shillllihs
6,086 posts
msg #130090
- Ignore shillllihs |
7/27/2016 2:05:00 PM
Fantastic, share your marvelous filter...
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Kevin_in_GA
4,599 posts
msg #130091
- Ignore Kevin_in_GA |
7/27/2016 2:18:26 PM
I wouldn't call it marvelous just yet ... anyone can occasionally get three wins on a given day.
The filter is not any rocket science. It simply looks for optionable, liquid stocks that have closed above their upper BB(20,3) for the last two days. I have not run this one through my usual backtesting in StrataSearch, and you need to look at each stock just in case the big move is triggered by an event that is likely to resist mean-reversion (e.g., a buy out or merger).
Here you go:
Today you would avoid LOGM since it has moved based on a buyout from Citrix, but the others are looking reasonable for a short term pullback. Doesn't always happen, but it happens more often than not, and at a bigger return than what you might lose when the stock moves higher. Occasionally there is another big move up (like 8-10%) and in that case I probably would double down.
The user-defined variable tradesize can be set for whatever your typical trading size might be.
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Kevin_in_GA
4,599 posts
msg #130094
- Ignore Kevin_in_GA |
7/27/2016 4:01:00 PM
Just put some money down on these - fingers crossed.
BEAV - short 400 shares at $49.226
AVY - short 250 shares at $79.553
EXAS - short 1200 shares at $16.796
Noticed that CRY also triggered near the end of the day but I did not enter any trades with it.
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johnpaulca
12,036 posts
msg #130095
- Ignore johnpaulca |
7/27/2016 4:56:57 PM
My guess is that it will work more effectively with lower priced stocks and small float... < $10...just a guess!!
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Kevin_in_GA
4,599 posts
msg #130098
- Ignore Kevin_in_GA |
7/27/2016 8:15:32 PM
That might be true but you would have missed all of the recent trades I posted if you kept the price under $10. I really am focused on highly liquid stocks that IB carries in sufficient quantities to make the trade friction as small as possible.
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shillllihs
6,086 posts
msg #130100
- Ignore shillllihs |
7/27/2016 9:30:03 PM
What would it look like if you added
LOW ABOVE UPPER BOLLINGER(20) somewhere and maybe even getting in on a red candle
eod. or close to. May not return many hits.
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Kevin_in_GA
4,599 posts
msg #130101
- Ignore Kevin_in_GA |
7/27/2016 9:37:45 PM
That is pretty close to the "red floater" that JP was talking about. As I had stated earlier, this was exactly what got me thinking about developing a one day shorting filter. If you run "Filter Performance" against what I posted you can see that, on average, you get more red next days than green and they are often quite profitable. It might be a higher win % for a red floater but they are much less frequent so I would go for more trades at a possibly lower per trade win% as a way to maximize returns.
Again, I would counsel folks to do their own diligence on ANY filter posted here, including mine. This one has not been as thoroughly vetted as I would like, and I most likely jumped in too soon on today's trades, but I'll see what happens by the end of the day tomorrow.
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arimont
57 posts
msg #130110
- Ignore arimont |
7/28/2016 3:49:14 AM
Just to be sure I got it right:
when you say "The user-defined variable tradesize can be set for whatever your typical trading size might be. " you mean "how much capital I am putting in this trade in $ terms"?
for example if I am willing to put $1000 on a $20 stock then tradesize would be 50?
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Kevin_in_GA
4,599 posts
msg #130115
- Ignore Kevin_in_GA
modified |
7/28/2016 7:44:35 AM
Correct - the code here just lets you know how many shares are to be shorted for a given trade size in dollars. I used the ROUND() function here set at 0 (to the nearest whole number) but if you set it for 1 or 2 you'll get it to the nearest 10 or 100 shares, respectively.
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BarTune1
441 posts
msg #130117
- Ignore BarTune1 |
7/28/2016 9:21:18 AM
Kevin,
EXAS is shaping up pre-market to look like a pretty good trade.
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