# Unholy Grails - Amibroker



## jet328

After reading Nick Radge's Unholy Grails I was inspired to have a go at creating a system in Amibroker.

I've purchased Amibroker Pro and the historical ASX data from PremiumData.

Before having a go at my own system I thought I'd see if could replicate one of the systems in the book, just to make sure I've got some of coding basics down pat and the data setup correctly.

In the book they use PremiumData from 1/1/1997 to 30/6/2011 on the All Ords plus all delisted stocks. Starting with $100,000, including dividends & 20 positions of 5% each. 7 day liquidity and volume must exceed 500,00


I chose the bollinger band system to have a go at.
-use a 100 day moving average
-enter when the price crosses the 3 standard deviation band
-exit when price crosses the 1 standard deviation band

Having never used Amibroker I may be miles off, but this is what I came up with




		Code:
	

SetOption("InitialEquity", 100000);
SetOption("MaxOpenPositions", 20);
SetTradeDelays(1,1,1,1);
SetPositionSize( 5, spsPercentOfEquity );


UpperBand = BBandTop( C, 100, 3 );
LowerBand = BBandBot( C, 100, 1 );

SevenDayAverageTurnover = MA(C*V, 7);
SevenDayAverageLiquidity = MA(V, 7);

Buy = Cross( UpperBand, C ) AND SevenDayAverageTurnover > 500000 AND SevenDayAverageLiquidity > 500000 ;
Sell = Cross( C, LowerBand ) ;



In the book the bollinger band system produced a CAGR of 33% with max drawdown of 43%. 
My code attempt produces CAGR of 20% and max drawdown of 47%. I didn't expect to get a result exactly the same, but it seems a long way out.

I'm not including dividends as I don't know how you'd do that which would add a bit to the result. But at the same time, they are including delisted stocks in the book (which I'm not as the Premiumdata doesn't seem to contain this), so I should have made up some ground due to survivorship bias?

Any ideas where my code is going wrong?
Apologies for the long post.


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## rnr

When need the CLOSE to be above the UpperBand when you Buy and below the LowerBand when you Sell.



		Code:
	

Buy = Cross( C,UpperBand, ) AND SevenDayAverageTurnover > 500000 AND SevenDayAverageLiquidity > 500000 ;
Sell = Cross( LowerBand,C ) ;


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## tech/a

All systems were tested using Montecarlo analysis. Those published would be the mean average.

If your only testing 1 pass of a portfolio then you won't get a complete range of worst to best to average.

Single pass tests will vary from run to run depending on the date the start and finish is set at.
Or which stocks are bought which will vary on portfolio size and available capital

Infact I'd be more concerned if you came up with the exact same result.


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## jet328

Thanks rnr, that was a bad one 
After making that change CAGR = 18% 


Hi Tech
I gather that is your system in the book, TechTrader?

Do you have any good links on Monte Carlo Amibroker testing?

I tried adding



		Code:
	

PS=Optimize("Postion Score",1,1,1000,1);
PositionScore = Random()*PS;


so it wasn't biased to picking stocks starting with A than Z, which produced a CAGR range of 17-20% compared to Nick's CAGR range of 18-39%, so obviously there is more to it than just a PositionScore.


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## tech/a

Yeh the one traded on " The Chartist " for 7 yrs ---- still there!

I use Tradesim for Montecarlo testing it links with a lot of software.


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## psj02

I'm interested in this book as well as back testing with AmiBroker (do not own either ATM).

Just wondering, do the tests take into account brokerage? If so what value do they use? I would think over 10+ years for 20 positions ($100k account) using brokerage of $30/trade will produce different results to $6/trade.... or is it a wash?


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## gav

psj02 said:


> Just wondering, do the tests take into account brokerage? If so what value do they use? I would think over 10+ years for 20 positions ($100k account) using brokerage of $30/trade will produce different results to $6/trade.... or is it a wash?




The book uses brokerage of 0.25% per trade (with a minimum of $29.95)


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## JacknLime

I emailed Premiumdata about delisted stocks and although they don't officially support delisted stocks for Amibroker due to code overlap issues (Amibroker can't handle a delisted stock and a listed stock with the same symbol), you can add them in with some limitations. When adding the delisted stocks using the method below delisted stocks will take preference where there is a same delisted/listed stock symbol.

To add delisted stocks:
File -> Database Settings
Click Configure
Click Add Folder
Navigate to C:\Trading Data\Stocks\Delisted Securities\ASX\MASTER, Click Retrieve Symbols, OK, OK.

My results for the Bollinger Band System AFL above (1 run, no position score)
Results from XAO (486 symbols)
CAR 15.37% and maxDD 45.06%

Results from XAO and delisted securities. (1508 symbols)
CAR 5.42% and maxDD 25.67%

(Criteria used for delisted securities, 3 character symbols that haven't traded in the last 100days)


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## tech/a

1000 delisted securities?..
Something's wrong


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## JacknLime

The delisted list I'm using is stocks that have stopped trading at some stage within the dates 01/01/1997 and 30/06/2012. (I just picked a date a few months ago) Over that time period does about 1000 stocks sound reasonable?

It is possible with my limited amibroker knowledge that something is wrong though


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## tech/a

JacknLime said:


> The delisted list I'm using is stocks that have stopped trading at some stage within the dates 01/01/1997 and 30/06/2012. (I just picked a date a few months ago) Over that time period does about 1000 stocks sound reasonable?
> 
> It is possible with my limited amibroker knowledge that something is wrong though




Sounds ridiculous.
When you say stopped
Stopped and never traded again or 
Stopped and then continued to trade.
At a guess I'd say de listed and codes changed would be at most 100


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## JacknLime

Stopped and never traded again. Just had a look through my list and they all seem to have stopped trading. (See attached)

I just did a bit of a search on google and there have been 67 delisted in the past 6 months, so I suppose it makes sense there have been over 1000 in the past 15 years. http://www.asx.com.au/asx/research/delistedCompanies.do

I don't however get as many as Nick Radge in his book, his test universe contains 1847 securities (XAO and complete delisted stock universe back to January 1997) Maybe because of the Amibroker code delisted/listed overlap issue? I'm not sure yet.


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## tech/a

JacknLime said:


> Stopped and never traded again. Just had a look through my list and they all seem to have stopped trading. (See attached)
> 
> I just did a bit of a search on google and there have been 67 delisted in the past 6 months, so I suppose it makes sense there have been over 1000 in the past 15 years. http://www.asx.com.au/asx/research/delistedCompanies.do
> 
> I don't however get as many as Nick Radge in his book, his test universe contains 1847 securities (XAO and complete delisted stock universe back to January 1997) Maybe because of the Amibroker code delisted/listed overlap issue? I'm not sure yet.




If you have a good look you'll notice that only 15 have ceased
The remainder have been acquired in one way or another and 
Are still trading under a different code.
This is generally done for you by a good data provider

You can now see where the difference is between your and Radges results.


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## JacknLime

tech/a said:


> If you have a good look you'll notice that only 15 have ceased
> The remainder have been acquired in one way or another and
> Are still trading under a different code.




Yes that's correct, I want my list to include all of those.

In Unholy Grails the test universe is made up of the XAO plus complete delsited stock universe back to January 1997 including all stocks that have gone into administration as well as those delisted due to merger or acquisition. The test universe in the book has a total of 1847 securities.

So with my list I have about 500 XAO and 1000 delisted (stopped trading under that symbol) but that's still 300 less than the list used in Unholy Grails. Might have something to do with Amibroker not playing nicely with listed/delisted duplicated symbols but 300 difference is a lot. Any ideas on that one?


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## tech/a

JacknLime said:


> Yes that's correct, I want my list to include all of those.
> 
> In Unholy Grails the test universe is made up of the XAO plus complete delsited stock universe back to January 1997 including all stocks that have gone into administration as well as those delisted due to merger or acquisition. The test universe in the book has a total of 1847 securities.
> 
> So with my list I have about 500 XAO and 1000 delisted (stopped trading under that symbol) but that's still 300 less than the list used in Unholy Grails. Might have something to do with Amibroker not playing nicely with listed/delisted duplicated symbols but 300 difference is a lot. Any ideas on that one?




I'll ask Radge if I can get the list if you like


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## JacknLime

tech/a said:


> I'll ask Radge if I can get the list if you like




That would be great. Thanks


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## psj02

Been looking at his site, particularly the subscriptions for the short term (turtle) and trend following systems.

Is his book an alternative for someone who wants to build, test and follow a similar system on their own? If so, does the book contain enough instruction for someone new to AmiBroker to navigate the software to do what's in the book?


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## rnr

psj02 said:


> Been looking at his site, particularly the subscriptions for the short term (turtle) and trend following systems.
> 
> Is his book an alternative for someone who wants to build, test and follow a similar system on their own? If so, does the book contain enough instruction for someone new to AmiBroker to navigate the software to do what's in the book?




If you have been looking at The Chartist site then obviously you must have registered as a member so why don't you ask Nick this question...you will only get a "no bulls**t" answer?


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## tech/a

Nicks reply to my email

_For the book I used the default Delisted database and current XAO constituents as per the standard PremiumData subscription.

Now they have a new database, the Alpha PDU, which was not available at the time. This enables me to test the historical universes accurately. As an example, I can test the Small Ordinaries all the way back to 1991 using only those stocks which were ever in that universe at that exact time.

Nick Radge
AFSL 288200_


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## Billyb

tech/a said:


> Nicks reply to my email
> 
> _For the book I used the default Delisted database and current XAO constituents as per the standard PremiumData subscription.
> 
> Now they have a new database, the Alpha PDU, which was not available at the time. This enables me to test the historical universes accurately. As an example, I can test the Small Ordinaries all the way back to 1991 using only those stocks which were ever in that universe at that exact time.
> 
> Nick Radge
> AFSL 288200_




Sounds too good to be true. Where is this Alpha PDU, I can't find it anywhere on the Premium Data website?


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## Richard Dale

The "alpha" part of the database described above means "alpha test" which means it is not yet unreleased as a service to the general public.

In a nutshell it offers the ability to backtest on historical index constituents, plus adds support for the new AmiBroker features like GICS and ICB classifications.  We area also looking to populate some of the additional metadata fields available in AmiBroker too.

Regarding historical index constituents on the ASX, we cover S&P/ASX 20/50/100/200/300, Small Ordinaries and All Ordinaries back to June 1992.

We still have a way to go before it's released but welcome new alpha testers to join us.  

We are opening up positions on the alpha testing team to anybody who is a current subscriber to our data update services and who uses AmiBroker.  Please contact Support if you are a subscriber who wants to assist.


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## village idiot

richard, 

If I go to your site and order the 'Complete ASX Data History' ($90 1 time fee), will I end up with exactly the same data Nick Radge used for the book? 

If not, what hoops do i jump through to become the owner of the _default Delisted database and current XAO constituents as per the standard PremiumData subscription_

thanks


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## Richard Dale

Hi,

The short answer is "no".  You need to have both an ongoing data update subscription and a subscription to the ASX data history subscription to be invited to become an alpha tester which will then give you access to the database as used by Nick Radge.


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## village idiot

> Nicks reply to my email
> 
> For the book I used the default Delisted database and current XAO constituents as per the standard PremiumData subscription.
> 
> Now they have a new database, the Alpha PDU, which was not available at the time. This enables me to test the historical universes accurately. As an example, I can test the Small Ordinaries all the way back to 1991 using only those stocks which were ever in that universe at that exact time.
> 
> Nick Radge
> AFSL 288200




thanks for your reply, but in the post above, it says for the book he was not using the Alpha database. Since I want to recreate what he was testing in the book, i dont want the alpha database either right? I just want to buy the same data he was using for the book. 

thanks


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## Richard Dale

In that case, the answer is "you can just purchase the ASX historical database" from our site.

Due to the way the complex way the AmiBroker scripts work, we also recommend you take out a three week free trial to the update servies to ensure this database is kept up-to-date and such updates flow through to Amibroker correctly.


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## WilkensOne

Hey folks,

I am also just testing out a system from the book and I'm having some trouble with the index filter. 

What I have read elsewhere suggests using something like Foreign ( XAOA, C and then adding in => a 75 MA and adding this additional rule to the buy signal and the reverse to exit on a downtrend. 
Any guidance would be much appreciated. 
Thanks
Wilkens


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## jet328

WilkensOne said:


> What I have read elsewhere suggests using something like Foreign ( XAOA, C and then adding in => a 75 MA and adding this additional rule to the buy signal and the reverse to exit on a downtrend.




This is what I had



		Code:
	

SetForeign("XAO");

IndexFilterMovingAverage = 75;

movavg = MA( C, IndexFilterMovingAverage ); 

RestorePriceArrays();




Then add the condition to your buy/sell code.


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## WilkensOne

jet328 said:


> This is what I had
> 
> 
> 
> Code:
> 
> 
> SetForeign("XAO");
> 
> IndexFilterMovingAverage = 75;
> 
> movavg = MA( C, IndexFilterMovingAverage );
> 
> RestorePriceArrays();
> 
> 
> 
> 
> Then add the condition to your buy/sell code.




Awesome thanks Jet, I will give it a whirl


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## Kylie9090

Sorry to go off topic, but I can't seem to find an answer to this questions: How do I download an entire list of a markets stocks and have them devided in to their respective sectors?  Any feedback would be much appreciated.


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## CanOz

Kylie9090 said:


> Sorry to go off topic, but I can't seem to find an answer to this questions: How do I download an entire list of a markets stocks and have them devided in to their respective sectors?  Any feedback would be much appreciated.




You can either pay for data, the best option if you can afford it...from guys like Premium Data

OR

Take your chances with Yahoo data

CanOz


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## Kylie9090

But how do you seperate them in to sectors?


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## Gringotts Bank

Kylie9090 said:


> But how do you seperate them in to sectors?




I'm pretty sure someone on the AB thread has done this, just recently.  Scroll back through the last month or so of posts.


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## CanOz

Kylie9090 said:


> But how do you seperate them in to sectors?





You can find the sectors under the watchlists...for Premium Data anyway.


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## howardbandy

Greetings --

Please permit me to raise a caution.  This thread mentions both random selection and TradeSim.  I do not have Nick's book or the code being discussed, so my comments may not be needed -- in which case ignore them or modify them as is appropriate.

Use of random numbers and Monte Carlo simulation is valuable under some circumstances.  [One of my recent books (and forty-plus years of my professional experience) is devoted to that.]  But that analysis usually begins with a set of trades that were chosen deterministically.  

Before testing a system that has a random entry or random issue selection, ask yourself whether you would use a random process -- whether you would throw some dice -- to decide whether to trade or to choose among alternative trades.  If you would, then continue.  If you would have some preference, as I do and most people I work with do, that ranks those alternatives, include the code that describes that ranking -- perhaps as a positionscore -- and form a deterministic system.  Then, following the validation process and walk forward runs, use the out-of-sample trades to work through the risk analysis, safe position size in keeping with your personal risk tolerance, and analyze profit potential.  These are the steps where Monte Carlo analysis is most appropriately used.  

Regards,
Howard


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## cudderbean

Kylie9090 said:


> Sorry to go off topic, but I can't seem to find an answer to this questions: How do I download an entire list of a markets stocks and have them devided in to their respective sectors?  Any feedback would be much appreciated.




I can thoroughly recommend Bullcharts and their Weblink data service (EOD approx $350 pa). It's a home grown Aussie product, been around for about 10 years. Customer service excellent. I much prefer it to Metatstock. 100's of inbuilt indicators and scans, and of course you can create your own.Compatible with Tradesim too.

3 things I especially like are:

1. The convenience of importing and exporting data and scan results into Excel which is my main live trading tool.

2. The database includes 100s of delisted/changed  codes..I'm just testing my indicators on WMC in 1986 prior to the crash of 87.

3. It includes heaps of fundamental data too which you can use for filtering preformance. I use it to update an Excel sheet I keep of div paying stocks, with which I can _approximate _when it's 47 days prior to ex div date for div stripping/collection. Includes market sectors to answer your query.

.all scanable and exportable too......

Market Cap.
Gross Div Amount.
Annual Dividend/Share.
Dividend Cover.
Ex Date.
Dividend Payable Date.
% Franked.
Dividend Yield.
Earnings Yield.
PE Ratio.
Net Tangible Assets.
*GICS Code
Sector.
Industry Group.
Industry.
Sub Industry.*.


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## wombat40

Cudderbean, Are you work for Bullcharts...the title of the thread..'Unholy Grails - Amibroker'.. Dont confuse the issue with this ..Bullcharts cant be used with the systems in the Book..Nick uses AB.. and its off topic.


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## cudderbean

wombat40 said:


> Cudderbean, Are you work for Bullcharts... ..Bullcharts cant be used with the systems in the Book..Nick uses AB...




No I don’t work for Bullcharts...very happy with it though.  The Bollinger System above looks simpler to code in BC.
>> Bullcharts can’t be used with the systems in the Book.

... of course it can. 

I was replying to Kylie9090 ....
“I can't seem to find an answer to this question: How do I download an entire list of a market’s stocks and have them divided in to their respective sectors? *Any feedback would be much appreciated*.”

... I thought that was the idea of this forum:   to help each other.


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## AlterEgo

Kylie9090 said:


> But how do you seperate them in to sectors?




If you are using Amibroker, then Premium Data is the way to go as it already comes configured separated in to sectors. So you don't have to do anything.


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## ICdeadppl

Hi I'm new to Amibroker

How do I plot the Bollinger Bands with the different parameters as per UG? I can't seem to change the deviations so the upper bar is 3 and lower bar 1.


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## wombat40

ICdeadppl said:


> Hi I'm new to Amibroker
> 
> How do I plot the Bollinger Bands with the different parameters as per UG? I can't seem to change the deviations so the upper bar is 3 and lower bar 1.





Once ur in the analysis window, click onto the 'parameters' and then u can change the 'Parameters- BBO'   to any numbers u like.. ..Its easy, even a dumbass like me can do it m8..!


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## AlterEgo

wombat40 said:


> Once ur in the analysis window, click onto the 'parameters' and then u can change the 'Parameters- BBO'   to any numbers u like.. ..Its easy, even a dumbass like me can do it m8..!




No, that can't adjust the top band to one value and the bottom band to a different value - both bands are set to the same value in the parameters window.

You'd have to write some code to do it. Something like:

Bot = BBandBot(C, 100, 1);
Top = BBandTop(C, 100, 3);
Plot(Bot, "LowerBand", colorRed);
Plot(Top, "UpperBand", colorRed);
Plot(MA(C,100), "CentralMA", colorBlue);


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## howardbandy

ICdeadppl said:


> Hi I'm new to Amibroker
> 
> How do I plot the Bollinger Bands with the different parameters as per UG? I can't seem to change the deviations so the upper bar is 3 and lower bar 1.




Hi IC --

A Bollinger Band is defined as being some number of standard deviations above or below the average.  You can "roll your own" by defining what you want the band to be based on (often it is the closing price), computing whatever moving average you want to use and whatever lookback length or window size, whatever window size for the standard deviation, and however many standard deviation units above for the upper band and, separately, however many standard deviation units below for the lower band.

Like this:

//	CustomBollingerBands.afl

MALength = 20;
StDevWindow = 20;
UpperBandDistance = 3;
LowerBandDistance = 1;
P = Close;

MiddleBand = MA( P, MALength );
StandardDeviationDistance = StDev( P, StDevWindow );
UpperBand = MiddleBand + UpperBandDistance * StandardDeviationDistance;
LowerBand = MiddleBand - LowerBandDistance * StandardDeviationDistance;

Plot( P, "Price", colorBlack, styleDots );
Plot( MiddleBand, "MidBB", colorBlue, styleLine );
Plot( UpperBand, "UpperBB", colorGreen, styleLine );
Plot( LowerBand, "LowerBB", colorRed, styleLine );

//////////////  end  ///////////////////

Regards,
Howard


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## ICdeadppl

Thanks for that


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## C0ncrete

Did anyone end up purchasing Nick's BBO system? Care to share any results?


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## Newt

C0ncrete said:


> Did anyone end up purchasing Nick's BBO system? Care to share any results?




Concrete, I haven't purchased any of Nick's systems but from what I've read the code is quite configurable in terms of parameters for entry, exit, size of bands, length of MAs etc.  It may be valid to ask how people have fared on default settings but tricky to compare people that have tweaked.

I found Nick's book the single biggest eye-opener in 20 years of holding and sometime trading shares.  I've never seen a publication describe so much intimate detail on the intracacies of trading, not just generalisations.  After many many months of backtesting in Amibroker it does appear to the basis of very workable strategy with returns in line with what Nick describes in Unholy Grails.  I suspect for anyone unwilling to invest a large amount of time writing and testing a subscription or purchase of Nick's services could be invaluable.

Hmmm, for a long time lurker, I s'pose this as a first time post may be taken with reasonable suspicion anyway


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## RobertC72

Newt said:


> Concrete, I haven't purchased any of Nick's systems but from what I've read the code is quite configurable in terms of parameters for entry, exit, size of bands, length of MAs etc.  It may be valid to ask how people have fared on default settings but tricky to compare people that have tweaked.
> 
> I found Nick's book the single biggest eye-opener in 20 years of holding and sometime trading shares.  I've never seen a publication describe so much intimate detail on the intracacies of trading, not just generalisations.  After many many months of backtesting in Amibroker it does appear to the basis of very workable strategy with returns in line with what Nick describes in Unholy Grails.  I suspect for anyone unwilling to invest a large amount of time writing and testing a subscription or purchase of Nick's services could be invaluable.
> 
> Hmmm, for a long time lurker, I s'pose this as a first time post may be taken with reasonable suspicion anyway



Hi Concrete/Newt

Yes, also long time lurker, first time poster.  But just wanted to post to agree with Newt, this is great system. Thanks to Radge (and those on this forum who helped him) in testing a range of systems and putting the results out there into the public arena in such an understandable way for all traders to access.  

I have also backtested and got great results -on US and Aus markets (less good on Singapore markets, not sure why - ??). Sliced and diced far more than i need to, but now can trade a tweaked version with great confidence - even in the face of lof the strengths (return) and weakness (dry spells/drawdowns) of this system. 

Thanks to Jet for initial post, and so many helpful folk out there on Amibroker forums (including legendary Tomaz himself). While i could have bought the system from Nick, i actually wanted to try building it myself so i understood it (and the cost relative to my paltry starting capital was a bit steep - plan on paying Nick back someday though!)

What i most love about the system is that you can try all sorts of filters and additions, but keep coming back to the basic, stripped back system. Maybe those with more technical knowledge can improve it, but beyond a price filter (I found less than $20 a share in US, less than $10 a share in Aus improves a little, which kinda makes sense re 'growth stocks'), it keeps to the KISS principle of all the good trend following stuff. 

My point is that while it has been worth the "journey" for me on Amibroker, if you don't have the time to learn  Amibroker and test lots of different stuff, i reckon well worth the price Radge charges for the system (plus Amibroker - cheap as for what it gives - and Norgate subscription). 

Still, just my opinion yadda yadda, and not any actual advice


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## Azimuth

Hi all,

Another lurker's first post here. Thanks to the initial poster and the replies, this has been a helpful thread for newbies like me.

Did anyone end up solving the problem JackLime was having? From what I can see, the 'Delisted database' Nick Radge refers to seems to be the one JackLime added using the steps below. Feel like I'm missing something frustratingly obvious here. 



JacknLime said:


> I emailed Premiumdata about delisted stocks and although they don't officially support delisted stocks for Amibroker due to code overlap issues (Amibroker can't handle a delisted stock and a listed stock with the same symbol), you can add them in with some limitations. When adding the delisted stocks using the method below delisted stocks will take preference where there is a same delisted/listed stock symbol.
> 
> To add delisted stocks:
> File -> Database Settings
> Click Configure
> Click Add Folder
> Navigate to C:\Trading Data\Stocks\Delisted Securities\ASX\MASTER, Click Retrieve Symbols, OK, OK.
> 
> My results for the Bollinger Band System AFL above (1 run, no position score)
> Results from XAO (486 symbols)
> CAR 15.37% and maxDD 45.06%
> 
> Results from XAO and delisted securities. (1508 symbols)
> CAR 5.42% and maxDD 25.67%
> 
> (Criteria used for delisted securities, 3 character symbols that haven't traded in the last 100days)





To match the results in the book, did people have to manually go through and create appropriate all ords lists as it was reconstituted (quarterly??) over the 97-2011 period? Or just chuck the delisted stocks and current all ords into a watchlist, then backtest (which seems problematic)?

Thanks for the help, hopefully there'll be many posts to come (where I'm not scrambling for answers!).

P.s RobertC72... any advice for someone doing a similar thing to you? I'm hoping to test out the Unholy Grails/other trend following systems then get one up live before too long.


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## village idiot

for reasons too complicated to go into here, to make this work I need to get hold of a ticker list for either all the delisted securities OR  the delisted securities plus current all ords consituents (ie the universe of stocks we are after, abut 1847 stocks).

The easiest way to do this , if someone has a watchlist containing either of those groups, is export the watchlist to a .tls file in notepad, and pm/ email it to me. Then I can use it to create a watchlist here. 

So , like, pleeeease help me someone...

thanks


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## two40

If you could believe it, I sat down and in half an hour I had all the delisted in a watchlist. I was a bit dizzy by the end... I ended up with 1080.

I have a watchlist with delisted + the current all ords but, stating the obvious, this will not help you get similar figures to those in the book. You would need an all ords snapshot as at the time of his tests.

Origin tonight so I'll try to get to it but no promises.


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## village idiot

well it may not get exactly same results as in book, but in the interests of conservatism it will be closer than not including them at all. I suppose I could then do a reconciled list to match the all ords at the time if I can find the data 

Tickets to British Lions v the Force tonight, more better  .... be grateful if you can get round to it sometime though


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## village idiot

I have been filled, many thanks to two40.


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## two40

village idiot said:


> I have been filled, many thanks to two40.




My pleasure. However, let's not do the happy dance just yet.

After the game last night (go the Blues) I sat down and had a good look at the list. It seems that there must have been some conflicting symbols because after I imported the delisted ones my All Ords contained 495 symbols.

I ran the maintenance thing which fixed my lists but also removed about 700 symbols from my delisted watchlist.

I emailed Premium Data to see if they have any suggestions on how to import the delisted symbols without causing issues to current symbols. 

The only way I can think of doing it is if you import delisted to a blank database, export to cvs(?), export current complete ASX list to cvs, merge and filter duplicate delisted and import remaining delisted. Just throwing out an idea. Does this sound like a plausible method?


----------



## village idiot

the issue of conflicting tickers is a known one and I think that is exactly the reason they officially don't support delisted stocks. I don't think there is a work around, so where there is a conflict you live with the current one and 'lose' the old one. 

The only work around I can think of is if you could somehow get the data for the old duplicated ones in a database and give them a different unique ticker ,  which may be kind of what you are suggesting.

For me I don't think its worth chasing it to that extreme. After merging your list of 1080 with the current all ords , I was left with 1551 symbols in the new watchlist, which suggests that there were 29 duplicates out of 1080, which isn't going to make enough difference to whether it 'works' or not to bother with. I am not going to spend any more effort figuring out why there were 1847 in the book either. 1551 is enough for me.

If you are going to run tests on the new data, the first thing I discovered was that if the strat is in a stock at the point it gets delisted, it is locked in there till the end of the test, which means that portion of your equity is frozen, which affects Cagr negatively. First google search turned up this solution; https://www.aussiestockforums.com/forums/showthread.php?t=19923

but after applying it one of my strats has results almost 'too good to be true' , so I am still having a look at whether the looking forward by one bar is unreasonably artificially boosting it

Thanks again for the list, the download worked perfectly

another thing - that maintainence script in AB in mine anyway depopulates all the watchlists and makes all securities 'unassigned', which it isn't supposed to. But it is supposed to remove delisted securities, which we don't want to happen , so between the two of then I wont be running it very often


----------



## two40

Much like yourself, I'm not too fussed about having a complete set. I'm not collecting Pokemon here. Sorry, poor joke...

I am however concerned with making sure the ones that are there are correct and will provide accurate back testing.




village idiot said:


> If you are going to run tests on the new data, the first thing I discovered was that if the strat is in a stock at the point it gets delisted, it is locked in there till the end of the test, which means that portion of your equity is frozen, which affects Cagr negatively. First google search turned up this solution; https://www.aussiestockforums.com/forums/showthread.php?t=19923
> 
> but after applying it one of my strats has results almost 'too good to be true' , so I am still having a look at whether the looking forward by one bar is unreasonably artificially boosting it
> 
> Thanks again for the list, the download worked perfectly
> 
> another thing - that maintainence script in AB in mine anyway depopulates all the watchlists and makes all securities 'unassigned', which it isn't supposed to. But it is supposed to remove delisted securities, which we don't want to happen , so between the two of then I wont be running it very often




I was having issues with that as well and did find that piece of code. I was curious how that code would compare to real world situations. My guess, and keep in mind I have very little knowledge of the markets, is that the code does reflect what happens in most situations but far from what would happen in every case. Is this a correct assumption?

Wouldn't everyone that uses delisted securities have to have some kind of code like the one you linked to to close out positions?


I did get a response from Premium Data (very good support I might add). They are looking at ways to implement delisted securities which will be a separate history purchase. ETA roughly 2 months to coincide with their next upgrade.

In my case, when I ran the maintenance it left 332 symbols in my Delisted watchlist.


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## two40

My tests with delisted + XAO and using that code to closeout positions were very positive. Almost too good to believe.

Tests done with just XAO (using a variety of periods) were less impressive.

Leads me to believe that closing out positions like that is the difference...?

Whatever the case, I'm having fun learning.


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## village idiot

two40 said:


> I was having issues with that as well and did find that piece of code. I was curious how that code would compare to real world situations. My guess, and keep in mind I have very little knowledge of the markets, is that the code does reflect what happens in most situations but far from what would happen in every case. Is this a correct assumption?




I am no expert but would assume your assumption is about right. In real life some would be mergers that are known well in advance , so no effect. Presumably there may also be some where it came out of the blue and you lost the lot, but wouldn't have thought that happens too often ,especially in a stock enough momentum to be long of in these systems




two40 said:


> Wouldn't everyone that uses delisted securities have to have some kind of code like the one you linked to to close out positions?




perhaps but maybe not everyone has done it. There was a post awhile back saying performance dropped dramatically once you added delisted. It does if you don't address the locked in issue soemhow


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## Azimuth

Sounds like I’ve been working through the same thing.  I used the delisted stocks provided by premium data. When I spoke to them, they said since mid 2011 a number of obscure delisted entries such have been removed from the list… might explain why we don’t get magic 1847 number. I got 1643 using the PD delisted + XAO, with no conflicting symbols (checked in excel). 

Two40... how did you go from the 1143 premium data delisted to 1080?

Hmm... The asx all ords watchlist set by the premium data script includes 500 symbols, S&P says 486, I guess that's splitting hairs.

I ended up getting results  are thatwithin the monte carlo range included in the book, I got 26.8% CAR, 35% Max DD... Still frustrating that it doesn't match, but probably acceptable considering the different test universe. Did anyone get similar?

Delisted stocks also improved my results, with the all ords dragging them down. I’ll be interested to see how the system tests on dynamic all ords data when I get around to it. 

If your results are dubious, perhaps check you aren't including options etc (more than 3 letters in their symbol), and are using exrem for your signals... at least that's what I got stuck on.


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## two40

I think I might have had a bunch of stuff in my Market 0 before I imported the delisted master which would explain why my number differed. I suspect my original import from PD was not 100% correct and I had not run the maintenance yet.

This morning I started with an up to date list after a maintenance had been performed. I then imported the delisted master. I had 1142 in my Market 0. My all ords were 500. No other checks were made as I recently formatted my PC and do not have excel installed at this stage.

I went through the delisted and deleted any symbol with more than 3 characters. I was left with 964 symbols. Added these to the all ords and you I ended up with 1464.

I did some brief testing and got some decent results but nothing spectacular. Using an index filter and trailing stop loss I'm getting returns in the low 20's with maxDD sub 15. Most DD's (in each test) don't go past around 8% with only 1 reaching down to the 15 level. Not the best returns but it looks consistent and safe. The equity curve is a lovely 45 degree. 

Now if I could only raise that return... It does actually bump up to mid 30's on some tests if it catches some security that gives a massive profit of 4.5m! Can hardly depend on that though.


----------



## Azimuth

Hmm... wonder why we're not getting the same results. Are you using the dates out of unholy grails?

I just read up on the exrem command... looks like it isnt appropriate for us after all:

"Hello,	

Example:	
1. State form :	
Buy = C > MA( C, 10 ); // this gives true for ALL BARS where close is above MA	
Sell = MA( C, 10 ) > C;	

2. Impulse form:	
Buy = Cross( C, MA( C, 10 ) ); // this gives true ONLY ON ONE bar when close	
crosses above MA	
Sell = Cross( MA( C, 10 ), C );	


ExRem is the function that allows to convert from state form to impulse form	
Buy = ExRem( Buy, Sell ); // this will convert Buy from state (1) to impulse (2)	
Sell = ExRem( Sell, Buy ); // this will convert Sell from state (1) to impulse	
-2	

Best regards,	
Tomasz Janeczko	
amibroker.com"	


That pushed my CAR up to 31%, with DD 35%. I got 956 symbols with 3 letters using excel, so a couple may have slipped through for you. 

If only mid 20s CAR, with sub 15 DD could be guaranteed! I would quit my job and leverage up 

The index filter did nothing for me, still had 35% max DD. Will have to look into that.


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## village idiot

exactly which strategy are you guys comparing results on ? 

he way I red it I also don't think exrem is relevant, in regular portfolio testing mode extra signals are ignored anyway which seems to be the same as exrem is intended to achieve?;
http://www.amibroker.com/guide/h_portfolio.html


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## Azimuth

We're looking at the bollinger breakout system.

Yep, looks like exrem is unnecessary. I saw it in some old AFL library system codes which led me astray.


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## village idiot

trying to recreate the BBO strategy as exactly as I can has thrown up another couple of issues, which I will post here to see if any light is shed. my concern is unrealistic outliers are unduly flattering the results

The first one I will use the example of PDN

Now the book says on p 49, we will include only stocks with an avg vol of > 500000 shares OR avg turnover > $500000. The table on p 55 could be read as saying BOTH criteria must be met, but in this case I will assume the narrative is correct and it should be an OR rather than an AND. Which did you guys use?

If we use OR in the code, I get CAGR something like the book, but with too many trades. If I use AND the number of trades drops closer to that reported the book, and there are no silly outliers, but the CAGR is consistently lower at around 20%. what gives?

Using OR, on some runs it picks up PDN on 8/8/03 for .016 or 1.6c, which goes on to be a 100 bagger and make us $1.5m.  Now it only gets past the liquidity filter because in the previous days there was a sudden flurry of activity averaging probably 2m shares traded, which passes the shares>500000 test.  however 2m at 1.6c shares represents about $32000 turnover, and our 'purchase' would have added another 45% to that. would we have either wanted to or been able to make this trade in real life? I think not, I cant believe that this would pass any reasonable liquidity test. 

Before I took it out to try to replicate this strategy, I had been using a filter of > 20c, partly because so much of the performance was down to 5c stocks, I also don't believe that in real life you are also going to commit 5% of your capital to a 5c stock just because it goes from 5 to 6c 

Its possible there may have been a stock split some time which affects this by making the 1.6c an 'adjusted' and therefore never existed price?

second one looks like a data error. Some runs pick up CQA , a delisted stock, which on 23/2/2010 had a 40:1 stock split according to yahoo , (while we were long) ,  but the test still shows  it was picked up for 0.5 c  , making $1.7m of non existent profit for the system, which alone would be adding significant amounts to the test results if not excluded manually or by a liquidity test.


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## Stockman2678

Hi,
I'm in the process in re-reading "Unholy Grails" and have purchased Amibroker and trying to learn some code to replicate the systems that Nick has developed and included in his book. I have completed the first example he wrote about, which was the "New Yearly Highs". I'm pretty happy with the results as they are close to what's in the book. I want to include an index filter to this system. That is, the system will only signal buys when the "All Ords" is trading above a 75 day moving average, and sell if the All Ords is trading below the 75 day moving average. From what I have found so far, I will have to use the code "foreign". I would me most grateful if someone could assist.



		Code:
	

//Settings
SetOption("InitialEquity",100000);
SetOption("MaxOpenPositions",20);
SetPositionSize(5,spsPercentOfEquity);
SetTradeDelays(1,1,1,1);

//Rules
HI = HHV(C,250);
LW = LLV(C,250);
DollarTurnover = MA(C*V, 7);
dollarTurnoverOK = dollarTurnover > 500000;
Liquidity = MA(V,7);
LiquidityOK = Liquidity > 500000;


Buy = C >= HI AND LiquidityOK AND dollarTurnoverOK;
Sell = C <= LW;

Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);


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## captain black

Stockman2678 said:


> Hi,
> I'm in the process in re-reading "Unholy Grails" and have purchased Amibroker and trying to learn some code to replicate the systems that Nick has developed and included in his book. I have completed the first example he wrote about, which was the "New Yearly Highs". I'm pretty happy with the results as they are close to what's in the book. I want to include an index filter to this system. That is, the system will only signal buys when the "All Ords" is trading above a 75 day moving average, and sell if the All Ords is trading below the 75 day moving average. From what I have found so far, I will have to use the code "foreign". I would me most grateful if someone could assist.




As always with Amibroker there's a few different ways to code it, here's one way:



		Code:
	

[b]SetForeign( "XAO", True, True );
Buyfilter = Close > MA( C, 75 );
Sellfilter = Close < MA(C, 75);
RestorePriceArrays( True );[/b]

//Settings
SetOption("InitialEquity",100000);
SetOption("MaxOpenPositions",20);
SetPositionSize(5,spsPercentOfEquity);
SetTradeDelays(1,1,1,1);

//Rules
HI = HHV(C,250);
LW = LLV(C,250);
DollarTurnover = MA(C*V, 7);
dollarTurnoverOK = dollarTurnover > 500000;
Liquidity = MA(V,7);
LiquidityOK = Liquidity > 500000;


Buy = C >= HI AND LiquidityOK AND dollarTurnoverOK [b]and Buyfilter[/b];
Sell = C <= LW [b]or Sellfilter[/b];

Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);


I've bolded the sections I've added. Also note that exrem is not required in backtest code and can occasionally cause issues with backtesting, it's mostly used for indicators to remove excess buy/sell signals.


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## Stockman2678

Thanks Captain,
Whats the "RestorePriceArrays(True);" code for?
Thanks in advance.


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## captain black

Stockman2678 said:


> Thanks Captain,
> Whats the "RestorePriceArrays(True);" code for?
> Thanks in advance.




SetForeign replaces the current price/volume arrays with the Foreign symbol. RestorePriceArrays returns price arrays back to current symbol arrays.

More here:

http://www.amibroker.com/guide/afl/afl_view.php?id=247

and here:

http://www.amibroker.com/guide/afl/afl_view.php?id=248


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## Newt

I found the only way to get anything like the returns described in the book was to include additional checks for confirming an established trend, getting out after a number of days, decreasing MA exit time if the AORD filter is Off, fiddling with Std deviation values, etc.  I expect Nicks' Turnkey code includes many of these sorts of things, probably coded a lot more professionally.  I should add, this was for the filtered BBO strategy.  

As for delisted stocks, my analyses were only on current ASX stocks including those outside ASX500.  I accept that creates a bias, but as others here have said, its not totally unreasonable to expect a long only trend following strategy will get you out of a tanking stock before it delists.  I'd be a lot more concerned about deslistings if I was trading short term and not trend following....


----------



## Wysiwyg

As per the Unholy Grails book I think I have constructed the raw strategy for 20% Flipper. The HHiV / LLV range is the one I am not sure on and it does change back test results. The book states any low/high so take your pick (and shovel . The Index filter isn't added until later in the book trial so just the basics. Many tweaks are possible to optimise the strategy such as the HHV/LLV range and other "numbers".  

Is it correct and does the Martin Zweig version differ greatly?  Ta.



		Code:
	

////////////////// 20% Flipper \\\\\\\\\\\\\\\\\\\


// Settings

SetOption("InitialEquity", 100000);              // Initial Equity
SetOption("MaxOpenPositions", 20);               // Max. 20 open positions 
SetPositionSize(5, spsPercentOfEquity);          // Equally weighted 5% of Equity
SetOption("CommissionAmount", 30);               // Commission of $30 ($29.95 rounded up)
SetTradeDelays(1,1,1,1);                         // Trade next bar after signal at open price
SetOption("UsePrevBarEquityForPosSizing", True);  
PositionScore = mtRandomA();                     // Random Backtest
 
// Index Filter
 
SetForeign("XAO");                               // Yahoo = ^AORD / Premium Data = XAO)
IndexBuyfilter  = C > MA(C, 75); 
IndexSellfilter = C < MA(C, 75);
RestorePriceArrays();

// Rules

HighValueLess20 = HHV(H, 50) * 0.80;             // Close is 20% lower than 50 bar High 
LowValuePlus20  = LLV(L, 50) * 1.20;             // Close is 20% higher than 50 bar Low
Turnover  = MA(C*V, 7) > 500000;                 // Dollar Average for 7 bars is greater than 500000 
Liquidity = MA(V, 7) > 500000;                   // Volume Average for 7 bars is greater than 500000

Buy  = Cross(C, LowValuePlus20) & Liquidity & Turnover;
Sell = Cross(HighValueLess20, C);

Plot(LowValuePlus20,  "LLV", colorBlue,styleLine,styleThick);
Plot(HighValueLess20, "HHV", colorBlack,styleLine,styleThick);


----------



## Wysiwyg

I can't get a good score with the 20% flipper because the Low price is only good for 50 bars and will adjust upwards after 50 bars with a rising new Low. Change the range to 100 bar Low and the same issue. For the life of me I cannot see anything of value in this strategy. :bad:

p.s. In the code "Liquidity" should be simply Volume Average as it is not the stocks liquidity factor.


----------



## Habakkuk

Wysiwyg said:


> I can't get a good score with the 20% flipper because the Low price is only good for 50 bars and will adjust upwards after 50 bars with a rising new Low. Change the range to 100 bar Low and the same issue. For the life of me I cannot see anything of value in this strategy.






Like you, I have spent quite some time investigating the "Unholy Grail" systems. The 20% Flipper is the only one that has an ambiguous entry. I quote from the book:

"A 20% rise from any low is a buy."

What exactly does that mean? It doesn't say the low has to be from the last 50 bars as in your AFL listing. It also doesn't say the stock has to have first dropped 20% and then risen 20% as I have found in somebody else's AFL code.
It simply doesn't say. The low could have been this year or last year or 10 years ago.
If so, this is virtually a random entry. Pretty much any stock will have been 20% lower at SOME time in the past.

But maybe I have misunderstood. Nick says he has derived the entry from Martin Zweig's 4% rule, based upon a single week’s movement of the Value Line Composite Geometric Index. Not applicable here. And the one example quoted in the book of CBA from the 23 Jan 2009 low to the entry 20% higher takes about 35 bars/days.

Of course, if you REALLY want to find out, you know what to do ...

On another note, consider this:

all of the "Unholy Grail" systems are very, very simple, extremely, excessively simple and all of them outperform buy and hold not just handsomely, but spectacularly.
How is this possible? Why doesn't everybody just look for 250-day highs and 75-day SMAs?

Nevertheless, I have enjoyed reading "Unholy Grails" and learnt a few things. It was well worth it.


----------



## tech/a

Wysiwyg said:


> I can't get a good score with the 20% flipper because the Low price is only good for 50 bars and will adjust upwards after 50 bars with a rising new Low. Change the range to 100 bar Low and the same issue. For the life of me I cannot see anything of value in this strategy. :bad:
> 
> p.s. In the code "Liquidity" should be simply Volume Average as it is not the stocks liquidity factor.




This is a very good and valid point Wysi

Its best explained here.
https://www.mql5.com/en/code/11094

Ive posed the question to Nick as I'm interested myself--if he has come up with a solution.
I believe there is one and had it explained to me---well above my pay grade but I've been told it can be done
but not with software like Ami.
Metlab I believe but there is a way of doing it.

Once I know Ill let you know if interested.


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## rnr

Wysiwyg said:


> I can't get a good score with the 20% flipper because the Low price is only good for 50 bars and will adjust upwards after 50 bars with a rising new Low. Change the range to 100 bar Low and the same issue. For the life of me I cannot see anything of value in this strategy. :bad:




You will need to use a ZigZag based indicator that works from High to Low and link this with a binary indicator which signals when a 20% low has been "locked in".

AmiBroker is certainly capable of handling both indicators.


----------



## tech/a

Rnr
Could you point me in the direction of a working example of the two together.


----------



## Wysiwyg

rnr said:


> You will need to use a ZigZag based indicator that works from High to Low and link this with a binary indicator which signals when a 20% low has been "locked in".
> 
> AmiBroker is certainly capable of handling both indicators.



A 20% change from high to low isn't a rule. The entry is a rise of 20% from a low. As Habakkuk notes you will still need a 'range' to determine when a low is the low we use as the base. In Amibroker Zig uses future data.


----------



## Wysiwyg

Habakkuk said:


> On another note, consider this:
> 
> all of the "Unholy Grail" systems are very, very simple, extremely, excessively simple and all of them outperform buy and hold not just handsomely, but spectacularly.
> How is this possible? Why doesn't everybody just look for 250-day highs and 75-day SMAs?
> 
> Nevertheless, I have enjoyed reading "Unholy Grails" and learnt a few things. It was well worth it.



Needs a bull market and implemented near the start of the bull market.

Yes I enjoyed reading Unholy Grails too.


----------



## tech/a

Your not going to know where that is or when that will be.

Today's ASX 200 price could be twice its price in 5 years.
A sector could way out perform the index.
A stock or three may out perform a sector.

If your systems trading I've found a filter such as an index or portfolio filter to really help.

You'll get average years you'll get below average years and you'll get amazing years
But you will get better than market results and an easy set of rules to follow


----------



## rnr

tech/a said:


> Rnr
> Could you point me in the direction of a working example of the two together.




My apologies tech for the somewhat lengthy delay.

MetaStock snap of AAD

Red line is a HiLo ZigZag Indicator set at 20%.

Red bar and diamond = Valid Trough has formed on this bar and this trough will not change going forward.

Blue bar and diamond = Valid Peak has formed on this bar and this peak will not change going forward.


----------



## rnr

Wysiwyg said:


> A 20% change from high to low isn't a rule. The entry is a rise of 20% from a low. As Habakkuk notes you will still need a 'range' to determine when a low is the low we use as the base. In Amibroker Zig uses future data.




It's up to you on how you interpret this system from Unholy Grails and I presume that replicating his results would confirm whether your code is the same as Nick's.

The code used in MetaStock can be written for AmiBroker and will produce the same results.


----------



## Wysiwyg

rnr said:


> It's up to you on how you interpret this system from Unholy Grails and I presume that replicating his results would confirm whether your code is the same as Nick's.
> 
> The code used in MetaStock can be written for AmiBroker and will produce the same results.




Thanks but no thanks. Done thousands of back tests.


----------



## tech/a

Rnr
Thanks
I have Metastock
You wouldn't have to code I could look at?


----------



## Blumoontrader

anyone have any insight into the recent performance of the unholy grail systems (eg Weekly trend trader, 20% flipper and BBO breakout).... now that any discussion has been taken into the 'subscription only service' that is TheChartist website???  Was once a great forum.. hmm


----------



## tech/a

Blumoontrader said:


> anyone have any insight into the recent performance of the unholy grail systems (eg Weekly trend trader, 20% flipper and BBO breakout).... now that any discussion has been taken into the 'subscription only service' that is TheChartist website???  Was once a great forum.. hmm




Why is it not a great forum now?


----------



## Roller_1

I know The Chartist Growth Portfolio is up around +25% in the last year, which is similar to BBO system.


----------



## soso

Blumoontrader said:


> anyone have any insight into the recent performance of the unholy grail systems (eg Weekly trend trader, 20% flipper and BBO breakout)




I personally track WTT, using my own code. I'll just say that if you started in Jan 2014 you'd be better off just buying the SP500 index (e.g. SPY).


----------



## NewbieTrader1982

tech/a said:


> Your not going to know where that is or when that will be.
> 
> Today's ASX 200 price could be twice its price in 5 years.
> A sector could way out perform the index.
> A stock or three may out perform a sector.
> 
> If your systems trading I've found a filter such as an index or portfolio filter to really help.
> 
> You'll get average years you'll get below average years and you'll get amazing years
> But you will get better than market results and an easy set of rules to follow




Does this mean you follow the system day in day out, regardless of the market and year, just keep following it and rely on the PE over time to do its thing?

Thanks


----------



## Roller_1

NewbieTrader1982 said:


> Does this mean you follow the system day in day out, regardless of the market and year, just keep following it and rely on the PE over time to do its thing?
> 
> Thanks




I am assuming PE = positive expectancy? and yes, when you have a thoroughly tested and validated system the idea is to follow it as you said day in day out. Especially for trend following systems where missing a few big trades a year can really hurt performance.


----------



## tech/a

NewbieTrader1982 said:


> Does this mean you follow the system day in day out, regardless of the market and year, just keep following it and rely on the PE over time to do its thing?
> 
> Thanks




While Roller is correct to a degree.
Every system must be monitored.
Experts in the field like Howard Bandy will tell you
all systems break down over time as Macro economics alter
the landscape of the markets both positively and negatively.

You should have mechanisms in place to constantly assess the veracity
of your system. But in an ideal world you monitor it against the expected performance from your testing
An unusually large drawdown or a long streak of losses above that seen in testing would be 2 alarm bells.


----------



## Roller_1

tech/a said:


> While Roller is correct to a degree.
> Every system must be monitored.
> Experts in the field like Howard Bandy will tell you
> all systems break down over time as Macro economics alter
> the landscape of the markets both positively and negatively.
> 
> You should have mechanisms in place to constantly assess the veracity
> of your system. But in an ideal world you monitor it against the expected performance from your testing
> An unusually large drawdown or a long streak of losses above that seen in testing would be 2 alarm bells.




I agree, although traders especially new traders can't run for the hills and get cold feet at the first DD or run of losses. Like you said if you had a hard and fast rule in place that may help


----------

