guru_trader
485 posts
msg #105634
- Ignore guru_trader |
3/23/2012 4:48:21 PM
Many have suggested that your set your entry criteria, in StrataSearch or in live trading, to only enter when price crosses above yesterday's (or the signal day's) close.
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per novacane32000
"For those still using this system-my backtest show better results when the stock is bought right at the close on the day of the trigger instead of the open the following day."
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Kevin_in_GA
4,599 posts
msg #105873
- Ignore Kevin_in_GA |
4/10/2012 10:34:04 AM
Anyone notice that today this filter, which usually only has 2 or 3 hits intraday, is reading 36 hits this morning? Since this only looks at the S&P 500, that's a big percentage of the index.
7% of the S&P 500 trading below their lower BBs AND having a W%R below -94? Wow.
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mmaurice
51 posts
msg #105877
- Ignore mmaurice |
4/10/2012 12:26:13 PM
The sky is falling and the world is coming to an end. LOL
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duke56468
683 posts
msg #105880
- Ignore duke56468
modified |
4/10/2012 1:50:43 PM
I have 123 in my watchlist from the last 3 days including today that have a z-score below -2
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jgilberAZ
4 posts
msg #106360
- Ignore jgilberAZ |
5/21/2012 11:18:07 PM
Anyone still using this filter?
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nathanspear
3 posts
msg #106544
- Ignore nathanspear |
6/6/2012 9:12:05 AM
I'm using this filter. I want to thank @Kevin_in_GA for sharing this with the Stock Fetcher community. Kevin, when I joined this site about a year ago I spent a lot of time going though the forums. Your work and analysis is creative and insightful.
This filter is the only one that I actually use because of it's simplicity and accuracy. After having my 401k hit hard each market crash in the last 15 years, I took the reigns of my investments just a couple years ago. The idea that this filter is based on may serve my retirement account well until I don't need money anymore.
I've been mostly in cash the last 2 months by following this filter.
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Billirider321
62 posts
msg #111337
- Ignore Billirider321 |
2/12/2013 9:05:49 PM
wanted to check and see if anybody else is using this filter.
Kevin are you still using this or you have shifted to new connors strategy and SPY divergence filters.
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Kevin_in_GA
4,599 posts
msg #111338
- Ignore Kevin_in_GA |
2/12/2013 9:48:58 PM
I use the Tactical Asset Allocation system on my retirement accounts, and mix up a few systems in my smaller trading account. I am not currently using this one (not because I have lost faith in it or the premise behind its design, but because there are other more profitable systems).
I am mostly in cash, still holding a few stocks I bought recently after they showed up on the Connors system and then took another hit (e.g., COH, ARNA). I really need to be trading using the divergence filters.
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Billirider321
62 posts
msg #111341
- Ignore Billirider321 |
2/12/2013 10:21:11 PM
what other profitable system are you reffering. I like SPY divergene filter.
Are you using this divergence filter for trading SP 500 stocks or only for index.
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jaybird0730
1 posts
msg #112670
- Ignore jaybird0730 |
4/5/2013 2:09:47 PM
Kevin,
I wanted to add my voice to the chorus of thankful reviewers who have read this system and your excellent rationale describing the business of setting one up.
In addition to the clear explanation and rationale for this system, this system contains an element that most other systems lack: an “edge”, the intrinsic statistical advantage that followed over time, allows the system (and the trader) to win.
I’ve back tested the system with various start and stop dates for multiyear periods (using minimum 5 yrs in each test), and SF back testing consistently outputs about a 60/30 win loss ratio, with about 30% CAGR. This is based on your original system parameters: 5 open positions max, and using only $20k per trade, with a max hold time of 20 days (I know you had modified this to max hold = 15 later in the thread.)
In essence the system is simple, and this is key in my opinion. For any two comparative systems with equal historical returns, the simpler system is naturally the one to follow, as it contains less risk (fewer chances to make a calculation mistake on trigger).
I don’t think people should conflate the mathematical language of Bollinger Bands and Z Scores as the reason for any perceived complexity in the system. It appears you’ve simply chosen to express a relationship you found in the market using the precise dexterity of mathematics. The fact that you've modeled the Monte Carlo input variables and have also published these results and rationale is an added bonus that may be underappreciated.
While this does place a burden on those of us without a strong math skill set, it should not obstruct the core truth: that the system itself is fairly straightforward.
I’m currently reading some of your other work that has been posted in SF and I look forward to benefiting from that posted. If these could be propagated to the masses effectively and implemented, the potential world of financial good it might do is awe-inspiring. To that end, I would encourage you regarding enhancement plans on the website you’ve established. I would further consider that the content you’ve generated perhaps be compiled into a book form as well so that it is easily referenced in a self-contained location.
Perhaps SF might assist in this regard by devoting a section to system building, using your examples as the feedstock content material. The threaded discussions in this forum are valuable in providing a dynamic aspect to the conversation, but having content in consolidated form would be of persistent value and for maximum good to those us of individuals seeking to benefit, and I sense that you are motivated in this regard as well.
Respectfully,
J
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