mmaurice
51 posts
msg #104718
- Ignore mmaurice |
1/30/2012 9:49:23 AM
For the long system I show
CPHD
PPO
HW
ISTA
PNX
ENZ
PVA
confirm?
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mahkoh
1,065 posts
msg #104720
- Ignore mahkoh
modified |
1/30/2012 9:57:24 AM
Confirmed, PVA and PNC have lowest gapfill% so they drop from the list.
Gapups: TLB, CYTX, MNKD, GTXI (all already filled) and MNTA
Edit: GTXI obviously hasn't filled that 22.08 % gap yet..
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Kevin_in_GA
4,599 posts
msg #104732
- Ignore Kevin_in_GA
modified |
1/30/2012 3:07:30 PM
Guys:
I just realized something that is fairly important - in my long and short filters at the start of this thread, they are missing a specific gap criterion from the original filter, and one that is present in the backtests. That is, that the open must be BELOW the previous week's high for the Gap Up, or ABOVE the previous week's low for the Gap Down.
I noticed this after Mahkoh's post about GTXI's 22% gap up. I immediately realized that this was NOT to be traded since it violated that rule, then noticed it was not in the new filter syntax.
This has been corrected for all filters I posted in this thread as of lunch today.
The result of this is that the list of candidate stocks is smaller for both filters, and rank ordered differently. This of course changes the trades one would consider. My apologies - hopefully people listened to my comments on page 3 about waiting to trade this until the open price issue was resolved.
I will update the sharedlists as soon as SF let's me (I've tried several times but not had any luck so far ).
EDIT: Sharedlists are now updated with the correct selections.
Kevin
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Kevin_in_GA
4,599 posts
msg #104746
- Ignore Kevin_in_GA
modified |
1/31/2012 10:53:12 AM
Here are the gap up and gap down review filters - again I am concerned about the SF open price info, in that when I ran the gap down filter yesterday I had three hits, and as of this morning I only have two.
This is a real issue if not resolved - the filter and strategy work, but only if the open price data is accurate.
Here is the gap Down review filter:
and the Gap Up review filter:
Note that both gap down candidates have closed profitably, and right now 2 of the 3 gap up stocks have closed as well.
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mahkoh
1,065 posts
msg #104749
- Ignore mahkoh |
1/31/2012 4:57:12 PM
Kevin, what made you decide to limit the candidates to those trading in the Russell 2000?
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Kevin_in_GA
4,599 posts
msg #104750
- Ignore Kevin_in_GA |
1/31/2012 6:06:59 PM
Frequency and the right amount of volatility. The number of trades for the Large Caps was too few, and I wanted a larger pool of candidates.
I didn't want stocks that are thinly traded or below $2, so I avoided doing a larger screen.
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mahkoh
1,065 posts
msg #104751
- Ignore mahkoh |
1/31/2012 6:35:56 PM
Agreed. But you already have a volume and price restriction built in. Does "market is Russell 2000" add more value to the candidates than a volume upgrade, e.g. average volume(30) above 400000?
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Kevin_in_GA
4,599 posts
msg #104758
- Ignore Kevin_in_GA |
1/31/2012 11:08:31 PM
Either would work, but by restricting it to the R2K, I do not get ETFs in the mix. Leveraged ETFs offer more risk than reward IMO.
Kevin
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mahkoh
1,065 posts
msg #104759
- Ignore mahkoh |
2/1/2012 7:17:00 AM
Kevin,
Adding the "open above prevlow" to the filter reduces the number of hits from 366 tot 102. I can hardly imagine that many stocks having gapped below last weeks low, could it be that the filter now disregards stocks that have EVER gapped below the low during the last 80 weeks?
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Kevin_in_GA
4,599 posts
msg #104761
- Ignore Kevin_in_GA |
2/1/2012 8:52:59 AM
I don't think so. Stratasearch has a similar screening ability - I noticed that the number of stocks using it was about the same as what this new syntax shows.
One thing to look at as well - the number of gaps is for a given stock is significantly reduced when the "open above prevlow" is added, but the stocks are not eliminated, meaning it must be filtering as expected.
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