alf44
2,025 posts
msg #118836
- Ignore alf44 |
3/28/2014 10:42:28 PM
.
"Trade for modest and consistent profits and protect your hard earned money. Trying to get rich off trading will make you poor."
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Well said !
That should be written on a post-it ... and stuck on your forehead every morning !!!
.
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jemarcks
26 posts
msg #121002
- Ignore jemarcks
modified |
7/10/2014 4:48:44 PM
Kevin,
EDIT: My post was somehow eaten so here it is again.
Thanks for this system Kevin! Great work!
I am paper trading this system to see how it works on out of sample data for a while.
I had a question... when the entry filter returns several stocks with a zscore of -3.87, how do you know which stock to pick?
Thanks.
jeff
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petersst
7 posts
msg #121056
- Ignore petersst |
7/19/2014 4:49:07 PM
Ciao Kevin!
Is there an updated final filter for SF? The filter in the email trail back to 2011 seems to change with enhancements and when I run it, it does not return any stocks.
Thanks in advance for posting the latest and greatest on the filter.
Cheers,
Scott
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Caspian101
5 posts
msg #121374
- Ignore Caspian101
modified |
8/22/2014 3:30:17 PM
This is an excellent filter, thanks.
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jemarcks
26 posts
msg #121489
- Ignore jemarcks |
9/11/2014 3:36:43 PM
I have been tinkering with this Zscore system that Kevin published (Thanks Kevin!!) for a week or so using Stratasearch for back testing and wanted to share some results.
First I wanted to reproduce Kevin's results and was able to do that. I used the same evaluation period, and same filter as posted on the first page of this thread.
Then I added an additional entry filter to limit stocks to those > $1 per share and the MA(20) of its volume * close >= 200000 to find the stock that are liquid enough. This didnt change Kevins results much at all but here they are as the baseline. This is from the variable equity report using monthly Sharpe Ratio. Multiply by 3.46 to get annual.
PortSize AvgAnnReturn ZS RRRatio SharpeRatio ZS
1 295.94 % 2.7289 0.2882
2 199.84 % 3.2404 0.3302
3 218.03 % 4.8694 0.3707
4 180.24 % 6.2112 0.3937
5 192.43 % 8.9181 0.4474
6 186.79 % 13.01 0.4959
7 159.63 % 13.1717 0.4986
8 130.22 % 13.4424 0.4945
9 105.56 % 11.5657 0.4922
10 86.32 %8.9019 0.4649
Next I was thinking about the ranking function to select stocks. Kevins system uses ZScore ascending which picks the stocks with the lowest zscore first which seems reasonable. (ZScore(@zdays))
Next I tried Price Rate of Change (proc) to rank the stocks selected and reran the combinations of days from 10 to 30.
proc(close,@zdays)
The results were better with PROC than ZScore as the ranking function. This seems to make sense because zscore tells us how far from the mean we have dipped and PROC tells us the rate of change of the dip and we have captured more profit from the stocks dipping the hardest.
PortSize AvgAnnReturn ZSROC RRRatio SharpeRatio ZSROC
1 111.69 % 1.8519 0.254
2 214.83 % 4.0376 0.3315
3 208.65 % 5.5788 0.3975
4 225.13 % 8.0273 0.4319
5 230.02 % 10.0068 0.4676
6 272.08 % 16.5115 0.5205
7 201.74 % 16.1121 0.5165
8 147.99 % 14.1959 0.5126
9 120.93 % 10.967 0.4948
10 104.78 % 10.392 0.4954
The max drawdown for both systems was about 11.5% Percent in market stayed about 58%.
I would be happy to post the detailed performance charts if someone will explain how its done.
Thanks and I welcome your feedback on this excellent system.
Also, is anyone still trading this system or some variant? Im curious how it has been working. If you found a more profitable system than this one, I would be all ears!
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tennisplayer2
210 posts
msg #121493
- Ignore tennisplayer2 |
9/12/2014 12:12:25 AM
How will the filter look like with Price rate of change (PROC) in it? Thanks.
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jemarcks
26 posts
msg #121494
- Ignore jemarcks |
9/12/2014 9:47:40 AM
When backtesting, in the selection criteria you would use roc(16,1) ascending.
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athrasher05
4 posts
msg #124580
- Ignore athrasher05 |
8/3/2015 2:45:46 PM
Kevin,
With the recent changes being made to StockFetcher (i.e. getting rid of backtests) I'd like to start using StrataSearch for backtesting. I really like the system you've developed here with the z-score, etc. but I'm having difficulty coding it over to SS. I know you've posted the link to where you discuss it on the SS forum but still having some issues.
Can you let me know the process I need to take to be able to run this z-score bollinger band system at SS?
Thanks!
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Kevin_in_GA
4,599 posts
msg #124582
- Ignore Kevin_in_GA |
8/3/2015 4:23:26 PM
I posted this at the start of this thread:
6/3/2011 3:09:04 PM
Kevin
I have been working with Stratasearch for the past week or so after reading one of your post referencing it. Appears to be a powerful program ! I am still in the learning phase.
How would you trade your SF code above? Exit ?
++++++++
The Zscore function I had to write as a custom function (not hard, as the SS coding language is not too complex). You can find it here:
http://www.stratasearch.com/forum/viewtopic.php?f=3&t=950&p=4243#p4243
The entry code is:
Zscore(16) < -2 and
close > mov(close,200,simple) and
wlr(16) < -94 and
close < bbl(close,16,2)
Exit code:
Zscore(16) > -1 or
$daysheld > 20
Kevin
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amtmail
34 posts
msg #124583
- Ignore amtmail |
8/3/2015 5:20:34 PM
Thank you Kevin
But can you please write the SS code for your PORTFOLIO SELECTION AND MANAGEMENT system ?
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