Friday, March 30, 2007

The Rocket Filter - Unmasked

In case you don't follow the comments, slotmonkey, supplied the missing code for "The Rocket" filter which Mike over at Stockmonster wrote. See the link list for his address - a good site.

show stocks where count(RSI(2) 2 day ago above 90,60) is above 0
and RSI(2) is below 20
and average volume(10) above 250000
and close one day ago more than 8% below close 2 day ago
and close more than 4% below close 1 day ago
and close above 0.99
and 60 day slope of close is above 0
and market is not otcbb

The first line by the way is designed to find an unknown moment in the past when the RSI(2) was greater than 90. Because Mike didn't know how far back that would be he used an ingenious construct that ensured that he would catch one. Why 60 days was required I don't know but it works and that's all that counts.

Unfortunately using my standard test method this approach yields negative ROI in both the current and last periods. (The same periods that my derivation yielded 200+ and 500+ ROI. The interesting thing is that the win percentage of 47 and 52% respectively is better than mine. But no win percentage that produces more losses than profits is going to entice me to use the code.

Slotmonkey mentions that the "reverse rocket" is even more impressive (used for shorting) since I don't short it doesn't matter to me - but if the code is provided I'll supply it as a public service to my readers.

I'm going to stick with "Dead Cat Bounce" and see if I can make a buck or two off it.

Today's Rocket selection is TAG - it's ugly but cheap.

Today's Dead Cat Bounce (Marlyn's Filter) is ANGO which showed at the top of a 6 stock list - the 6th stock on that list was TAG.

We can now have a shoot out.


slotmonkey said...

I dont' understand how you got negative ROI on your backtest. We must be using different set of test parmeters. Let's compare apples to apples. Use my parameters and see if you don't get 56% winners and 571% ROI.

Test period: 3/30/05 to 3/30/07
Stop Loss: 5%
Profit Stop: 10%
Max. holding days: 1 (no min. hold)
Entry Price: open
Exit price: open
Max. trades per day: 5
Max. open position: 5

The btest on a two day hold resulted in the ROI plunging to 274%, confirming that this filter is designed for a one day trade.

The rocket filter produces 3 otcbb plays today, BSVN, ZROS, and YTBL. The first two didn't trigger, but YTBL gained 26.7%. Sure makes me want to play with the pinkies.

I'll supply the code for the reverse rocket only if anyone requests it, since you don't play that game. And I think I know why. I've encountered some aggravating problems with shorting, chronicled on my blog.

TAG up 2.3% and ANGO up 0.2%. Shoot Out score is 1-0 for the rocket.


Nothing like a rocket.