5% A WEEK FILTER (BASED ON TRO'S CROCK POT) - StockFetcher.com Stock Screener

StockFetcher Forums · Filter Exchange · 5% A WEEK FILTER (BASED ON TRO'S CROCK POT)

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Kevin_in_GA 4,599 posts msg #83692 - Ignore Kevin_in_GA	12/1/2009 5:39:50 PM PWER hit it's 5% target today.
Kevin_in_GA 4,599 posts msg #83693 - Ignore Kevin_in_GA	12/1/2009 5:47:30 PM And on a less positive note, ZLC and APWR are both tanking, down 5% or so. Unlikely that they'll run up 10% between now and Friday.
Radiomuse 288 posts msg #83788 - Ignore Radiomuse modified	12/3/2009 1:07:33 PM Kevin, I really like this idea, just wondering about you came up with the 5% target and 10% risk thresholds? Also, the weighting scheme seems really heavy on the performance over the last 4 weeks, hardly affected at all by the 13 week. I was messing around a bit - using 45% weight on the last 4 weeks, and 55% on weeks 5 thru 13 (not all of the last 13 weeks). I'm having 2 "issues"... - I can't figure out how the backtester works (especially how to get it to only select the top 5 stocks based on a particular variable) - not a big deal, but I can't get the "sort by column 6 (or whatever) descending" to work Fetcher[/MEASURE THE DIFFERENCE FROM WEEKLY OPEN TO WEEKLY HIGH/ set{whiop, weekly high - weekly open} set{Long_Profit, whiop / weekly open } /DETERMINE THE FREQUENCY THAT 5% IS ACHIEVED OVER MULTIPLE TIME FRAMES/ set{5_1wk, count(Long_Profit > .05,1)} set{5_4wk, count(Long_Profit > .05,4)} set{5_13wk, count(Long_Profit > .05,13)} set{5_nextnine,5_13wk-5_4wk} /APPLY WEIGHTING FACTORS/ set{var1,5_4wk0.45} /WEIGHT 4 WK AVERAGE AT 45%/ set{var2,5_nextnine0.55} /WEIGHT 13 WK AVERAGE AT 55%/ /CREATE A WEIGHTED SUMMATION OF STOCK PERFORMANCE (MAX SCORE = 3)/ set{reward,var1+var2} /DETERMINE THE RISK OF TRIPPING A 10% STOP LOSS/ set{wloss, weekly open - weekly low} set{max_loss, wloss / weekly open} /DETERMINE THE FREQUENCY THAT A 10% STOP LOSS IS TRIPPED OVER MULTIPLE TIME FRAMES/ set{loss_1wk, count(max_loss > .10,1)} set{loss_4wk, count(max_loss > .10,4)} set{loss_13wk, count(max_loss > .10,13)} set{loss_nextnine,loss_13wk-loss_4wk} /APPLY WEIGHTING FACTORS/ set{var11,loss_4wk0.45} /WEIGHT 4 WK AVERAGE AT 45%/ set{var21,loss_nextnine0.55} /WEIGHT 13 WK AVERAGE AT 55%/ /CREATE A WEIGHTED SUMMATION OF RISK (MAX SCORE = 3)/ set{risk,var11+var21} set{performance,reward/risk} add column performance add column reward {reward} add column risk {risk} add column 5_4wk {4 wk reward} add column 5_13wk {13 wk reward} add column 5_nextnine {wk 5 to 13 reward} add column var1 add column var2 add column loss_4wk {4 wk risk} add column loss_13wk {13 wk risk} add column loss_nextnine {wk 5 to 13 risk} add column var11 add column var21 /SCREEN FOR THE STRONGEST CANDIDATES/ weekly open is above 5 average volume(90) above 500000 and reward is greater than 5.0 and risk is less than 2.5 sort by column 6 descending and draw 5_1wk and draw loss_1wk on plot 5_1wk and do not draw reward chart-display is weekly /* Global Filter Text / / Global Filter Text */]
Kevin_in_GA 4,599 posts msg #83790 - Ignore Kevin_in_GA	12/3/2009 2:04:05 PM Sort by column 6 descending seems to be working when I run the filter. I manually backtested this - choose the results for a specific Friday, and those stocks are used to determine performance for the following week. It basically mimics the idea of only running the scan on the weekend. Then you need to see how each of the top stocks performed in that following week. If they hit the 5% target, if they hit a 10% stop loss, or just flatlined. I picked a 10% stop loss somewhat arbitrarily, but based it on how the top stocks crashed and burned over the past 52 weeks. At 10%, you had a lower drawdown in total over the 1 yr period than 5% or no stop loss. In practice, you need at least two 5% winners to offset one 10% stop out, which is hard in anything but a strongly up trending environment. I did heavily bias the most recent 4 week performance, but it was because I felt that this had a momentum component to it that should be incorporated. High past volatility should not be weighted as highly as current preformance. All of the filters I write and post are done with the full expectation that they will be modified and improved. please fell free to adapt to yourspecific needs, and share your results as you see fit. Kevin P.S. having gone through the forums quite a bit before starting to post anything, I'm glad to see that you are back at SF. I look forward to more interaction and discussion with you.
Radiomuse 288 posts msg #83791 - Ignore Radiomuse	12/3/2009 2:42:18 PM Thanks Kev - I definitely hear what you're saying about placing more bias on the most recent 4 weeks performance. I'm going to experiment with some weights in Excel, in particular, I want stocks that have hit the 5% threshold in 3 of the last 4 weeks to pass if their record over the previous 9 weeks is really good. Might even use something different than the 4 and 13 week time periods (thinking 5 and 15). I'll let you know what I come up with.
Kevin_in_GA 4,599 posts msg #83792 - Ignore Kevin_in_GA modified	12/3/2009 3:10:59 PM I will say that, over the last 4-6 weeks, this approach has not been stellar. The current choppiness and sideways movement has robbed a lot of previous winners of their momentum (e.g., GNW, FUQI, CNO, MED). These guys rocked the house until late September, and have struggled with chop and profit taking since. This week the top 3 will have only one winner, leading to a net loss if you tried to spread your risk at all. There is also a 5% short filter on this thread as well, in case you have any interest in looking at that as well.
mazotrade1 5 posts msg #83845 - Ignore mazotrade1	12/4/2009 2:39:56 PM I have looked at systems of this nature. My overall impression is that they show you past momentum and current highs, with low probability of similar future performance. If you trade the top picks from the list, they have a high probability of being at their highs, and will reverse and cost you $. Beware.
Kevin_in_GA 4,599 posts msg #83858 - Ignore Kevin_in_GA	12/4/2009 4:11:38 PM Did you look at the backtesting I posted on the first page? While I don't disagree with your opinion, I prefer to rely on results. How well will this particular filter do in the coming months? I'm not sure. But I think that it has shown over the past 52 weeks to produce a very decent return, even during periods of extreme volatility in the markets.
Radiomuse 288 posts msg #83863 - Ignore Radiomuse	12/4/2009 5:36:07 PM Sure these stocks can reverse at some point - but I like the idea of trying to jump on a well-established trend better than trying to pick a reversal. But it is a good point - any other variable we can add to avoid buying at extreme highs or lows? Maybe outside of a big upper or lower BB?
Kevin_in_GA 4,599 posts msg #83926 - Ignore Kevin_in_GA	12/6/2009 10:56:23 PM A slightly modified version - here I have only looked back 8 weeks instead of 13. The goal here is to look at just the last two months of performance, and not allow older data to drive the stock selection process Fetcher[ /MEASURE THE DIFFERENCE FROM WEEKLY OPEN TO WEEKLY HIGH/ set{whiop, weekly high - weekly open} set{Long_Profit, whiop / weekly open } /DETERMINE THE FREQUENCY THAT 5% IS ACHIEVED OVER MULTIPLE TIME FRAMES/ set{5_1wk, count(Long_Profit > .05,1)} set{5_4wk, count(Long_Profit > .05,4)} set{5_8wk, count(Long_Profit > .05,8)} /APPLY WEIGHTING FACTORS/ set{var1,5_4wk0.5} /WEIGHT 4 WK AVERAGE AT 2X/ set{var2,5_8wk0.125} /WEIGHT 8 WK AVERAGE AT 1X/ /CREATE A WEIGHTED SUMMATION OF STOCK PERFORMANCE (MAX SCORE = 3)/ set{reward,var1+var2} /DETERMINE THE RISK OF TRIPPING A 10% STOP LOSS/ set{wloss, weekly open - weekly low} set{max_loss, wloss / weekly open} /DETERMINE THE FREQUENCY THAT A 10% STOP LOSS IS TRIPPED OVER MULTIPLE TIME FRAMES/ set{loss_1wk, count(max_loss > .10,1)} set{loss_4wk, count(max_loss > .10,4)} set{loss_8wk, count(max_loss > .10,8)} /APPLY WEIGHTING FACTORS/ set{var11,loss_4wk0.5} /WEIGHT 4 WK AVERAGE AT 2X/ set{var21,loss_8wk0.125} /WEIGHT 8 WK AVERAGE AT 1X/ /CREATE A WEIGHTED SUMMATION OF RISK (MAX SCORE = 3)/ set{risk,var11+var21} set{performance,reward/risk} add column performance add column reward {reward} add column risk {risk} add column 5_4wk {4 wk reward} add column loss_4wk {4 wk risk} add column 5_8wk {8 wk reward} add column loss_8wk {8 wk risk} /SCREEN FOR THE STRONGEST CANDIDATES/ weekly open is above 1 average volume(90) above 500000 and reward is greater than 2.8 and draw 5_1wk and draw loss_1wk on plot 5_1wk and do not draw reward sort column 6 descending chart-display is weekly ] This yields only three stocks for the coming week: PWER, YMI, and NANO. Good luck.

StockFetcher Forums · Filter Exchange · 5% A WEEK FILTER (BASED ON TRO'S CROCK POT)

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