mahkoh
1,065 posts
msg #101611
- Ignore mahkoh
modified |
7/13/2011 2:47:08 PM
Just a caveat - you are picking stocks outside of the S&P 500 with the first two lines of your filter. All of the system design, optimization and backtesting were done on S&P stocks. This will give you more stocks to choose from, but no promises on any performance.
Kevin
Have you backtested this filter over the last six months or so and compared it to the original?
You have a point here, but I do believe that stocks which trade at a sufficient daily volume and above the price threshold will tend to move along with the S&P although they are not in that index.
Backtesting is not a thing that I'm good at and I really wouldn't know how to implement variables like pivot points into that.
I tried your Connors Combined filter that popped to the top the other day and this picked GME as well (now at 15:00hrs). Also showed VMED yesterday with double pivot and 200 SMA support.
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duke56468
683 posts
msg #101613
- Ignore duke56468 |
7/13/2011 3:41:05 PM
In WLP on 7/11/11 @75.51 (intraday use of filter) out today @76.74 (exit filter) PAPER TRADE
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duncanhoo
14 posts
msg #101628
- Ignore duncanhoo |
7/14/2011 8:23:43 AM
you get intraday signals on stockfetcher duke?
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Kevin_in_GA
4,599 posts
msg #101629
- Ignore Kevin_in_GA |
7/14/2011 8:57:07 AM
SF provides intraday data, with a 20+ minute delay depending on which exchange is being used.
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duke56468
683 posts
msg #101632
- Ignore duke56468 |
7/14/2011 11:47:23 AM
Kevin.... my SF 2.0 version does not seem to like market is S&P 500, it ignores it, any ideas?
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Kevin_in_GA
4,599 posts
msg #101696
- Ignore Kevin_in_GA |
7/18/2011 12:00:11 PM
Intraday for today (as of noon 7/18):
Symbol z-score Williams%R(16)
DF - DEAN FOODS INC -2.53 -100.00
COF - CAPITAL ONE FNCL CORP -2.45 -99.33
ORLY - O'Reilly Automotive... -2.29 -95.78
LMT - LOCKHEED MARTIN CORP -2.24 -94.31
HRB - BLOCK H & R INC -2.17 -97.96
LLL - L3 Comm 80.53 -2.12 -94.91
CCE - Coca Cola Ent -2.12 -96.62
T - AT&T Inc -2.07 -96.41
Note that while the filter was designed on EOD data, these may represent opportunities.
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Kevin_in_GA
4,599 posts
msg #101705
- Ignore Kevin_in_GA
modified |
7/18/2011 5:30:31 PM
Confirmed EOD BUY signals - DF and PLL. Note that GME continues to drop in price. Nice possible entry now?
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Kevin_in_GA
4,599 posts
msg #101710
- Ignore Kevin_in_GA |
7/18/2011 8:21:46 PM
SELL signal on STJ - net profit of 0.59% after commissions.
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duke56468
683 posts
msg #101711
- Ignore duke56468
modified |
7/18/2011 8:40:40 PM
I had a total of 11 stocks show up intraday and paper traded 7, was too late on the other 4. 5 winners and 2 losers. Any stock that went positive more than 20 basis points I put a trailing stop of .20% so I would at least break even. Closed all at EOD.
DF -.62
ORLY -.05
LLL +.48
T +.45
LSI +1.08
CCE +.94
HRB +.60
total +2.88%/7=.41% after transaction fee
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Kevin_in_GA
4,599 posts
msg #101718
- Ignore Kevin_in_GA |
7/19/2011 2:23:27 PM
I had a total of 11 stocks show up intraday and paper traded 7, was too late on the other 4. 5 winners and 2 losers. Any stock that went positive more than 20 basis points I put a trailing stop of .20% so I would at least break even. Closed all at EOD.
DF -.62
ORLY -.05
LLL +.48
T +.45
LSI +1.08
CCE +.94
HRB +.60
total +2.88% after transaction fee
++++
I think you are actually up less than that - you really netted 2.88 / 7 trades placed = 0.41% on all trades for the day. I am assuming that these trades were concurrent rather than sequential.
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