| StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER) | << 1 ... 39 40 41 42 43 >>Post Follow-up |
| petersst 7 posts msg #121056 - Ignore petersst |
7/19/2014 4:49:07 PM Ciao Kevin! Is there an updated final filter for SF? The filter in the email trail back to 2011 seems to change with enhancements and when I run it, it does not return any stocks. Thanks in advance for posting the latest and greatest on the filter. Cheers, Scott |
| Caspian101 5 posts msg #121374 - Ignore Caspian101 modified |
8/22/2014 3:30:17 PM This is an excellent filter, thanks. |
| jemarcks 26 posts msg #121489 - Ignore jemarcks |
9/11/2014 3:36:43 PM I have been tinkering with this Zscore system that Kevin published (Thanks Kevin!!) for a week or so using Stratasearch for back testing and wanted to share some results. First I wanted to reproduce Kevin's results and was able to do that. I used the same evaluation period, and same filter as posted on the first page of this thread. Then I added an additional entry filter to limit stocks to those > $1 per share and the MA(20) of its volume * close >= 200000 to find the stock that are liquid enough. This didnt change Kevins results much at all but here they are as the baseline. This is from the variable equity report using monthly Sharpe Ratio. Multiply by 3.46 to get annual. PortSize AvgAnnReturn ZS RRRatio SharpeRatio ZS 1 295.94 % 2.7289 0.2882 2 199.84 % 3.2404 0.3302 3 218.03 % 4.8694 0.3707 4 180.24 % 6.2112 0.3937 5 192.43 % 8.9181 0.4474 6 186.79 % 13.01 0.4959 7 159.63 % 13.1717 0.4986 8 130.22 % 13.4424 0.4945 9 105.56 % 11.5657 0.4922 10 86.32 %8.9019 0.4649 Next I was thinking about the ranking function to select stocks. Kevins system uses ZScore ascending which picks the stocks with the lowest zscore first which seems reasonable. (ZScore(@zdays)) Next I tried Price Rate of Change (proc) to rank the stocks selected and reran the combinations of days from 10 to 30. proc(close,@zdays) The results were better with PROC than ZScore as the ranking function. This seems to make sense because zscore tells us how far from the mean we have dipped and PROC tells us the rate of change of the dip and we have captured more profit from the stocks dipping the hardest. PortSize AvgAnnReturn ZSROC RRRatio SharpeRatio ZSROC 1 111.69 % 1.8519 0.254 2 214.83 % 4.0376 0.3315 3 208.65 % 5.5788 0.3975 4 225.13 % 8.0273 0.4319 5 230.02 % 10.0068 0.4676 6 272.08 % 16.5115 0.5205 7 201.74 % 16.1121 0.5165 8 147.99 % 14.1959 0.5126 9 120.93 % 10.967 0.4948 10 104.78 % 10.392 0.4954 The max drawdown for both systems was about 11.5% Percent in market stayed about 58%. I would be happy to post the detailed performance charts if someone will explain how its done. Thanks and I welcome your feedback on this excellent system. Also, is anyone still trading this system or some variant? Im curious how it has been working. If you found a more profitable system than this one, I would be all ears! |
| tennisplayer2 210 posts msg #121493 - Ignore tennisplayer2 |
9/12/2014 12:12:25 AM How will the filter look like with Price rate of change (PROC) in it? Thanks. |
| jemarcks 26 posts msg #121494 - Ignore jemarcks |
9/12/2014 9:47:40 AM When backtesting, in the selection criteria you would use roc(16,1) ascending. |
| athrasher05 4 posts msg #124580 - Ignore athrasher05 |
8/3/2015 2:45:46 PM Kevin, With the recent changes being made to StockFetcher (i.e. getting rid of backtests) I'd like to start using StrataSearch for backtesting. I really like the system you've developed here with the z-score, etc. but I'm having difficulty coding it over to SS. I know you've posted the link to where you discuss it on the SS forum but still having some issues. Can you let me know the process I need to take to be able to run this z-score bollinger band system at SS? Thanks! |
| Kevin_in_GA 4,599 posts msg #124582 - Ignore Kevin_in_GA |
8/3/2015 4:23:26 PM I posted this at the start of this thread: 6/3/2011 3:09:04 PM Kevin I have been working with Stratasearch for the past week or so after reading one of your post referencing it. Appears to be a powerful program ! I am still in the learning phase. How would you trade your SF code above? Exit ? ++++++++ The Zscore function I had to write as a custom function (not hard, as the SS coding language is not too complex). You can find it here: http://www.stratasearch.com/forum/viewtopic.php?f=3&t=950&p=4243#p4243 The entry code is: Zscore(16) < -2 and close > mov(close,200,simple) and wlr(16) < -94 and close < bbl(close,16,2) Exit code: Zscore(16) > -1 or $daysheld > 20 Kevin |
| amtmail 34 posts msg #124583 - Ignore amtmail |
8/3/2015 5:20:34 PM Thank you Kevin But can you please write the SS code for your PORTFOLIO SELECTION AND MANAGEMENT system ? |
| TikiTim 1 posts msg #124673 - Ignore TikiTim |
8/16/2015 2:56:40 PM Hi Kevin ,, Help wanted for the small potatoes guys ! I have been reading your many threads in the forum. I am new to SF and wondering if you could share your wealth of knowledge. By developing this trade technique? A friend shared that this has a very high win rate. Great for late afternoon purchases or MOC buys. I have worked with SF support for weeks, with no avail! I see parts of the outcome in your Pangolin W results. I have no performance results and this simple chart with the conditions described are nothing compared to the systems/filters you have shared on SF. I don't have a IRA and am small potatoes compared to the equity I see on the forum. So I am asking for your kind support. It would be deeply appreciated. And may help others like me on the forum. Here is the setup I would like to filter, And whatever you think would (indicator wise) add to the taking of such assets ! Thanks Kevin .............. Tried to post a picture of a chart with a completed trade in XLF ,,, Dec 2014 without any luck .. Please email me and i can send it to you ...tgmerk@msn.com ....... Thanks Again ,, The asset must make a 90 day price high and subsequently retrace and make a 10 day price low anytime within the next 20 trading days. The day the asset makes the 10 day price low the stock should ideally close in the top 20 th percentile of the daily trading range. Enter on a buy stop a few cents above the high that was made the day the asset made the 10 day price low and recovered by the end of the day. The stop loss is placed after the entry is confirmed, a few cents below the price low that was made the day the asset traded at the 10 day price low. The profit target is the difference between the entry and the stop loss multiplied twice or three times, depending on market conditions |
| jackmack 334 posts msg #132371 - Ignore jackmack |
11/6/2016 10:23:14 AM Kevin or anyone else have you tried sorting WILLIAMS %R(16) highest to lowest then buying the first two or three the next days close and setting a .5% limit order? Just doing it manually lately and seems decent but I have no means to back test over the longer look back periods. I would just like to know if it changes results any even though this is not how the filter was designed. Thank you |
| StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER) | << 1 ... 39 40 41 42 43 >>Post Follow-up |
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