 Platinum Customer
Joined: 3/31/2006
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Can we backtest on fundementals in Blocks?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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You can use Fundamentals in Strategies if you have the Blocks Strategy Trader Pack. The Blocks Mega Minute DVD Pack does not include Fundamentals (unless you also have Blocks Strategy Trader Pack).
-Bruce
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Platinum Customer
Joined: 3/31/2006
Posts: 3,207
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can't i have both
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Please try the following:
Select Strategy | Conditions | Add Condition | Add Condition | Hemscott Financials.
-Bruce
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Platinum Customer
Joined: 3/31/2006
Posts: 3,207
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Capitalization I am assuming its in million so if I wants 100 million or more I have to use 100?
Do we have Volume in Dollars? I want stocks that rtrade more than 5 million dollars worth a day?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Capitalization - This is the latest closing price of a share times the number of shares outstanding as indicated in the latest quarterly report. Sometimes called Market Valuation. This is useful for controlling the size of the company you are scanning for. You can also sort by this value if you wish to rank the companies by size. The units are in millions of dollars.
So, yes, you would use 100.
Volume Dollars is not one of the Strategy Conditions already in the Web Library for Blocks. Please download the attached .scond file to:
\My Documents\Blocks Files\Tool Parts\Strategy Conditions
Once downloaded, you should be able to select Add Condition | My Computer when adding a Strategy Condition to access it.
You can use QuickEdit to adjust the settings or view the Block Diagram.
You may wish to review the following:
Definitions of all built in scanning and sorting criteriaAttachments:
Volume Dollars.scond - 5 KB, downloaded 1,035 time(s).
-Bruce
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Platinum Customer
Joined: 3/31/2006
Posts: 3,207
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Bruce,
Which one is Relative Strenth of price vs. all other publicly tradrd stocks as a rank this is what IBD does and I think it's front weighted
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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Can you be a bit more specific on what you mean by "relative strength"?
- Craig
Here to Help!
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Platinum Customer
Joined: 3/31/2006
Posts: 3,207
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Craig,
Here is the exact difinition, I don't care if we cant get it exactly like this.
A measure of stocks price performance over a 12 month period, relative to the price performance of all other publicly traded stocks (we can use All Stocks watch list). To emphasize recent price performance a 40% weighting is assigned to the most recent quarter (3 months) with the remaining 3 quarters each reciving a 20% weighting in the calculation.
the results are ranked from 1 to 99, rating of 80 for example means stocks is outperforming 80% of all publicly traded stocks based on price performance.
Again I don't care if we can't get this exacly the same if we can great if not just ranking of price performace of the stock vs, all other stocks in the last 6 months and it doesn't have to be weighted if we can't do it.
thanks
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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thnkbigr,
Please save the following .SGCol files in:
\My Documents\Blocks Files\Tool Parts\Columns
Once there, you can add a column by right-clicking the tab header of the WatchList, choosing load column then My Computer.
You can use QuickEdit to change the settings or view the Block Diagrams.
The Rank based versions are a lot slower than the Value based versions.Attachments:
Rank Weighted PPC.SGCol - 7 KB, downloaded 912 time(s).
Rank Weighted Quarters.SGCol - 7 KB, downloaded 890 time(s).
Weighted PPC.SGCol - 6 KB, downloaded 895 time(s).
Weighted Quarters.SGCol - 6 KB, downloaded 891 time(s).
-Bruce
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Platinum Customer
Joined: 3/31/2006
Posts: 3,207
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Bruce,
Can I backtest using the attachments above?
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Platinum Customer
Joined: 3/31/2006
Posts: 3,207
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Bruce,
Let me explain what I am trying to do.
I am trying to back test an automated system that I put together and my goal is to reduce the turn over in this system as much as much as possible using number of different indicators.
One of the Conditions is the Relative Strength Ranking which ranks the price performance of all stocks against each other. Since I use the CAN SLIM system I am trying to see if we can program that in Blocks the way that IBD weights the indicator. It assigns a 40% weight to the last 3 months and 20% for each of the prior 3 quarters. We can use the ALL STOCKS watch list to run the performance of all stocks against each other.
I don't know if I can back test with the attachments you created above Can I?
And if the weighting is to complicated to program you can forget about it and create one that just ranks the stocks based on their performance in the last 6 months without any weighting factor.
I use ranking of 75 or more which means that the stock is outperforming 75 % of all other stocks based on price performance.
Group's Relative Strength Rank greater than 50, this compares price performance of all Sub-Industry's against each other in the last 6 months and assign a ranking from 1 to 99. I do this in Telechart by sorting all sub-Industries based on price % change in the last 6 months and the top half will have a ranking greater than 50. (One thing about Hemscotts Industry groups watch list it includes industry and sub-Industry, out of 239 components only 205 are Sub's. I have also included MG210 since it's an industry and Sub-Industry so it makes the count 206 this way the top 103 in price performance in the last 6 months will have a ranking of greater than 50.( How do I do this in Blocks)
1ST I need to take out the Industry Groups and just leave the Sub's before we can rank them and use it to back test. Is this possible?
If I include the Industry's in there, an Industry group has few Sub-Industries one can be in favor and the other one may not so I think if the Industry screens through it will allow stocks that are in the A Sub-Industry that in not in favor to come through and that;'s what I am trying to avoid.
Lastly I would love to see if we can make the Sub-Industries Price weighted by the price of the stocks that make up the Sub-Industry before we rank them.
Currently they are market cap weighted which assigns more weight to for example NT in the Telecommunication-Processing systems & products than PLT. My point is that if an Sub-Industry groups has few NT's and they are all laggards since they carry bulk of the weight it will drag the Sub-Industry down and if there are dozen of other smaller companies that are leading they will never come through the screens since the Sub-Industry is out of favor,
By changing the weighting to price rather than market cap you will have the Sub-Industries that have the most number of leading stocks come through.since as they trade higher they will begin to have more weight than the rest of the stocks that are lagging but they just have higher market cap.
In the example above PLT is trading at 30.32, NT is at 16.44 this way PLT will have more weight than NT even though NT is a much bigger company.
I am sorry if this is too long You guy's have been amazing in the last 2 years helping me put a very simple but still a complicated system together. The results have been outstanding and I am just trying to see if I can just reduce it's turnover by changing few if my conditions.
Let me know if what I explained is possible
Thanks for your support
THNKBIGR
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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thnkbigr,
The files provided in my Tuesday, October 09, 2007 1:59:40 PM ET post are Watchlist Columns (.SGCol files) and are designed for displaying the values and using in sorts. They are not Strategy Conditions and cannot be used as is in Strategies. Please download the attached .scond files to:
\My Documents\Blocks Files\Tool Parts\Strategy Conditions
Once downloaded, you should be able to select Add Condition | My Computer when adding a Strategy Condition to access them.
You can use QuickEdit to adjust the settings or view the Block Diagrams.
I'm very concerned that the Strategy Conditions provided (especially the Rank based Strategy Conditions) will bog down your computer and take a very long time to calculate, but you can certainly try them out if desired. Some notes:
Industry Rank vs Industries - This calculates the Price Percent Change for the Main Industry or Sub Industry over the Period and ranks this versus All Industries, Main Industries or Sub Industries. This is much quicker than either Sub Industry Rank (Avg Net) or Sub Industry Rank (unweighted).
Ranked Weighted PPC - This calculates the Price Percent Change for the last quarter, last two quarters, last three quarters and last four quarters. It places twice the weight on the last quarter than the other three Price Percent Change calculations. This value is then ranked versus all other US Stocks. Changing this watchlist to something smaller can dramatically improve performance.
Ranked Weighted Quarters - This calculates the Price Percent Change for the last quarter, one quarter back, two quarter back and three quarters back. It places twice the weight on the last quarter than the other three Price Percent Change calculations. This value is then ranked versus all other US Stocks. Changing this watchlist to something smaller can dramatically improve performance.
Sub Industry Rank (Avg Net) - This calculates the Average of the Net Change over the Period for each symbol in the symbol's Sub Industry and ranks this versus all Sub Industries. This uses nested List Blocks and can be quite slow. I believe this most closely corresponds to your Price Weighted version.
Sub Industry Rank (unweighted) - This calculates the Average of the Price Percent Change over the Period for each symbol in the symbol's Sub Industry and ranks this versus all Sub Industries. This uses nested List Blocks and can be quite slow.
Weighted PPC - This calculates the Price Percent Change for the last quarter, last two quarters, last three quarters and last four quarters. It places twice the weight on the last quarter than the other three Price Percent Change calculations.
Weighted Quarters - This calculates the Price Percent Change for the last quarter, one quarter back, two quarter back and three quarters back. It places twice the weight on the last quarter than the other three Price Percent Change calculations.Attachments:
Industry Rank vs Industries.scond - 6 KB, downloaded 976 time(s).
Ranked Weighted PPC.scond - 9 KB, downloaded 992 time(s).
Ranked Weighted Quarters.scond - 8 KB, downloaded 1,008 time(s).
Sub Industry Rank (Avg Net).scond - 6 KB, downloaded 994 time(s).
Sub Industry Rank (unweighted).scond - 6 KB, downloaded 981 time(s).
Weighted PPC.scond - 8 KB, downloaded 877 time(s).
Weighted Quarters.scond - 8 KB, downloaded 1,006 time(s).
-Bruce
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Platinum Customer
Joined: 3/31/2006
Posts: 3,207
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Bruce,
I am sorry if I haven't replied to this yet. I've been extremely busy in the last 2 weeks.
I certainly don't want to bog down my computer thanks for letting me know. I wouldn't mind letting one of my computers run a back test for a day or two but I don't want to have it crash on me.
Here is what I really want to do.
I like to back test this for the last 4 to 5 years.
To buy all stocks at the open of the following day that they meet all of these conditions.
1-Capitalization > 100 Million (easy)
2-Price Per Share > $10 (easy)
3-Volume $ amount > 5 Million (You made it o ready)
4-Earnings last quarter % change > a set %. (easy)
5-Revenue last quarter % change > a set %. (easy)
6-TSV 65 is above the zero line. (easy)
7-Top half of best performing Sub-Industries. (This is the Sub-Industry Rank (Avg Net) that you created above that 1st) it takes out the Industry Groups so you are just left with Sub-Industries and 2nd) it makes each Sub-Industry's price performance, Price weighted by the price of their components before ranking them) Am I correct on this?
You said since it uses a nested list it can slow down the back test does the ranking slow it down as well because I can just sort this list by price performance in the last 6 months and since there are 206 Sub's top 103 will be the top half. Can this speed it up?
8-Stock Relative Strength Rank > 75. (This is the Ranked Weighted Quarters that you created above) If this is going to slow down things a lot I can do the same thing as Sub-Industries. We can sort all Stocks by performance for the last 6 months and take the top 25%. Would this speed up things since I have a lot of conditions that the stock needs to meet to be purchased. I think taking the top 25% of best performers in the last 6 months will produce a very similar list of stocks.
9-Stock closes above it's 50 day SMA.
To sell any stock at the open of the following day when they meet any of the conditions below.
4-Earnings last quarter % change is not > a set %, or less than a set %.(easy)
5-Revenue last quarter % change is not > a set %, or less than a set %.(easy)
6-TSV 65 below the zero line. (easy)
7-Sub-Industry is no longer in the top half.
8-Stock Relative Strength Rank drops below 75.
9-Stock crosses 1% below it's 50 day SMA. This is the only condition that is intraday on both sides buy and sell conditions.
What I like to do is to run 2 tests one using the 50 day SMA and the other test I like to replace that with the Volatility stop loss indicator that you created for me about 2 months ago. I think and this is just by looking at a lot of charts in the last 2 months, using the volatility stop instead of the 50 day SMA will produce better performance and a lot less trades. So by back testing the same stocks that meet the remaining of my conditions and replacing the 50 day SMA for the volatility stop and run this test for a good 3 to 5 years will give me very good sense of how they perform.
So please let me know if condition 7 and 8 will get me into trouble. If they are let me know if what I suggested will make it easier and faster.
On the Sub-Industries, I have to take out the Industries and I have to make them price weighted but the ranking is not as important I can just use the best performers in the last 6 months Top Half. I think that's what it's o ready doing.
On the Stock Relative Strength, lets forget about the weighted quarters, lets do the same thing as Sub-Industries. Top 25% of best performers last 6 months if this is going to speed up things.
Lastly how often does Earning and Revenues update in Blocks? If the company reports this afternoon does it update overnight for tomorrow or it gets updated on the weekends?
Thanks a ton for your support I know I've been asking a lot recently.
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Platinum Customer
Joined: 3/31/2006
Posts: 3,207
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Have you had a chance to look at this yet
Thanks
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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thnkbigr,
Fundamentals are updated on a Weekly basis (on Saturdays).
I've been playing with this and my honest suggestion if you are having problems with speed is to just say no to Ranks and use Values instead. Using Ranks is just a lot more resource intensive than using Values. Please download the attached .scond file to:
\My Documents\Blocks Files\Tool Parts\Strategy Conditions
Once downloaded, you should be able to select Add Condition | My Computer when adding a Strategy Condition to access it.
You can use QuickEdit to adjust the settings or view the Block Diagram.
They should allow you to calculate Weighted PPC or Weighted Quarters for the Industry, Sub-Industry or Symbol depending on the settings.Attachments:
Weighted PPC (w Industry Option).scond - 8 KB, downloaded 830 time(s).
Weighted Quarters (w Industry Option).scond - 8 KB, downloaded 812 time(s).
-Bruce
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Platinum Customer
Joined: 3/31/2006
Posts: 3,207
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Bruce,
Thanks a lot. I have saved all of my conditions under what I call CAN SLIM work station.
Do I have to use Greater or Less than or Crossing up or down through? what's the difference? I am assuming greater or less than is when you use closing prices and Crossing is for real time, am I correct?
Currently I have them as greater or less than and I tried to run a test on the most recent IBD 100 and it creates no trades so I am guessing something is wrong.
Can I send you the work station just so you can see if everything is correct before I run the real test?
Thanks
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Worden Trainer
Joined: 4/26/2007
Posts: 508
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thnkbigr,
In the case of Weighted PPC, Greater Than Value and Less Than Value will allow you to find stocks that have Weighted Price Percent Changes of at least (or at most) a specified value. If you set the parameters of the QuickEdit to Less Than and the value to 0.00, the resulting stocks will currently have a negative Weighted Price Percent Change. The resulting stocks may have had negative Weighted PPC values for several bars, but as long as the value is currently negative, a given stock will be included within the results.
The distinction between Greater Than/Less Than and Crossing Up Through/Crossing Down Through is that if you changed the parameters above to Crossing Down Through and the value to 0.00, only the stocks whose current values for Weighted PPC were becoming negative (crossing down through zero) would be listed within the results of the scan. If, for example, the current value for PPC were negative but had been negative for the past several bars, the PPC value would not currently be Crossing Down Through 0.00 and thus wouldn't be included in the scan results.
I've downloaded the files the Bruce created and created scans based upon each. I found that when run against the Nasdaq100, several stocks were identified. Perhaps you could post the QuickEdit parameters you are working with - I will try to replicate what you've done.
Thanks, and hope this helps-
Julia
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Platinum Customer
Joined: 3/31/2006
Posts: 3,207
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Julia,
I just sent at email to support@worden.com with my work station attached. They are suppose to forward it to you.
When you choose pass through symbol in the Weighted quarters I am assuming that it's the symbols in the watch list you are trying to backtest?
thanks
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Worden Trainer
Joined: 4/26/2007
Posts: 508
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thnkbigr,
I've taken a look at the Workspace you sent, and I believe your lack of results is only a consequence of demanding parameter settings. I de-selected all buy conditions with the exeption of the two Bruce recently attached. Historically, I noticed that there were buy and sell markers on my active chart; however, as I began to re-select the other conditions one at a time, fewer trades were marked. It can be expected that as you ask for more and more things to be true about a stock at the same time, fewer stocks will meet that combination of criteria.
I ran your exact criteria against the Russell1000 and found one historical trade (on CREE in '99). We know each condition is functioning independently since at least one trade took place. If I were you, I would try loosening the parameters.
You're correct that the Symbol Passthrough within QuickEdit allows you to switch the group of stocks tested.
Good Luck!
Julia
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Platinum Customer
Joined: 3/31/2006
Posts: 3,207
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Julia,
I've been using these parameters for the last 3 years now and most of the time I have over 100 stocks coming through. I ran a test on Russell 2000 and I get no trades and if you just had 1 that tells me something is wrong.
I also ran this on IBD 100 which most of the stocks pass through these parameters and I get no trades.
This is what I want
Market Cap over 100 Million
Price over $10
Volume- stock trades at least 5 million dollars worth a day on average in the last 50 days.
EPS % change over 25% this quarter from a year ago same quarter
Sales % change over 25% this quarter from a year ago same quarter
5 day SMA of TSV 65 Exponential above the zero line
Top 50% of Sub-Industries based on their price performance
Top 25% of all stocks based on their price performance
stock closes above the 50 day SMA.
As long as the stock meets all of these conditions it will be bought at tomorrows opening price.
Is this what I have set up in my work station?
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Platinum Customer
Joined: 3/31/2006
Posts: 3,207
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Julia,
Have you looked at this yet.
I explained my buy conditions above do they match what I have set up in my work station?
thanks
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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thnkbigr,
There are two basic issues with the Strategy in the CANSLIM Workspace you sent. The first issue is that you were using a ROC of EPS % Change and Sales % Change Criteria. You actually want the Raw values for the Conditions because they include the desired % Change as part of the condition itself.
The second is that while you are specifying Ranks while using the value based Weighted Quarters Strategy Conditions. If you are going to check for Ranks, you need to use the Rank based version (even though it is much slower). If you are using the value based versions, you need to use reasonable values that would correspond in some fashion to these ranks. For example, the value for Weighted Quarters of Sub-Industries with a Rank of > 50% would currently be about > .2% while the value for the Weighted Quarters of US Stocks with a Rank of > 75% would currently be about > 4.1%. These values can vary dramatically over time, so what you should really do when using value based conditions is find values that make sense based on your investment Strategy.
Please save the attached .bWorks file to the following folder:
\My Documents\Blocks Files\Workspaces
You can then open the Workspace via your FILE menu (Open Workspace then My Computer).
You can use QuickEdit to adjust the settings or view the Block Diagrams.Attachments:
thnkbigrCANSLIM26035.bWorks - 146 KB, downloaded 789 time(s).
-Bruce
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Platinum Customer
Joined: 3/31/2006
Posts: 3,207
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Bruce,
How do I find out what the values correspond to? Where do you see that > 50% corresponds to .2% and what is that .2% mean?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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thnkbigr,
The Workspace in my Monday, November 26, 2007 10:53:02 AM ET post has a Watchlist Column for Weighted Quarters and another Watchlist Column for Rank Weighted Quarters. The first displays the Value and the second displays the Percentile Rank associated with that Value.
If you select the Hemscott Sub Industry Group Indexes as the Watchlist and sort by the first Column, you can see the Weighted Percent Change (calculated using the formula you provided):
Weighted Quarters - This calculates the Price Percent Change for the last quarter, one quarter back, two quarter back and three quarters back. It places twice the weight on the last quarter than the other three Price Percent Change calculations.
If you look at the second Column, you can see the current Percentile Rank associated with that Value for the Watchlist.
You can do the same with All Stocks (but be prepared to wait a while as it calculates the ranks for even a single day).
The Values for a particular percentile rank can (and will) change from day to day. This is why I suggested choosing a Value that fits your particular investment Strategy if you are going to use Value based Conditions.
-Bruce
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