# Additional buy conditions for trend system?



## Superboot (10 April 2010)

Hi all,

Back testing a trend system and looking to add/vary some factors to improve my results.

My current buy criteria are:
1. Highest High for a year
2. Volume spike (x3 from the average)
3. Liquidity
4. Rate of Change of EMA(Close, 5) is greater than 20%

I have been through the optimisation process to assist in the best settings,
however now looking to add another condition(s) or filter(s) to help pick the
best of my buy signals.

Any ideas? I have seen position score being used to order the selected stocks -is this what I am after?

Cheers
Super


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## Wysiwyg (10 April 2010)

*Re: Additional buys conditions for trend system?*

Got a chart of one potential trade?


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## tech/a (10 April 2010)

*Re: Additional buys conditions for trend system?*

My comments



Superboot said:


> Hi all,
> 
> Back testing a trend system and looking to add/vary some factors to improve my results.






> My current buy criteria are:
> 1. Highest High for a year




Fine but you miss many breakouts from shorter term accumulation consolidations. I have 3 search periodicity in my own.



> 2. Volume spike (x3 from the average)




This is a common misconception.High volume generally happens Before the breakout and the breakout(The best ones) come on average volume---sellers disappear so buyers have to chase higher prices in fact I don't have high volume as a condition at all for breakouts.



> 3. Liquidity




Another one (Misconception) All you need is enough to trade it.
If a stock takes off liquidity will certainly increase!!



> 4. Rate of Change of EMA(Close, 5) is greater than 20%




Superfluous



> I have been through the optimisation process to assist in the best settings,
> however now looking to add another condition(s) or filter(s) to help pick the
> best of my buy signals.




Wouldnt bother.



> Any ideas? I have seen position score being used to order the selected stocks -is this what I am after?




There are various Bang for buck filters but for *me* the key is which trade gives me the best opportunity for stunning R/R.

Finding trades are one thing trading them to profit over the next few Hundred trades is the key.

I'll attach a few charts of a trade Ive just completed with relevant comments.


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## Superboot (10 April 2010)

*Re: Additional buys conditions for trend system?*

Here is one I am in at the moment -

I think there are 2 parts to my question -
1. What might be a good way of ranking my buy signals?
2. Are the other conditions I should consider or how to vary existing (e.g. 2 consecutive price rises)

Cheers


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## Wysiwyg (10 April 2010)

*Re: Additional buys conditions for trend system?*



Superboot said:


> Here is one I am in at the moment -
> 
> I think there are 2 parts to my question -
> 1. What might be a good way of ranking my buy signals?
> ...




Using this formula below which I think is 'close' to your criteria, the stock which broke their yearly high have gone on with it. (rallied on)

So considering that an entry is made next bar open after a new high(close) is established, would trades need ranking? I got 4 that met the criteria.

AZM, BCI, GRY & MCC. 

What do the  failed break above yearly highs look like? 


```
Buy = V > Ref(EMA(V, 250)* 4.0, -1) AND  C > Ref(HHV(C, 250), -1) AND 
ROC(EMA(Close, 5)*0.2, -1) AND MA(C*V, 50) > 5000;
```


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## Boggo (10 April 2010)

*Re: Additional buys conditions for trend system?*



Superboot said:


> Here is one I am in at the moment -
> 
> I think there are 2 parts to my question -
> 1. What might be a good way of ranking my buy signals?
> ...




I reckon that you may need a heads up a bit earlier, not a buy signal really, more of a "look at what I am up to" signal to be ready to catch these as they break.

My signals on AZM, click to expand.


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## Boggo (10 April 2010)

*Re: Additional buys conditions for trend system?*

Potential candidate for Monday.
Superboot, does your system give you a heads up on this or any of the earlier signals.

In my opinion I think that this is where the alert is more valuable, not during the run up after the break.
Anyway, that's just my 

(click to expand)


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## tech/a (10 April 2010)

*Re: Additional buys conditions for trend system?*



> "look at what I am up to"




Brilliant.

The IADSI Indicator is born!


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## theasxgorilla (11 April 2010)

*Re: Additional buys conditions for trend system?*



Superboot said:


> Back testing a trend system and looking to add/vary some factors to improve my results.




It seems to me that your current set of conditions are focused around identifying the breakout.  You might benefit from filtering out those that are likely to fail.  If you can reduce the number of 1R losses the results should take care of themselves and the system will be more tradable.  Personally I avoid very low priced stocks and breakouts with extreme volatility.


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## Superboot (11 April 2010)

*Re: Additional buys conditions for trend system?*

Thanks all for your comments - they have got me thinking.

I started reviewing my trades and looking at the characteristics of biggest losers, most freq etc. I believe this will help me better understand my strategy.

Already I have found my largest losers are volatility based....

Cheers


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## Superboot (11 April 2010)

*Re: Additional buys conditions for trend system?*

Hi Boggo - I have a gap in my historical data to my current live feed which I am trialing so I can't check your example. I can say though it would not have triggered the most recent signal as it is not the HH within the last 12 months.

Can I ask what other sort of conditions you look for to give your (earlier) signals other than what I am looking at? 

Cheers


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## Wysiwyg (11 April 2010)

Superboot said:


> Hi all,
> 
> Back testing a trend system and looking to add/vary some factors to improve my results.
> 
> ...




Greetings. Interested in how you locate 1.?  

The code I used below ... C > Ref(HHV(C, 250), -1)  shows the highest high for a year but that could be every new higher high bar in an uptrend. I am interested in what you mean. Thanks.


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## tech/a (11 April 2010)

Probably should read first highest high for 250 periods
You can do this using a latch.
I have one for Metastock.You can alter this below to suit any buy condition to be the first since the last exit.

a:=Fml("YOUR FORMULA");  {signal to count YOUR BUY}
b:=Your Sell signal; {signal to reset YOUR SELL}i:=Cum(a+b>-1)=1;
f:=BarsSince(i OR a)<BarsSince(i OR b);
g:=Cum(a OR Cross(a,0.5))-ValueWhen(1,i OR (f AND Alert(f=0,2)) 
OR (f=0 AND Alert(f,2)),Cum(a OR Cross(a,0.5)));If(f,g+1,g);


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## theasxgorilla (11 April 2010)

tech/a said:


> Probably should read first highest high for 250 periods




Or, highest high for at least 250 periods.

In Amibroker using weekly periods:

condx = HHVBars(C,52) == 0; // this weeks high is the highest for (at least) 1 year

Buy = condx;


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## wayneL (11 April 2010)

*Re: Additional buys conditions for trend system?*



tech/a said:


> My comments
> 
> 
> 
> ...




Bloody Hell!!! I just agreed with Tech/A 100%.


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## tech/a (11 April 2010)

*Re: Additional buys conditions for trend system?*



wayneL said:


> Bloody Hell!!! I just agreed with Tech/A 100%.




Take a valium it will soon pass.


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## theasxgorilla (11 April 2010)

*Re: Additional buys conditions for trend system?*



tech/a said:


> Take a valium it will soon pass.




Who's got valium???


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## wayneL (11 April 2010)

*Re: Additional buys conditions for trend system?*



tech/a said:


> Take a valium it will soon pass.




I could probably get hold of some ketamine (or acepromazine at short notice), will that work?


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## Boggo (12 April 2010)

*Re: Additional buys conditions for trend system?*



tech/a said:


> Brilliant.
> 
> The IADSI Indicator is born!




Probably resurrected more so than born tech/a.
The market seems to suit its use at the moment even though I have been using it for a while.
Of my current holdings its picks were DML from last December, ABC from mid March and more recently AZM.

Its highlighted stocks on Friday were ARM, EHL and HGO.

Lets see how it runs.


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