Kevin_in_GA
4,599 posts
msg #109173
- Ignore Kevin_in_GA |
12/6/2012 9:12:56 PM
Connors selections for tomorrow. Remember, these must have a 6% or greater pullback from today's close - I have included the proper limit order entry for each:
CYCC - limit entry at 6.14
GMCR - limit entry at 35.51
IOC - limit entry at 48.38
KBW - limit entry at 14.03
PRGX - limit entry at 5.57
TVL - limit entry at 6.00
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dcsnowden
52 posts
msg #109187
- Ignore dcsnowden |
12/7/2012 9:54:19 AM
Kevin... and to any and all who so generously share their work....it is appreciated.
I have a question...and a request. First, in your backtesting, what was your exit strategy for those roughly 1 out of 3 losing trades. Was it a % or if after x number of days just call it quits or... as you stated {Exit rule is RSI(2) > 50] no matter what the lenth of time or the price of the stock, when rsi(2) finally does cross 50 you sell....Which brings me to the request. Can SF be coded to project what price has to be reached for rsi(2) to cross 50 on that particular day. Since the values plugged in will change as we roll into the next day, I must assume the rsi(2) > 50 price will also change with each passing day , but at least this would give us a price that we could place on our sell orders for the next day based on the rsi(2) close so we don't have to watch the charts so closely. Can this be done? It will probably have to be a separate filter with a symlist of your buys so that one can update nightly.
Again THX to all....DCS
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Cheese
1,374 posts
msg #109192
- Ignore Cheese |
12/7/2012 10:41:13 AM
You may want to use this rsi2 solver tool posted earlier by smartguy in another thread:
http://www.tradingmarkets.com/free-tools/rsi-solver
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Kevin_in_GA
4,599 posts
msg #109195
- Ignore Kevin_in_GA |
12/7/2012 11:11:23 AM
The exit is exactly as defined - if at the end of the day the RSI(2) is above 50, sell at the open the next day. You can always exit earlier if you want, but then you have deviated from the system rules and you may not get the same type of results (could be better, could be worse).
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dcsnowden
52 posts
msg #109197
- Ignore dcsnowden |
12/7/2012 12:27:37 PM
Got it....Thank You Both....
....DCS
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jackmack
334 posts
msg #109206
- Ignore jackmack |
12/8/2012 9:37:12 AM
Kevin I think the question was valid in light of what does one do if the 50 level isn't hit the same day as entry.
Is there a time out limit to exit - say 5 days?
Also should one set a stop loss at the buy price or slightly lower for protection?
Thanks
Cheers
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Kevin_in_GA
4,599 posts
msg #109208
- Ignore Kevin_in_GA |
12/8/2012 10:47:48 AM
Well, you are entering with a limit order on a 6% pullback, so not sure how much lower one targets. As to the exit, these trades take on average 4-5 days to close out using the RSI(2) > 50 rule. No stops or time limits were used in the system development. Connors instead says to double down if the trade goes against you (basically buy another unit if the price drops 5% from your entry).
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novacane32000
331 posts
msg #109210
- Ignore novacane32000 |
12/8/2012 1:14:12 PM
Kevin - Backtest question
Since Stratasearch and SF both use EOD data and there are no intraday enteries I assume when backtesting all enteries are the following day at the Open if the price dropped 6% below the trigger. Is that correct?
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Kevin_in_GA
4,599 posts
msg #109212
- Ignore Kevin_in_GA |
12/8/2012 2:45:35 PM
Yes. The exact SS code is as follows:
(close-low)/(high-low) < 0.2 and
ref(low,1) < close * 0.94 and
low < ref(close,-1) * 0.94 and
adx(5) > 40 and
close > 5 and
mov(volume,21,simple) > 250000
Entry is a limit order at close*0.94.
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novacane32000
331 posts
msg #109213
- Ignore novacane32000 |
12/8/2012 2:46:04 PM
Another question
Kevin earlier in this thread you said
>>The nice thing about this is that the entry requires the price to cross above the trigger, rather than below. Therefore no order would be placed if the stock just dropped through the entry trigger price, or gapped below and never came back up.>>
So you do not just enter after the a stock triggers on the filter and then drops another 6% ? You have to then wait for it to cross above the 6% drop.
Example: stock triggers at 40.00 and the next day it drops 7% and closes at 37.20. You now need to wait for it to cross above 37.60 to buy? (40 x .94 = 37.60)
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