Kevin_in_GA
4,599 posts
msg #102363
- Ignore Kevin_in_GA |
8/19/2011 7:43:05 AM
jackmack:
In this thread, the only filter I have used is found in the first post. While others have looked at variations, the best performer to date has been the original version. You are likely thinking about the 401k filter thread. I have posted the filter I personally use for this, now slightly modified to add in a rank column (see the recent thread i posted called "ANY THOUGHTS ON WHY THIS ISN'T WORKING?").
FortyFour: Saw your recent posts on the SS - glad to see others using this software, as it is quite powerful. I might suggest that you use the z-score as the primary trading rule, and allow SS to find other indicator combos that could be better. Do not necessarily get locked into what I have done already, because you do not want to overfit the data (and make sure that you use a time window that has both bull and bear periods, and leave several years afterwards for OOS test validation). I liked 12/31/1999 until 12/31/2009 since it covered two recessions and two strong recoveries. It is important for and all-long strategy to maintain a high Sharpe ratio during these times (if possible ...)
Kevin
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ray0817
1 posts
msg #102529
- Ignore ray0817 |
9/2/2011 7:39:38 AM
When I run this "system scan" nothing ever shows up. What am I missing?
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duke56468
683 posts
msg #102530
- Ignore duke56468 |
9/2/2011 8:46:39 AM
Market conditions determine that. Run the scan and offset one month and you will find results.
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Kevin_in_GA
4,599 posts
msg #102531
- Ignore Kevin_in_GA |
9/2/2011 12:23:29 PM
Duke is correct - the last trade was BIIB (BUY on 8/10, when it closed at 85.03, and SOLD 2 days later at 90.98).
Right now no stocks are meeting the requirements, in many cases because of the "close above MA(200)" criterion.
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Kevin_in_GA
4,599 posts
msg #102640
- Ignore Kevin_in_GA |
9/20/2011 9:12:49 PM
Finally a new BUY signal from the Z-score filter.
CF Industry Holdings (CF).
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saico
59 posts
msg #102641
- Ignore saico
modified |
9/21/2011 3:34:10 AM
A big plus of the system is, that it keeps you away from buying into broad market weakness when it gets really bad like in 2008 and during the 2 recent months. Good work Kevin!!!
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knightvictor
7 posts
msg #102652
- Ignore knightvictor |
9/22/2011 7:16:12 AM
Kevin_in_GA
2,000 posts
msg #102640
Kevin_in_GA 9/20/2011 9:12:49 PM
Finally a new BUY signal from the Z-score filter.
CF Industry Holdings (CF).
------------------------------------------------
Hi Kevin,
For some reason my filter doesn't show the CF buy signal - I haven't edited your filter at all so I can't figure out why it is different - was this an intraday signal?
I did see the APOL buy signal with the filter yesterday though.
Thanks Kevin!
-Dan
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duke56468
683 posts
msg #102668
- Ignore duke56468 |
9/22/2011 11:02:29 PM
knightvictor....CF did not show today but did yesterday and the day before. Click on the filter on page 1 and click previous in the offset. It should be there. If it isn't you may want to reload the filter.
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Kevin_in_GA
4,599 posts
msg #102682
- Ignore Kevin_in_GA |
9/23/2011 3:56:22 PM
Looks like both COG and EQT are BUY signals (at 3:55 PM with the usual SF delay). Check later on this once final prices are updated.
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knightvictor
7 posts
msg #102685
- Ignore knightvictor |
9/23/2011 6:30:17 PM
Thanks for the information - I must have accidently changed something small that made it not show up on my saved filter.
-Dan
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