I shared this with psheridan050's post a few weeks ago, and I believe it's a great filter for this market. So far the trades have been great, with an average gain of 3% YTD and a holding period of 1-2 days. As a day trader, I had the capital to put on many small (100-500 share) positions. The only downfall to this is that the SPY ROC(21) needs to be increasing 2 days in a row, so there have been days I was putting on 10+ positions. Regardless, here's how I did it.
BUY on the open every stock given. Allow 3.5% stop loss. Sell Profit stop of 10% or at the end of day 2 (T+1).
Good luck using this. Below is the filter and results YTD.
Approach Information
Approach Name: RSI(2) - LONG
Test started on 12/30/2005 ended on 10/18/2006, covering 201 days
and ind(^spx, ROC) increased previous 2 day
and rsi(2) is below 1
and count(rsi(2) IS below 1, 3) < 3
and historical volatility(60,1) > 40
and lrs(90) > 0
And close is between 15 and 90
And average volume(50) is above 500000
And not otcbb
Trade Statistics
There were 110 total stocks entered. Of those, 110 or 100.00% were complete and or 0.00% were open.
Of the 110 completed trades, 83 trades or 75.45%resulted in a net gain.
Your average net change for completed trades was: 1.98%.
The average draw down of your approach was: -1.71%.
The average max profit of your approach was: 2.83%
The Reward/Risk ratio for this approach is: 3.88
Annualized Return on Investment (ROI): 488.07%, the ROI of ^SPX was: 13.15%.
Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 110 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
This filter doesn't produce enough trading opportunities. If you get a trade once a week, what are you going to do on all those days while you're waiting?
I might add it to my arsenal because the win% and ROI are very impressive.
Thanks for sharing the code.
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