Village Elder
231 posts
msg #148300
- Ignore Village Elder |
6/28/2019 2:14:16 PM
@KSK8 - you are crushing it on your trades. Well done.
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mahkoh
1,065 posts
msg #148301
- Ignore mahkoh |
6/29/2019 11:50:00 AM
I was testing the filter you posted on the holy grail thread using reversersi(2) as alternative exit for covering at the close. Backtesting and optimization were done with Stratasearch. I don't remember the exact filter, but it was rather basic, something like close>2 and roc(2)> 30 and your liquidity criteria. It returned some 1200 trades over a 3 year period with a 185 % compounded annual return. I did trade this for a few months using $500 positions to see whether I would get filled. I was actually surprised that more often than not I was able to get a hold of shares to short at IB. Results were not as stellar as the backtest however, and I noticed many trades reversing during the session to end up a loss.
Further testing and adding criteria I found a few things: high average volume decreases the chance of succes and volume should at least be 10 times average volume(30). And it helps if a significant part of the float was traded.
During the first testperiod I usually got somewhere between 5 and 15 candidates. I would set up orders for the top ten and see which would get a fill. Now I pick no more than 2, but the last few trades IB has not been able to find shares.
Anyway, my filter as of now:
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KSK8
561 posts
msg #148308
- Ignore KSK8 |
6/29/2019 5:24:55 PM
Interesting, check this one out;
I've based some of my very successful trades from this one alone.
It only yields candidates a few times a month, BUT it is one of the most reliable 1 day shorting filters I've come up with. Most accurate as well. I'm comfortable making it public as I have others similar that I can rely on.
I would love to backtest this with Stratasearch. However, if I recall, Stratasearch does not have max and min components which this filter has in it. Not sure if there's a way around it...
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four
5,087 posts
msg #148309
- Ignore four
modified |
6/29/2019 6:14:56 PM
StrataSearch has absolute?
----------------------------------------------- StockFetcher
set{x4, abs(open minus close)}
add column x4
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mahkoh
1,065 posts
msg #148315
- Ignore mahkoh |
6/30/2019 6:22:21 AM
I had to adjust a few statements in order to run it with economy class subscription. It suggests FRSX which I also have as first on the list.
Stratasearch has min/max functions, but they're called lower and higher. Also abs() is available.
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KSK8
561 posts
msg #148319
- Ignore KSK8 |
6/30/2019 4:21:48 PM
This one should work for everyone. The accuracy and large returns this entails is something to marvel.
Keep in mind, this yields candidates a few times per month. But the prospect of patience is the backbone of why my callout thread has induced close to a 1000% return in mere months.
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SFMc01
358 posts
msg #148358
- Ignore SFMc01 |
7/3/2019 6:09:51 PM
KSK8: Have you tried various stop-loss strategies?
Thanks,
Steve
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KSK8
561 posts
msg #148382
- Ignore KSK8 |
7/5/2019 11:46:43 AM
SFMc01,
I find stop losses to be only necessary when you 'anticipate' where the price is going.
In my trading, I rarely use stop losses because I 'expect' where the price is going.
That's why my trades are so successful. Stop losses would only slow me down.
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Village Elder
231 posts
msg #148389
- Ignore Village Elder |
7/5/2019 8:08:04 PM
Corvus - CRVS. Short at the open on Monday.
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KSK8
561 posts
msg #148391
- Ignore KSK8 |
7/5/2019 10:36:41 PM
I wouldn't play it since it didn't come on my scanner but it looks exhausted so it might be a good short.
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