Category Archives: EDS

A Technical Method For Rating Stocks

back testing, EDS, Stocks & Commodities traders tips, technical indicator
The AIQ code based on Markos Katsanos’ article in this issue, “A Technical Method For Rating Stocks,” is shown below.
Synopsis from Stocks & Commodities June 2018
I’s it possible to create a stock rating system using multiple indicators or other technical criteria? If so, how does it compare with analyst ratings? Investors around the world move billions of dollars every day on advice from Wall Street research analysts. Most retail investors do not have the time or can’t be bothered to read the full stock report and rely solely on the bottom line: the stock rating. They believe these ratings are reliable and base their investment decisions at least partly on the analyst buy/sell rating. But how reliable are those buy/sell ratings? In this article I will present a technical stock rating system based on five technical criteria and indicators, backtest it, and compare its performance to analyst ratings.
!A TECHNICAL METHOD FOR RATING STOCKS
!Author: Markos Katsanos, TASC June 2018
!Coded by: Richard Denning, 4/18/18
!www.TradersEdgeSystems.com

!INPUTS:
  MAP is 63. 
  STIFFMAX is 7. 
  VFIPeriod is 130. 
  MASPY is 100. 
  MADL is 100.
  SCORECRIT is 5.
  W1 is 1.
  W2 is 1.
  W3 is 1.
  W4 is 1.
  W5 is 2.
 
!VFI FORMULA: 
  COEF is 0.2.
  VCOEF is 2.5.
  Avg is ([high]+[low]+[close])/3.
  inter is ln( Avg ) - ln( Valresult( Avg, 1 ) ). 
  vinter is sqrt(variance(inter, 30 )).
  cutoff is Coef * Vinter * [Close].
  vave is Valresult(simpleavg([volume], VFIPeriod ), 1 ).
  vmax is Vave * Vcoef.
  vc is Min( [volume], VMax ).
  mf is Avg - Valresult( Avg, 1 ).
  vcp is iff(MF > Cutoff,VC,iff(MF < -Cutoff,-VC,0)).
  vfitemp is Sum(VCP , VFIPeriod ) / Vave.
  vfi is expavg(VFItemp, 3 ).

!STIFFNESS 
  ma100 is Avg. 
  CLMA if [close] < MA100.
  STIFFNESS is countof(CLMA,MAP).

!CONDITIONS:
 ! MONEY FLOW:
   COND1 is iff(VFI>0,1,0). 
 !SIMPLEAVG:
    SMA is simpleavg([close],MADL).                              
    COND2 is iff([close]>SMA,1,0).  
 !SIMPLEAVG DIRECTION:                       
    COND3 is iff(SMA>valresult(SMA,4),1,0).  
!STIFFNESS:                          
    COND4 is iff(STIFFNESS<= STIFFMAX,1,0).  
!MARKET DIRECTION:
    SPY is TickerUDF("SPY",[close]).
    COND5 is iff(EXPAVG(SPY,MASPY)>= 
 valresult(EXPAVG(SPY,MASPY),2),1,0).            

SCORE is  W1*COND1+W2*COND2+W3*COND3+
   W4*COND4+W5*COND5.

 buy if Score>=SCORECRIT and hasdatafor(300)>=268.
Figure 11 shows the summary results of a backtest using NASDAQ 100 stocks during a generally bullish period from April 2009 to April 2018. Figure 12 shows the backtest using the same list of NASDAQ 100 stocks during a period that had two bear markets (April 1999 to April 2009). The average results are similar except that there are fewer trades during the period that contained the two bear markets. Both backtests use a fixed 21-bar exit.
Sample Chart

FIGURE 11: AIQ, BULL MARKET. Here are the summary results of a backtest using NASDAQ 100 stocks during a generally bullish period from April 2009 to April 2018.
Sample Chart

FIGURE 12: AIQ, BEAR MARKET. Here are the summary results of a backtest using NASDAQ 100 stocks during a period from April 1999 to April 2009 that contained two bear markets.
—Richard Denning info@TradersEdgeSystems.com for AIQ Systems

Weekly & Daily Percentage Price Oscillator

EDS, Stocks & Commodities traders tips

The AIQ code based on Vitali Apirine’s article in Stocks & Commodities issue, “Weekly & Daily Percentage Price Oscillator,”  Modifying a traditional indicator can make you look at a chart differently. You can compare indexes, look at price movements during extended periods of time, and make trading decisions based on your observations is provided here:

!WEEKLY & DAILY PPO
!Author: Vitali Apirine, TASC Feb 2018
!Coded by: Richard Denning 12/17/17
!www.TradersEdgeSystems.com

!INPUTS:
S is 12.
L is 26.

EMA1 is expavg([Close],S).
EMA2 is expavg([Close],L).
EMA3 is expavg([Close],S*5).
EMA4 is expavg([Close],L*5).
DM is (EMA1 - EMA2)/EMA4*100.
WM is (EMA3 - EMA4)/EMA4*100.
WD_PPO is WM + DM.
Figure below shows the daily and weekly PPO indicator on a chart of the Nasdaq 100 index (NDX) from 2015 to 2017.

 

Sample Chart

 Here, the daily & weekly PPO is displayed on a chart of the NDX.

 

 

—Richard Denning info@TradersEdgeSystems.com for AIQ Systems

	

	
	


							


	

		
				

			Prepare to Bounce
		

		
		

			EDS, indexes, jay kaeppel, market timing, Mutual funds					

	


		

		


2018 sure was a great year for the stock market.  For almost a month anyway.  Since then, not so much.  And on the heels of last week’s selloff a lot of pundits and prognosticators are suggesting more loudly that the Great Bull Run is dead. And maybe they are right.  But maybe not.






It is almost always a mistake to hang your hat on one indicator to guide your actions going forward.  But at the same time, sometimes one indicator generates a signal so clear it perhaps should grab your attention.  Let’s look at one that is on the verge of sending an important signal.






The VixRSIRatio Indicator






This is an indicator that I developed a number of years ago by basically – I am going to use some highly technical terms here to describe the process I followed so please try to stay with me – mashing together several other indicators from other people.  If you are interested in the actual calculations they appear at the end of the article.  For now, just know that I refer to it as VixRSIRatio.  As I follow it, it gives meaningful signals very infrequently.  But that is OK as the signals it does give often prove to be useful.






For our purposes we will apply it to ticker SPY – an ETF that tracks the S&amp;P 500 Index. The rule is simple:






*A “Bullish Alert” occurs when VixRSIRatio drops to -210 or below and then turns up.






That’s it. Now please note the use of the phrase “Bullish Alert” and the lack of the words “You”, “Can’t” and “Lose”, as well as the lack of the phrase “by putting all of your money in the market at the exact moment a signal occurs.”






This is key.  Also note that there is nothing “magic” about the value -210. Nothing scientific about it. It just seems like a useful cutoff.  Now let’s look at the “Bullish Alert” signals in recent years.  They appear in Figures 1 through 4.






1






Figure 1 – Jay’s VixRSIRatio; 2014-2018 (Courtesy AIQ TradingExpert)






2






Figure 2 – Jay’s VixRSIRatio; 2010-2013(Courtesy AIQ TradingExpert)






3






Figure 3 – Jay’s VixRSIRatio; 2006-2009 (Courtesy AIQ TradingExpert)






4






Figure 4 – Jay’s VixRSIRatio; 2001-2005 (Courtesy AIQ TradingExpert)






As you can see in Figures 1 through 4:






a) Readings below -210 tend to be followed by – at the least – decent trading opportunities.






b) Often these readings presage significant market advances






c) And alas, sometimes the signals come too soon and/or are not followed by much of an advance.






The Here and Now






As of 3/23/18 the VixRSIRatio for ticker SPY stood -354.  So clearly “Buy Alert” is at hand.  So the obvious question is “What comes next”?  Will it be a, b, or c above?






As always, time will tell.






Calculations






In a nutshell, VixRSIRatio combines Larry Williams’ Vixfix indicator with Welles Wilder’s 3-day and 14-day RSI indicators to create two more indicators – VixRSI3 and VixRSI14.  We then divide VixRSI3 by VixRSI14 and invert the whole thing (so that we get an indicator that gives negative readings when the market goes down).






Now you see why I put this at the end….






Below is the code for AIQ Expert Design Studio






############## Larry Williams Vixfix #################






xx is 15.






hivalclose is hival([close],22).






vixfix is (((hivalclose-[low])/hivalclose)*100)+50.








############ Welles Wilder RSI 3-day ##############






Define days3 5.






U3 is [close]-val([close],1).






D3 is val([close],1)-[close].






AvgU3 is ExpAvg(iff(U3&gt;0,U3,0),days3).






AvgD3 is ExpAvg(iff(D3&gt;=0,D3,0),days3).






RSI3 is 100-(100/(1+(AvgU3/AvgD3))).








############ Welles Wilder RSI 14-day ##############






Define days14 27.






U14 is [close]-val([close],1).






D14 is val([close],1)-[close].






AvgU14 is ExpAvg(iff(U14&gt;0,U14,0),days14).






AvgD14 is ExpAvg(iff(D14&gt;=0,D14,0),days14).






RSI14 is 100-(100/(1+(AvgU14/AvgD14))).






############Jay’s VixRSIRatio ##############






VixRSI3 is expavg(vixfix,3)/expavg(RSI3,3).






VixRSI14 is expavg(vixfix,3)/expavg(RSI14,3).






VixRSIRatio is -((((VixRSI3/VixRSI14)-1)*100)-50).






Jay Kaeppel






Disclaimer:  The data presented herein were obtained from various third-party sources.  While I believe the data to be reliable, no representation is made as to, and no responsibility, warranty or liability is accepted for the accuracy or completeness of such information.  The information, opinions and ideas expressed herein are for informational and educational purposes only and do not constitute and should not be construed as investment advice, an advertisement or offering of investment advisory services, or an offer to sell or a solicitation to buy any security.



	

	
	


							


	

		
				

			Biotech + Gold (Updated)
		

		
		

			EDS, ETFS, indexes, jay kaeppel, Mutual funds					

	


		

		
In this article I wrote about an index I follow that combines the biotech sector with the gold stock sector. I also wrote about “one way” to trade that index.  This article builds on that piece and adds a new “rule” to create more trading opportunities.


The BIOGOLD Index


Figure 1 displays the index that I created using AIQ TradingExpert.  It combines ticker FBIOX (Fidelity Select Biotech) with ticker FSAGX (Fidelity Select Gold).


1


Figure 1 – Jay’s BIOGOLD Index (Courtesy AIQ TradingExpert)


Also included in the lower clip is an indicator referred to as RSI32, which is the 2-day average of the standard 3-day RSI.


The Old System


In the original article I tested an approach that works as follows using monthly data:


*When the RSI32 drops to 32 or below, buy BOTH FBIOX and FSAGX


*After a buy signal, sell both funds when RSI32 rises to 64 or higher


For results, please see the original article.


The New System


The “new rules” are as follows:


A “buy signal” occurs when either:


*The RSI32 drops to 32 or below


*The RSI32 drops below 50 (but not as low as 32) and then reverses to the upside for one month


After either of the buy signals above occurs, buy BOTH FBIOX and FSAGX


*After a buy signal, sell both funds when RSI32 rises to 64 or higher


Figure 2 displays the BIOGOLD Index with various buy and sell signals marked.


2


Figure 2 – Jay’s BIOGOLD Index with RSI32 signals (Courtesy AIQ TradingExpert)


To test results we will:


*Assume that after a buy signal both FBIOX and FSAGX are bought in equal amounts


*We will assume that both funds are held until RSI32 reaches 64 or higher (i.e., there is no stop-loss provision in this test)


For testing purposes we will not assume any interest earned while out of the market, in order to highlight only the performance during active buy signals. Figure 3 displays the hypothetical growth of $1,000 (using monthly total return data) using the “system”.


3


Figure 3 – Hypothetical Growth of $1,000 using Jay’s BIOGOLD System (1986-present)


Summary


For the record, I am not “recommending” that anyone go out and initiate trading biotech and gold based on what I have written here.  Before trading using any approach it is essential for a trader to do their own homework and carefully consider all of the pro’s and con’s associated with any specific approach.  For example, while the trade-by-trade results for the above look reasonably good, it should be noted that there have been 4 separate drawdown’s in excess of -19% along the way, including a maximum drawdown of -37% in 2008.  In considering any approach to trading it is essential to first think long and hard about how well one would “weather the storms”, BEFORE focusing on potential profitability.


To put it more succinctly is the simple phrase “Don’t cross the river if you can’t swim the tide.”


Jay Kaeppel


Disclaimer:  The data presented herein were obtained from various third-party sources.  While I believe the data to be reliable, no representation is made as to, and no responsibility, warranty or liability is accepted for the accuracy or completeness of such information.  The information, opinions and ideas expressed herein are for informational and educational purposes only and do not constitute and should not be construed as investment advice, an advertisement or offering of investment advisory services, or an offer to sell or a solicitation to buy any security.

	

	
	


							


	

		
				

			The VixRSI14 Indicator – Part 2
		

		
		

			EDS, educational newsletters, jay kaeppel, trading strategy					

	


		

		
In this article I detailed an indicator I refer to as VixRSI14 using monthly charts. Today let’s apply the same method to weekly bar charts.  Before we do that a quick look at how this indicator functions.


VixRSI combines two indicators – Larry William’s VixFix and Welles Wilder’s Relative Strength Index (RSI).  In Figure 1 you see a weekly bar chart for YHOO.  Notice that as price declines the VixFix indicator rises and RSI falls. VixRSI14 essentially measures the difference between the two and looks for extremes as a sign of a potential reversal. See Figure 5 for YHOO with VixRSI14.


0


Figure 1 – YHOO with Williams VixFix (with 3-day exponential smoothing) and Wilder’s 14-period RSI (Courtesy AIQ TradingExpert)


The Weekly Version of VixRSI14


We will use the same method I described in the previous article, i.e.:


*We will calculate the VixRSI14 indicator (see code at end of article) on a weekly basis


*A “buy alert” occurs when VixRSI14 drops below 3.00 after first rising to 3.50 or higher


Once again, please note that:


*There is nothing magic about 3.50 or 3.00


*Not every “buy alert” is followed by an immediate rally (or even any rally at all for that matter)


*Any actually trading”results” will depend heavily on what you trade, how much of it you trade, when you actually get in, when you get out with a profit and/or when you get out with a loss.


*This VixRSI14 alert signal is simply serving notice that a given security may be overdone on the downside and may be ready soon to reverse to the upside.  Nothing more, nothing less.1


Figure 2 – AAPL(Courtesy AIQ TradingExpert)


2


Figure 3 – AXP (Courtesy AIQ TradingExpert)


3


Figure 4 – IP (Courtesy AIQ TradingExpert)


4


Figure 5 – YHOO (Courtesy AIQ TradingExpert)


Summary


In 2018 I intend to try to share a few more trading “ideas” that maybe are not quite “finished products”.  VixRSI14 fits neatly into the “Idea” category. Sometimes the alerts are early.  Sometimes the alerts are late.  Sometime the alerts don’t really pan out at all.  Sometimes alerts are followed by one more sharp decline which is then followed by a major rally. So maybe some sort of trend reversal confirmation would be helpful.  I don’t know.


Hey, that gives me an idea….


Code:


William’s VixFix is simply the 22-period high price minus today’s low price divided by the 22-day period price (I then multiply by 100 and then add 50).  That may sound complicated but it is not.


The code for AIQ TradingExpert appears below.


########## VixFix Code #############


hivalclose is hival([close],22).


vixfix is (((hivalclose-[low])/hivalclose)*100)+50.


###############################


####### 14-period RSI Code ###########


Define periods14 27.


U14 is [close]-val([close],1).


D14 is val([close],1)-[close].


AvgU14 is ExpAvg(iff(U14>0,U14,0),periods14).


AvgD14 is ExpAvg(iff(D14>=0,D14,0),periods14).


RSI14 is 100-(100/(1+(AvgU14/AvgD14))).


###############################


VixRSI14 is then calculated by dividing the 3-period exponential average of VixFix by the 3-period exponential average of RSI14


####### VixRSI14 Code ###########


VixRSI14 is expavg(vixfix,3)/expavg(RSI14,3).


###############################


Jay Kaeppel


Disclaimer:  The data presented herein were obtained from various third-party sources.  While I believe the data to be reliable, no representation is made as to, and no responsibility, warranty or liability is accepted for the accuracy or completeness of such information.  The information, opinions and ideas expressed herein are for informational and educational purposes only and do not constitute and should not be construed as investment advice, an advertisement or offering of investment advisory services, or an offer to sell or a solicitation to buy any security.