| StockFetcher Forums · Filter Exchange · Range Contraction/Expansion Filter | << 1 2 3 4 5 ... 12 >>Post Follow-up |
| alf44 2,025 posts msg #40860 - Ignore alf44 modified |
2/1/2006 6:05:15 PM nikoschopen, This particular "filter" (ie. Range Contraction/Expansion Filter) is NOT a filter in the usual sense of the term. It doesn't identify Oscillator Overbought or Oversold conditions or Signal Line crosses or Moving Average Crossovers. It JUST focuses on PRICE ! Specifically...PRICE ACTION !!! It simply makes me aware of certain Market phenomena ! Range Contraction (Narrow Range Days) Range Expansion (Wide Range Days) Inside Days Outside Days Gaps dogis ...and others as well... Any ONE of these patterns is a subject unto itself ! Each requires a different approach and a different set of trading rules ! When I set out to create this thing I wanted to be able to scan a Watchlist of Stocks (daily) for a variety of Short-Term Price Patterns (1, 2, 3 day patterns) that exist in ALL charts...occur ALL the time...and frequently identify "AREAS" where Range Expansion (ie. volatility) is most likely to happen. And...I wanted to be able to incorporate ALL of these short-term patterns into ONE FILTER ! In addition to the Patterns that are "flagged" (when I post my latest version there are now 13)...I have also added some of my favorite Technical Indicators (as you mentioned) but, also...a group of "other columns." These "other columns" have not yet been posted here on this thread (ie. included in the "filter") but WILL be at some future date. fwiw The indicators AND the information contained in the "other columns" give valuable insight and further the decision making process. Ultimately, it takes a "chart read" to fully assess the situation...and to determine whether a trade set-up exists ! I look at this "filter" as more of a Daily Trading Sheet that I evaluate each night...then leave UP (and refer to) during the trading day ! It's definitely NOT for everybody ! It requires abilities and expertise that most are either unaware of...OR...are unwilling to learn ! Regards, alf44 |
| nikoschopen 2,824 posts msg #40967 - Ignore nikoschopen modified |
2/4/2006 1:18:21 AM Alfie, I broke ure "range contraction/expansion" filter down to its components and ran each of them on its own with the date offset to determine the results over the past 1, 5, and 10 days. I ain't a statistics guru, but from a cursory glance, the overall result seems pretty damn good. However, the results alone should not be construed as an accurate reflection of what you might reap in practice since they are merely an average of all the stocks in question -- Unless you have a very deep pocket to scoop up every one of them. In the coming days (although I can't be sure how long), I would like to mix and match one of the component filters with another to see which one will prove to be the most optimal money cruncher. 1) IDs (Inside Days -> H/L Range inside H/L Range 1 day ago) 1 Day Performance: +0.30% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 502/398 5 Day Performance: +2.49% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 627/329 10 Day Performance: +3.04% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 611/363 _____ 2) NR4s (Narrowest Range of the last 4 days) Advance/Decline: 757/579 1 Day Performance: +0.21% vs. IXIC: +0.03% vs. DJIA: +0.20% 5 Day Performance: +2.23% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 906/473 10 Day Performance: +3.10% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 611/363 _____ 3) NR7s (Narrowest Range of the last 7 days) 1 Day Performance: +0.03% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 362/287 5 Day Performance: +2.09% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 434/237 10 Day Performance: +2.56% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 411/275 _____ 4. WR4s (Widest Range of the last 4 days) 1 Day Performance: +0.45% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 1531/1002 5 Day Performance: +3.50% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 1968/765 10 Day Performance: +4.34% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 1708/1053 _____ 5. WR7s (Widest Range of the last 7 days) 1 Day Performance: +0.46% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 1107/649 5 Day Performance: +3.09% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 1390/497 10 Day Performance: +3.34% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 1193/710 _____ 6. ODs (Outside Days -> H/L Range outside H/L Range 1 day ago) 1 Day Performance: +0.31% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 626/432 5 Day Performance: +3.39% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 821/284 10 Day Performance: +3.18% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 696/422 _____ 7. Windups (Outside Day followed by an Inside Day) 1 Day Performance: +0.55% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 89/69 5 Day Performance: +3.03% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 114/54 10 Day Performance: +5.01% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 111/61 _____ 8. Shark Pattern (3 Consecutive Inside Days) 1 Day Performance: +1.16% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 3/0 5 Day Performance: +1.76% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 2/1 10 Day Performance: +0.89% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 3/0 _____ 9. Doji(H/L Rng above .20 w/Candle Body less than 30% of H/L Rng) 1 Day Performance: +0.46% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 564/389 5 Day Performance: +2.28% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 666/318 10 Day Performance: +2.36% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 593/402 _____ 10 Day Position Calculations for 85/15 Days 1 Day Performance: +0.47% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 3989/2685 5 Day Performance: +3.10% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 4924/2063 10 Day Performance: +3.48% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 4354/2701 _____ 11. 85/15 Day with an UP Close 1 Day Performance: +0.71% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 204/307 5 Day Performance: +0.24% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 280/322 10 Day Performance: +2.07% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 294/332 _____ 12. 85/15 Day with a DOWN Close 1 Day Performance: +1.01% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 1105/523 5 Day Performance: +3.74% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 1352/369 10 Day Performance: +3.58% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 1158/579 _____ 13. PatternFetcher 1 Day Performance: +1.16% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 3/0 5 Day Performance: +1.76% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 2/1 10 Day Performance: +0.89% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 3/0 _____ |
| nikoschopen 2,824 posts msg #40970 - Ignore nikoschopen |
2/4/2006 3:24:44 AM When the same filter components were applied to the Nasdaq 100, results of strikingly different contrast emerged. Quite a contrast in comparison to the previous results for sure. Overall, 5-day results had the best performance while the 1-day fared the worst. 1) IDs (Inside Days -> H/L Range inside H/L Range 1 day ago) 1-Day Performance: +0.19% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 2/2 5-Day Performance: +1.68% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 3/1 10-Day Performance: +1.04% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 2/2 _____ 2) NR4s (Narrowest Range of the last 4 days) 1-Day Performance: -0.71% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 0/5 5-Day Performance: -0.32% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 2/3 10-Day Performance: -0.25% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 2/3 _____ 3) NR7s (Narrowest Range of the last 7 days) 1-Day Performance: -0.72% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 0/3 5-Day Performance: -0.11% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 1/2 10-Day Performance: -0.31% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 1/2 _____ 4. WR4s (Widest Range of the last 4 days) 1-Day Performance: -0.05% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 26/35 5-Day Performance: +3.60% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 48/14 10-Day Performance: +1.24% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 30/32 _____ 5. WR7s (Widest Range of the last 7 days) 1-Day Performance: -0.03% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 21/25 5-Day Performance: +4.03% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 39/8 10-Day Performance: +1.78% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 24/23 _____ 6. ODs (Outside Days -> H/L Range outside H/L Range 1 day ago) 1-Day Performance: -0.86% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 5/12 5-Day Performance: +2.47% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 12/5 10-Day Performance: +0.78% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 7/10 _____ 7. Windups (Outside Day followed by an Inside Day) 1-Day Performance: +0.53% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 2/0 5-Day Performance: +3.58% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 2/0 10-Day Performance: +1.44% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 1/1 _____ 8. Shark Pattern (3 Consecutive Inside Days) 0 matching stocks _____ 9. Doji(H/L Rng above .20 w/Candle Body less than 30% of H/L Rng) 1-Day Performance: -0.20% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 4/7 5-Day Performance: +1.32% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 7/5 10-Day Performance: -2.10% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 3/9 _____ 10 Day Position Calculations for 85/15 Days 1-Day Performance: -0.17% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 42/56 5-Day Performance: +2.80% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 72/27 10-Day Performance: +0.15% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 43/56 _____ 11. 85/15 Day with an UP Close 0 matching stocks _____ 12. 85/15 Day with a DOWN Close 1-Day Performance: +0.10% vs. IXIC: +0.03% vs. DJIA: +0.20% Advance/Decline: 11/15 5-Day Performance: +3.53% vs. IXIC: +2.52% vs. DJIA: +2.25% Advance/Decline: 17/9 10-Day Performance: +1.26% vs. IXIC: +0.66% vs. DJIA: +1.18% Advance/Decline: 13/13 _____ 13. PatternFetcher 0 matching stocks _____ |
| heise 11 posts msg #40973 - Ignore heise |
2/4/2006 12:18:28 PM Hi Alf44, I just started using Fetcher and I picked up quite a bit of knowledge seeing how you wrote your code. Thank you for posting it. I am trying to find/write a scan to find individual stocks that are optionable with the following characteristics: Very gradual, but steady, trend up (or down) for 20 consecutive trading days and with a history of a "large" price range in a year period prior to the past 20 days. The trading application for me is longer term swing trading using options straddles and strangles. I am looking for an edge in volatility skews beyond what I get from volatility scans such as that available from "ivolatility.com" and others like it. Have you wrote (or can you easily write) code to accomplish this? I don't have the skills at this point write the program. I would like you to help me. I don't expect to get something for nothing from you, so please let me know what I do for you in exchange. You can email me directly using garyheise@hotmail.com. Thanks in advance. Gary Heise |
| alf44 2,025 posts msg #40975 - Ignore alf44 modified |
2/4/2006 1:29:53 PM heise, Thanks for the comments ! Let me begin by asking a favor of YOU ! Please create a NEW thread...of your own...and post your desired scan criteria there ! This thread's focus is "Range Contraction/Expansion" ! I want to keep it that way. I'm sure you understand. I don't want the focus of THIS thread to be diverted away from it's intended purpose ! Now, if you do as I request...you will be amazed at the wealth of knowledge from the SF users that will flow to YOUR thread with suggestions and answers to your questions ! And I will definitely try to help as well ! tia Regards, alf44 |
| nikoschopen 2,824 posts msg #40977 - Ignore nikoschopen |
2/4/2006 2:47:09 PM Alf, Excuse my slopiness. I should have caught those that you allude to. Apparently the filter, in its entirety, is bigger than what I can chew off in one sitting. I'll keep you abreast of other likely oversight. LOL |
| alf44 2,025 posts msg #40986 - Ignore alf44 |
2/4/2006 10:10:34 PM nikoschopen, "...Apparently the filter, in its entirety, is bigger than what I can chew off in one sitting..." --------------------- Wait till you see the NEXT version...with the NEW ADDITIONS ! It's freaking HUGE !!! LOL Regards, alf44 PS. This thing has pushed (and in some instances exceeded) the limits of the SF platform ! fwiw |
| alf44 2,025 posts msg #40974 - Ignore alf44 modified |
2/4/2006 11:17:13 PM nikoschopen, Kinda interesting ! I appreciate your efforts ! I must say that what I know about the Backtest Feature here at SF could easily fit into a thimble...and still have room left over. That is to say...I haven't spent a great deal of time using it. Make that...NO TIME using it. *(Note to self...become more familiar with the SF Backtest Feature) As a point of clarification (in case one is needed)...in your post(s) the : #10 - "8515 Day Position Calculation" is code for "defining" the criteria for an "8515" (specifically the Day Positon criteria) and NOT a scan for an "8515" #11 - is the actual scan for an "8515 with an UP Close" ! #12 - is the actual scan for an "8515 with a DOWN Close" ! (These are BOTH then combined into an either/or set statement so that BOTH will be flagged) #13 - "PatternFetcher" is NOT a "scanned for pattern" ! It is a name I chose to describe the GROUP of set statements that actually pull together ALL the "scanned for patterns"...combine them...and allow them to be displayed in user defined columns ! ----------------------- Also, let me say that to do a backtest of the "contraction patterns"...and to assume a LONG position is taken...is NOT altogether realistic. For example, the Range Contraction Patterns (IDs, NR4s, NR7s, Sharks, Windups) would be played as "breakouts"...and as such would be played LONG on a break ABOVE the previous Day's HIGH...or...SHORT on a break BELOW the previous Day's LOW ! fwiw Nevertheless, as I said at the outset...I appreciate your efforts...and there IS some valuable insight to be gleaned from it ! I'm impressed by your work ! Regards, alf44 *(Note to self...remember the earlier Note to self) |
| heise 11 posts msg #40990 - Ignore heise |
2/5/2006 9:47:54 AM Alf, Re: Please create a NEW thread...of your own...and post your desired scan criteria there ! Thanks a bunch. Will do. heise |
| riggs 313 posts msg #41375 - Ignore riggs |
2/19/2006 1:53:42 AM Here's mr version of Range tractor/extractor or whatever....LOL.... THE MIGHTY RIGGS!!!!! LOL.... |
| StockFetcher Forums · Filter Exchange · Range Contraction/Expansion Filter | << 1 2 3 4 5 ... 12 >>Post Follow-up |
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