jimmyjazz
102 posts
msg #114501
- Ignore jimmyjazz |
7/17/2013 6:29:15 AM
Can someone tell me how to offset the date so I might find the best stocks to buy on (say) Tuesday open? Wednesday open? etc.?
I like this filter, but it often limits out Monday morning. If the math can be run for different starting days, I'd consider playing it again later in the week once a given trade is over.
Thanks . . .
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mlarsen
2 posts
msg #114523
- Ignore mlarsen |
7/17/2013 11:12:15 PM
kevin-in-ga i have been doing good with your filter ,is there any way you could write it for shorting stocks
thanks for all you have done for the rest of us
mad monkey
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lwschultz
13 posts
msg #114532
- Ignore lwschultz |
7/18/2013 11:45:29 PM
Is there any way to test for how the market did the same week - For example, if a stock went up during specific weeks and the market went up as well those same weeks, then the filter doesn't really tell you anything.
I'd really like to know which stocks go up or at least are flat during a week when the market goes down. Is there a way to compare performance of stocks against an index(es) for a given week?
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Kevin_in_GA
4,599 posts
msg #114537
- Ignore Kevin_in_GA |
7/19/2013 8:10:53 AM
mlarsen
1 posts
msg #114523
- Ignore mlarsen
7/17/2013 11:12:15 PM
kevin-in-ga i have been doing good with your filter ,is there any way you could write it for shorting stocks
thanks for all you have done for the rest of us
mad monkey
Please see the short filter version posted on page 4 of this thread. You can modify it as you see fit.
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Kevin_in_GA
4,599 posts
msg #114538
- Ignore Kevin_in_GA |
7/19/2013 8:12:23 AM
lwschultz
13 posts
msg #114532
- Ignore lwschultz
7/18/2013 11:45:29 PM
Is there any way to test for how the market did the same week - For example, if a stock went up during specific weeks and the market went up as well those same weeks, then the filter doesn't really tell you anything.
I'd really like to know which stocks go up or at least are flat during a week when the market goes down. Is there a way to compare performance of stocks against an index(es) for a given week?
You could use the comparative relative strength function to determine this.
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jimmyjazz
102 posts
msg #114788
- Ignore jimmyjazz |
8/7/2013 2:37:06 PM
Any help with this question I posted a while back?
=====
Can someone tell me how to offset the date so I might find the best stocks to buy on (say) Tuesday open? Wednesday open? etc.?
I like this filter, but it often limits out Monday morning. If the math can be run for different starting days, I'd consider playing it again later in the week once a given trade is over.
=====
I have been having fantastic success with this filter. 100% hit rate, and I've even exceeded 5% gains some weeks by timing my entry instead of just jumping in at the open on Monday morning. (I am fully aware that this violates the spirit of the filter, and that I could be compromising performance. Carpe Diem, Caveat Emptor, Semper Ubi Sub Ubi, etc.)
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Kevin_in_GA
4,599 posts
msg #114789
- Ignore Kevin_in_GA
modified |
8/7/2013 4:02:54 PM
Jimmyjazz: Hard to do for two reasons:
1. There is no way to set the day of the week in a filter. I have asked SF for this (a function such as dayofweek() which would return a number from 1 to 5 for each trading day) but no response on this to date.
2. What if the weekly high was on Monday? Now it is Tuesday but you are trying to see if the weekly high will be hit ... this would screw up any backtesting.
A variant of this would be to look at each day of the week to see if - for that day - a similar set of stats could be generated. But you would still need to have a dayofweek() function or equivalent, which currently is not an option.
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jimmyjazz
102 posts
msg #114791
- Ignore jimmyjazz |
8/7/2013 6:53:14 PM
I haven't dug through the code logic -- are you using weekly data (i.e. weekly open/close/high/low) or are you using daily data parsed in M-F chunks? If the former, then I agree the filter would be tough to write.
If the latter, then I guess it comes down to the ability to scan historical data in Tue-Mon batches.
Anyway, great filter, and much appreciated. It has made me a nice consistent return over the past couple of months.
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Eman93
4,750 posts
msg #114793
- Ignore Eman93 |
8/8/2013 12:29:13 AM
I just saw this and is very interesting... nice work as always Kevin.
You can only run it like 15 min after the close on Friday and until Monday open, to get true weekly data, any other time you are getting the last 5 trading days of info.
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jimmyjazz
102 posts
msg #115476
- Ignore jimmyjazz |
9/23/2013 8:21:24 AM
Can someone explain the results on this filter from this weekend, where DRYS showed a performance of "0.0" having had a 4-week reward:risk ratio of 4:0 and a 13-week ratio of 11:0? "Reward" was 2.85. Am I not understanding "performance"?
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