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Filters to improve results
Last Activity 2/13/2020 2:13 AM
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Posts: 130

Joined: 5/11/2005
Location: Brown Deer, WI

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Subject : Filters to improve results
Posted : 7/1/2019 2:52 PM
Post #46264

Over the last year, I've been exploring the use of filters to provide better lists of symbols to trade with ATM. The original Macro & Micro method included a price filter. To that I've added a correlation filter, included a dynamic list via OmniScan, explored a volume filter, but now am adding a fundamentals filter.

Here is what I'm in my final stages of testing:

Long condition:
((EPS > 0) OR (EPS > EPS[LbPeriod])) AND
((OPINC > 0) OR (OPINC > OPINC[LbPeriod]))

Short condition:


LbPeriod varies by market state but I began with it being 90.

I began thinking about this when ATM using AutoTrade and a dynamic symbol list via OmniScan inserted SHOP (Shopify) into the list and traded it. SHOP had a number of days where it dropped. RTM strategies looked at this and said "Hey, look at that! A sharp down movement is likely to move back toward the mean. Let's get in!" The trouble with this is that SHOP is losing money and has for a long time. Why would any investor want to buy and hold this company? A trader might look at it and say, let's ride it back up, but an investor needs to feel the dream and believe the company is worth more. What I was really looking for was a list of companies that appeal to both traders and investors.

In looking at the fundamental data OmniData has, I settled in on Cash Flow, EPS, and Operating Income. All three need to be either positive or better than they were in my lookback period. I began with a simple 90 day look back -- approximately a quarter but is really more like 4.5 months of daily trading bars.

So, what results did I get?

With no fundamental filter and data for the last 20 years:
$10,000 grows to $1.77 million; MDD 17.6%; Avg ROI 33.4%; Avg MDD 8.5%; Calmar 1.9

With a 90-bar look back and 20 years of data:
$10,000 grew to $1.34 million; MDD 13.7%; Avg ROI 32.1%; Avg MDD 6.5%; Calmar 2.34

With a lookback per market state and 20 years of data:
$10,000 grew to $1.65 million; MDD 12.1%; Avg ROI 33.5%; Avg MDD 6.2%; Calmar 2.77

Changing the date range to be more current and less data shows similar patterns of improvement.

Out of curiosity, I wondered what 1/1/2006 - 6/28/2010 would look like. I had a slight flip between my market state optimized filter and the static 90-bar for all market states, but they were within $250 out of $32k. For grins, here's a look at the equity curves.

[Edited by jpb on 7/1/2019 2:54 PM]

Attached file : Screenshot_20190701_145039.png (42KB - 280 downloads)

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Buffalo Bill

Posts: 325

Joined: 10/3/2006
Location: Stafford, VA

User Profile
Subject : RE: Filters to improve results
Posted : 7/1/2019 8:35 PM
Post #46265 - In reply to #46264

Great Idea - ATM got me into CBB recently - yes an RTM firing on a PB, but it ain't snapping back anytime soon if at all (look at the chart). I've been wondering on a way to avoid the RTM-fires-on-PB-that-aint-coming-back issue and you may have started us in the right direction. Thanks!
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