sohailmithani
192 posts
msg #109255
- Ignore sohailmithani |
12/10/2012 2:32:25 PM
Hi Kevin,
Did you do a trade by trade comparison of SS and SF to see if they both pick the same stocks and at same or similar prices and exit too at same or similar prices?
I have recently got AmiBroker. I coded one of my existing filters in SF and compared trade by trade results. Was surprised to see that there were stocks picked by SF but not AB and vice versa. Not sure which one to trust with backtest results.
I even used a very basic code in both SF and AB to say buy stocks close > 5 and when rsi(2) < 10 and exit when rsi(2) > 75 but results were not very close in terms of trade picking.
Anyone has done and such comaprison?
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Kevin_in_GA
4,599 posts
msg #109256
- Ignore Kevin_in_GA
modified |
12/10/2012 2:52:29 PM
Make sure that you can actually see every trade. SF tends to select by volume descending, while others might use a default of Alphabetical". Given a set portfolio size the results stock selections would look very different even though the total set of stocks selected are identical.
As to my actually doing this here, I have other things I would rather do - almost anything would probably qualify!
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dcsnowden
52 posts
msg #109308
- Ignore dcsnowden |
12/12/2012 10:16:40 AM
Plenty of triggers over the last week......but no fills....last one was EDU I think.....maybe today. I like the mechanical nature of this one...a real KISS filter with plenty of lead time so that no snap decisions are required. Would like to get more of a "FEEL" for it in real time though.....compare the winners and losers over some length of time. I tend to be a bargain hunter....this can make one susceptable to those dangerous ol' FALLING KNIVES.....which is why I wish more ETFs would show up. Perhaps loosening up the parameters a bit....8 or maybe 6% total drawdown over the 2 days instead of 12%, not quite so much volume....any ideas???
.......DCS
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BarTune1
441 posts
msg #109343
- Ignore BarTune1 |
12/12/2012 8:28:51 PM
It is easy to get more candidates by loosening up the parameters. However, is that what you really want? Diminished returns? You'll be waiting a long time if you want to see a lot of ETFs show up on this filter given their lower volitility. If you want to play ETFs there are some Connors ETF filters posted in the threads.
My advice is to wait it out and only take the strongest statistical plays.
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gmg733
788 posts
msg #109347
- Ignore gmg733
modified |
12/12/2012 10:38:29 PM
CBMX hit today. What is interesting is you'll be out of this trade based upon the exit rules. RSI(2) was above the exit upon entry.
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RobtF
16 posts
msg #109348
- Ignore RobtF |
12/13/2012 6:12:57 AM
ACAD hit on my filter 12/10. Nice profit taken.
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RobtF
16 posts
msg #109349
- Ignore RobtF |
12/13/2012 6:38:53 AM
"CBMX hit today. What is interesting is you'll be out of this trade based upon the exit rules. RSI(2) was above the exit upon entry
hit today."
Are you sure/ It was down 6% on the day and RSI(2) was > 50?
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Kevin_in_GA
4,599 posts
msg #109351
- Ignore Kevin_in_GA |
12/13/2012 7:15:52 AM
CBMX did work - remember that the low is intraday, but the RSI(2) is calculated at the close. There was a 6+% pullback on what ended up being a white candle.
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duke56468
683 posts
msg #109353
- Ignore duke56468 |
12/13/2012 9:03:10 AM
CBMX I get RSI(2) @ 20.75 so you would still be in it.
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dcsnowden
52 posts
msg #109354
- Ignore dcsnowden |
12/13/2012 9:07:37 AM
Yep, your right Bar Tune, this is definitely a filter looking for volitilty.... some of the 3Xer ETFs might show up now and then...we'll see
But as to CBMX
Should one really feel comfortable buying a stock that was $2 a few days ago...and then spiked to $14....just because it fit our model? I know I said I like the KISS aspect of this filter...but...I'm still going to check the charts and see if it's in some sort of consistent pattern....which this clearly wasn't. I think they do genetic research...possibly pharma related..seems like these groups are always spiking up and down depending on the latest news....I just don't trust 'em, but anyway.. Kevin is right. It worked....you would've gotten in around 10 in the morning at $8.15 and out at rsi(2) above 50 at some point or the close at $9.11 for a nice profit.
RobtF which filter are youn using to get ACAD?
............DCS
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