StockFetcher Forums · General Discussion · XIV<< 1 ... 13 14 15 16 17 ... 22 >>Post Follow-up
davesaint86
726 posts
msg #141779
- Ignore davesaint86		 2/2/2018 3:43:50 PM
Cheese
1,374 posts
msg #141787
- Ignore Cheese		 2/2/2018 5:16:33 PM

per Eli Mintz,
$VIX is in backwardation today Feb 2, 2018
($VIX futures contango is negative and settles at -4.16%)
There is a tail wind for $VXX and $UVXY holders
The long term $VIX futures are the best guess of the market at what average volatility will be like going forward.
Market believes that going forward, $VIX will be lower than current spot $VIX of 17.31




Mactheriverrat
3,173 posts
msg #141801
- Ignore Mactheriverrat
modified		 2/3/2018 10:41:59 AM



Submit
Fetcher[ apply to symlist(xiv)

draw ema(9)
draw ema(10)
draw ema(11)
draw ema(12)
draw ema(13)
draw ema(14)
draw ema(15)
draw ema(16)


draw ema(25)
draw ema(30)
draw ema(35)
draw ema(40)
draw ema(45)
draw ema(50)
add column Average Day Range(30)

Set{cntcmadma1abovecmadma8,count( cma(DMA(8,-5),1) > cma(DMA(8,-5),8) ,1)}
draw cntcmadma1abovecmadma8

Set{cntcmadma1abovecmadma8b,count( cma(DMA(8,-5),1)< cma(DMA(8,-5),8) ,1)}

draw cntcmadma1abovecmadma8b

/* AxA is number of consecutive days cma(DMA(8,-5),1) above (+)/below(-) previous cma(DMA(8,-5),8) */
set{AAb,days( cma(DMA(8,-5),1) is above cma(DMA(8,-5),8) ,250)}
set{AAa,days( cma(DMA(8,-5),1) is below cma(DMA(8,-5),8) ,250)}
set{dmax8, AAa - AAb} and add column dmax8 {dma_x_1over8}
do not Draw AxA


Set{cntcmadma8abovecmadma8,count( cma(DMA(8,-5),8) > cma(DMA(8,-5),8) 1day ago,1)}
draw cntcmadma8abovecmadma8

Set{cntcmadma8abovecmadma8b,count( cma(DMA(8,-5),8)< cma(DMA(8,-5),8) 1day ago,1)}

draw cntcmadma8abovecmadma8b

do not draw dma(8,-5),8)


set{E3,dma(8,-5),8)-cma(DMA(8,-5),8) }
set{Fastdma8Longposition, count(E3 > 0,1)}
set{Fastdma8Shortposition, count(E3 < 0,1)}
SET{TRIGGER,0}
draw Fastdma8Longposition on plot
draw Fastdma8Shortposition on plot
draw cma(DMA(8,-5),1)
draw cma(DMA(8,-5),8)



/* 2040 is number of consecutive days EMA(20) above (+)/below(-) previous EMA(40) */
set{2040b,days( ema(20) is above ema(40) ,250)}
set{2040a,days( ema(20) is below ema(40) ,250)}
set{20x40, 2040a - 2040b} and add column 20x40 {20_x_40}



Set{cntema2040,count( eMA(20) > eMA(40) ,1)}
draw cntema2040

Set{cntema2040b,count( eMA(20)< EMA(40) ,1)}

draw cntema2040b




]



To me this code could be applied to any filter from 13th_floor's deadly combo to TRO's Run Forrest Run to just a filter of S&P 500 stocks as a trigger. Using cma(DMA(8,-5),1) above (+)/below(-) previous cma(DMA(8,-5),8) as the trigger.
Just throwing this out there for people to study if they want.
davesaint86
726 posts
msg #141806
- Ignore davesaint86		 2/3/2018 12:07:20 PM

Mac - do you think this downward move is about over?
Mactheriverrat
3,173 posts
msg #141809
- Ignore Mactheriverrat		 2/3/2018 12:54:12 PM

Well until cma(DMA(8,-5),1) cross above cma(DMA(8,-5),8) its still in a downward movement-
Unless someone has a Holy Grail indicator

IMHO!
davesaint86
726 posts
msg #141810
- Ignore davesaint86		 2/3/2018 1:03:58 PM

Good answer! I should have asked based on analyzing previous down moves do you think we are close to a bottom in this downtrend?
pthomas215
1,251 posts
msg #141811
- Ignore pthomas215		 2/3/2018 1:08:58 PM

and that cross could be the 97 support level. believe it or not. already lost 21% of it's value in a couple weeks.

Mactheriverrat
3,173 posts
msg #141812
- Ignore Mactheriverrat		 2/3/2018 2:22:37 PM
davesaint86
726 posts
msg #141814
- Ignore davesaint86		 2/3/2018 7:16:01 PM

I modified one of Kevin's Sharpe Allocation filters and embedded the code into my DMA8 filter. I do not know if it buys me anything. My goal is to find something that can get you in and out of a position faster when a trend changes abruptly. You can add whatever Bull/Inverse pair that you like to it (UGAZ/DGAZ, LABU/LABD, ZIV/VXZ, TMF/TMV, etc). I'm just playing around since I couldn't go skiing today.

Fetcher[
SYMLIST(xiv,vxx,shy)

SET{perf1A, ma(3) 6 days ago}
SET{perf1b, MA(3) / perf1a}
SET{perf, perf1b - 1}
SET{var1, perf*100}
SET{rfr, ind(^irx,close)}
SET{RISKFREERETURN, rfr/100}
SET{perf6, perf - RISKFREERETURN}
SET{STD6, CSTDDEV(CLOSE,6)}
SET{VOL6a, STD6 / MA(6)}
SET{vol6, vol6a * 100}

/*CALCULATION OF SHARPE RATIO - ANNUALIZED*/
SET{SHARPE1a, perf6 / VOL6a}
set{sharpe, sharpe1a * 0.5}

set{var1a, IND(xiv, var1)}
set{var1b, IND(vxx, var1)}
set{var1c, IND(shy, var1)}


SET{RANK1A, COUNT(var1 is above var1a,1)}
SET{RANK1B, COUNT(var1 is above var1b,1)}
SET{RANK1C, COUNT(var1 is above var1c,1)}


SET{RANK1D, RANK1A + RANK1B}
SET{RANK1E, RANK1C + RANK1D}

SET{RANK, 3 - RANK1E}


set{var2a, IND(xiv, sharpe)}
set{var2b, IND(vxx, sharpe)}
set{var2c, IND(shy, sharpe)}


SET{var3a, COUNT(var2a is above 0,1)}
SET{var3b, COUNT(var2b is above 0,1)}
SET{var3c, COUNT(var2c is above 0,1)}


SET{var4a, var2A * var3a}
SET{var4b, var2b * var3b}
SET{var4c, var2c * var3c}


set{var5a, var4a + var4b}
set{var5b, var4c}
set{var5c, var5a + var5b}


SET{allocation1, sharpe / var5c}



set{allocation2, allocation1 * count(sharpe above 0,1)}
set{allocation, allocation2 *100}

draw ema(25)
draw ema(30)
draw ema(35)
draw ema(40)
draw ema(45)
draw ema(50)
and draw Slow Stochastic(14,3) Fast %K line at 20.00 and draw Slow Stochastic(14,3) Fast %K line at 80.00
and draw Slow Stochastic(14,3) Fast %K line at 50.00
and draw Slow Stochastic(5,1) Fast %K line at 20.00 and draw Slow Stochastic(5,1) Fast %K line at 80.00 and draw Slow Stochastic(5,1) Fast %K line at 50.00
draw macd(8,17,5)
set{E4, TSI(5,5,9) - Smoothed TSI(5,5,9)}
set{TDLongposition, count(E4 > 0,1)}
set{TDShortposition, count(E4 < 0,1)}
SET{TDTRIGGER,0}

/* AxA is number of consecutive days cma(DMA(8,-5),8) above (+)/below(-) previous cma(DMA(8,-5),8) */
set{AAb,days( cma(DMA(8,-5),8) is above cma(DMA(8,-5),8) 1 day ago,250)}
set{AAa,days( cma(DMA(8,-5),8) is below cma(DMA(8,-5),8) 1 day ago,250)}
set{dmax8, AAa - AAb}
and add column dmax8 {dma_x_8}
do not Draw AxA
Set{cntcmadma8abovecmadma8,count( cma(DMA(8,-5),8) > cma(DMA(8,-5),8) 1day ago,1)}
draw cntcmadma8abovecmadma8
Set{cntcmadma8abovecmadma8b,count( cma(DMA(8,-5),8)< cma(DMA(8,-5),8) 1day ago,1)}
draw cntcmadma8abovecmadma8b
draw cntema13aboveema13b
set{E3,dma(8,-5),8)-cma(DMA(8,-5),8) }
set{Longposition, count(E3 > 0,1)}
set{Shortposition, count(E3 < 0,1)}
draw Longposition on plot
draw Shortposition on plot
draw dma(8,-5),8)
draw cma(DMA(8,-5),8)

set{E9, close above ma(18)}
set{DLongposition, count(E9 > 0,1)}
set{DShortposition, count(E9 < 0,1)}
SET{DTRIGGER,0}

set{CRS1, rsi(4),1)}
set{CRS2, rsi(9),1)}
set{CRS3, rsi(30),1)}
set{CCRS1, CRS1 + CRS2}
set{CCRS2, CCRS1 + CRS3}
set{CCRS3, CCRS2 /3}


set{CRS4, weekly rsi(4),1)}
set{CRS5, weekly rsi(9),1)}
set{CRS6, weekly rsi(30),1)}

set{WCRS1, CRS4 + CRS5}
set{WCRS2, WCRS1 + CRS6}
set{WCRS3, WCRS2 /3}
set{CWRSI1, CCRS3 + WCRS3}
set{C-RSI, CWRSI1 /2}
set{RSI30, RSI(30) - 50}
set{CRSI_Bar, RSI30}
draw CRSI_Bar
PlotType{CRSI_Bar,zerobar}
set{RSI9, RSI(9) - 50}
set{RSI9_line, RSI9}
draw RSI9 on plot CRSI_Bar
set{RSI4, RSI(4) - 50}
set{RSI4_line, RSI4}
draw RSI4 on plot CRSI_Bar
set{drsilong1, count(rsi(30) above 5, 1)}
set{drsilong2, count(rsi(4) above rsi(30), 1)}
set{drsilong3, count(rsi(9) above rsi(30), 1)}
set{drsilong4, drsilong1 + drsilong2}
set{drsilong5, drsilong4 + drsilong3}
set{drsilong, count(drsilong5 equals 3, 1)}
set{drsishort, count(drsilong5 less than 3, 1)}
SET{DRSITRIGGER,0}
draw drsilong on plot
draw drsishort on plot

set{wrsi1, weekly rsi(4)}
set{wrsi2, weekly rsi(30)}
set{wrsi3, count(wrsi1 > wrsi2,1)}
set{wrsilong, count(wrsi3 equals 1, 1)}
set{wrsishort, count(wrsi3 less than 1, 1)}

set{CRS21, ROC(21,1)}
set{CRS63, ROC(63,1)}
set{CRS126, ROC(126,1)}
set{CR1, CRS21 + CRS63}
set{C-RS, CR1 + CRS126}

set{wsto, weekly Slow Stochastics(14,3)}
set{dsto, Slow Stochastics(14,3)}
set{wdsto, wsto + dsto}
set{CSTO, wdsto / 2}

set{TWRSI4, weekly RSI(4)}
set{TWRSI9, weekly RSI(9)}
set{TWRSI30, weekly RSI(30)}
set{TWRSI1, TWRSI4 + TWRSI9}
set{TWRSI2, TWRSI1 + TWRSI30}
set{A-WRSI, TWRSI2 / 3}

set{TDRSI4, RSI(4)}
set{TDRSI9, RSI(9)}
set{TDRSI30, RSI(30)}
set{TDRSI1, TDRSI4 + TDRSI9}
set{TDRSI2, TDRSI1 + TDRSI30}
set{A-DRSI, TDRSI2 / 3}
set{E10, close above Upper Bollinger Bands(18,2)}
set{BBLongposition, count(E10 > 0,1)}
set{BBShortposition, count(E10 < 0,1)}
SET{BBTRIGGER,0}

ADD COLUMN SEPARATOR
add column BBLongposition{BBSell}
ADD COLUMN SEPARATOR
ADD COLUMN RANK {Rank}
ADD COLUMN SEPARATOR
add column Sharpe Ratio(6) {Sharpe}
add column separator
add column allocation {Alloc %}
add column separator
add column Longposition {DMA8}
add column separator
add column drsilong {drsi}
add column separator
add column TDLongposition {DTSI}
add column separator
add column wrsilong {WRSI}
add column separator
ADD COLUMN ROC(126,1) {6 mth %}
add column separator
ADD COLUMN ROC(63,1) {3 mth %}
add column separator
ADD COLUMN ROC(21,1) {1 mth %}
add column separator
add column C-RS
add column separator
add column Upper Bollinger Bands(18.2) {Up-BB}
add column separator
add column lower Bollinger Bands(18.2) {Low-BB}
ADD COLUMN SEPARATOR
add column weekly Slow Stochastics(14,3){wSto}
ADD COLUMN SEPARATOR
add column Slow Stochastics(14,3){dSto}
ADD COLUMN SEPARATOR
add column csto
ADD COLUMN SEPARATOR
add column A-WRSI
ADD COLUMN SEPARATOR
add column A-DRSI
ADD COLUMN SEPARATOR
add column c-rsi
ADD COLUMN SEPARATOR
add column IFT(4,1) {dift}
add column separator
add column weekly IFT(4,1) {wift}
add column separator

add column rsi(4){drsi4}
add column separator
add column rsi(9){drsi9}
add column separator
add column rsi(30){drsi30}
add column separator
add column RSI(2)
add column separator
add column atr(21) {Atr}
add column separator
add column average day range (21){ADR%}

SORT COLUMN 9 ASCENDING
chart-time is 75 days
]
davesaint86
726 posts
msg #141815
- Ignore davesaint86		 2/3/2018 7:20:02 PM

Hedge 4-ETF Version

Fetcher[
apply to symlist(eev,ugld,vxx,tmf)
SET{perf1A, ma(3) 6 days ago}
SET{perf1b, MA(3) / perf1a}
SET{perf, perf1b - 1}
SET{var1, perf*100}
SET{rfr, ind(^irx,close)}
SET{RISKFREERETURN, rfr/100}
SET{perf6, perf - RISKFREERETURN}
SET{STD6, CSTDDEV(CLOSE,6)}
SET{VOL6a, STD6 / MA(6)}
SET{vol6, vol6a * 100}

/*CALCULATION OF SHARPE RATIO - ANNUALIZED*/
SET{SHARPE1a, perf6 / VOL6a}
set{sharpe, sharpe1a * 0.5}

set{var1a, IND(eev, var1)}
set{var1b, IND(ugld, var1)}
set{var1c, IND(vxx, var1)}
set{var1d, IND(tmf, var1)}

SET{RANK1A, COUNT(var1 is above var1a,1)}
SET{RANK1B, COUNT(var1 is above var1b,1)}
SET{RANK1C, COUNT(var1 is above var1c,1)}
SET{RANK1D, COUNT(var1 is above var1d,1)}
SET{RANK1E, RANK1A + RANK1B}
SET{RANK1F, RANK1C + RANK1D}
SET{RANK1G, RANK1E + RANK1F}
SET{RANK, 4 - RANK1G}

set{var2a, IND(eev, sharpe)}
set{var2b, IND(ugld, sharpe)}
set{var2c, IND(vxx, sharpe)}
set{var2d, IND(tmf, sharpe)}

SET{var3a, COUNT(var2a is above 0,1)}
SET{var3b, COUNT(var2b is above 0,1)}
SET{var3c, COUNT(var2c is above 0,1)}
SET{var3d, COUNT(var2d is above 0,1)}

SET{var4a, var2A * var3a}
SET{var4b, var2b * var3b}
SET{var4c, var2c * var3c}
SET{var4d, var2d * var3d}

set{var5a, var4a + var4b}
set{var5b, var4c + var4d}
set{var5c, var5a + var5b}

SET{allocation1, sharpe / var5c}
set{allocation2, allocation1 * count(sharpe above 0,1)}
set{allocation, allocation2 *100}

draw ema(25)
draw ema(30)
draw ema(35)
draw ema(40)
draw ema(45)
draw ema(50)
and draw Slow Stochastic(14,3) Fast %K line at 20.00 and draw Slow Stochastic(14,3) Fast %K line at 80.00
and draw Slow Stochastic(14,3) Fast %K line at 50.00
and draw Slow Stochastic(5,1) Fast %K line at 20.00 and draw Slow Stochastic(5,1) Fast %K line at 80.00 and draw Slow Stochastic(5,1) Fast %K line at 50.00
draw macd(8,17,5)
set{E4, TSI(5,5,9) - Smoothed TSI(5,5,9)}
set{TDLongposition, count(E4 > 0,1)}
set{TDShortposition, count(E4 < 0,1)}
SET{TDTRIGGER,0}

/* AxA is number of consecutive days cma(DMA(8,-5),8) above (+)/below(-) previous cma(DMA(8,-5),8) */
set{AAb,days( cma(DMA(8,-5),8) is above cma(DMA(8,-5),8) 1 day ago,250)}
set{AAa,days( cma(DMA(8,-5),8) is below cma(DMA(8,-5),8) 1 day ago,250)}
set{dmax8, AAa - AAb}
and add column dmax8 {dma_x_8}
do not Draw AxA
Set{cntcmadma8abovecmadma8,count( cma(DMA(8,-5),8) > cma(DMA(8,-5),8) 1day ago,1)}
draw cntcmadma8abovecmadma8
Set{cntcmadma8abovecmadma8b,count( cma(DMA(8,-5),8)< cma(DMA(8,-5),8) 1day ago,1)}
draw cntcmadma8abovecmadma8b
draw cntema13aboveema13b
set{E3,dma(8,-5),8)-cma(DMA(8,-5),8) }
set{Longposition, count(E3 > 0,1)}
set{Shortposition, count(E3 < 0,1)}
draw Longposition on plot
draw Shortposition on plot
draw dma(8,-5),8)
draw cma(DMA(8,-5),8)

set{E9, close above ma(18)}
set{DLongposition, count(E9 > 0,1)}
set{DShortposition, count(E9 < 0,1)}
SET{DTRIGGER,0}

set{CRS1, rsi(4),1)}
set{CRS2, rsi(9),1)}
set{CRS3, rsi(30),1)}
set{CCRS1, CRS1 + CRS2}
set{CCRS2, CCRS1 + CRS3}
set{CCRS3, CCRS2 /3}


set{CRS4, weekly rsi(4),1)}
set{CRS5, weekly rsi(9),1)}
set{CRS6, weekly rsi(30),1)}

set{WCRS1, CRS4 + CRS5}
set{WCRS2, WCRS1 + CRS6}
set{WCRS3, WCRS2 /3}
set{CWRSI1, CCRS3 + WCRS3}
set{C-RSI, CWRSI1 /2}
set{RSI30, RSI(30) - 50}
set{CRSI_Bar, RSI30}
draw CRSI_Bar
PlotType{CRSI_Bar,zerobar}
set{RSI9, RSI(9) - 50}
set{RSI9_line, RSI9}
draw RSI9 on plot CRSI_Bar
set{RSI4, RSI(4) - 50}
set{RSI4_line, RSI4}
draw RSI4 on plot CRSI_Bar
set{drsilong1, count(rsi(30) above 5, 1)}
set{drsilong2, count(rsi(4) above rsi(30), 1)}
set{drsilong3, count(rsi(9) above rsi(30), 1)}
set{drsilong4, drsilong1 + drsilong2}
set{drsilong5, drsilong4 + drsilong3}
set{drsilong, count(drsilong5 equals 3, 1)}
set{drsishort, count(drsilong5 less than 3, 1)}
SET{DRSITRIGGER,0}
draw drsilong on plot
draw drsishort on plot

set{wrsi1, weekly rsi(4)}
set{wrsi2, weekly rsi(30)}
set{wrsi3, count(wrsi1 > wrsi2,1)}
set{wrsilong, count(wrsi3 equals 1, 1)}
set{wrsishort, count(wrsi3 less than 1, 1)}

set{CRS21, ROC(21,1)}
set{CRS63, ROC(63,1)}
set{CRS126, ROC(126,1)}
set{CR1, CRS21 + CRS63}
set{C-RS, CR1 + CRS126}

set{wsto, weekly Slow Stochastics(14,3)}
set{dsto, Slow Stochastics(14,3)}
set{wdsto, wsto + dsto}
set{CSTO, wdsto / 2}

set{TWRSI4, weekly RSI(4)}
set{TWRSI9, weekly RSI(9)}
set{TWRSI30, weekly RSI(30)}
set{TWRSI1, TWRSI4 + TWRSI9}
set{TWRSI2, TWRSI1 + TWRSI30}
set{A-WRSI, TWRSI2 / 3}

set{TDRSI4, RSI(4)}
set{TDRSI9, RSI(9)}
set{TDRSI30, RSI(30)}
set{TDRSI1, TDRSI4 + TDRSI9}
set{TDRSI2, TDRSI1 + TDRSI30}
set{A-DRSI, TDRSI2 / 3}
set{E10, close above Upper Bollinger Bands(18,2)}
set{BBLongposition, count(E10 > 0,1)}
set{BBShortposition, count(E10 < 0,1)}
SET{BBTRIGGER,0}

ADD COLUMN SEPARATOR
add column BBLongposition{BBSell}
ADD COLUMN SEPARATOR
ADD COLUMN RANK {Rank}
ADD COLUMN SEPARATOR
add column Sharpe Ratio(6) {Sharpe}
add column separator
add column allocation {Alloc %}
add column separator
add column Longposition {DMA8}
add column separator
add column drsilong {drsi}
add column separator
add column TDLongposition{DTSI}


add column separator
add column wrsilong {WRSI}
add column separator
ADD COLUMN ROC(126,1) {6 mth %}
add column separator
ADD COLUMN ROC(63,1) {3 mth %}
add column separator
ADD COLUMN ROC(21,1) {1 mth %}
add column separator
add column C-RS
add column separator
add column Upper Bollinger Bands(18.2) {Up-BB}
add column separator
add column lower Bollinger Bands(18.2) {Low-BB}
ADD COLUMN SEPARATOR
add column weekly Slow Stochastics(14,3){wSto}
ADD COLUMN SEPARATOR
add column Slow Stochastics(14,3){dSto}
ADD COLUMN SEPARATOR
add column csto
ADD COLUMN SEPARATOR
add column A-WRSI
ADD COLUMN SEPARATOR
add column A-DRSI
ADD COLUMN SEPARATOR
add column c-rsi
ADD COLUMN SEPARATOR
add column IFT(4,1) {dift}
add column separator
add column weekly IFT(4,1) {wift}
add column separator

add column rsi(4){drsi4}
add column separator
add column rsi(9){drsi9}
add column separator
add column rsi(30){drsi30}
add column separator
add column RSI(2)
add column separator
add column atr(21) {Atr}
add column separator
add column average day range (21){ADR%}

SORT COLUMN 9 ASCENDING
chart-time is 75 days
]
StockFetcher Forums · General Discussion · XIV<< 1 ... 13 14 15 16 17 ... 22 >>Post Follow-up

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