StockFetcher Forums · Stock Picks and Trading · Exploring VE's Profitable Short-Sell Filter<< >>Post Follow-up
nibor100
574 posts
msg #150925
Ignore nibor100
2/26/2020 11:01:16 AM

Since I don't Short stocks and VE's Short-Sell Filter(SSF) has been mostly profitable by finding stocks with a greater than 50% rise in the prior 5 days before shorting them; I'm hoping that detailed study might trigger me an idea or two, for a quick trade Long filter to get some of that +50% growth before shorting day.

I've been looking at it fairly closely the last couple of days and I've found too much stuff to keep track of without writing it down, so I'll be doing that in this read-only thread as I go thru each of his posts, etc.

It will probably bore most of you so feel free to not read it as I certainly won't know :)

Ed S.

nibor100
574 posts
msg #150926
Ignore nibor100
2/26/2020 11:46:43 AM

Starting with his filter posted on Jan 9 I decided to discover the realm of stocks his basic filter criteria screens the SF stock universe down to, before application of his final pre-shorting criteria.

1. SF universe on Jan 8 (his 1st signal day) was approximately 12,891
a. Close above 3 takes it down to roughly 9,613
b. close * volume above 1000000 takes it to roughly 1,270 stocks

2. one year earlier the above criteria end up with roughly 1,189 stocks
a. two years earlier 1,153
b. three years earlier 975
c. 999 days earlier 1,170

d. Seems fairly consistent over time.

3. Application of the 2 pre-shorting criteria:

close above close 1 day ago
roc(5,1) above 50

gives 3 results on Jan 8 for shorting on Jan 9.

4. The other filter lines are apparently for display purposes only

5. What I initially overlooked was that his criteria requiring a minimum closing value of $3 on the day the filter is run, could mean that some of the stocks found could have prices as low as $2 when the Roc(5,1) is 50.

a. A $2 stock rises to $3 when it has a 50% gain
b. I'll have to keep track of the largest value for ROC(5,1) to see the potential lowest possible stock price pre-filter day

nibor100
574 posts
msg #150928
Ignore nibor100
2/26/2020 3:11:05 PM

1. Well that didn't take long to find...

a. 1st day of trades had CEI which had been as low as $1.67 in prior 5 days and a few trades later CPAH had a prior 5 day low of .97.

b. Note his 3rd set of trades were based on an updated filter due to a KSK8 suggestion about adding a Market Cap criteria....need to investigate more

2. Initial post in SSF thread stated he "would share a filter that has done well for me over the last year"

a. I guess this is an important criteria change.

b. New filter eliminates 2 out of the 3 stocks found by his original filter on Jan 8. Both stocks had been profitable.

c. No difference to stocks found on 2nd and 3rd day from original filter.

d. Guess I need to run/study both filters for a while to assess the operational differences.








nibor100
574 posts
msg #150946
Ignore nibor100
2/27/2020 12:01:25 PM

I decided to skim thru the remainder of VE's SSF posts to see if he made any other filter changes before I start running dual filter tests.

a. Good thing I did because on Jan 28 he made another SSF change, without posting the new version, as noted below:

" One small change I will make is to change "market cap above 10" to "shares outstanding above 10" so that there is a greater likelihood of having shares to short. May also reduce the possibility of short squeezes, but I'll likely miss out on a few good trades along the way."

b. Here is my guess at the new filter with that modification:

Fetcher[
close above 3
close above close 1 day ago
close * volume above 1000000
set{mass5, average volume(5) / average volume(50)}
set{new_momentum, ROC(5,1) * mass5}
draw roc(5,1) line at 50
add column new_momentum
add column roc(5,1)
sort on column 5 descending
roc(5,1) above 50
shares outstanding above 10
add column shares outstanding
chart-time is 21 days
]



c. A quick comparison of the SSF market cap above 10 filter with the new SSF shares outstanding above 10 filter, seems to indicate that most days the results have 1 less stock (based on looking at the 5 most recent days)

d. Looks like I'll be looking at 3 versions in parallel....



nibor100
574 posts
msg #151034
Ignore nibor100
3/2/2020 5:19:43 AM

1. In reviewing the Excel trade data that Olathegolf sent us in the SSF discussion thread I noticed what I thought were some anomalous trade dates for the stock AXSM.

a. so I wrote one of my backtest filters for the SSF market cap above 10 which is here:

Fetcher[
set{varvo1, volume 1 day ago }
set{varvo3, close 1 day ago * varvo1}
set{varvol, count(varvo3 above 1000000,1)}

set{cl1,count(close 1 day ago above 3,1)}
set{cl2,count(close 1 day ago above close 2 days ago,1)}

/*multiplying those 2 variables together for true when both are 1 or false when 0*/
set{comba,cl1*cl2}
set{combb,comba*varvol}
set{vroc, count(roc(5,1) 1 day ago above 50,1)}

set{vcap, count(market cap 1 day ago above 10,1)}

set{combc,combb*vroc}
set{comb2,combc*vcap}

/*setting variable for next day Close-Open Percent Gain*/
set{var2, opcl / open}
set{var3, var2 * 100}

/*Testing the gain variable for 1 day gain or loss*/
set{var4, count( var3 is between 0 and 100, 1)}
set{var6, count( var3 is between -100 and 0, 1)}

/*Only want days filter is true for past year times gain is true or times loss is true*/
set{Tru12, comb2*var4 }

set{var5, count(tru12 > 0 ,252)} add column var5 {next day winners }
set{Tru13, comb2*var6 }
set{var8, count(tru13 > 0 ,252)} and add column var8 {next day losers }
set{var20, var5 + var8} add column var20 {total hits }
var20 above 0
and sort column 7 descending

set variables to draw gains and loss days when true in past year
set{var7, Tru12*var3 } draw var7
set{var9, Tru13*var3 } draw var9
chart-time is 252 days
]



2. After some review, it seemed to me that the Excel list he sent out was based on his backtest where he made each closing trade 3 days after the signal date

a. When I went back to the Excel list do some total trade count comparisons I saw that he had put a line in his post of the Excel data that explained
"Trigger Date is "3 Days Ago" from Filter Date "
which I either overlooked or forgot about, good grief!!!

b. My backtest filter seems to have quite a few more total trades than his Excel list so I'm going to have to do some more digging...

nibor100
574 posts
msg #151038
Ignore nibor100
3/2/2020 1:40:36 PM

1. Preliminary findings seem to indicate that all of the V.E. SSFs are returning stocks whose volume is greater than 1,000,000.
a. This seems to be using only the 2nd half of the filter line

close * volume above 1000000

and ignoring the multiplication by the close. AAMC on Feb 19th is such an example.


b. Since my backtest filter had to create several variables in order to make that line execute 1 day ago my backtest filter seems to finding all/most of the stocks meeting that total line, which is why I have many more stock results.

2. Next step for me is to see how many stocks I get by changing my backtest filter to only look for volume above 1,000,000 1 day ago. However, right now is time for a refreshing short nap....

3. Not sure what V.E. might do with this info going forward






nibor100
574 posts
msg #151086
Ignore nibor100
3/5/2020 1:23:54 PM

1.Results of my backtest filter as run on the 3 different versions of V.E.'s SSF as documented in his SSF topic thread.

a. total stock potential trades:

SSF #1 673 stocks returned as results for last 252 days.

SSF #2 548 stocks returned as results for last 252 days.

SSF #3 460 stocks returned as results for last 252 days.

b. stocks returned at least once in past 252 days:

SSF#1 315 stocks

SSF#2 250 stocks

SSF#3 213 stocks

Definitely a progression of less candidate trades...

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