duke56468
683 posts
msg #101845
- Ignore duke56468 |
7/27/2011 2:12:26 PM
You can increase the % wins by using max of 2 trades a day and 10 total portfolio and the following for selection
set{p, close - ma(200)}
set{percnt, p/ma(200)}
select by percnt descending
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mahkoh
1,065 posts
msg #101855
- Ignore mahkoh |
7/28/2011 5:03:17 PM
Thanks, Duke. I've added this to the filter
set{p, close - ma(200)}
set{above200, p/ma(200)}
set{%above200,above200*100}
add column %above200
This way I can sort by both z-score and %above200.
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saico
59 posts
msg #101865
- Ignore saico
modified |
7/29/2011 4:50:41 PM
Kevin in my SF backtesting setup I have the following phrase to select stocks typed in: ''select by zscore16 ascending''. But when I run the backtest SF is still selecting stocks by the stock price starting from the highest to the lowest. Do you have any idea how to fix that?
Much thanks!
Saico
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Kevin_in_GA
4,599 posts
msg #101866
- Ignore Kevin_in_GA |
7/29/2011 5:09:30 PM
The exit criterion must include the code defining score as well. I posted the correct exit code earlier in this thread.
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novacane32000
331 posts
msg #101873
- Ignore novacane32000
modified |
7/29/2011 10:13:05 PM
DVA is a sell for Monday.
I personally will be holding thru earnings on Wed based on seasonal charts.
DVA is one of a handful of companies I follow on a regular basis and they often do quite well with 2nd Qrt earnings.
Please do your DD.
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fortyfour
189 posts
msg #101911
- Ignore fortyfour |
8/1/2011 2:48:05 PM
I am looking into divergence between price and zscore16....new price lows
as zscore16 improves in some cases.
TNA
CAT
AHT
AKS
are my 1st buys this afternoon using this "system" .
I will to adjust zscore = 0 due to "waiting" for divergence.
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mahkoh
1,065 posts
msg #101918
- Ignore mahkoh |
8/1/2011 5:36:27 PM
I am not sure forty four, but I think a rising zscore while making lower lows would just tell you that SPX is falling faster than your stock. I'm not a big backtester but I have tried al lot on this filter and I have come to the conclusion that Kevin has already optimised it. What you can do is try to get a better price by not buying/selling right at the open after an entry or exit signal.
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duke56468
683 posts
msg #101923
- Ignore duke56468 |
8/1/2011 6:50:52 PM
Marco...The problem occurs in trying to predict market direction. The backtest just buys at the open. Trying to buy at open today based on the futures was a bad choice for me so far.
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fortyfour
189 posts
msg #101924
- Ignore fortyfour |
8/1/2011 7:35:57 PM
I intend to test this "divergence" in up/ flat and down cycles...
Intuition and beliefs are more often wrong but it
may be that " after VXX / volatility has stopped rising..... the picks, (Zscore16 < -2) from days ago
that have continued to make new lows may perform better than todays Zscore16 < -2"
Some may even double down on thsoe that contionued to make new lows.
I mispoke to call this a "system"...I was referring to Kevins system.
And of course all may make new lows tommorrow and the next day etc....
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mahkoh
1,065 posts
msg #101926
- Ignore mahkoh |
8/2/2011 4:47:22 AM
The z-score measures the dislocation of the stock versus SPX with the idea being that the stock will reverse to the mean (zscore=0). Like a rubber band: the lower the zscore, the more stretched the rubber band is. A zscore rising does indicate that the reversion has begun, but remember that you are dealing with two variables, the stock and SPX.
Duke, as an example CVH was selected on Friday. If you bought at the open at 33.83 you are down 6% already. After 10:00 it started moving up and you could enter around Friday's close near 32. Even better would be to wait until it starts trading above the 20 ma on the 5 min chart which would have you entered in the 31.50 area. If it runs from the open don't chase, try the second on the list or wait until the next signal.
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