A simple system (or more)

[Luc1Grunt]

I don't use these per say, but here are a couple starter systems.

1)
MACD crossover above zero line
volume (daily) 20% above previous


2)
MA 50 crosses above MA 200
OBV rising last 2 days
RSI (15) below 70

3)

RSI(2) below 2
lower candle shadow 2 times as long as body
high volume previous 2 days

Even a caveman can do it? No, but a start.

add or subtract as needed.....

Disclaimer: I don't use these.

[Luc1Grunt]

I tried to answer some r/r and position sizing on another thread....I have a hard time explaining some of them and I'm somewhat protective of my on-line "profile". Not in fear of losing an edge, but of my personal information.

This is a great thread which explains a system build.

Of note is the anti-martingale approach to multiple losses in a row. If you are experiencing an above average drawdown, adapt and be ready to alter your system to correlate with the market. Nothing stays the same year over year.

[Luvnrio]

Again, I'm truly grateful for your posts... The thread is genuine, deserves a read by all rookies... 8)

[aiki14]

Of note is the anti-martingale approach to multiple losses in a row.

Also of note is the anti-depressant approach to multiple losses in a row. :lol:

Pay attention to this guy newbies, ignore the sparkling demeanor, and legendary charm, and learn.


Fun having you in the chat room Grunt, been a rush these last couple days.

[Luc1Grunt]

I enjoyed it and thanks Aiki! I learn from you guys everyday. Wish I could get on more often, but it effects my concentration!!!

[netwrangler]

I don't use these per say, but here are a couple starter systems.

1)
MACD crossover above zero line
volume (daily) 20% above previous


2)
MA 50 crosses above MA 200
OBV rising last 2 days
RSI (15) below 70

3)

RSI(2) below 2
lower candle shadow 2 times as long as body
high volume previous 2 days

Even a caveman can do it? No, but a start.

add or subtract as needed.....

Disclaimer: I don't use these.Morning Grunt,

Here's a starter system for swing trading using dailies:

Buy/Short when price crosses EMA50 going up/down
Sell/Cover when price closes below/above SMA10 for two consecutive days.

For the stocks I've back-tested using this system, the hit percentage is high.
There are also significant periods where the system tells me to hold no positions, which, imo, is a good thing.

I haven't used this with real money yet, but I may try it out.
I might want to add MACD or Stochastics for confirmation of a position start.
Also, I figure I need an additional exit trigger, a stop or trailing stop, that keeps me from getting caught on the wrong side of a breakout.

Comments?

[Luc1Grunt]

Net, I did a quick scan on the parameters you listed.

With only the upward crossing of the close above EMA(50) I got 326 matches.

With a minimum average volume (90 days) of 500,000 I got 22 matches: Here's a simple backtest which included the volatility of July and again in November:

Trade StatisticsThere were 1101 total stocks entered. Of those, 851 or 77.29% were complete and 250 or 22.71% were open. Of the 851 completed trades, 401 trades or 47.12%resulted in a net gain.Your average net change for completed trades was: 0.55%.The average draw down of your approach was: -7.73%.The average max profit of your approach was: 10.39%The Reward/Risk ratio for this approach is: 1.14Annualized Return on Investment (ROI): 12.27%, the ROI of ^SPX was: 10.45%.
Exit StatisticsStop Loss was triggered 350 times or 41.13% of the time.Stop Profit was triggered 288 times or 33.84% of the time.Trailing Stop Loss was triggered 0 times or 0.00% of the time.You held for the maximum period of time (25 days) 213 times or 25.03% of the time.An exit trigger was executed 0 times or 0.00% of the time.

Beats the S&P. Stop loss at 8% and profit stop is 10% (not ideal, but a benchmark.

[Luc1Grunt]

Thiery, delete the above post please...wrong content

[Luc1Grunt]

crossed above EMA(50) and MACD fast line crossed slow line within last day. Stocks above $30:



Trade StatisticsThere were 380 total stocks entered. Of those, 322 or 84.74% were complete and 58 or 15.26% were open. Of the 322 completed trades, 145 trades or 45.03%resulted in a net gain.Your average net change for completed trades was: -0.37%.The average draw down of your approach was: -6.19%.The average max profit of your approach was: 6.00%The Reward/Risk ratio for this approach is: 0.90Annualized Return on Investment (ROI): -6.20%, the ROI of ^SPX was: 0.52%.
Exit StatisticsStop Loss was triggered 137 times or 42.55% of the time.Stop Profit was triggered 89 times or 27.64% of the time.Trailing Stop Loss was triggered 0 times or 0.00% of the time.You held for the maximum period of time (25 days) 96 times or 29.81% of the time.An exit trigger was executed 0 times or 0.00% of the time.

[Luc1Grunt]

Price crossed above EMA(50), MACD fast crossed above MACD slow in last 3 days, price above 30, average volume (90) above 500,000.

Backtest with exit trigger price below SMA(10) for 2 consecutive days:

8% loss stop, 10% profit stop or exit trigger

Max holding period 25 days:

Trade StatisticsThere were 695 total stocks entered. Of those, 630 or 90.65% were complete and 65 or 9.35% were open. Of the 630 completed trades, 231 trades or 36.67%resulted in a net gain.Your average net change for completed trades was: -0.01%.The average draw down of your approach was: -3.75%.The average max profit of your approach was: 4.76%The Reward/Risk ratio for this approach is: 1.00Annualized Return on Investment (ROI): -0.33%, the ROI of ^SPX was: 0.52%.
Exit StatisticsStop Loss was triggered 62 times or 9.84% of the time.Stop Profit was triggered 117 times or 18.57% of the time.Trailing Stop Loss was triggered 0 times or 0.00% of the time.You held for the maximum period of time (25 days) 5 times or 0.79% of the time.An exit trigger was executed 446 times or 70.79% of the time

[netwrangler]

Net, I did a quick scan on the parameters you listed.

With only the upward crossing of the close above EMA(50) I got 326 matches.

With a minimum average volume (90 days) of 500,000 I got 22 matches: Here's a simple backtest which included the volatility of July and again in November:

Trade StatisticsThere were 1101 total stocks entered. Of those, 851 or 77.29% were complete and 250 or 22.71% were open. Of the 851 completed trades, 401 trades or 47.12%resulted in a net gain.Your average net change for completed trades was: 0.55%.The average draw down of your approach was: -7.73%.The average max profit of your approach was: 10.39%The Reward/Risk ratio for this approach is: 1.14Annualized Return on Investment (ROI): 12.27%, the ROI of ^SPX was: 10.45%.
Exit StatisticsStop Loss was triggered 350 times or 41.13% of the time.Stop Profit was triggered 288 times or 33.84% of the time.Trailing Stop Loss was triggered 0 times or 0.00% of the time.You held for the maximum period of time (25 days) 213 times or 25.03% of the time.An exit trigger was executed 0 times or 0.00% of the time.

Beats the S&P. Stop loss at 8% and profit stop is 10% (not ideal, but a benchmark.Wow, that's impressive analysis. It is also encouraging results. Thanks for running those numbers

Do I read it correctly that you used a 10% profit stop in lieu of the "confirmed cross" of price and SMA10?
I was trying for asymmetry with the two different moving averages. The chart below gives a conceptual view of what I was shooting for:

2296

The "idealized" curve is a sine wave. The trading strategy is to initiate a trade when the curve charges through the base line, and to close the trade when the curve is just past its peak or trough. The system I described used the price/EMA50 cross as a proxy for "charging through the base line" and the "confirmed" price/SMA10 cross as a proxy for detecting a peak or trough.

"Confirmed" is the key word here. I suggested that the price needed to close above/below the SMA10 two days in a row. But I also suggested getting confirmation from the MACD and/or Stochastic indicators. I think getting this confirmation tweaked in is the key to success.

Rather than run a screen for stocks to back test, I think I'm going to back test against some "stocks of interest."

The first group will be stocks I have owned during the past three years. I want to compare what I actually did to what the system indicates I should have done. I'll use buy and hold as an additional control measure.

The next group I want to test are the stocks in the Oil Services sector. I figure they will be on my watch list for some time.

At the risk of stating the obvious, I want to test against stocks of interest because I already know something about them. I figure the best I can hope for from a system is for it to give me a heads-up — that is, tell me it might be time to begin or end a trade. I need to factor in other information [DD, past experience, current news] before pulling the trigger. If I know the stock, I can factor in the information much faster — like, before the trading opportunity goes away.

I guess I'll be looking at a few charts. :|

[Luc1Grunt]

Great post and I understand where you were going. The screens I presented would require all stocks traded. I have never seen a a trader who could execute all trades thus instantly destroying credibility of the system (BECOMES DISCRETIONARY IN NATURE).

I'll have some time later and I'll run it based on sectors of interest (Oil, Financial etc.) to narrow the field.

If you want to post ticker symbols, I'll run those as a set as well.

I used very baseic entry / exit triggers, so that is an area to narrow the parameters. I don't use 8/10 or even percents, but that is a basic backtesting parameter (as you know).

Shoot me some symbols and I'll work on the exit strategy.

Grunt.

[netwrangler]

Shoot me some symbols and I'll work on the exit strategy.

Grunt.Here's a list of the usual suspects:

AAPL; AMGN; ASCA; AT; AVID; CLB; COP; CRR; CVX; DIGE; DNR; ENR; EWS; EZU; FTK; GLBL; HP; ICF; IGE; ISCA; LNC; MSFT; MXI; MXIM; NFX; NOV; QQQQ; RIO; SLM; SPY; SU; SYY; TRMB; TSO; UPL; USU; VLO; VNQ; VPL; VWO; XLB; XLE; XLF; XRM

I'm going to run individual charts of each of these. I suspect the optimal parameters will vary by the Beta for each security. Moreover, I would expect better batting average from lower Beta securities, but, perhaps, a better slugging percentage going with a higher Beta. On the other hand, I expect higher Beta securities to have more noise in the data. At some point, the noise will overwhelm any system.

I'm going to download historical daily prices for this list into Excel. That way I can tweak the parameters and know exactly how they are working.

One more thought, before I forget it. I need to download dividend amounts and ex-dividend dates to make sure going ex-div doesn't pull the exit trigger.

BTW: I am a firm believer in a fundy/TA hybrid approach. Using some discretion with a system is just common sense to me. Some folks may say that compromises the credibility of the system. I say, until a system comes to me etched on two stone tablets, I'll cast a critical eye and use my discretion. Even if its on the tablets, I still want to see some ID from that bearded guy in the robe who delivered it. :D

[Pinguin]

Hey Grunt...are you running these at SF? I think this would be a good way for me to test my knowledge of building a filter.

Net: what are you thinking of as your maximum and minimum holding times?

Thanks for the ideas guys!

[netwrangler]

Net: what are you thinking of as your maximum and minimum holding times?

Thanks for the ideas guys!I'm trying to let the chart call the turn, and thus the time to end the trade.

In another thread on this forum there has been discussion about the tendency to close winning trades too soon, and hold losing trades too long. The "confirmed" price/SMA10 cross might do better than a profit exit based on 10% or time held. If I am long a stock and the price stays above the SMA10 for five years, I'm happy. [Although, as TonyM would say, "That's not bloody likely."] The real test will be to see if that indicator is any improvement over, say, a 10% profit exit, or a trailing stop exit.

I don't think there will be a minimum holding time either...well, maybe 1-day. There are times when Price crosses the EMA50 on one day in one direction, and recrosses in the other direction the next day. If I can't find a way to forecast that [and I doubt I can] I'll need to be able to react to it.

BTW: If I build analysis tools in Excel, I'll make them available to OTF members. Don't think I can post an .xls file because of the virus danger. There are other ways of sharing.

To that end, here's the link to the algorithm I used to generate the sine curve values for the Excel chart
Mystery Revealed (http://www.covingtoninnovations.com/michael/blog/0501/index.html#050102). Once you go to the link, do an in-page search for "Mystery Revealed/"
This is a good example of recreational mathematics. If you think that term is an oxymoron, you probably don't need to click the link. :wink:

[Pinguin]

Here is a simple system I have been playing with for sub-$ plays:
Show stocks where RSI(5) has been increasing over the last 2 days
and RSI(5) crossed above 21
and Average Volume(10) is above 100000
and close is below 1

I am learning that it is all in the exit

[Pinguin]

I'm trying to let the chart call the turn, and thus the time to end the trade.

In another thread on this forum there has been discussion about the tendency to close winning trades too soon, and hold losing trades too long. The "confirmed" price/SMA10 cross might do better than a profit exit based on 10% or time held. If I am long a stock and the price stays above the SMA10 for five years, I'm happy. [Although, as TonyM would say, "That's not bloody likely."] The real test will be to see if that indicator is any improvement over, say, a 10% profit exit, or a trailing stop exit.

I don't think there will be a minimum holding time either...well, maybe 1-day. There are times when Price crosses the EMA50 on one day in one direction, and recrosses in the other direction the next day. If I can't find a way to forecast that [and I doubt I can] I'll need to be able to react to it.



I'll have to see if I am smart-enough to write an exit filter for that...

Great link as well...I love math hence my current attempt at getting an MS in Statistics while working

[netwrangler]

I'll have to see if I am smart-enough to write an exit filter for that...

Great link as well...I love math hence my current attempt at getting an MS in Statistics while workingLet me know how the exit filter goes.

My take on my own system is the things get dicey when the EMA50 and the SMA10 are close to each other and have similar slopes. That's where I'd like to see a third indicator take charge.

Good to know that you are another rec-math person. As such you of course know that:
If a Young Stud Mathematician is at one corner of the room, and a Beautiful Young Woman is at the opposite corner, and the YSM advances halfway to the BYW, and halfway again, and again...the YSM will never actually reach the BYM, but he will get close enough for all practical purposes.The above story courtesy of my set-theory Professor at Stanford, low these many years ago. ;)

[Luc1Grunt]

Long approach on your list:

This was set with a stop loss at 8% and a profit stop of 10%. Entry on cross above EMA(50) and exit at cross below SMA(10).

If traded as a mechanical system, a bit ugly. If discretionary trades were applied, there may be some increase in profit, but statistics do not warrant each trade without additional triggers.

You may have to play with the trade data on the below as I cannot get it in thye proper format. Of note is the exit listed at the end of each trade. Many hit the trigger, but in looking at the chart, a bit slow. All indicators lag....especially the exit.


Trade StatisticsThere were 114 total stocks entered. Of those, 105 or 92.11% were complete and 9 or 7.89% were open. Of the 105 completed trades, 37 trades or 35.24%resulted in a net gain.Your average net change for completed trades was: 0.02%.The average draw down of your approach was: -3.33%.The average max profit of your approach was: 4.19%The Reward/Risk ratio for this approach is: 1.01Annualized Return on Investment (ROI): 0.68%, the ROI of ^SPX was: 0.52%.
Exit StatisticsStop Loss was triggered 9 times or 8.57% of the time.Stop Profit was triggered 16 times or 15.24% of the time.Trailing Stop Loss was triggered 0 times or 0.00% of the time.You held for the maximum period of time (25 days) 0 times or 0.00% of the time.An exit trigger was executed 80 times or 76.19% of the time.



Performance Symbol (http://javascript<b></b>:BTSort(1))Trigger Date (http://javascript<b></b>:BTSort(2))Entry Price (http://javascript<b></b>:BTSort(6))Exit Date (http://javascript<b></b>:BTSort(7))Exit Price (http://javascript<b></b>:BTSort(8))Draw Down (http://javascript<b></b>:BTSort(9))Max Profit (http://javascript<b></b>:BTSort(10))Gain/ (http://javascript<b></b>:BTSort(11))
Loss (http://javascript<b></b>:BTSort(11))2 day chg (http://javascript<b></b>:BTSort(15))5 day chg (http://javascript<b></b>:BTSort(16))10 day chg (http://javascript<b></b>:BTSort(17))25 day chg (http://javascript<b></b>:BTSort(18))40 day chg (http://javascript<b></b>:BTSort(19))Exit Type (http://javascript<b></b>:BTSort(12))SYY (http://javascript<b></b>:dfv('SYY',8146,8156))07/02/200733.0607/17/200732.55-3.27%0.67%-1.54%0.12%-2.30%-2.60%-1.97%-0.97%TRIGGERLNC (http://javascript<b></b>:dfv('LNC',8146,8150))07/02/200771.9707/09/200771.40-2.20%0.43%-0.79%-1.03%-4.42%-3.92%-15.92%-17.70%TRIGGERMSFT (http://javascript<b></b>:dfv('MSFT',8147,8152))07/03/200730.0507/11/200729.24-2.90%0.57%-2.70%-0.27%-1.86%2.90%-0.17%-4.86%TRIGGERNFX (http://javascript<b></b>:dfv('NFX',8149,8161))07/06/200747.0007/24/200747.56-0.17%9.32%1.19%2.02%6.45%5.45%2.21%-7.47%TRIGGERTSO (http://javascript<b></b>:dfv('TSO',8149,8156))07/06/200759.2707/17/200756.95-3.66%4.61%-3.91%2.58%-0.12%-8.25%-16.82%-16.77%TRIGGERUPL (http://javascript<b></b>:dfv('UPL',8150,8156))07/09/200757.8507/17/200757.50-3.15%1.61%-0.61%-0.21%-1.90%-3.73%-1.12%-6.45%TRIGGERUSU (http://javascript<b></b>:dfv('USU',8153,8159))07/12/200721.3307/20/200719.62-9.47%0.19%-8.00%-5.49%-4.13%-21.38%-31.50%-39.99%STOP LOSSMSFT (http://javascript<b></b>:dfv('MSFT',8153,8164))07/12/200729.9407/27/200729.93-1.44%6.35%-0.03%0.30%5.24%0.13%-7.11%-5.01%TRIGGERUPL (http://javascript<b></b>:dfv('UPL',8157,8160))07/18/200758.3007/23/200757.82-2.32%1.72%-0.82%-2.32%-6.43%-5.33%-2.69%-4.61%TRIGGERAMGN (http://javascript<b></b>:dfv('AMGN',8160,8164))07/23/200756.6507/27/200756.80-1.57%1.91%0.26%0.90%-0.81%-8.61%-11.88%-1.13%TRIGGERNFX (http://javascript<b></b>:dfv('NFX',8162,8176))07/25/200748.0308/14/200747.71-4.93%6.77%-0.67%1.96%0.98%-0.87%-10.91%-0.27%TRIGGERCRR (http://javascript<b></b>:dfv('CRR',8163,8170))07/26/200746.1708/06/200744.27-5.00%1.99%-4.12%-0.65%-1.73%10.46%0.06%9.31%TRIGGEREWS (http://javascript<b></b>:dfv('EWS',8165,8169))07/30/200713.9308/03/200712.82-8.47%0.22%-8.00%-3.45%-7.25%-5.81%-4.09%3.66%STOP LOSSASCA (http://javascript<b></b>:dfv('ASCA',8165,8168))07/30/200732.0508/02/200728.70-14.48%2.03%-10.45%-0.12%-18.85%-20.41%-9.73%-12.92%STOP LOSSQQQQ (http://javascript<b></b>:dfv('QQQQ',8165,8174))07/30/200748.9708/10/200747.20-4.06%0.18%-3.61%-2.19%-2.04%-2.80%1.45%4.29%TRIGGERMXI (http://javascript<b></b>:dfv('MXI',8165,8174))07/30/200772.5308/10/200766.88-5.20%0.50%-7.79%-1.43%-2.99%-5.90%-1.25%7.29%TRIGGERCOP (http://javascript<b></b>:dfv('COP',8165,8170))07/30/200782.4208/06/200775.83-8.71%0.56%-8.00%-2.03%-4.21%-3.91%1.29%5.91%STOP LOSSCVX (http://javascript<b></b>:dfv('CVX',8165,8170))07/30/200786.2608/06/200779.36-9.12%3.76%-8.00%-1.26%-4.92%-4.42%2.86%6.52%STOP LOSSENR (http://javascript<b></b>:dfv('ENR',8165,8172))07/30/2007103.1508/08/200794.90-13.72%0.57%-8.00%-1.39%-4.26%1.16%1.66%7.05%STOP LOSSGLBL (http://javascript<b></b>:dfv('GLBL',8166,8170))07/31/200725.6508/06/200724.02-7.17%4.09%-6.35%2.77%-5.77%-10.33%-5.89%0.19%TRIGGERSU (http://javascript<b></b>:dfv('SU',8166,8174))07/31/200790.1608/10/200789.18-5.32%2.54%-1.09%1.49%-1.01%-2.58%1.63%3.47%TRIGGERCRR (http://javascript<b></b>:dfv('CRR',8170,8172))08/06/200744.8308/08/200749.31-0.27%19.65%10.00%9.88%5.51%5.53%11.11%14.08%PROFIT STOPVWO (http://javascript<b></b>:dfv('VWO',8170,8174))08/06/200791.7008/10/200789.61-0.86%5.13%-2.28%4.03%-0.76%-6.16%3.73%17.12%TRIGGERRIO (http://javascript<b></b>:dfv('RIO',8171,8174))08/07/200724.1108/10/200722.31-4.46%2.41%-7.51%-2.80%-11.94%-15.53%9.99%33.94%TRIGGERSYY (http://javascript<b></b>:dfv('SYY',8171,8174))08/07/200731.6508/10/200730.00-1.04%5.31%-5.21%-1.04%1.71%6.73%5.09%10.49%TRIGGEREZU (http://javascript<b></b>:dfv('EZU',8172,8174))08/08/2007114.0008/10/2007111.25-0.98%1.19%-2.41%-2.64%-5.61%-1.30%0.46%6.81%TRIGGERMSFT (http://javascript<b></b>:dfv('MSFT',8172,8174))08/08/200729.6808/10/200728.90-2.56%1.42%-2.63%-3.27%-5.32%-4.92%-1.75%0.10%TRIGGERUPL (http://javascript<b></b>:dfv('UPL',8172,8177))08/08/200756.6508/15/200755.20-2.91%5.86%-2.56%1.85%-4.15%0.14%-1.84%13.50%TRIGGERCOP (http://javascript<b></b>:dfv('COP',8172,8174))08/08/200778.7608/10/200777.50-0.69%2.07%-1.60%-0.70%-1.75%0.18%8.06%6.58%TRIGGERSYY (http://javascript<b></b>:dfv('SYY',8174,8178))08/10/200733.5108/16/200731.80-4.72%1.76%-5.10%-3.94%-0.24%0.72%-0.93%3.70%TRIGGERENR (http://javascript<b></b>:dfv('ENR',8175,8189))08/13/2007105.2008/31/2007105.10-6.43%3.45%-0.10%-5.37%-3.06%2.42%6.08%13.06%TRIGGERSYY (http://javascript<b></b>:dfv('SYY',8179,8187))08/17/200733.7208/29/200732.97-2.91%1.13%-2.22%0.18%0.09%-1.01%2.05%0.86%TRIGGERDNR (http://javascript<b></b>:dfv('DNR',8179,8186))08/17/200739.5008/28/200738.93-2.81%2.71%-1.44%0.08%1.92%0.71%14.30%24.33%TRIGGERUPL (http://javascript<b></b>:dfv('UPL',8179,8181))08/17/200756.8508/21/200755.24-3.91%0.00%-2.83%-1.58%-1.13%-6.07%2.73%18.75%TRIGGERCLB (http://javascript<b></b>:dfv('CLB',8180,8195))08/20/2007105.4809/11/2007110.42-3.11%8.90%4.68%-1.17%3.02%7.22%14.60%29.69%TRIGGERNOV (http://javascript<b></b>:dfv('NOV',8180,8187))08/20/200755.2208/29/200760.74-1.66%11.87%10.00%2.75%8.74%19.89%28.76%41.29%PROFI T STOPCOP (http://javascript<b></b>:dfv('COP',8180,8182))08/20/200779.0508/22/200778.68-1.59%0.80%-0.47%-0.19%2.44%5.60%10.42%11.07%TRIGGERCVX (http://javascript<b></b>:dfv('CVX',8180,8187))08/20/200784.1408/29/200785.20-0.68%4.03%1.26%1.49%3.40%5.46%9.20%11.06%TRIGGERAA PL (http://javascript<b></b>:dfv('AAPL',8181,8190))08/21/2007131.2209/04/2007144.34-3.50%11.06%10.00%-0.11%-3.35%4.22%16.42%31.65%PROFIT STOPUPL (http://javascript<b></b>:dfv('UPL',8182,8186))08/22/200756.8408/28/200754.26-5.24%0.72%-4.54%-1.11%-6.44%-4.73%9.04%22.70%TRIGGERVNQ (http://javascript<b></b>:dfv('VNQ',8182,8187))08/22/200769.8008/29/200766.01-6.02%0.53%-5.43%-0.90%-2.58%-0.69%3.48%3.38%TRIGGEREWS (http://javascript<b></b>:dfv('EWS',8184,8187))08/24/200713.4608/29/200713.04-6.76%0.00%-3.12%-6.02%-1.19%-0.30%13.97%10.25%TRIGGERSPY (http://javascript<b></b>:dfv('SPY',8184,8187))08/24/2007147.8508/29/2007144.37-2.97%0.32%-2.35%-2.79%-0.18%-1.39%4.36%1.82%TRIGGERRIO (http://javascript<b></b>:dfv('RIO',8184,8192))08/24/200723.7509/06/200726.12-5.79%10.04%10.00%-5.18%3.85%6.11%52.17%37.81%PROFIT STOPCRR (http://javascript<b></b>:dfv('CRR',8184,8202))08/24/200746.0009/20/200749.42-4.30%9.78%7.43%-3.67%1.74%5.33%11.26%3.50%TRIGGERQQQQ (http://javascript<b></b>:dfv('QQQQ',8184,8187))08/24/200748.0608/29/200747.05-2.81%0.29%-2.10%-2.75%1.69%0.29%8.20%10.42%TRIGGERXLE (http://javascript<b></b>:dfv('XLE',8184,8187))08/24/200768.9208/29/200767.24-3.15%0.04%-2.44%-3.15%1.32%1.78%10.42%6.72%TRIGGERMXI (http://javascript<b></b>:dfv('MXI',8184,8195))08/24/200769.6709/11/200770.04-3.80%3.32%0.53%-3.53%1.88%-0.20%16.74%11.34%TRIGGERCOP (http://javascript<b></b>:dfv('COP',8184,8187))08/24/200780.0408/29/200779.53-1.75%1.85%-0.64%-1.54%2.31%2.69%9.18%3.85%TRIGGERVWO (http://javascript<b></b>:dfv('VWO',8184,8195))08/24/200791.6809/11/200794.36-4.30%5.24%2.92%-3.58%3.07%0.86%17.55%17.80%TRIGGEREWS (http://javascript<b></b>:dfv('EWS',8187,8200))08/29/200713.0409/18/200713.79-2.15%8.28%5.75%1.99%3.91%7.52%16.72%15.80%TRIGGERQ QQQ (http://javascript<b></b>:dfv('QQQQ',8187,8194))08/29/200747.8309/10/200748.62-0.17%4.54%1.65%2.17%2.74%2.82%8.24%10.91%TRIGGERXL E (http://javascript<b></b>:dfv('XLE',8187,8201))08/29/200768.5609/19/200775.42-0.50%10.90%10.00%1.85%4.73%5.46%9.03%10.56%PROFIT STOPCOP (http://javascript<b></b>:dfv('COP',8187,8201))08/29/200781.2309/19/200789.35-0.53%10.18%10.00%0.81%2.95%4.78%3.34%3.03%PROFIT STOPCVX (http://javascript<b></b>:dfv('CVX',8187,8195))08/29/200786.7009/11/200787.51-1.34%3.03%0.93%1.22%2.57%3.91%5.93%5.22%TRIGGEREZU (http://javascript<b></b>:dfv('EZU',8189,8194))08/31/2007113.9109/10/2007112.62-2.12%1.47%-1.13%-0.53%-1.83%-1.15%6.71%10.40%TRIGGERIGE (http://javascript<b></b>:dfv('IGE',8189,8212))08/31/2007119.2910/04/2007128.16-1.06%9.67%7.44%1.59%1.05%4.18%7.72%12.88%TRIGGERDN R (http://javascript<b></b>:dfv('DNR',8189,8196))08/31/200740.0609/12/200744.07-0.42%10.71%10.00%4.82%2.65%8.89%15.10%40.01%PROFIT STOPVNQ (http://javascript<b></b>:dfv('VNQ',8189,8194))08/31/200769.5109/10/200768.05-2.81%2.14%-2.10%-1.15%-3.68%-0.14%8.24%1.42%TRIGGERSU (http://javascript<b></b>:dfv('SU',8189,8200))08/31/200789.7609/18/200798.74-1.05%11.53%10.00%2.08%0.74%6.82%5.14%19.75%PROFIT STOPSPY (http://javascript<b></b>:dfv('SPY',8190,8194))09/04/2007148.2009/10/2007146.52-1.98%0.28%-1.13%-0.05%-0.48%2.87%5.59%3.28%TRIGGERHP (http://javascript<b></b>:dfv('HP',8190,8207))09/04/200732.3009/27/200733.61-2.51%7.46%4.06%-0.56%0.46%4.77%1.21%-5.88%TRIGGERXLB (http://javascript<b></b>:dfv('XLB',8190,8194))09/04/200739.2509/10/200738.96-1.73%1.27%-0.74%0.76%-0.94%5.22%10.83%8.87%TRIGGERVLO (http://javascript<b></b>:dfv('VLO',8190,8195))09/04/200770.1209/11/200768.05-4.59%3.11%-2.95%0.39%-3.17%0.11%2.95%-0.68%TRIGGERVPL (http://javascript<b></b>:dfv('VPL',8190,8192))09/04/200767.8309/06/200768.38-0.44%0.24%0.81%0.65%0.69%1.84%10.14%9.69%TRIGGERIC F (http://javascript<b></b>:dfv('ICF',8190,8194))09/04/200790.4409/10/200787.94-3.72%0.00%-2.76%-1.39%-2.87%2.12%9.06%2.37%TRIGGERGLBL (http://javascript<b></b>:dfv('GLBL',8192,8195))09/06/200724.8009/11/200724.17-4.35%0.77%-2.54%-3.27%-0.65%1.49%7.38%2.18%TRIGGERNFX (http://javascript<b></b>:dfv('NFX',8192,8206))09/06/200746.1209/26/200747.05-3.86%7.26%2.02%-1.71%-1.56%3.86%11.56%14.72%TRIGGERGLBL (http://javascript<b></b>:dfv('GLBL',8195,8200))09/11/200724.8009/18/200724.27-2.14%1.85%-2.14%-0.65%1.37%4.11%4.35%6.65%TRIGGERAMGN (http://javascript<b></b>:dfv('AMGN',8195,8205))09/11/200755.2209/25/200755.08-1.52%3.71%-0.25%3.44%1.43%-0.62%2.83%4.84%TRIGGERMXI (http://javascript<b></b>:dfv('MXI',8195,8200))09/11/200770.1409/18/200771.31-0.04%2.44%1.67%1.58%5.43%10.95%14.46%15.90%TRIGGER SPY (http://javascript<b></b>:dfv('SPY',8196,8220))09/12/2007148.5510/16/2007154.41-0.62%6.04%3.94%0.24%3.24%2.45%3.84%-0.43%TRIGGERUPL (http://javascript<b></b>:dfv('UPL',8196,8208))09/12/200756.8009/28/200762.48-4.40%10.02%10.00%-0.83%-1.43%4.00%23.01%20.39%PROFIT STOPEZU (http://javascript<b></b>:dfv('EZU',8197,8200))09/13/2007113.2909/18/2007114.30-0.99%0.79%0.89%-0.61%4.51%6.34%9.17%9.94%TRIGGERMSFT (http://javascript<b></b>:dfv('MSFT',8197,8200))09/13/200728.9809/18/200728.70-1.24%0.45%-0.97%-0.86%-1.93%1.76%7.52%19.88%TRIGGERTRMB (http://javascript<b></b>:dfv('TRMB',8197,8205))09/13/200735.3709/25/200738.91-0.79%11.25%10.00%3.70%4.61%12.58%19.62%13.18%PROFI T STOPLNC (http://javascript<b></b>:dfv('LNC',8197,8215))09/13/200762.5310/09/200768.78-0.85%10.67%10.00%0.03%3.76%4.72%6.00%-2.21%PROFIT STOPVNQ (http://javascript<b></b>:dfv('VNQ',8197,8206))09/13/200768.7509/26/200771.29-0.57%6.84%3.69%0.96%3.75%5.06%4.96%-3.29%TRIGGERICF (http://javascript<b></b>:dfv('ICF',8197,8213))09/13/200788.5410/05/200798.23-0.14%12.38%10.94%0.98%4.34%5.68%4.30%-3.30%PROFIT STOPXLB (http://javascript<b></b>:dfv('XLB',8198,8215))09/14/200739.6810/09/200743.65-0.55%10.38%10.00%4.08%4.76%6.12%5.14%4.66%PROFIT STOPVLO (http://javascript<b></b>:dfv('VLO',8198,8200))09/14/200769.1209/18/200768.71-2.47%0.13%-0.59%1.56%2.79%-2.81%-0.94%-0.87%TRIGGEREZU (http://javascript<b></b>:dfv('EZU',8200,8221))09/18/2007118.0710/17/2007123.68-0.25%5.66%4.75%0.28%0.66%3.19%4.10%4.44%TRIGGERGLB L (http://javascript<b></b>:dfv('GLBL',8200,8213))09/18/200725.0410/05/200727.54-1.36%11.82%10.00%0.52%3.12%3.87%2.40%-3.19%PROFIT STOPXLF (http://javascript<b></b>:dfv('XLF',8200,8205))09/18/200735.3209/25/200733.94-3.79%0.99%-3.91%-1.70%-3.60%0.14%-6.06%-10.33%TRIGGERVPL (http://javascript<b></b>:dfv('VPL',8200,8220))09/18/200770.0010/16/200772.90-0.74%7.86%4.14%-0.30%1.11%5.09%3.60%1.50%TRIGGERVLO (http://javascript<b></b>:dfv('VLO',8200,8206))09/18/200770.6409/26/200769.70-2.87%1.32%-1.33%-0.78%-2.53%-3.88%-3.28%-0.45%TRIGGERTSO (http://javascript<b></b>:dfv('TSO',8203,8208))09/21/200750.5109/28/200747.24-6.93%3.48%-6.47%0.99%-8.89%-3.44%27.66%10.55%TRIGGERMSFT (http://javascript<b></b>:dfv('MSFT',8204,8224))09/24/200729.1410/22/200730.12-0.10%7.17%3.36%1.24%2.16%2.40%18.63%16.54%TRIGGERA SCA (http://javascript<b></b>:dfv('ASCA',8207,8212))09/27/200728.4210/04/200727.48-3.84%2.04%-3.31%1.27%-3.59%-5.67%12.49%7.07%TRIGGERXLF (http://javascript<b></b>:dfv('XLF',8207,8209))09/27/200734.2210/01/200734.13-0.18%0.94%-0.26%2.19%3.74%3.19%-6.49%-14.47%TRIGGERSLM (http://javascript<b></b>:dfv('SLM',8208,8216))09/28/200750.4010/10/200748.65-3.87%0.00%-3.47%-0.62%-1.79%-3.87%-10.91%-26.85%TRIGGERISCA (http://javascript<b></b>:dfv('ISCA',8210,8218))10/02/200748.4310/12/200747.50-6.26%8.22%-1.92%-1.84%0.62%-1.90%-9.23%-11.03%TRIGGERXRM (http://javascript<b></b>:dfv('XRM',8213,8220))10/05/20075.7910/16/20075.52-5.87%3.11%-4.66%-4.15%-1.90%-13.64%-23.66%4.15%TRIGGERTSO (http://javascript<b></b>:dfv('TSO',8214,8216))10/08/200749.9910/10/200754.99-0.32%11.18%10.00%10.52%9.90%5.76%8.36%-4.44%PROFIT STOPVLO (http://javascript<b></b>:dfv('VLO',8214,8222))10/08/200771.2510/18/200770.62-1.82%6.19%-0.88%4.21%3.54%-4.00%-4.29%-9.84%TRIGGERHP (http://javascript<b></b>:dfv('HP',8216,8222))10/10/200733.3210/18/200732.66-4.38%1.23%-1.98%-1.02%-2.16%-6.48%-7.05%9.21%TRIGGERHP (http://javascript<b></b>:dfv('HP',8222,-1))10/18/200732.64---7.05%0.00%-%-4.35%-4.56%-3.98%6.71%11.40%OPENASCA (http://javascript<b></b>:dfv('ASCA',8224,8227))10/22/200728.1610/25/200730.98-0.53%11.22%10.00%4.47%7.78%8.35%2.98%0%PROFIT STOPLNC (http://javascript<b></b>:dfv('LNC',8224,8232))10/22/200765.9011/01/200761.97-7.56%2.26%-5.96%-2.26%1.47%-9.18%-12.56%0%TRIGGERENR (http://javascript<b></b>:dfv('ENR',8225,8230))10/23/2007111.7510/30/2007102.81-11.23%2.28%-8.00%0.43%-8.51%-2.55%-1.63%0%STOP LOSS

[netwrangler]

Long approach on your list:

This was set with a stop loss at 8% and a profit stop of 10%. Entry on cross above EMA(50) and exit at cross below SMA(10).

If traded as a mechanical system, a bit ugly. If discretionary trades were applied, there may be some increase in profit, but statistics do not warrant each trade without additional triggers.

You may have to play with the trade data on the below as I cannot get it in thye proper format. Of note is the exit listed at the end of each trade. Many hit the trigger, but in looking at the chart, a bit slow. All indicators lag....especially the exit.
Thanks for going through that work, Grunt. I've made some progress on my side too.

Finally got the strategy tester in my software working. (When all else fails, RTFM.) I can apply the strategy to stock lists, such as sectors. I can also see the trades for a particular stock either graphically or listed on a trade-by-trade basis by date. From this I was able to see several things:

It is easier to visualize the trades I want to make on the chart than it is to describe rigorously a system that replicates my vision. The system tester showed many trades on the chart that, I'd like to believe, I would have ended differently, or never entered in the first place. Of course the system, like any stupid computer, was just doing exactly what I told it too. Takes me back 30-years to my programming and modeling days.


The first rule of forecast models is to make sure you don't use any lagging indicators — that is, indicators that will not be available until after the time frame of the forecast. Well, "Doh!" But that is very easy to forget — especially when you can see how the chart develops. I think I need to print a couple of hundred chart, shuffle them, black out the names, and pull them slowly out from under a desk blotter, one at a time, so I can get used to how these patterns unfold in real time.


I think I am convinced the exit trigger should not use daily bars. I'm interested in your comments on that. Obviously, using intra-day bars places some limitations on back-testing.


I think long trades and short trades need different entry and exit triggers.

I've got more on this, but the band has a gig tonight, so I need to stop here.

Thought for the day: Sell-side analysts forecasts are lagging indicators. :?

[Luc1Grunt]

Thanks for going through that work, Grunt. I've made some progress on my side too.

Finally got the strategy tester in my software working. (When all else fails, RTFM.) I can apply the strategy to stock lists, such as sectors. I can also see the trades for a particular stock either graphically or listed on a trade-by-trade basis by date. From this I was able to see several things:

It is easier to visualize the trades I want to make on the chart than it is to describe rigorously a system that replicates my vision. The system tester showed many trades on the chart that, I'd like to believe, I would have ended differently, or never entered in the first place. Of course the system, like any stupid computer, was just doing exactly what I told it too. Takes me back 30-years to my programming and modeling days.
The first rule of forecast models is to make sure you don't use any lagging indicators — that is, indicators that will not be available until after the time frame of the forecast. Well, "Doh!" But that is very easy to forget — especially when you can see how the chart develops. I think I need to print a couple of hundred chart, shuffle them, black out the names, and pull them slowly out from under a desk blotter, one at a time, so I can get used to how these patterns unfold in real time.
I think I am convinced the exit trigger should not use daily bars. I'm interested in your comments on that. Obviously, using intra-day bars places some limitations on back-testing.
I think long trades and short trades need different entry and exit triggers.I've got more on this, but the band has a gig tonight, so I need to stop here.

Thought for the day: Sell-side analysts forecasts are lagging indicators. :?


Point #4. I couldn't agree more.

Exit triggers intra-day are very diffcult. I tweaked the entry and exit a few times before I reached the above data. It beat the S&P and I noticed the win rate accelerated into September and October.

STop loss was tricky as well. On some stocks it worked well, others very poorly (AAPL, AMGN) because of the volatility.

The "system" is profitable if it was automated to say the least. But that means executing every trade as backtested.

[netwrangler]

Point #4. I couldn't agree more.

Exit triggers intra-day are very diffcult. I tweaked the entry and exit a few times before I reached the above data. It beat the S&P and I noticed the win rate accelerated into September and October.

STop loss was tricky as well. On some stocks it worked well, others very poorly (AAPL, AMGN) because of the volatility.

The "system" is profitable if it was automated to say the least. But that means executing every trade as backtested.Taking your last paragraph first:
I am convinced that the model I asked you to test is not the best I can do. You have given me a terrific leg up on the model. Now, at the risk of mixing metaphors and body parts, I want to go head down for a while and see if I can't come up with something better.
And now working backwards:
In my view, a stop loss exit fires when the exits you intended to take did not do their job. Something went wrong. Either the intended exits are modeled incorrectly or the entry was wrong in the first place.

I do think that volatility may be a factor.

I also think that problems occur when the EMA50, the SMA10, and the Price are close to one another in value and slope. If those lines are flat and close, than any price cross is hardly an example of the price "charging across the baseline." I need to find a way to exclude those periods from the model.

Intra-day bars:
Actually, my thoughts are even more radical than just using intra-day bars to define exit triggers. I don't see why there couldn't be an exit trigger based on a chart pattern or candlestick formation. Hard to back-test that stuff. Has to be evaluated one-by-each. Oh, well, if that's what it takes....
Long vs. Short Trades:
Glad you agree on that. I'm really feeling my way in the dark here, so unambiguous support for an idea is truly welcome.
On a personal note, my wife and I are scheduled to visit our daughter & family in Boulder starting Wednesday. Since both my wife and I have been fighting "the dread virus," and since our daughter in Boulder reports that both of her kids are sick and she thinks she is coming down, this trip may not take place.

If it does, I won't be modeling again until January. If it doesn't, I'll be able to devote 16-32 hours toward modeling between now and the New Year.
I mean, yud think that something would come of that effort. :wink:

[Luc1Grunt]

I'll continue to tweak...gives my noodle a challenge. I have not backtested or used many indicators for quite a while now, but let me play around with some in the arsenal.

Maybe linear regression channels, BBs, or slope of close. Chart patterns are too hard to backtest....I've done that manually on an intra-day basis....worth the pain, but brutal. Put the coffee on!

Gonna do any skiing while in the Boulder area?

Keystone, Breck, and Copper does the sould good.

Maybe a climb of Gray's and Torrey's Peaks? Love those fourteeners!

[netwrangler]

I'll continue to tweak...gives my noodle a challenge. I have not backtested or used many indicators for quite a while now, but let me play around with some in the arsenal.

Maybe linear regression channels, BBs, or slope of close. Chart patterns are too hard to backtest....I've done that manually on an intra-day basis....worth the pain, but brutal. Put the coffee on!You had to mention challenging the noodle, didn't you. You couldn't just let me recover from my cold in peace. Well, that got me to thinking....

I have two problems with back-testing:

Am I testing what I want to test?
Will I, in real time, recognize the system triggers I am testing?

I found a simple way to deal with these problems. It is a chart pattern recognition drill.

Create a daily candle chart covering 500 days (~2 years) or more.
Add "indicator lines" as appropriate for the system you are learning. (I added EMA50 and SMA10, since that is what we have been discussing.)
Zoom the chart on the screen to show 30-60 days.
Scroll left quickly to display only the first 30-60 days.
Click the right scroll arrow to move forward a day at a time.
On each day, decide whether to buy, sell, or do nothing. Write that down by date.
Compare your results with a regular "back test" of the same price history.
What I like about this is converting the drudgery of manually back-testing a chart to a learning experience for chart pattern recognition.

At present I am using a PC-based package from my broker, but that doesn't matter. This recognition drill would be fairly easy to implement in Excel. Moreover, in Excel, I could:

Prevent moving forward in time without making a trading decision;
Automate the trade results;
Find ascending and descending triangles;
Find Candlestick patterns.

The whole shooting match could run off Yahoo Open/High/Low/Close/Volume daily data. Moreover, an impressive number of TA indicators can be derived from that data as well.

I know it would take a fair amount of work to develop this to a point where someone besides yours truly could use it. Documentation, help files, and error trapping are the collective bane of any analyst developed system. That said, it's tempting.

[Luc1Grunt]

You had to mention challenging the noodle, didn't you. You couldn't just let me recover from my cold in peace. Well, that got me to thinking....

I have two problems with back-testing:

Am I testing what I want to test?
Will I, in real time, recognize the system triggers I am testing?I found a simple way to deal with these problems. It is a chart pattern recognition drill.

Create a daily candle chart covering 500 days (~2 years) or more.
Add "indicator lines" as appropriate for the system you are learning. (I added EMA50 and SMA10, since that is what we have been discussing.)
Zoom the chart on the screen to show 30-60 days.
Scroll left quickly to display only the first 30-60 days.
Click the right scroll arrow to move forward a day at a time.
On each day, decide whether to buy, sell, or do nothing. Write that down by date.
Compare your results with a regular "back test" of the same price history.What I like about this is converting the drudgery of manually back-testing a chart to a learning experience for chart pattern recognition.

At present I am using a PC-based package from my broker, but that doesn't matter. This recognition drill would be fairly easy to implement in Excel. Moreover, in Excel, I could:

Prevent moving forward in time without making a trading decision;
Automate the trade results;
Find ascending and descending triangles;
Find Candlestick patterns.The whole shooting match could run off Yahoo Open/High/Low/Close/Volume daily data. Moreover, an impressive number of TA indicators can be derived from that data as well.

I know it would take a fair amount of work to develop this to a point where someone besides yours truly could use it. Documentation, help files, and error trapping are the collective bane of any analyst developed system. That said, it's tempting.


Did some more tweaking on different exit models, but the results are still too sketchy. The list you gave is too varied in volume and volatilty. I may isolate a few and adjust parameters for volatilty. Sector check as well. Backtesting will make a fella crazy.

[Keventerprises]

Long approach on your list:

This was set with a stop loss at 8% and a profit stop of 10%. Entry on cross above EMA(50) and exit at cross below SMA(10).

If traded as a mechanical system, a bit ugly. If discretionary trades were applied, there may be some increase in profit, but statistics do not warrant each trade without additional triggers.

You may have to play with the trade data on the below as I cannot get it in thye proper format. Of note is the exit listed at the end of each trade. Many hit the trigger, but in looking at the chart, a bit slow. All indicators lag....especially the exit.


Trade StatisticsThere were 114 total stocks entered. Of those, 105 or 92.11% were complete and 9 or 7.89% were open. Of the 105 completed trades, 37 trades or 35.24%resulted in a net gain.Your average net change for completed trades was: 0.02%.The average draw down of your approach was: -3.33%.The average max profit of your approach was: 4.19%The Reward/Risk ratio for this approach is: 1.01Annualized Return on Investment (ROI): 0.68%, the ROI of ^SPX was: 0.52%.
Exit StatisticsStop Loss was triggered 9 times or 8.57% of the time.Stop Profit was triggered 16 times or 15.24% of the time.Trailing Stop Loss was triggered 0 times or 0.00% of the time.You held for the maximum period of time (25 days) 0 times or 0.00% of the time.An exit trigger was executed 80 times or 76.19% of the time.



Performance Symbol (http://javascript<b></b>:BTSort(1))Trigger Date (http://javascript<b></b>:BTSort(2))Entry Price (http://javascript<b></b>:BTSort(6))Exit Date (http://javascript<b></b>:BTSort(7))Exit Price (http://javascript<b></b>:BTSort(8))Draw Down (http://javascript<b></b>:BTSort(9))Max Profit (http://javascript<b></b>:BTSort(10))Gain/ (http://javascript<b></b>:BTSort(11))
Loss (http://javascript<b></b>:BTSort(11))2 day chg (http://javascript<b></b>:BTSort(15))5 day chg (http://javascript<b></b>:BTSort(16))10 day chg (http://javascript<b></b>:BTSort(17))25 day chg (http://javascript<b></b>:BTSort(18))40 day chg (http://javascript<b></b>:BTSort(19))Exit Type (http://javascript<b></b>:BTSort(12))SYY (http://javascript<b></b>:dfv('SYY',8146,8156))07/02/200733.0607/17/200732.55-3.27%0.67%-1.54%0.12%-2.30%-2.60%-1.97%-0.97%TRIGGERLNC (http://javascript<b></b>:dfv('LNC',8146,8150))07/02/200771.9707/09/200771.40-2.20%0.43%-0.79%-1.03%-4.42%-3.92%-15.92%-17.70%TRIGGERMSFT (http://javascript<b></b>:dfv('MSFT',8147,8152))07/03/200730.0507/11/200729.24-2.90%0.57%-2.70%-0.27%-1.86%2.90%-0.17%-4.86%TRIGGERNFX (http://javascript<b></b>:dfv('NFX',8149,8161))07/06/200747.0007/24/200747.56-0.17%9.32%1.19%2.02%6.45%5.45%2.21%-7.47%TRIGGERTSO (http://javascript<b></b>:dfv('TSO',8149,8156))07/06/200759.2707/17/200756.95-3.66%4.61%-3.91%2.58%-0.12%-8.25%-16.82%-16.77%TRIGGERUPL (http://javascript<b></b>:dfv('UPL',8150,8156))07/09/200757.8507/17/200757.50-3.15%1.61%-0.61%-0.21%-1.90%-3.73%-1.12%-6.45%TRIGGERUSU (http://javascript<b></b>:dfv('USU',8153,8159))07/12/200721.3307/20/200719.62-9.47%0.19%-8.00%-5.49%-4.13%-21.38%-31.50%-39.99%STOP LOSSMSFT (http://javascript<b></b>:dfv('MSFT',8153,8164))07/12/200729.9407/27/200729.93-1.44%6.35%-0.03%0.30%5.24%0.13%-7.11%-5.01%TRIGGERUPL (http://javascript<b></b>:dfv('UPL',8157,8160))07/18/200758.3007/23/200757.82-2.32%1.72%-0.82%-2.32%-6.43%-5.33%-2.69%-4.61%TRIGGERAMGN (http://javascript<b></b>:dfv('AMGN',8160,8164))07/23/200756.6507/27/200756.80-1.57%1.91%0.26%0.90%-0.81%-8.61%-11.88%-1.13%TRIGGERNFX (http://javascript<b></b>:dfv('NFX',8162,8176))07/25/200748.0308/14/200747.71-4.93%6.77%-0.67%1.96%0.98%-0.87%-10.91%-0.27%TRIGGERCRR (http://javascript<b></b>:dfv('CRR',8163,8170))07/26/200746.1708/06/200744.27-5.00%1.99%-4.12%-0.65%-1.73%10.46%0.06%9.31%TRIGGEREWS (http://javascript<b></b>:dfv('EWS',8165,8169))07/30/200713.9308/03/200712.82-8.47%0.22%-8.00%-3.45%-7.25%-5.81%-4.09%3.66%STOP LOSSASCA (http://javascript<b></b>:dfv('ASCA',8165,8168))07/30/200732.0508/02/200728.70-14.48%2.03%-10.45%-0.12%-18.85%-20.41%-9.73%-12.92%STOP LOSSQQQQ (http://javascript<b></b>:dfv('QQQQ',8165,8174))07/30/200748.9708/10/200747.20-4.06%0.18%-3.61%-2.19%-2.04%-2.80%1.45%4.29%TRIGGERMXI (http://javascript<b></b>:dfv('MXI',8165,8174))07/30/200772.5308/10/200766.88-5.20%0.50%-7.79%-1.43%-2.99%-5.90%-1.25%7.29%TRIGGERCOP (http://javascript<b></b>:dfv('COP',8165,8170))07/30/200782.4208/06/200775.83-8.71%0.56%-8.00%-2.03%-4.21%-3.91%1.29%5.91%STOP LOSSCVX (http://javascript<b></b>:dfv('CVX',8165,8170))07/30/200786.2608/06/200779.36-9.12%3.76%-8.00%-1.26%-4.92%-4.42%2.86%6.52%STOP LOSSENR (http://javascript<b></b>:dfv('ENR',8165,8172))07/30/2007103.1508/08/200794.90-13.72%0.57%-8.00%-1.39%-4.26%1.16%1.66%7.05%STOP LOSSGLBL (http://javascript<b></b>:dfv('GLBL',8166,8170))07/31/200725.6508/06/200724.02-7.17%4.09%-6.35%2.77%-5.77%-10.33%-5.89%0.19%TRIGGERSU (http://javascript<b></b>:dfv('SU',8166,8174))07/31/200790.1608/10/200789.18-5.32%2.54%-1.09%1.49%-1.01%-2.58%1.63%3.47%TRIGGERCRR (http://javascript<b></b>:dfv('CRR',8170,8172))08/06/200744.8308/08/200749.31-0.27%19.65%10.00%9.88%5.51%5.53%11.11%14.08%PROFIT STOPVWO (http://javascript<b></b>:dfv('VWO',8170,8174))08/06/200791.7008/10/200789.61-0.86%5.13%-2.28%4.03%-0.76%-6.16%3.73%17.12%TRIGGERRIO (http://javascript<b></b>:dfv('RIO',8171,8174))08/07/200724.1108/10/200722.31-4.46%2.41%-7.51%-2.80%-11.94%-15.53%9.99%33.94%TRIGGERSYY (http://javascript<b></b>:dfv('SYY',8171,8174))08/07/200731.6508/10/200730.00-1.04%5.31%-5.21%-1.04%1.71%6.73%5.09%10.49%TRIGGEREZU (http://javascript<b></b>:dfv('EZU',8172,8174))08/08/2007114.0008/10/2007111.25-0.98%1.19%-2.41%-2.64%-5.61%-1.30%0.46%6.81%TRIGGERMSFT (http://javascript<b></b>:dfv('MSFT',8172,8174))08/08/200729.6808/10/200728.90-2.56%1.42%-2.63%-3.27%-5.32%-4.92%-1.75%0.10%TRIGGERUPL (http://javascript<b></b>:dfv('UPL',8172,8177))08/08/200756.6508/15/200755.20-2.91%5.86%-2.56%1.85%-4.15%0.14%-1.84%13.50%TRIGGERCOP (http://javascript<b></b>:dfv('COP',8172,8174))08/08/200778.7608/10/200777.50-0.69%2.07%-1.60%-0.70%-1.75%0.18%8.06%6.58%TRIGGERSYY (http://javascript<b></b>:dfv('SYY',8174,8178))08/10/200733.5108/16/200731.80-4.72%1.76%-5.10%-3.94%-0.24%0.72%-0.93%3.70%TRIGGERENR (http://javascript<b></b>:dfv('ENR',8175,8189))08/13/2007105.2008/31/2007105.10-6.43%3.45%-0.10%-5.37%-3.06%2.42%6.08%13.06%TRIGGERSYY (http://javascript<b></b>:dfv('SYY',8179,8187))08/17/200733.7208/29/200732.97-2.91%1.13%-2.22%0.18%0.09%-1.01%2.05%0.86%TRIGGERDNR (http://javascript<b></b>:dfv('DNR',8179,8186))08/17/200739.5008/28/200738.93-2.81%2.71%-1.44%0.08%1.92%0.71%14.30%24.33%TRIGGERUPL (http://javascript<b></b>:dfv('UPL',8179,8181))08/17/200756.8508/21/200755.24-3.91%0.00%-2.83%-1.58%-1.13%-6.07%2.73%18.75%TRIGGERCLB (http://javascript<b></b>:dfv('CLB',8180,8195))08/20/2007105.4809/11/2007110.42-3.11%8.90%4.68%-1.17%3.02%7.22%14.60%29.69%TRIGGERNOV (http://javascript<b></b>:dfv('NOV',8180,8187))08/20/200755.2208/29/200760.74-1.66%11.87%10.00%2.75%8.74%19.89%28.76%41.29%PROFI T STOPCOP (http://javascript<b></b>:dfv('COP',8180,8182))08/20/200779.0508/22/200778.68-1.59%0.80%-0.47%-0.19%2.44%5.60%10.42%11.07%TRIGGERCVX (http://javascript<b></b>:dfv('CVX',8180,8187))08/20/200784.1408/29/200785.20-0.68%4.03%1.26%1.49%3.40%5.46%9.20%11.06%TRIGGERAA PL (http://javascript<b></b>:dfv('AAPL',8181,8190))08/21/2007131.2209/04/2007144.34-3.50%11.06%10.00%-0.11%-3.35%4.22%16.42%31.65%PROFIT STOPUPL (http://javascript<b></b>:dfv('UPL',8182,8186))08/22/200756.8408/28/200754.26-5.24%0.72%-4.54%-1.11%-6.44%-4.73%9.04%22.70%TRIGGERVNQ (http://javascript<b></b>:dfv('VNQ',8182,8187))08/22/200769.8008/29/200766.01-6.02%0.53%-5.43%-0.90%-2.58%-0.69%3.48%3.38%TRIGGEREWS (http://javascript<b></b>:dfv('EWS',8184,8187))08/24/200713.4608/29/200713.04-6.76%0.00%-3.12%-6.02%-1.19%-0.30%13.97%10.25%TRIGGERSPY (http://javascript<b></b>:dfv('SPY',8184,8187))08/24/2007147.8508/29/2007144.37-2.97%0.32%-2.35%-2.79%-0.18%-1.39%4.36%1.82%TRIGGERRIO (http://javascript<b></b>:dfv('RIO',8184,8192))08/24/200723.7509/06/200726.12-5.79%10.04%10.00%-5.18%3.85%6.11%52.17%37.81%PROFIT STOPCRR (http://javascript<b></b>:dfv('CRR',8184,8202))08/24/200746.0009/20/200749.42-4.30%9.78%7.43%-3.67%1.74%5.33%11.26%3.50%TRIGGERQQQQ (http://javascript<b></b>:dfv('QQQQ',8184,8187))08/24/200748.0608/29/200747.05-2.81%0.29%-2.10%-2.75%1.69%0.29%8.20%10.42%TRIGGERXLE (http://javascript<b></b>:dfv('XLE',8184,8187))08/24/200768.9208/29/200767.24-3.15%0.04%-2.44%-3.15%1.32%1.78%10.42%6.72%TRIGGERMXI (http://javascript<b></b>:dfv('MXI',8184,8195))08/24/200769.6709/11/200770.04-3.80%3.32%0.53%-3.53%1.88%-0.20%16.74%11.34%TRIGGERCOP (http://javascript<b></b>:dfv('COP',8184,8187))08/24/200780.0408/29/200779.53-1.75%1.85%-0.64%-1.54%2.31%2.69%9.18%3.85%TRIGGERVWO (http://javascript<b></b>:dfv('VWO',8184,8195))08/24/200791.6809/11/200794.36-4.30%5.24%2.92%-3.58%3.07%0.86%17.55%17.80%TRIGGEREWS (http://javascript<b></b>:dfv('EWS',8187,8200))08/29/200713.0409/18/200713.79-2.15%8.28%5.75%1.99%3.91%7.52%16.72%15.80%TRIGGERQ QQQ (http://javascript<b></b>:dfv('QQQQ',8187,8194))08/29/200747.8309/10/200748.62-0.17%4.54%1.65%2.17%2.74%2.82%8.24%10.91%TRIGGERXL E (http://javascript<b></b>:dfv('XLE',8187,8201))08/29/200768.5609/19/200775.42-0.50%10.90%10.00%1.85%4.73%5.46%9.03%10.56%PROFIT STOPCOP (http://javascript<b></b>:dfv('COP',8187,8201))08/29/200781.2309/19/200789.35-0.53%10.18%10.00%0.81%2.95%4.78%3.34%3.03%PROFIT STOPCVX (http://javascript<b></b>:dfv('CVX',8187,8195))08/29/200786.7009/11/200787.51-1.34%3.03%0.93%1.22%2.57%3.91%5.93%5.22%TRIGGEREZU (http://javascript<b></b>:dfv('EZU',8189,8194))08/31/2007113.9109/10/2007112.62-2.12%1.47%-1.13%-0.53%-1.83%-1.15%6.71%10.40%TRIGGERIGE (http://javascript<b></b>:dfv('IGE',8189,8212))08/31/2007119.2910/04/2007128.16-1.06%9.67%7.44%1.59%1.05%4.18%7.72%12.88%TRIGGERDN R (http://javascript<b></b>:dfv('DNR',8189,8196))08/31/200740.0609/12/200744.07-0.42%10.71%10.00%4.82%2.65%8.89%15.10%40.01%PROFIT STOPVNQ (http://javascript<b></b>:dfv('VNQ',8189,8194))08/31/200769.5109/10/200768.05-2.81%2.14%-2.10%-1.15%-3.68%-0.14%8.24%1.42%TRIGGERSU (http://javascript<b></b>:dfv('SU',8189,8200))08/31/200789.7609/18/200798.74-1.05%11.53%10.00%2.08%0.74%6.82%5.14%19.75%PROFIT STOPSPY (http://javascript<b></b>:dfv('SPY',8190,8194))09/04/2007148.2009/10/2007146.52-1.98%0.28%-1.13%-0.05%-0.48%2.87%5.59%3.28%TRIGGERHP (http://javascript<b></b>:dfv('HP',8190,8207))09/04/200732.3009/27/200733.61-2.51%7.46%4.06%-0.56%0.46%4.77%1.21%-5.88%TRIGGERXLB (http://javascript<b></b>:dfv('XLB',8190,8194))09/04/200739.2509/10/200738.96-1.73%1.27%-0.74%0.76%-0.94%5.22%10.83%8.87%TRIGGERVLO (http://javascript<b></b>:dfv('VLO',8190,8195))09/04/200770.1209/11/200768.05-4.59%3.11%-2.95%0.39%-3.17%0.11%2.95%-0.68%TRIGGERVPL (http://javascript<b></b>:dfv('VPL',8190,8192))09/04/200767.8309/06/200768.38-0.44%0.24%0.81%0.65%0.69%1.84%10.14%9.69%TRIGGERIC F (http://javascript<b></b>:dfv('ICF',8190,8194))09/04/200790.4409/10/200787.94-3.72%0.00%-2.76%-1.39%-2.87%2.12%9.06%2.37%TRIGGERGLBL (http://javascript<b></b>:dfv('GLBL',8192,8195))09/06/200724.8009/11/200724.17-4.35%0.77%-2.54%-3.27%-0.65%1.49%7.38%2.18%TRIGGERNFX (http://javascript<b></b>:dfv('NFX',8192,8206))09/06/200746.1209/26/200747.05-3.86%7.26%2.02%-1.71%-1.56%3.86%11.56%14.72%TRIGGERGLBL (http://javascript<b></b>:dfv('GLBL',8195,8200))09/11/200724.8009/18/200724.27-2.14%1.85%-2.14%-0.65%1.37%4.11%4.35%6.65%TRIGGERAMGN (http://javascript<b></b>:dfv('AMGN',8195,8205))09/11/200755.2209/25/200755.08-1.52%3.71%-0.25%3.44%1.43%-0.62%2.83%4.84%TRIGGERMXI (http://javascript<b></b>:dfv('MXI',8195,8200))09/11/200770.1409/18/200771.31-0.04%2.44%1.67%1.58%5.43%10.95%14.46%15.90%TRIGGER SPY (http://javascript<b></b>:dfv('SPY',8196,8220))09/12/2007148.5510/16/2007154.41-0.62%6.04%3.94%0.24%3.24%2.45%3.84%-0.43%TRIGGERUPL (http://javascript<b></b>:dfv('UPL',8196,8208))09/12/200756.8009/28/200762.48-4.40%10.02%10.00%-0.83%-1.43%4.00%23.01%20.39%PROFIT STOPEZU (http://javascript<b></b>:dfv('EZU',8197,8200))09/13/2007113.2909/18/2007114.30-0.99%0.79%0.89%-0.61%4.51%6.34%9.17%9.94%TRIGGERMSFT (http://javascript<b></b>:dfv('MSFT',8197,8200))09/13/200728.9809/18/200728.70-1.24%0.45%-0.97%-0.86%-1.93%1.76%7.52%19.88%TRIGGERTRMB (http://javascript<b></b>:dfv('TRMB',8197,8205))09/13/200735.3709/25/200738.91-0.79%11.25%10.00%3.70%4.61%12.58%19.62%13.18%PROFI T STOPLNC (http://javascript<b></b>:dfv('LNC',8197,8215))09/13/200762.5310/09/200768.78-0.85%10.67%10.00%0.03%3.76%4.72%6.00%-2.21%PROFIT STOPVNQ (http://javascript<b></b>:dfv('VNQ',8197,8206))09/13/200768.7509/26/200771.29-0.57%6.84%3.69%0.96%3.75%5.06%4.96%-3.29%TRIGGERICF (http://javascript<b></b>:dfv('ICF',8197,8213))09/13/200788.5410/05/200798.23-0.14%12.38%10.94%0.98%4.34%5.68%4.30%-3.30%PROFIT STOPXLB (http://javascript<b></b>:dfv('XLB',8198,8215))09/14/200739.6810/09/200743.65-0.55%10.38%10.00%4.08%4.76%6.12%5.14%4.66%PROFIT STOPVLO (http://javascript<b></b>:dfv('VLO',8198,8200))09/14/200769.1209/18/200768.71-2.47%0.13%-0.59%1.56%2.79%-2.81%-0.94%-0.87%TRIGGEREZU (http://javascript<b></b>:dfv('EZU',8200,8221))09/18/2007118.0710/17/2007123.68-0.25%5.66%4.75%0.28%0.66%3.19%4.10%4.44%TRIGGERGLB L (http://javascript<b></b>:dfv('GLBL',8200,8213))09/18/200725.0410/05/200727.54-1.36%11.82%10.00%0.52%3.12%3.87%2.40%-3.19%PROFIT STOPXLF (http://javascript<b></b>:dfv('XLF',8200,8205))09/18/200735.3209/25/200733.94-3.79%0.99%-3.91%-1.70%-3.60%0.14%-6.06%-10.33%TRIGGERVPL (http://javascript<b></b>:dfv('VPL',8200,8220))09/18/200770.0010/16/200772.90-0.74%7.86%4.14%-0.30%1.11%5.09%3.60%1.50%TRIGGERVLO (http://javascript<b></b>:dfv('VLO',8200,8206))09/18/200770.6409/26/200769.70-2.87%1.32%-1.33%-0.78%-2.53%-3.88%-3.28%-0.45%TRIGGERTSO (http://javascript<b></b>:dfv('TSO',8203,8208))09/21/200750.5109/28/200747.24-6.93%3.48%-6.47%0.99%-8.89%-3.44%27.66%10.55%TRIGGERMSFT (http://javascript<b></b>:dfv('MSFT',8204,8224))09/24/200729.1410/22/200730.12-0.10%7.17%3.36%1.24%2.16%2.40%18.63%16.54%TRIGGERA SCA (http://javascript<b></b>:dfv('ASCA',8207,8212))09/27/200728.4210/04/200727.48-3.84%2.04%-3.31%1.27%-3.59%-5.67%12.49%7.07%TRIGGERXLF (http://javascript<b></b>:dfv('XLF',8207,8209))09/27/200734.2210/01/200734.13-0.18%0.94%-0.26%2.19%3.74%3.19%-6.49%-14.47%TRIGGERSLM (http://javascript<b></b>:dfv('SLM',8208,8216))09/28/200750.4010/10/200748.65-3.87%0.00%-3.47%-0.62%-1.79%-3.87%-10.91%-26.85%TRIGGERISCA (http://javascript<b></b>:dfv('ISCA',8210,8218))10/02/200748.4310/12/200747.50-6.26%8.22%-1.92%-1.84%0.62%-1.90%-9.23%-11.03%TRIGGERXRM (http://javascript<b></b>:dfv('XRM',8213,8220))10/05/20075.7910/16/20075.52-5.87%3.11%-4.66%-4.15%-1.90%-13.64%-23.66%4.15%TRIGGERTSO (http://javascript<b></b>:dfv('TSO',8214,8216))10/08/200749.9910/10/200754.99-0.32%11.18%10.00%10.52%9.90%5.76%8.36%-4.44%PROFIT STOPVLO (http://javascript<b></b>:dfv('VLO',8214,8222))10/08/200771.2510/18/200770.62-1.82%6.19%-0.88%4.21%3.54%-4.00%-4.29%-9.84%TRIGGERHP (http://javascript<b></b>:dfv('HP',8216,8222))10/10/200733.3210/18/200732.66-4.38%1.23%-1.98%-1.02%-2.16%-6.48%-7.05%9.21%TRIGGERHP (http://javascript<b></b>:dfv('HP',8222,-1))10/18/200732.64---7.05%0.00%-%-4.35%-4.56%-3.98%6.71%11.40%OPENASCA (http://javascript<b></b>:dfv('ASCA',8224,8227))10/22/200728.1610/25/200730.98-0.53%11.22%10.00%4.47%7.78%8.35%2.98%0%PROFIT STOPLNC (http://javascript<b></b>:dfv('LNC',8224,8232))10/22/200765.9011/01/200761.97-7.56%2.26%-5.96%-2.26%1.47%-9.18%-12.56%0%TRIGGERENR (http://javascript<b></b>:dfv('ENR',8225,8230))10/23/2007111.7510/30/2007102.81-11.23%2.28%-8.00%0.43%-8.51%-2.55%-1.63%0%STOP LOSS

Wow...Forget MARL, I'd like to subscribe to LUCI. Where do I sign up?

I'm glad to be learning. Thanks for sharing!

-Kevin

[Luc1Grunt]

Hey Grunt...are you running these at SF? I think this would be a good way for me to test my knowledge of building a filter.

Net: what are you thinking of as your maximum and minimum holding times?

Thanks for the ideas guys!

Here is a simple system I have been playing with for sub-$ plays:
Show stocks where RSI(5) has been increasing over the last 2 days
and RSI(5) crossed above 21
and Average Volume(10) is above 100000
and close is below 1

I am learning that it is all in the exit

Yes to SF.

Pinguin....amateurs concern themselves with entries, veterans with exits. You are on a good road!!!

How is the RSI(5) scan/system working? Have you noticed a change from 15 Dec?

[Pinguin]

Thanks...

I have been on some interesting projects at work, and the MS in Stats is back so my time is limited. This being said, my time to trade is being limited so I am looking a little longer term. Here is my current filter, notice the 5 changed to a 15 and the volume has changed. My stock pick on the weekly challenge came from this system, so it is showing some positive signs. My challenge is still picking my exit because if I would have went with my gut I would have gotten out of etfc at 3.5 instead of letting it ride.

RSI(15) crossed above 30 within last 3 days and
MACD crossed above -1 within last 3 days and
volume above 250000 and
price is between 1 and 10

I am going to play with RSI(5) after the first quarter. Until then I am going to stick with RSI(15).

[Luc1Grunt]

Thanks...

I have been on some interesting projects at work, and the MS in Stats is back so my time is limited. This being said, my time to trade is being limited so I am looking a little longer term. Here is my current filter, notice the 5 changed to a 15 and the volume has changed. My stock pick on the weekly challenge came from this system, so it is showing some positive signs. My challenge is still picking my exit because if I would have went with my gut I would have gotten out of etfc at 3.5 instead of letting it ride.

RSI(15) crossed above 30 within last 3 days and
MACD crossed above -1 within last 3 days and
volume above 250000 and
price is between 1 and 10

I am going to play with RSI(5) after the first quarter. Until then I am going to stick with RSI(15).

Are you using a baseline as the initial exit?

Such as....nearest resistance, fib, target %?

I ask because a risk to reward of 2:1 will make this a profitable system.

You are becoming the casino. :idea:

[Pinguin]

My initial exit is (general speaking as I have not formulated a rule, yet) is the previous support depending on the distance. My goal is a mere 10% a trade, hahaha, on a wash-rinse-repeat cycle.

I haven't played with setting up the risk-to-reward measures yet at stockfetcher, but it is on the todo list. There is a bunch of knowledge over there.

[Luc1Grunt]

My initial exit is (general speaking as I have not formulated a rule, yet) is the previous support depending on the distance. My goal is a mere 10% a trade, hahaha, on a wash-rinse-repeat cycle.

I haven't played with setting up the risk-to-reward measures yet at stockfetcher, but it is on the todo list. There is a bunch of knowledge over there.

Probabilities

Probabilities

Probabilities

$

[Luc1Grunt]

Here's a simple system..off the top of my head.

Long Strategy...so easy a caveman could do it.

Enter on the open the day after the MA(5) crosses above the MA(10) and RSI(14) is below 30. Average volume of stocks must be above 500,000. Price of stocks between $20 and $50.

Stop loss 6%

Profit Stop 12%

Max trades per day 10 (top 10 only from scan sorted by highest volume)

Exit when stops hit OR the open the day after MA(5) crosses below MA(10)

Minimum holding day 1

Max holding day 3

Backtest conducted for 1 Oct 07 to 1 Feb 08 (downtrending market)



Trade StatisticsThere were 18 total stocks entered. Of those, 16 or 88.89% were complete and 2 or 11.11% were open. Of the 16 completed trades, 9 trades or 56.25%resulted in a net gain.Your average net change for completed trades was: 2.11%.The average draw down of your approach was: -2.72%.The average max profit of your approach was: 4.85%The Reward/Risk ratio for this approach is: 2.21Annualized Return on Investment (ROI): 320.53%, the ROI of ^SPX was: -25.09%.

[T-Noob]

Could someone please direct me to the newbie forum please ?....Thank you.

[Luc1Grunt]

Could someone please direct me to the newbie forum please ?....Thank you.

Likely all you need at THIS point. All will help you speed the process and that is the point of this forum. Welcome.

Good luck in your education...that's what this is all about. Grunt

http://tinyurl.com/2jg6yv

http://tinyurl.com/2j7w87

http://tinyurl.com/2w7hhw

[Luc1Grunt]

We'll call it "The Caveman Can Do It" System. With some crafty language, you could probably sell this for $47.




Performance Symbol (http://javascript<b></b>:BTSort(1))Trigger Date (http://javascript<b></b>:BTSort(2))Entry Price (http://javascript<b></b>:BTSort(6))Exit Date (http://javascript<b></b>:BTSort(7))Exit Price (http://javascript<b></b>:BTSort(8))Draw Down (http://javascript<b></b>:BTSort(9))Max Profit (http://javascript<b></b>:BTSort(10))Gain/ (http://javascript<b></b>:BTSort(11))
Loss (http://javascript<b></b>:BTSort(11))1 day chg (http://javascript<b></b>:BTSort(15))2 day chg (http://javascript<b></b>:BTSort(16))3 day chg (http://javascript<b></b>:BTSort(17))5 day chg (http://javascript<b></b>:BTSort(18))10 day chg (http://javascript<b></b>:BTSort(19))Exit Type (http://javascript<b></b>:BTSort(12))NCR (http://javascript<b></b>:dfv('NCR',8218,8222))10/12/200726.3110/18/200726.38-0.87%1.37%0.27%0.84%-0.11%0.99%-2.58%-1.52%BUY-HOLDBAC (http://javascript<b></b>:dfv('BAC',8232,8234))11/01/200746.0211/05/200743.90-3.91%0.24%-4.61%-1.98%-3.41%-1.00%-5.48%-4.22%TRIGGERWCG (http://javascript<b></b>:dfv('WCG',8236,8237))11/07/200732.0111/08/200730.09-6.09%2.53%-6.00%-0.03%4.19%10.28%8.12%15.93%STOP LOSSABFS (http://javascript<b></b>:dfv('ABFS',8242,8243))11/15/200724.9911/16/200723.49-7.20%0.00%-6.00%-5.92%-9.08%-11.20%-10.36%-8.76%STOP LOSSJWN (http://javascript<b></b>:dfv('JWN',8243,8246))11/16/200732.0211/21/200734.00-4.87%10.09%6.18%-4.68%6.84%9.15%8.96%6.37%TRIGGERC (http://javascript<b></b>:dfv('C',8243,8245))11/16/200732.8511/20/200730.88-6.24%0.97%-6.00%-2.59%-4.41%-6.45%-6.54%0.64%STOP LOSSOIS (http://javascript<b></b>:dfv('OIS',8247,8249))11/23/200733.2911/27/200732.36-2.52%1.74%-2.79%-2.34%-1.59%-0.48%-4.75%-6.07%TRIGGERPPC (http://javascript<b></b>:dfv('PPC',8249,8253))11/27/200724.6112/03/200726.27-0.37%6.62%6.75%2.15%4.19%5.97%9.79%15.36%BUY-HOLDBKD (http://javascript<b></b>:dfv('BKD',8250,8252))11/28/200729.3511/30/200732.87-0.27%13.12%12.00%6.10%12.78%12.47%14.14%7.09%PROFI T STOPDBD (http://javascript<b></b>:dfv('DBD',8253,8257))12/03/200732.9512/07/200733.990.00%3.07%3.16%1.46%1.79%2.82%3.40%-1.70%BUY-HOLDLEAP (http://javascript<b></b>:dfv('LEAP',8253,8256))12/03/200734.2112/06/200738.32-3.77%12.22%12.00%6.23%8.01%11.72%22.04%-0.73%PROFIT STOPAMGN (http://javascript<b></b>:dfv('AMGN',8271,8273))12/28/200746.8401/02/200846.60-1.35%0.09%-0.51%-0.85%-0.51%-2.46%-3.10%2.33%TRIGGERCYMI (http://javascript<b></b>:dfv('CYMI',8284,8288))01/17/200833.2301/24/200834.98-3.70%5.03%5.27%1.69%2.44%4.94%1.17%-16.43%BUY-HOLDSVU (http://javascript<b></b>:dfv('SVU',8286,8290))01/22/200826.9901/28/200829.31-0.19%10.78%8.60%10.04%9.30%8.26%10.82%8.26%BUY-HOLDBYD (http://javascript<b></b>:dfv('BYD',8291,-1))01/29/200825.70---4.24%5.02%-%-2.37%3.85%6.65%4.09%0%OPENNFP (http://javascript<b></b>:dfv('NFP',8291,8293))01/29/200834.7201/31/200834.06-1.12%3.40%-1.90%-0.17%3.63%11.92%6.77%0%TRIGGERHAR (http://javascript<b></b>:dfv('HAR',8291,-1))01/29/200843.33---0.37%8.82%-%3.53%7.20%10.78%5.54%0%OPENSNCR (http://javascript<b></b>:dfv('SNCR',8292,8294))01/30/200820.5002/01/200822.00-1.12%6.39%7.32%3.90%10.73%14.39%0%0%TRIGGER

[brimstone]

Grunt,

First thanks for the newbie post (#34). Appreciate your thoughts for all us just trying to build a system for the first time. With that in mind, you mentioned in another forum that all we need to do is follow chart guru’s “system”.

I realize you meant that as a starting point, etc. But I cannot seem to locate what you’re referring too. Was chart guru a poster? Can’t seem to find anything here… Anyway, I am sure this is obvious and I’m just missing something. If anyone could point me in the right direction I would greatly appreciate it.

Also, Aiki mentioned stockfetchr.com. It seems more basic that the other sites I’ve viewed and very inexpensive. (again, it’s hard to determine value when you don’t have a good reference… i.e. newbie). I was wondering if anybody else used this site in their active trading or of it’s just a good stepping-stone. Thanks.


Brim

[Luc1Grunt]

Grunt,

First thanks for the newbie post (#34). Appreciate your thoughts for all us just trying to build a system for the first time. With that in mind, you mentioned in another forum that all we need to do is follow chart guru’s “system”.

I realize you meant that as a starting point, etc. But I cannot seem to locate what you’re referring too. Was chart guru a poster? Can’t seem to find anything here… Anyway, I am sure this is obvious and I’m just missing something. If anyone could point me in the right direction I would greatly appreciate it.

Also, Aiki mentioned stockfetchr.com. It seems more basic that the other sites I’ve viewed and very inexpensive. (again, it’s hard to determine value when you don’t have a good reference… i.e. newbie). I was wondering if anybody else used this site in their active trading or of it’s just a good stepping-stone. Thanks.


Brim

I have used SF for a long time and have plugged it on this site. It is the best I have found in doing what I want it to do. There is a significant amount of skillful traders there. Read everything. The forums are great for getting coding questions asked, but do some leg-work on your own before posing a question. May save you some grief.

As I have said, I posted a "system" to create a spark. I do not necessarly use these, but I use a system approach that is consistently profitable.

Read this thread for TheChartGuru explanation of his system.

http://www.onlinetradersforum.com/showthread.php?t=17705

If you need help on SF, pm me.

Glad to see you are looking for your own system as opposed to chasing picks....in the long run you may thank these words of advice.

Grunt

[aiki14]

Grunt,

First thanks for the newbie post (#34). Appreciate your thoughts for all us just trying to build a system for the first time. With that in mind, you mentioned in another forum that all we need to do is follow chart guru’s “system”.

I realize you meant that as a starting point, etc. But I cannot seem to locate what you’re referring too. Was chart guru a poster? Can’t seem to find anything here… Anyway, I am sure this is obvious and I’m just missing something. If anyone could point me in the right direction I would greatly appreciate it.

Also, Aiki mentioned stockfetchr.com. It seems more basic that the other sites I’ve viewed and very inexpensive. (again, it’s hard to determine value when you don’t have a good reference… i.e. newbie). I was wondering if anybody else used this site in their active trading or of it’s just a good stepping-stone. Thanks.


Brim

Brim,
I don't believe I mentioned Stockfetchr, while I have not to my knowledge ever heard anything negative about it, I have never used it.

[Luc1Grunt]

Grunt,

First thanks for the newbie post (#34). Appreciate your thoughts for all us just trying to build a system for the first time. With that in mind, you mentioned in another forum that all we need to do is follow chart guru’s “system”.

I realize you meant that as a starting point, etc. But I cannot seem to locate what you’re referring too. Was chart guru a poster? Can’t seem to find anything here… Anyway, I am sure this is obvious and I’m just missing something. If anyone could point me in the right direction I would greatly appreciate it.

Also, Aiki mentioned stockfetchr.com. It seems more basic that the other sites I’ve viewed and very inexpensive. (again, it’s hard to determine value when you don’t have a good reference… i.e. newbie). I was wondering if anybody else used this site in their active trading or of it’s just a good stepping-stone. Thanks.


Brim

Here is the coding for SF I posted on the thread I referred you to. Very simple. Questions, let me know.



Luc1Grunt (http://www.onlinetradersforum.com/member.php?u=897)
forum leader
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http://www.onlinetradersforum.com/customavatars/avatar897_5.gif (http://www.onlinetradersforum.com/member.php?u=897)

Join Date: Sep 2005
Posts: 2,107
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http://www.onlinetradersforum.com/images/icons/icon1.gif Re: moving averages / COIN ready to move
show stocks where
MA(8 ) is below MA(15)
and MA(15) is below MA(30)
and MA(30) is below MA(51)
and close is below MA(8 )
and close between 1 and 15
and volume(30) above 250000
and RSI(15) below 30
*** and weekly RSI(2) below 10
draw MA(8 )
draw MA(15)
draw MA(30)
draw MA(51)
and MACD below -1

Adjust intra-day plots to acomodate the MA's on the 5 minute charts as Frank shows above. Added weekly RSI(2) since it is a 2-3 day hold.

Simple to backtest....adjust entry/exit/stop criteria as needed.

Frank, you may want to re-name yourself as "MA Guru".

[brimstone]

Aiki,

My apologies... It was actually from Grunt - post #3 in the “writing a trading system” thread. I’ll be more careful in the future, wasn’t trying to speak for you:frown:. I’ve read so many posts recently and for newbie... it’s easy to get your and grunt’s posts intermingled. No harm intended.

Brim

[T-Noob]

Likely all you need at THIS point. All will help you speed the process and that is the point of this forum. Welcome.

Good luck in your education...that's what this is all about. Grunt

http://tinyurl.com/2jg6yv

http://tinyurl.com/2j7w87

http://tinyurl.com/2w7hhw


TYVM Grunt :idea: Hopefully one day i'll be spewing out numbers in this forum in the same manner as you "educated" traders. :D

[netwrangler]

TYVM Grunt :idea: Hopefully one day i'll be spewing out numbers in this forum in the same manner as you "educated" traders. :DT-Noob,
Grunt is a resource.

You [and I] may aspire to spew out numbers.
We may push the peanut forward.
I doubt, though, that our 'numbers' will be like Grunt's numbers.

Thanks, Grunt, for being generous with your knowledge. ;)

[Keventerprises]

Here's a simple system..off the top of my head.

Long Strategy...so easy a caveman could do it.

Enter on the open the day after the MA(5) crosses above the MA(10) and RSI(14) is below 30. Average volume of stocks must be above 500,000. Price of stocks between $20 and $50.

Stop loss 6%

Profit Stop 12%

Max trades per day 10 (top 10 only from scan sorted by highest volume)

Exit when stops hit OR the open the day after MA(5) crosses below MA(10)

Minimum holding day 1

Max holding day 3

Backtest conducted for 1 Oct 07 to 1 Feb 08 (downtrending market)


Here is the coding for SF I posted on the thread I referred you to. Very simple. Questions, let me know.



Luc1Grunt (http://www.onlinetradersforum.com/member.php?u=897)
forum leader
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Join Date: Sep 2005
Posts: 2,107
http://www.onlinetradersforum.com/images/reputation/reputation_pos.gif


http://www.onlinetradersforum.com/images/icons/icon1.gif Re: moving averages / COIN ready to move
show stocks where
MA(8 ) is below MA(15)
and MA(15) is below MA(30)
and MA(30) is below MA(51)
and close is below MA(8 )
and close between 1 and 15
and volume(30) above 250000
and RSI(15) below 30
*** and weekly RSI(2) below 10
draw MA(8 )
draw MA(15)
draw MA(30)
draw MA(51)
and MACD below -1

Adjust intra-day plots to acomodate the MA's on the 5 minute charts as Frank shows above. Added weekly RSI(2) since it is a 2-3 day hold.

Simple to backtest....adjust entry/exit/stop criteria as needed.

Frank, you may want to re-name yourself as "MA Guru".

Hi Grunt and Net,
Stock Fetcher is awesome, thank you for the recommendation and input regarding SF!

When building a filter, is there a way to add an element to the criteria to screen for the amount of divergence between the Price and MA(5) prior to the price crossing above MA(5)? When that gap gets bigger and farther below the MA, the swing through and above the MA(5) seems both more likely and more extreme to the upside, and seems like it would indicate pending momentum. Any thoughts or suggestions?

Thanks again, I'm learning and love the science aspect of this.

[Luc1Grunt]

Hi Grunt and Net,
Stock Fetcher is awesome, thank you for the recommendation and input regarding SF!

When building a filter, is there a way to add an element to the criteria to screen for the amount of divergence between the Price and MA(5) prior to the price crossing above MA(5)? When that gap gets bigger and farther below the MA, the swing through and above the MA(5) seems both more likely and more extreme to the upside, and seems like it would indicate pending momentum. Any thoughts or suggestions?

Thanks again, I'm learning and love the science aspect of this.

Kev, I've never built a filter based on divergence or coded for divergences of MAs. Search is down, but if you do not find it, post it for help on the filter forum. There are some "set statement" geniuses there.

You could try some basic "close increasing x days below MA(5)" or set a percentage drop x days ago.

A tie with RSI(2) or RSI(5) could prove worth while as well.

[Keventerprises]

Kev, I've never built a filter based on divergence or coded for divergences of MAs. Search is down, but if you do not find it, post it for help on the filter forum. There are some "set statement" geniuses there.

You could try some basic "close increasing x days below MA(5)" or set a percentage drop x days ago.

A tie with RSI(2) or RSI(5) could prove worth while as well.

Hi Luc,
It seems that it is not only difficult to call a bottom or a turnaround, but the price tends to stay on one side or the other for some time and so I'm looking at the RSI(15) shooting from preferably <30 straight through 45 and hence the price shooting north in a vertical triangle. That may have been what the thread 'Triangles and Training Wheels' was about, I hadn't gotten to this point yet to have known that, but when the price pulls up hard enough to swing through the MA(5) AND the MA(10) enough to pull them both up as it shoots through 45 and on it's way through 50 on the RSI(15) it tends to stay on the upside of both for some time until it hits 60-65 on the RSI(15) just as they tend to stay below both and create the 'Gutter' stocks in Chart Guru's example. A rise of 5-10 on the RSI(15) that passes through 45 tends to go straight on up, and even when it bounces a few times they tend to run there for awhile and stay on the north side of both the MA(5) and MA(10). You miss the first day, but you know more consistently when it has finally turned around, rather than try to call a bottom. The momentum tends to continue either way until it goes above 60 or below 30 on the RSI(15).

When I noticed on CG's Chart that the extreme run down also worked the other way, I built a filter that works the other way, possibly against logic, but not looking for going down, but when it's going up, and I am a very value oriented person. Again, you miss the first day, but it seems to hold consistently up for more than that, and you're not guessing as much when it will go up, because it has already shown itself to be going that way.

My Day Trader Filter so far is as follows:
RSI(15) gained 10 in last 1 day
Price is above MA(5)
Price is above MA(10)
Price is between 2-40
Volume(10) is above 100,000

This tends to be nearly vertical triangles as the price pulls up both the MA(5) and the MA(10) and keep going at least short term and then get out when RSI(15) crosses above 60.

Thanks for your reply and input. Still working on it. Please share your thoughts and visions! Peace.

Here's where I would have bought in at on even a wild ride such as GAP:

2673

[Luc1Grunt]

Hi Luc,
It seems that it is not only difficult to call a bottom or a turnaround, but the price tends to stay on one side or the other for some time and so I'm looking at the RSI(15) shooting from preferably <30 straight through 45 and hence the price shooting north in a vertical triangle. That may have been what the thread 'Triangles and Training Wheels' was about, I hadn't gotten to this point yet to have known that, but when the price pulls up hard enough to swing through the MA(5) AND the MA(10) enough to pull them both up as it shoots through 45 and on it's way through 50 on the RSI(15) it tends to stay on the upside of both for some time until it hits 60-65 on the RSI(15) just as they tend to stay below both and create the 'Gutter' stocks in Chart Guru's example. A rise of 5-10 on the RSI(15) that passes through 45 tends to go straight on up, and even when it bounces a few times they tend to run there for awhile and stay on the north side of both the MA(5) and MA(10). You miss the first day, but you know more consistently when it has finally turned around, rather than try to call a bottom. The momentum tends to continue either way until it goes above 60 or below 30 on the RSI(15).

When I noticed on CG's Chart that the extreme run down also worked the other way, I built a filter that works the other way, possibly against logic, but not looking for going down, but when it's going up, and I am a very value oriented person. Again, you miss the first day, but it seems to hold consistently up for more than that, and you're not guessing as much when it will go up, because it has already shown itself to be going that way.

My Day Trader Filter so far is as follows:
RSI(15) gained 10 in last 1 day
Price is above MA(5)
Price is above MA(10)
Price is between 2-40
Volume(10) is above 100,000

This tends to be nearly vertical triangles as the price pulls up both the MA(5) and the MA(10) and keep going at least short term and then get out when RSI(15) crosses above 60.

Thanks for your reply and input. Still working on it. Please share your thoughts and visions! Peace.

Here's where I would have bought in at on even a wild ride such as GAP:

2673

What did the backtest show for # stocks selected over the period or did you use a symlist? Looks good for day trades with a lot of shares.