILTER) - StockFetcher.com Stock Screener

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duncanhoo 14 posts msg #101772 - Ignore duncanhoo	7/22/2011 1:27:16 PM kevin you still in paper or gone live yet on this? Thanks for hte referral to stratasearch. having lots of fun with it.
Kevin_in_GA 4,599 posts msg #101777 - Ignore Kevin_in_GA	7/22/2011 9:46:48 PM 7/22 EOD signals: BUYS: BCR and APD SELLS: None
Kevin_in_GA 4,599 posts msg #101778 - Ignore Kevin_in_GA	7/22/2011 10:07:56 PM I am trading this "system" now after some basic fundamental research on the stocks that turn up. Thanks for posting this Kevin. I have some questions/ comments.... For backtesting in SF I am using CLOSE above Upper BOLLINGER BAND(16,2) as the exit. Works ok, but using the second filter for the actual exit signals. +++++++++++++++++++++++++++++++++++ I'll backtest this further, but when I ran this exit strategy against the same stocks/time period as was used for the original filter desing, it fared MUCH worse - equity gain was only about 40% of the Zscore exit gains, days in trade extended to 14 from 5 for the original filter, and the overall monthly Sharpe ratio dropped from 0.49 to less than 0.25. Here's a quick comparative backtest using SF over the last four months (maximum trades in play here is only 5 at any time): Exit - close above upper Bollinger Band(16,2): Test started on 03/22/2011 ended on 07/22/2011, covering 85 days Trade Statistics There were 27 total stocks entered. Of those, 27 or 100.00% were complete and or 0.00% were open. Of the 27 completed trades, 17 trades or 62.96% resulted in a net gain. Your average net change for completed trades was: 1.80%. The average draw down of your approach was: -3.33%. The average max profit of your approach was: 5.85% The Reward/Risk ratio for this approach is: 2.04 Annualized Return on Investment (ROI): 34.42%, the ROI of ^SPX was: 10.60%. Equity summary (which does not take commissions into effect): Total (Cash + Market): $110,133.70 Exit - zscore16 above -1 There were 62 total stocks entered. Of those, 62 or 100.00% were complete and or 0.00% were open. Of the 62 completed trades, 41 trades or 66.13% resulted in a net gain. Your average net change for completed trades was: 1.35%. The average draw down of your approach was: -2.55%. The average max profit of your approach was: 2.87% The Reward/Risk ratio for this approach is: 3.30 Annualized Return on Investment (ROI): 69.40%, the ROI of ^SPX was: 10.60%. Equity summary: Total (Cash + Market): $117,972.21 ____________________________________________________ How could you limit this system so that it does not trade during a bear period (e.g. SPY is below 200 day MA or slope of SPY is negative). It seems that most of the bad trades are during bear periods. It seems like this would help but not sure until backtested. +++++++++++++++++++++++++++++++++++ I tried this and in all cases the overall performance took a hit - that's why I use the "close above MA(200)" on the individual stocks instead. ____________________________________________________ Also, I is this the right change to use this on the NASDAQ 100 stocks? still trying to figure out how to do the exit without creating multiple watchlists. +++++++++++++++++++++++ Your code is correct, but the specific settings are for S&P500 stocks, not the NASDAQ. You would want to optimize this approach specifically for those stocks, then verify using Monte Carlo and out-of-sample testing.
duke56468 683 posts msg #101783 - Ignore duke56468	7/23/2011 9:51:54 AM Kevin.... are you still using the original filter? I get different results using 20 days and and max 10 positions and zscore above -1 exit. Test started on 03/22/2011 ended on 07/22/2011, covering 85 days There were 97 total stocks entered. Of those, 93 or 95.88% were complete and 4 or 4.12% were open. Of the 93 completed trades, 57 trades or 61.29%resulted in a net gain. Your average net change for completed trades was: 0.80%. The average draw down of your approach was: -2.84%. The average max profit of your approach was: 2.55% The Reward/Risk ratio for this approach is: 2.05 Annualized Return on Investment (ROI): 38.13%, the ROI of ^SPX was: 10.60%. Total (Cash + Market): $107755.72
Kevin_in_GA 4,599 posts msg #101785 - Ignore Kevin_in_GA modified	7/23/2011 12:48:21 PM Duke - note in my post that I said max 5 open positions. Also in a previous post I had looked at the impact of maximum days held - no difference between 15 and 20 days. So while it will not change the numbers, I am now using 15 days as a maximmum hold period for these trades.
duke56468 683 posts msg #101792 - Ignore duke56468 modified	7/24/2011 3:10:16 PM Kevin ......thanks for the response. Great filter and method. 06-27-11 LUK 311 long 32.11 32.60 1.53% 100,146.17 06-27-11 XOM 130 long 76.94 78.45 1.96% 100,339.87 06-27-11 BA 140 long 71.36 71.80 0.62% 100,398.67 06-27-11 BHI 149 long 67.66 68.45 1.17% 100,513.40 06-28-11 STJ 2 long 46.53 46.72 0.41% 100,513.74 06-28-11 RAI 272 long 36.89 37.12 0.62% 100,570.86 06-28-11 MO 382 long 26.03 26.34 1.19% 100,681.64 06-29-11 SJM 134 long 75.94 76.25 0.41% 100,720.50 07-11-11 WLP 132 long 75.51 75.76 0.33% 100,750.86 07-12-11 GME 402 long 24.87 24.73 -0.56% 100,686.54 07-15-11 COF 208 long 48.36 48.74 0.79% 100,761.42 07-15-11 DF 870 long 11.49 11.45 -0.35% 100,709.22 07-18-11 HRB 660 long 15.08 15.17 0.60% 100,755.42 07-18-11 CCE 363 long 27.59 27.85 0.94% 100,842.54 07-18-11 LSI 1550 long 6.47 6.54 1.08% 100,920.04 07-18-11 T 335 long 29.87 30.03 0.54% 100,966.94 07-18-11 LLL 125 long 80.43 80.82 0.48% 101,013.19 07-18-11 ORLY 160 long 62.31 62.28 -0.05% 101,005.19 07-18-11 DF 885 long 11.31 11.24 -0.62% 100,925.54 07-22-11 ALTR 246 long 40.65 42.08 3.52% 101,272.40 Total (realized) gain to-date: 1.27% 1,272.40 Total unrealized gains (open positions): 0.87% Total gain to-date: 0.40%
mahkoh 1,065 posts msg #101799 - Ignore mahkoh	7/25/2011 6:10:18 PM Duke, these are promising results but I do have a couple of loose ends here: Am I right to assume that these were all daytrades? If yes did the filter pick them intraday and if yes do you run the filter at or until a certain time or all day long? I noticed you only went long GME on July 12 while the filter generated it also on July 13 and 14. As you did go long twice on DF did you have a reason not to do this with GME or was it just not generated intraday?
Kevin_in_GA 4,599 posts msg #101802 - Ignore Kevin_in_GA	7/25/2011 7:56:39 PM BUY signals today: VZ and DVA SELL Signals: PLL (in at 53.30 out at tomorrow's open) GME (in at 24.83, out at tomorrow's open)
duke56468 683 posts msg #101805 - Ignore duke56468	7/25/2011 10:19:27 PM @mahkoh.....I'm not real consistent with the trade timing and running the filter, but if I'm around the computer I will try to run the filter 2 or three times a day. If I'm late and the stock has already started to climb too much, I don't take the trade. If it was an intraday find by the filter I mostly try to treat it as a daytrade and try to place stops as soon as it goes above break even. If it keeps dropping I assume it will be an end of day pick (but not always) and try to check it just before close. I did go long GME again on the 13th and just sold it today for a -4.95% loss (worst so far). I have been trying to exit losers in 5-10 days since there are no stop loss settings that work well for this filter. Hope this helps.
mahkoh 1,065 posts msg #101824 - Ignore mahkoh modified	7/26/2011 6:21:39 PM Thanks for the explanation Duke I have downloaded 5 returns during the day and pasted them below with their z-score 11:00 WAT -3.47 MMM -3.05 NFLX -2.96 ZMH -2.71 BDX -2.67 LTD -2.65 UTX -2.45 SNA -2.44 LO -2.36 GWW -2.35 DHR -2.33 DGX -2.19 12:00 BDX -2.84 LTD -2.7 LO -2.56 GWW -2.56 SNA -2.43 DHR -2.33 CAH -2.29 13:30 MMM -3.15 BDX -2.85 GWW -2.6 SNA -2.48 LO -2.44 DHR -2.42 CAH -2.23 15:00 BDX -2.81 GWW -2.65 SNA -2.5 DHR -2.33 CAH -2.31 16:30 VAR -2.82 BDX -2.75 GWW -2.62 CFN -2.6 SNA -2.47 PPG -2.43 CAH -2.31 DHR -2.29 DVA -2.12 COP -2 Funny to analyze and see e.g. that MMM made a move above the 200 SMA in the third scan and since dropped below. I am currently using 2 filters, the original and the one without S&P and 200 SMA requirements. I do draw the 200 SMA though, as I go through the results visually I can see whether it trades above or below and decide whether I believe there to be sufficient support to justify a trade. For that last purpose I also draw a 50 and 20 SMA and get particularly interested when there is combined support just below. For tomorrow VAR and COP look tempting: for both 50 SMA, monthly pivot point and weekly S2 are all in the 68.50 and 73.50 area resp, outside the S&P WERN and MYGN have the 200 SMA and monthly S1 as combined support at 24.00 and 21.50 resp.

StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)

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