nibor100
1,031 posts
msg #145920
- Ignore nibor100 |
1/8/2019 11:34:52 AM
@ksk8,
I'm unclear about your reverse split rule.
a. is it only not taken if the reverse split is the day before? week before?
or
b. Once a stock has had a reverse split you never take a trade in it again?
Thanks,
Ed S.
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nibor100
1,031 posts
msg #145921
- Ignore nibor100 |
1/8/2019 11:43:34 AM
@ johnpaulca,
Thanks for letting me know you could access the spreadsheet image file.
1. Apparently with a free Yahoo email account we get a free Flicker account for storing up to 1,000 images which after uploaded to Flickr will have a URL that will allow anyone to access the image.
2. The file I tested with was from an Edgerater Pro backtest of the KSK8 corrected shorting filter pasted into Excel and then copied with the Windows Snipping Tool and uploaded to my Public page in Flickr.
Please note that my data universe in Edgerater Pro has stocks that are adjusted for both splits and Dividends. Probably not a big effect on the prices for most of the stocks selected by his filter.
I'll have to work on what size spreadsheet pages to upload for immediate easy readability.
Ed S.
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KSK8
561 posts
msg #145922
- Ignore KSK8 |
1/8/2019 11:54:00 AM
Reverse stock splits that were announced within 8-9 months. Keep in mind, dilution on the stock never starts immediately. Regardless of how high it shoots up, it'll come down eventually but the crowd hype initiated from it is brutal on short sellers, hence why I avoid it....
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nibor100
1,031 posts
msg #145923
- Ignore nibor100 |
1/8/2019 12:57:30 PM
@ksk8,
Did you look at the Maximum Favorable Excursion column on that spreadsheet image, it looks like every one day short, in that backtest, would have had a greater profit if exited earlier than the close, including all of the losing trades to include the those involving reverse split stocks.
Not sure if there is logical and repeatable way to take advantage of that phenomenom....
Also, in early posts where you told us to not take a trade if RSI(2) was above 98 the day before the signal date on your original filter, it seemed to me that most of those signals if shorted on 2nd day after, once RSI(2) exceeded 99 would result in a profit. I believe Mahkoh noticed some better results in his backtests related to the 99 level.
Ed S.
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KSK8
561 posts
msg #145924
- Ignore KSK8
modified |
1/8/2019 1:18:47 PM
On that note, perhaps someone could craft up a statistics filter that is based upon the RSI(2) and its threshold "98" or "99". I was a big fan of Run Forest Run but didn't quite know how to go about modifying it to be tailored for this type of filter.
So maybe exploiting this phenomenon could begin by giving it a statistical edge?
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nibor100
1,031 posts
msg #145951
- Ignore nibor100 |
1/9/2019 4:42:24 PM
@ksk8,
a. What do you mean CPHI didn't happen on Jan 8th?
b. The only stock split I can find for NCTY is after the trade date of 1/12/18 so I believe that trade would be taken by your shorting system.
Thanks,
Ed S.
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KSK8
561 posts
msg #145954
- Ignore KSK8 |
1/9/2019 5:06:49 PM
Nibor can you show me CPHI on a chart. I am seeing different for some reason.
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nibor100
1,031 posts
msg #145969
- Ignore nibor100 |
1/10/2019 10:59:21 AM
@ksk8,
I think we are crossing terms as when I state happened on Jan 8th I mean that is the day of the short; and I believe when you say "didn't happen on Jan 8th" you mean the day of the signal to short the next day.
Below is the filter I wrote to check the next day profit or losses based on your corrected filter, with an offset back to the date of the actual short on CPHI. Hopefully you'll see the chart ok.
CPHI signal was the trading day before Jan 5, 2018.
Ed S.
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KSK8
561 posts
msg #145994
- Ignore KSK8
modified |
1/11/2019 10:17:57 AM
Ahh ok I see, I suppose the visual extent of the candle body is what confused me considering its very disproportionate with its prior candle body. Oh well, a loss is a loss.
I've been experimenting with candle size in conjunction with the 2 period rsi and developed this newer improved version yielding a higher win rate;
It doesn't give me a trade every day but the gain is worth the wait.
This version and another similar variation are my current setups.
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scottoddscom
26 posts
msg #146013
- Ignore scottoddscom
modified |
1/12/2019 2:09:19 PM
@KSK8: Why didn't you mention hard to borrow fees and $120/month minimum fees for Centerpoint?
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