# Weekly Portfolio - ASX



## Warr87

*Trade Plan:*
*Goal* - to be consistently profitable trader (and to survive).
*Entry/setups* - Simple EMA Cross. Only stocks that trade between $0.20 and $3.00 are included in scan. To buy on open on Monday.
*Scans*- Using AB to scan market EOW.
*Money management / Risk management* - Starting capital is $20,000. Max 15 positions with 30% trailing stop puts risk at 2%.
*Exits* - Exit is either triggered via trailing stop or EMA cross. Assessed EOW.
*Other* - Going long only. System will perform better in an overall upwards trending market.
*Universe -* ASX 300 (back testing has shown it should work very well on All Ords as well, though some years not so much. Restricting to ASX300 appears to produce more profitable trades in the long term. Backtesting for this year has All Ords to be very profitable in this system).


*Week 1:*
Trades: WPP
No other's found for this week. 

Scanning for the month gives us: VEA: 27/07/19, KAR: 19/07/19, AHY, SIG, MSB: 12/07/19, AX1, VCX: 05/07/19.


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## Warr87

*Week 2:*
WPP was bought @ $0.65 on Monday

2 Signals generated for this week:
WSA, RBL, will be bought at Monday's open.

I am still trying to find something additional to add into my system to improve it (as it's just a simple crossover right now). Backtesting with an index filter didn't help. I continue to search.


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## willoneau

Why do you say index filter not helping?


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## willoneau

I had RBL as a signal to buy last week at 1.40 but didn't buy it.


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## Warr87

willoneau said:


> Why do you say index filter not helping?




When added to my backtesting my results were worse. Tried optimizing it as well though that also didn't help. May try a few more things.


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## Warr87

willoneau said:


> I had RBL as a signal to buy last week at 1.40 but didn't buy it.




I like RBL. Looking at my chart I can see it almost crossed over last week but didn't completely finish this until this week. It also closed well above my longer term EMA.


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## willoneau

Warr87 said:


> I like RBL. Looking at my chart I can see it almost crossed over last week but didn't completely finish this until this week. It also closed well above my longer term EMA.



what about volume?


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## Warr87

willoneau said:


> what about volume?



Nothing in the weekly chart particularly stands out to me with volume but I've never really focused on this yet.


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## willoneau

Tech/a and VSA is interesting.


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## Warr87

*Week 3:*
No new buy signals.

Plenty of sell signals, though nothing I was holding.

I also have a question for those people reading this. How do you implement your index filter in your system? Is it Index closes above an Index MA? A smaller MA above a longer MA? Closing higher than last week? Etc. I'm interested in how other members implement the filter into their system.


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## Skate

Warr87 said:


> *Week 3:*
> No new buy signals.
> 
> Plenty of sell signals, though nothing I was holding.
> 
> I also have a question for those people reading this. How do you implement your index filter in your system? Is it Index closes above an Index MA? A smaller MA above a longer MA? Closing higher than last week? Etc. I'm interested in how other members implement the filter into their system.




Hi @Warr87

If you search my ‘Dump it here’ thread & posts by ‘Skate’ you will get at least 14 posts I’ve made about Index Filters

*Index filters are very common in trading*
An Index filter is the most common way to gauge if the market index is moving higher or lower and the filter comprises of a “simple moving average set against the index and time frame you are trading”

The answer you are seeking to your question is found here:
https://www.aussiestockforums.com/posts/1010779/

And here: https://www.aussiestockforums.com/posts/1010780/

But what I’m suggesting is for you to read all the post I’ve made about Index Filters to get a feel how to implement one that will be beneficial to your trading style & the type of strategy being used.

There is not one Index Filter that suits all strategies.

Skate.


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## Warr87

*Week 4:*
Buy: IFN, SCP

Sell: No sell signals.

Current portfolio: WPP, RBL, WSA, IFN, SCP

Had a bit of time to play around with index filters. Had some success. Still working through it all and hope to do a wide range of testing this weekend with time permitting.


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## Warr87

So I was doing some backtesting with index filters which went alright. I then decided to buy historical data from premium data. This is my system with an index filter on the ASX300, Index Filter XKO:




I am also noticing a difference in some of my numbers from the data I downloaded with AQ from Yahoo.


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## willoneau

Warr87 said:


> *Trade Plan:*
> *Goal* - to be consistently profitable trader (and to survive).
> *Entry/setups* - Simple EMA Cross. Only stocks that trade between $0.20 and $3.00 are included in scan. To buy on open on Monday.
> *Scans*- Using AB to scan market EOW.
> *Money management / Risk management* - Starting capital is $20,000. Max 15 positions with 30% trailing stop puts risk at 2%.
> *Exits* - Exit is either triggered via trailing stop or EMA cross. Assessed EOW.
> *Other* - Going long only. System will perform better in an overall upwards trending market.
> *Universe -* ASX 300 (back testing has shown it should work very well on All Ords as well, though some years not so much. Restricting to ASX300 appears to produce more profitable trades in the long term. Backtesting for this year has All Ords to be very profitable in this system).
> 
> 
> *Week 1:*
> Trades: WPP
> No other's found for this week.
> 
> Scanning for the month gives us: VEA: 27/07/19, KAR: 19/07/19, AHY, SIG, MSB: 12/07/19, AX1, VCX: 05/07/19.



Great plan description, although IMHO you should have a confirmation for your Cross. To help reduce wipsaw entries and improve win rate.


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## Warr87

willoneau said:


> Great plan description, although IMHO you should have a confirmation for your Cross. To help reduce wipsaw entries and improve win rate.




I agree. I would like something else to help confirm my cross. I am also thinking of adding in a stale exit and changing trailing stop based on index performance (@Skate ). 

I've seen some code on this but not sure how to include it into my system right now. Plan will be to set initial trailing stop as 30% and when index is down to tighten it to 20 or 15% (will test a few numbers). Will also work through some numbers for a stale exit too. Not sure if it will improve things but will test it out none-the-less.


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## Warr87

*Week 5:*

No buy or sell signals for my portfolio.

Will give more of an update later in the week with time permitting.


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## Warr87

I promised to give an update and instead I missed out even on posting last week ... needless to say some things came up and I haven't had the time to post. Unfortunately life got in the way.
*
Week 6 & 7:*
Sell: WPP @ 0.55 (Still above ISL, however EMA crossed back over). 0.5R loss.

No other buy/sell signals. Pretty quiet unfortunately. Still 4 other positions still open (RBL, WSA, SCP, IFN).


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## Newt

I'm a bit shocked this works.  Did some sceptical backtesting and there do seem to be robust parameters that consistently give profit, and ASX300 seems superior to All ords or ASX200.  And moving average crosses are supposed to be long dead!

All the best with your strategy


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## Warr87

Newt said:


> I'm a bit shocked this works.  Did some sceptical backtesting and there do seem to be robust parameters that consistently give profit, and ASX300 seems superior to All ords or ASX200.  And moving average crosses are supposed to be long dead!
> 
> All the best with your strategy




Thanks Newt. I'm still always a little shocked that it is working. The EMA crosses are simple but as you said, some do consistently give profit. I know different combo's would work well against other universes too. I have found that my combination works well with the ASX300.

*Week 8:*
Operator error has caused some mistakes. Entirely my own stupid fault. I bought historical data from Premium Data and in doing so had to change how I referenced indexes in my code (Using free sources such as Google you had .AX or ^ infront of indexes, as opposed to premium data). Long story short, I missed a bunch of buy signals because nothing passed my index filter with incorrect references to the index.... But I guess this is why we do paper trading first so when I make this mistake it doesn't cost me.

What I should have bought: MSB from last weeks scan, and MYR from the week before.

Buy Signals for this week: CDD, HT1. Will buy on Monday's open.
Sell Signals: Plenty, but none for my portfolio.


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## jjbinks

Newt said:


> I'm a bit shocked this works.  Did some sceptical backtesting and there do seem to be robust parameters that consistently give profit, and ASX300 seems superior to All ords or ASX200.  And moving average crosses are supposed to be long dead!
> 
> All the best with your strategy




I think the value filter $0.2-$3.0 will play an important part. When combined with the ASX 300 it amounts to less than 100 stocks when I did a quick screen. (c.f 206 stocks in All Ords and 40 in Asx 200)
For me things to consider
1)Haven't backtested the rules my self but if there is big difference in ASX 300 and All ORDS results I would be a bit concerned about whether the system there is risk of over fitting.

2)As Newt says "Moving averages are supposed to be long dead!" I guess never write anything off. This recent episode of chat with traders with Nick Radge actually touches on the idea that old ideas can sometimes be rehashes in different settings. Nick mentions how trend strategies seem to work better in longer time frames in recent times.


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## Warr87

*Week 9:*

*Buy:* ECX, MAH
*Sell*: HT1

Current Portfolio
RBL Bought @ 1.395 (12/8/19). SL 1.10.  Current uPL: *0.10R*
WSA Bought @ 2.48 (12/8/19). SL 2.36. Current uPL: *0.87R*
SCP Bought @ 2.56 (26/8/19). SL 1.84. Current uPL: *0.09R*
IFN Bought @ 0.495 (26/8/19). SL 0.47. Current uPL: *1.15R*
CDD Bought @ 1.10 (23/9/19). SL 0.77. Current uPL: *-0.07R*
HT1 Bought @ 1.875 (23/9/19). SL 1.312. Current PL:* -0.14R*
ECX To be bought at 30/9/19 open.
MAH To be bought at 30/9/19 open.

WPP already closed out for a *-0.50R* loss.

Current unrealised PL: *1.5R*

I have hopes for RBL, WSA, IFN & ECX. With HT1 being closed out I'll have a realised loss of *-0.64R*. Obviously a pretty small amount and I am happy to close out losers quick. Though HT1 only lasted 1 week. Don't want a whipsaw going on there.


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## Warr87

*Week 10:*
Buy: No buy signals
Sell: MAH

Down a little this week with MAH being closed out and the sell for HT1 my unrealised PL is *0.98*. WSA and IFN are keeping me in the positive right now. Trying not to get hung up on numbers obvious as being so early into this I will have more losers than winners. My win% should be between 30-35% based on backtesting.


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## Warr87

*Week 11:*
No signals for this week .... how boring


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## jjbinks

Boring is good


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## Warr87

jjbinks said:


> Boring is good



haha, it can be. At least there aren't a bunch of sell signals


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## Warr87

*Week 12:*
Buy signals: EHE, NWH
Sell signals: SCG

RBL -  *0.25R*
WSA *- 0.70R*
IFN *- 1.22R*
SCP *- 0.15R* (To be closed on Monday)
CDD - (0.53)
ECX - (0.20)
EHE & NWH to be bought on Monday

Total right now: *0.80R*


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## Warr87

*Update:*
When I went over my buy/sell signals I noticed a mistake and couldn't edit my post for some reason. I wont be closing out SCP.

I also was curious and ran my code through the backtest and found that I would have nothing but losses from the time I ran this paper trading. I'm not sure why I have some buy signals when I run this system weekly but not all of them show up when running it historically over the past few months. Either way, my paper trade is at least positive. Another interesting fact is that if I had started this system in February then I would be doing very well as there were a couple of big buys in Feb and April. As a lot of us know, timing means a lot!

I have also been reading some books and going back over some posts. While I am testing this system I am still interested in testing some other systems as I might even start trading in a SMSF (which will have a lot more capital then what I can get in my personal account right now).

I finished reading "Trading Evolved: Anyone can build killer trading strategies in python" by Clenow. I enjoyed that book a lot (which is probably why I read it in a few days despite it being 400 pages). I'm trying to learn python so this was a good book for me. The book also points out that it is better to have a combination of strategies (stocks, futures, etc.) running at one time to be the most effective. Though .... I don't have a few mil to do that right now .

I also read Nick Radge's "Weekend Trend Trader" last week.

The book I'm reading now is "A Complete Guide to Volume Price Analysis" by Coulling. I'm looking forward to this as I don't use volume much in my trading but I think it would help a lot.

I am very much open to any other books (preferably on Kindle/Amazon) that people think would be useful. I will likely work towards paper trading a few different systems. I am also very much towards the systematic trader route (would even like to automate my systems at some point too).


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## investtrader

Trading in the Zone ... Mark Douglas. IMHO a must read.


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## Warr87

Bought. After I read this book from Coulling I'll start on that one .


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## Boggo

One (of many) that I have read and thought worthwhile...


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## Warr87

Awesome. Thanks @Boggo !


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## jjbinks

Checkout other books by Andreas Clenow.

His latest book Trading Evolved is definitely worth the $8-9 it is on Amazon. 
Keep working on learning python. If you are interested in learning a bit more about using zipline package check out tutorials by sentdex on youtube. He also has good general python tutorials but you have many choices for this. 

Not sure if you use norgate data but if so they are alpha testing a python plug in and a zipline plug in. I've been playing around with it and looks promising. The zipline plug in is based on Clenow's scripts in his book.


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## Warr87

Thanks @jjbinks . After reading his book I definitely felt that his other books would be good too. And youbarr right, for how cheap it is on Amazon, it's amazing.

I bought historical data from premium data a couple of months ago. I'm tempted to actually sign up with them for a monthly subscription. I know norgate is another good supplier. The fact they are getting those plugins is great (And I wish I knew that before buying historical data from premium data). I've been wondering how I can export my data from amibroker for zipline. I have to look at this on the weekend but I think it's possible to just export as a csv and then tell python/zipline the columns. Things to look in too!


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## jjbinks

Warr87 said:


> Thanks @jjbinks . After reading his book I definitely felt that his other books would be good too. And youbarr right, for how cheap it is on Amazon, it's amazing.
> 
> I bought historical data from premium data a couple of months ago. I'm tempted to actually sign up with them for a monthly subscription. I know norgate is another good supplier. The fact they are getting those plugins is great (And I wish I knew that before buying historical data from premium data). I've been wondering how I can export my data from amibroker for zipline. I have to look at this on the weekend but I think it's possible to just export as a csv and then tell python/zipline the columns. Things to look in too!



norgate and premium data are same supplier just slightly different format but same data.
If you are thinking of getting premium data subscrption I would recommend just going with norgate so you could register for alpha testing.
The only downside is that you don't get to keep the historical data after the subscription ends. 
You definitely can work with python and csv from premium data. In fact I did that a few years ago. But it does require a bit more programming. With the python-norgate plug in a lot of the work making data the right format is done for you. Also it is more convenient if you plan to test historical index constituents. 
You still need to be OK with python basics even with the plug ins.


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## Warr87

Hey everyone. I bit the bullet and finally got Premium Data. I've already converted my data to CSV files for any python work I do later. Though I am busy working on other things right now (but have 10 years of data ready to go).

I am still reading the Volume Price Analysis book. It's not too bad, though I have found it a little repetitive. I will reserve my overall opinion until I finish the book.

I have been in conversation with @Skate who has been kind enough to help out. Soon (either today or hopefully Monday) I will start paper trading another system. It will still include an EMA close but will actually be my version of @Skate's MAP system. Back tests have been good, what I'm lacking is consistency in my backtests.

*Week 13:*
Buy: ACR
Sell: CDD (this nose dived. Lost 40%)

RBL -  * 0.68R*
WSA - *1.20R*
IFN - *1.02R*
SCP - *0.25R*
CDD - (1.63)
ECX  - (0.20)
EHE - *1.94R*
NWH (0.01)

As you can see, CDD is going to errode what should have been a good week. This happens. Hopefully CDD doesn't slipe any more at Monday's open. And my new buy, EHE has done very well in it's first week!


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## Warr87

*Week 14:*
Buy: no buy signals
Sell: NWH

My overall P/L is $1,007.55 so far. Biggest winner so far is EHE, then WSA and IFN.


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## Warr87

System 2 — MAP and EMA Strategy

A MAP inspired strategy to be paper traded (to test its viability as a secondary system on a SMSF). The system is still be coded to improve consistency and will be adjusted as it is evaluated with backtesting.

*Week 1:*
Buy: ERA,LNG,PAN,SWM,FLC,ISU,DNK,PRU,DCG,SLR,MVF,TGP,OFX.


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## Warr87

Some clarification. My P/L of $1007 is from my starting capital of only $20,000. That includes commissions as well. So while it isn't a lot, it's not too bad 14 weeks in. I'm not even maxed out in my positions yet.

System 2 Trade Plan:
*Goal* - to be consistently profitable trader. Aiming for 15% P.A. with max DD of 20%.
*Entry/setups* - Based on MAP strategy of Skate's.
*Scans*- Using AB to scan market EOW. Data supply from Premium Data.
*Money management / Risk management* - Starting capital is $50,000. Max 20 positions with 40% trailing stop or 10% trailing stop (market up = 40% trailing stop, market down = 10%) puts risk at 2%. Once capital has grown and position size reaches $15,000, I will look at increasing max positions for $15,000 parcels.
*Exits* - Exit is either triggered via trailing stop, stale exit, or EMA cross. Assessed EOW.
*Other* - Going long only. System will perform better in an overall upwards trending market.
*Universe -* All Ords

Criticisms, notes, remarks are welcome! This is being paper traded for a possible use on either personal account or creating a SMSF (if a SMSF, starting capital will be higher). Backtesting has been completed over the past three years. I am still tweaking the system to get greater consistency though overall system has performed very well.

Thanks to @Skate for providing the MAP code buy signal!


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## Warr87

System 2: I have added in a price filter and some out of sampling optimization showed some good results. My defaults were relatively good and I have tried to avoid over-fitting. I got an average of 30% annual returns (2018 continues to be a draw on my system).

What I want to look into now is using the PositionScore variable better. My system can often find buy signals and I think with better scoring and possible volume filter, I can improve my chances.


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## Newt

Positionscore is also another opportunity to align your system picks with the sort of trades you prefer to take.  Another approch might be to score low trades you'd struggle to reliably take.  Assuming you have experience to recognise what would be hard to trade.  Of course whatever scoring code you use it should stand up to robust backtesting too


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## Warr87

@Newt : I agree. It should be a good opportunity to align the system a bit better. I don't have a lot of experience, however, so this will be trial an error and should help to improve my ability to look at charts. What I do want to see is rising volume matched with rising prices (based on some volume analysis I've been reading) which should be (relatively) easy to code into scoring. I'm still a novice at coding so we will see how long this takes me, haha.

And what do you mean by score low trades I'd struggle to reliably take? Do you mean, score unreliable trades with a low score and place them at the bottom of the list? I'm also wondering if something like a restriction on maximum trades per week would be beneficial.


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## Newt

For me, its hard to take trades in very volatile stocks that are bouncing around.  This doesn't have to be overly complex programming, so proving say reliable >10% benefit consistently across many time intervals for something based off rising price momentum with a measure of overall smoothness might be enough.  You've noted yourself less conditions is often more robust code/system in the end.

Personally I've never had much luck PositionScoring on Volume, but you might be smarter than me.  I do believe it should be a buy condition in some form however.

Yes, by low score I mean you might be able to filter out trades you know would be psychologically harder to take.  This is just a reversal of "what conditions do I think would give better trades on average"?  I was always a bit sceptical of using PositionScore, but learning from Skate convinced me its important to get a clear cut list of buys and sells each week or on your chosen trading time interval.  Too easy otherwise to try and "cherry pick" yourself and fall into all the psychological traps of under-trading, over-trading, missing good winners.

Trend trading is typically a coin flip whether you get it right or not, hopefully with a larger average win than loss.  Its just so easy to waste emotional energy and trading accuracy trying to predict if the coin will come up heads or tails (i.e. win or loss), when really you should be concentrating on process and following the system - getting in as many coin flips as you can when your buy conditions are met


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## Warr87

Thanks @Newt . I appreciate the reply. I've only started to take a closer look into volume. And with the help @Skate gave me with a very simple and basic PositionScore code I found my backtests were much better. 

And I'm not trying to predict the market, which as you suggest is a waste of energy. As I explain to friends, I'm trying to find a statistically probably outcome in my favour. I expect only 30% of winners but I'm trying to cut losses as quickly as I can without doing so prematurely. Will never fully get it right, but not trying to. Trying to predict the market with a systematic approach I think would lead to some over-fitting and frustrated live-testing.


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## Warr87

System 1 (EMA Cross strat):
*Week 15:*
Buy: PAN, NWH, AHY, DCG, MAH
Sell: None

NWH was sold for a 0.2R loss.

System 2 (MAP strat):
*Week 2:*
Buy: MYX, API, NWH, AQZ, PSI, HLO 
Sell: None

(now at 19 open positions for system 2)

I am aware that 1 of my systems has sold one position while they both buy it a week later. I'm not worried as I have faith in my systems.


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## Warr87

Boggo said:


> One (of many) that I have read and thought worthwhile...
> 
> View attachment 98133




I finished reading this today. Definitely a good book if you want to do system trading! I got a lot of good things from it, mostly about considerations and validity of systems you design.


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## Warr87

System 1 (EMA Cross Strat):
*Week 16:*
Buy: AWC, RDC
Sell: None

Open positions: 12 (with 2 more to be opened on Monday)

The profit for this system still remains low (aprox. $800 from a $20,000 initial capital). EHE, RBL, IFN all remain my positions that are keeping me in the black! Only minor losses on my other positions but they add up. My Win% is 41% right now which is above the 30-35% expected. Expectancy is at 0.51. Having a look at the charts for my positions and I notice there are a lot of positions that appear to be consolidating. Looking at the charts as I trade this system and I notice that I get in on a position and then it begins to pull-back/consolidate, which I know is normal. It is a double edge sword to have a system that quickly jumps on a trend as it may do so a little early or have the position never breakout and continue the trend.

System 2 (MAP Strat):
*Week 3:*
Buy: LNG (more signals generated but only 1 open position available)
Sell: None.

System 2 had a starting capital of $50,000. It current has an unrealised PL of $1776. From the get go this system appears to be working well. I also worked on my code so when I do explorations within AB I can keep track of my metrics. I have noticed since I started paper trading system 1 that even basic things of 'what is my current trailing stop', and for system 2 is my index filter still indicating an 'up trend' (impacts my trailing stop). These metrics are in my code when I run a backtest but not displayed to me when I have to manually do everything. I also included my position score in a column to help me out, and working on HHV since buy, number of bars since buy, etc. These can be calculated but since my code for stale exit  and trailing stop is an IFF statement and not a loop its not all working out just yet (or maybe I'm doing it wrong?). But a good skeleton has been formed and my coding skills have improved and my systems will become more consistent as a result. (It's all rather basic, but coding for a backtest is one thing, adding additional code to ensure it is carried on in this paper trading is a different thing).

-----------------------------------------------------------------

I continue to read books or posts within ASF to get new ideas or improve my current systems. I have learned from Davey's book that I definitely haven't done the best thing when developing my systems in regards to data. His book is good and gives a lot of insight into developing systems, the use of optimization, data, forward testing, and incubation (which I believe would include this paper trading). I think Davey is too stringent in some of his ideas, but he is also working on a whole different ball game and develops systems fulltime. Not everything of his can be implemented but it does give some good direction! *Worth a read.*

I was reading Clenow's book 'Following the Trend'. The book focuses on futures but I am liking his approach to diversification and risk. It is definitely reinforcing the want to add other systems (that aren't directly correlated to your current system) in order to smooth out equity curves. Clenow shows how simple things are and has a certain way of demystifying the big boys systems. The downside, especially for most people, is that you need a decent amount of capital to start one system, and obviously need even more if you have another. I'm a long way off from being able to do things on his level. He doesn't really deal with shares, but using his ideas are definitely transferable.

I have also had a number of ideas lately on future systems. I have been following @Skate 's CAM Hybrid and still toy with modifying it. I will continue to toy with possible modifications and employ some of the new system development ideas I got from Davey. Lately I have also been thinking about coding a system that looks for consolidation and potential breakout targets. Just using rising volume matched with higher low's over consecutive weeks. My idea is simple and shouldn't be hard to code/test (essentially will be looking at rising wedges/flags). I'm sure there is already code out there too, but I will be trading to code and test this myself to match exactly what I want.


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## Warr87

Finished Clenow's "Following The Trend". The last parts were definitely interesting (he reverse engineers some trend systems from big funds and starts going over comparisons). If only I had $1,000,000 that he suggests is needed, haha. There is also a section where he shows that while he does not like investing in equities (shares), such a system could be aided with 30-40% used within futures trading to add to CAR without increasing risk. He also shows how things are a little less volatility if you are using a long only system (you do sacrifice some returns but max draw down also decreases).


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## Warr87

I was on amazing and saw that Clenow's other book "Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies" on special for $2.55. Can't pass that up.

I think I need to start a thread with all of these books haha.


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## jjbinks

Clenow's books are great.
Following the trend really has some great insights into mechanisms of trend following. 
If you are into podcasts check out top traders unplugged. They interview Clenow which is great but also have some other nice discussions for people interested in trend following.


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## Warr87

Good to know @jjbinks . I will be driving accross the nullabour in a few months, perhaps I will download some podcasts for the drive? Could be interesting. And I am definitely a fan of Clenow's books. He has something against equity's as an asset class to trade in, but at least he doesn't completely dismiss it.


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## jjbinks

I think one of his main points particularly with futures is that it offers diversification and you can trade different commodities both up and down which are not correlated. But as you mention to take advantage of the ability to diversify you need at least 1mill capital!


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## Warr87

I agree. And if his point is that then I definitely agree. I don't think he's against trading in equities but he definitely prefers futures. Futures could be commodities, bonds, currencies, etc., so I see his point. But I don't have a mil to do this ! haha. But obviously equities have a strong correlation to each other, though some sectors will do well over others, in a GFC like event it all starts to form correlation to each other. He also makes that point in "Following the Trend". As markets start going down, those that weren't previously correlated begin to in a strong bear market. I have wondered, would trading in multi countries be a solution for us? I.e. run a system in Aus, USA, euro markets, etc. One day I'm sure ..... haha


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## Warr87

System 1 (EMA Cross Strat):
*Week 17:*
Buy: None
Sell: None

System 2 (MAP Strat):
*Week 4:*
Buy: RUL
Sell: None

Not much to report this week. It looks like almost every position I current have open took a hit to some degree. System 1 remains in the black while system 2 is in the red.

I finished reading Clenow's other book (it was short so didn't take long). I will likely post something separate about that. What I will say, though, is that it is a great book and I highly recommend it for any trend or momentum traders out there!


----------



## jjbinks

hi @Warr87 

I was looking at Norgate subscriptions and noted that you can transfer your remaining premium data subcription prorata to norgate. (In case you are interested)

Cheers
j


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## Warr87

Thanks! I may just do that. I had a look at the python plugin and it looks good! I hope it wont be too much hassle for the change if I do go through with it.

Thanks

Warr


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## jjbinks

Yep python plug in is great. Have had some issues but I haven't had a chance to code for the last 2 or so months and there has been a fair few updates
@Richard Dale has also made scripts based on Clenow's book available. Haven't had a chance to try them. (Let me know if you do!)


----------



## Warr87

That's awesome! It'd be interested to see what those scripts would look like. I have some amibroker code for Clenow's 'Following the Trend' using his linear regression model for ranking. But I'd be interested in seeing what a representation of his systems would look like in python.

The plan would be to run a python script along side the amibroker version and see if it all matches. Not sure how much time I'll get for that right now, but it'll be a good project to eventually reach my goal of fully automating my systems.


----------



## Richard Dale

If you want the Python code to Andreas' latest book adapted to use Norgate Data, please email support@norgatedata.com and I'll send you the link to the code.


----------



## Warr87

Thanks @Richard Dale


----------



## Warr87

System 1 (EMA Cross Strat):
*Week 18 & 19:*
Buy: VEA (2/12/19)
Sell: None

Not much going on here. Only 1 buy signal for the 2 weeks. Best performers remain RBL, IFN, and EHE.

Open Positions: 15

System 2 (MAP Strat):
*Week 5 & 6:*
Buy:MSB,JLG,INA,ADH,AEF,EML,OCL,BPT,AQG (9/12/19)
Sell: ERA, LNG, SWM, ISU, SNK, MVF, OFX, MYX, API, HLO (sold 2/12/19), PAN (to be sold 9/12/19)

The MAP strat was much busier in comparison. Plenty of sell signals. No shortage of buy positions to fill the gap.

Open Positions: 18


----------



## Warr87

System 1 (EMA Cross Strat):
*Week 20:*
Buy: None
Sell: None

Like last week, nothing going on here.




Open Positions: 15

System 2 (MAP Strat):
*Week 7:*
Buy:KMD and MOE
Sell: FLC, DCG and AQZ




Open Positions: 18, 2 to be opened with 3 to be sold. Will have 17 positions as of Monday.

Notes: I am once again a little frustrated that my systems haven't made more. It is obviously early days and expected, but the annoyance and lack of patients is definitely there. The fact I am not in a drawdown should be good enough, especially since most systems will be down in the beginning, but obviously I want more success! (Who doesn't?) Will have to do a comparison soon on my performance vs. backtesting to the systems start date.


----------



## Wyatt

@Warr, I think you're doing very well. 
Your thread P/F missed out on easier gains from earlier in the year, so now it's all about being patient and consistent and just letting things be. Not that what I do is all that great and prolly doesn't have to be, but here is a few comparative charts which may indicate you're on track. So i'm in DD atm by around 6-7% at a guess. 
XAO 4/8/19 til present


and XKO 4/8/19 - present


Keep up the good work.


----------



## Newt

Agreed - I think you'll find the level of trend follower exuberance on the forum will taper for a while, as most medium-long term trend traders will be wallowing in DD to some extent, or even not trading due to market filters keeping them out or stopping new positions.

Jan to May this year should be treated as a bit of an outlier for unusually good performance.
Still doesn't make it any easier drifting sidewise or down, possibly for many months....

I always thinks of Brett Penfolds at times like this.  He points out the reality that, for a lot of the time, trend following can be downright "miserable".  Plus the market always seems to find some new way to test you with "maximum adversity".

https://www.amazon.com.au/Universal...cessful-Trading-Essential-ebook/dp/B0041D8VGC


----------



## peter2

@Wyatt and @Newt  Thanks, you beat me to it. 




Our market (XAO) has been going sideways for more than 7 weeks. Most trend following systems are experiencing a draw down at the moment. Especially after the two huge down days two weeks ago. Prices go down faster than they go up. 

There will always be portfolios that are doing better than ours but there will be some doing worse. You've got to ignore the others and focus on the process.


----------



## Warr87

Thanks @Wyatt , @Newt , and @peter2 . You guys are right, and I know this intellectually. I know when I backtested my systems previously had almost all my gains from Feb - Apr. Such is the nature of trend following. This is obviously why understanding the psychology of trading is important. My battle is also the fact that I want to prove my systems so I can start actual trading. My impatience at times *almost* gets the better of me. I think everyone who has been working on developing systems has the tendency to want to jump in.

I've put all this here, as well, for anyone watching my thread to so they can see the potential (trading psychology) problems when starting out.

Thanks for the encouragement!


----------



## Warr87

System 1 (EMA Cross Strat):
*Week 21:*
Buy: PGH, ALG
Sell: ECX

Mistakes: When I went through the update the prices on my open positions, I noticed a few positions had crossed below and should have signaled last week. I don't know what I did wrong, but when I ran my system for last week as well, sure enough there are sell signals there. I think I may have had the wrong filter on as System 1 trades ASX 300 whereas System 2 trades the All Ords. A less to be learnt that if you aren't careful, you loss (virtual in this case) money.

Late sells, EHE & VEA.




A lot of stop losses were raised as well, which is always good with my open risk reducing.

System 2 (MAP Strat):
*Week 9:*
Buy: IFN, RMC, FSA
Sell: None




Open PL on System too is now $1275 (+2.6%).

A much better week for both of my systems .


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## peter2

I like the look of the System 2 open results. There's three big winners and all the losses are much smaller. 
How do you feel about this portfolio?  How do you feel about your management of the total portfolio heat? Can you see the potential for overall profit if you manage each trade well?


----------



## qldfrog

Errors do happen and that is why backtests rarely match exactly
Even when your code is right and you start being used to the weekly routine,you miss a sell, use the wrong data..and can be lucky or not as for the error outcome.
We are human, this happens
Great result this week


----------



## Warr87

peter2 said:


> I like the look of the System 2 open results. There's three big winners and all the losses are much smaller.
> How do you feel about this portfolio?  How do you feel about your management of the total portfolio heat? Can you see the potential for overall profit if you manage each trade well?




Yea I'm liking System 2 a bit more right now. The open profit on System 1 is still $334 (+1.7%) which still isn't bad. But you are right, there are a few big winners while the losers are small. This system trades a lot more. The portfolio heat is managed better in this system too, since if the index goes down all of my stops tighten to 10% which means my open risk will drastically reduce. Otherwise, as you have probably noticed, my portfolio heat is high in all of my systems.

And I do see potential if I trade it well. Probably more in System 2 than System 1. I think System 1 would still be profitable but would likely take longer to prove.



qldfrog said:


> Errors do happen and that is why backtests rarely match exactly
> Even when your code is right and you start being used to the weekly routine,you miss a sell, use the wrong data..and can be lucky or not as for the error outcome.
> We are human, this happens
> Great result this week




Yup. I screwed up and its a reminder that mistakes do happen (plenty of more seasoned members here have made trading mistakes as well). And you are right about backtests. My backtests show that some years I could make 40%, or higher, but the proof wont even be in this journal but rather when my money is on the line. From what I understand its good to take 10% away from your backtests annual return, and add 10% to DD. But we will see.

And a great result indeed .


----------



## Warr87

System 1 (EMA Cross Strat):
*Week 22:*
Buy: SSM
Sell: None

Had a few buy signals but only room for 1. I went through all of them and choose the one I saw with the greatest uptrend and potential (VCX, EHL, GOR were the other choices).

Also, with the positions closed this week, EHE was closed with 0.9R which is the first winning trade closed.

DCG also gapped down and triggered a stop loss, so it will be sold (at -1.3R which will hurt!). The bonus is that it will open up another position.

GOR will take it's position.

Open PL = -$46 or -0.2%




System 2 (MAP Strat):
*Week 10:*
Buy: None
Sell: None

No sell signals and fully invested, therefore cannot act on any buy signals.

The open PL is $2834 or 5.7%. Another good week for this strat. A few SL's raised as well which I always like to see.


----------



## peter2

That's it. Collect those winning trades. When you've got a bag full of winning positions it's easier to get rid of the losers quickly. I like the mindset you're starting to show. Good habits reinforce good habits. Let those winners get bigger and cut the losers makes you a profitable portfolio manager. 

About your portfolio heat. It only matters to you. If you can trade with it big (like skate) then you'll get the most out of your system. You may be smelling the roses soon but beware, the market has a habit of shoving your nose into the manure. It's what you do at that time that will determine if you've turned the corner into a profitable trader.


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## Warr87

both portfolio's are collecting winning trades, which is great. System 1 has been a lot slower to accumulate any positions at all. Not necessarily a bad thing. System 2 does look good, but as System 1 has proven twice now, a quick gap down or drop can take away any profit. 

And thanks. I really enjoy this, though it's still a bit of a chore at times haha. I look forward to Friday's so I can update and run my scans. I still want to jump in, and I'm getting to the point where I think I should probably do so. I have learnt a lot by doing this journal, including what mistakes can be made and where I need to improve. Not to mention the importance of trading psychology even for a systematic approach. I owe a lot of what I have done so far to the members here, including @willoneau , @Skate , @peter2 , @qldfrog , @Newt and @Wyatt (sorry if I've missed anyone).


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## Warr87

Also, @peter2 , with your current thread I've been wondering if a system could be applied to the leveraged ETF's you have mentioned in your thread. I had been thinking about for a little bit now, but your recent posts have had me looking at the 3x ETF's. Also, given all of Clenow's books that I've read, futures still remain in my mind when I build up a bigger account. At some point I've got to get some free data to at least test some code and test some ideas.

Some of the recent reading on Leveraged Trading (a kindle book I started before) has resparked some interest in coding an EA for FX. I'd like to test some of my new knowledge on this. My focus is still the systems I have been trading in this thread but I like to look at other ways to diversify. My question to those who read my thread is this: is there is easy way to construct a simple MA crossover bot for FX ? I have searched and it is surprising how hard it is to find something simple or at least free.


----------



## Newt

Warr87 said:


> Also, @peter2 , with your current thread I've been wondering if a system could be applied to the leveraged ETF's you have mentioned in your thread. I had been thinking about for a little bit now, but your recent posts have had me looking at the 3x ETF's. Also, given all of Clenow's books that I've read, futures still remain in my mind when I build up a bigger account. At some point I've got to get some free data to at least test some code and test some ideas.
> 
> Some of the recent reading on Leveraged Trading (a kindle book I started before) has resparked some interest in coding an EA for FX. I'd like to test some of my new knowledge on this. My focus is still the systems I have been trading in this thread but I like to look at other ways to diversify. My question to those who read my thread is this: is there is easy way to construct a simple MA crossover bot for FX ? I have searched and it is surprising how hard it is to find something simple or at least free.




Warr, from personal experience, I would sit tight and bed down your ASX system trading for a couple more years before you risk losing focus and shooting off sideways into Futures etc.  If trading is starting to show its mandane "boring" side and the equity curve is climbing you're on the right track, but expect the learning to continue pretty much forever.  

Only one person's opinion.  Others may have different advice.....


----------



## peter2

You're well ahead of the people who don't record their trading results. You're gaining experience with the business of trading by documenting your progress. This experience is real because you're doing it as it happens. You're making mistakes because it's easy to make them and each mistake is not costing you money. You're learning that it's boring at times and you''ll learn that there's times when all hell breaks loose. The media will add to the hysteria and you've got to learn to ignore the headlines and sell what you have to, when you have to. You're learning how much portfolio heat you can tolerate. This changes as you get older, but by then you'll be financially independent. 

You haven't managed a portfolio through a bear market yet. Believe me you'll want to do this when your money isn't on the line. 

You're trialing two systems side by side. In another six months you'll probably favour one more than the other. This may be due to the differing workloads or simply the performance. The system that you prefer should be the one you plan to start with your hard earned capital. 

As Newt states the learning never stops. By all means start to learn about other financial instruments. They all have their advantages and disadvantages. You must understand them before starting to use them. 

MA systems. There's a stack of freebie FX MA EAs out there. All of them backtest poorly. I mean they're crap. The futures and FX market move differently than the ASX stocks that you're getting familiar with. It's been mentioned that the US stocks move differently than the ASX stocks. This is because the two markets have a different mixture of participants. The FX and futures markets move differently to stocks because the major players are producers that are hedging their production and large commercial consumers that are hedging their costs.

Leveraged ETFs: Not much different to stocks just a lot more volatile. Great when it goes in your direction and sell when it doesn't.


----------



## Warr87

thanks @peter2. I always wish I was doing better, but then this is partly why we track results: compare your work to your backtests, and remind yourself that +5.7% in 2 months is good! Before I started looking at TA and system design, I was going to be happy getting 10% in my managed fund. If I can get 10% p.a. then it will prove to myself that I don't need to pay someone and I'm capable myself. As it currently stands, I do believe I am capable of getting greater than 10% returns and outperforming a managed fund. I think either 1 of my systems could get at least 10% in a year. 

You are right that I haven't managed a portfolio through a bear market. While I can tell myself that I can do it, and stick religiously to my system, the proof will be in the pudding. Even now I avoid or ignore market analysis on the TV as I tell myself, "it doesn't matter, I only care about what happens at the close each week". I've even told mates this at work. I tell them the beauty of a weekly system where the only thing that matters is not where the price is mid-week, but rather where it finished on Friday. I can only hope I can hold this mentality in a 2008 event. I have backtested my systems through bear years, and 2008, and while they lose they still perform well. But if I lose 14% one month, and then another 10% another month, then gain 5%, then lose the next month .... that will be an emotional rollercoaster! No one wants to see that kind of hit to a portfolio. It'll be a little easier with my smaller account (ironically) but what's a $6000 loss on a $30,000 account? sure, it's a big hit, but not as much a $20,000 on a $100,000 account! I also like to remind myself that the year after bear markets my backtesting is phenomenal. Huge gains (like most trend/momentum systems).

I'm actually trialling 3 systems (I just haven't put up results for the 3rd). At the moment I am definitely favouring 1 over the other (system 2 over system 1). But even with that being said, I haven't given up on system 1. I still think its viable, even though I think I wont implement it. I think it will have to be reworked. It was my first system so not surprising it may not make the cut! I also want to trade 1 system on my personal money, and 1 system within a SMSF that I intend on starting (when I have a system I begin the process to start the SMSF). This is also partly why I started a 3rd system in the background.

@Newt is right, learning never stops. I certainly haven't. I mention the other instruments as I have a few ideas for other trading systems for other instruments (not including the other ideas for systems in equities that I have mentioned before). I have definitely been influenced by Clenow and his works and his rather simple momentum strategy, or even his MA crossover for futures. It would likely be 3-5 years, if not longer, before I started with any real money on those. Knowing this, I will eventually get proper data, backtest, and then forwardtest/incubate as I am doing now. But my first goal is, first and foremost, to be profitable and consistent trader with my currently designed systems. 

You are definitely right about different markets moving differently. I know that any system I design for a US market will be different to an ASX system. Different participants, environment, etc., means different market forces and therefore different market behaviour. Whatever I design will be robust enough but still tailored to the market I want to be in.

So many possibilities .... but so little capital hahahaha.

I was actually rather ignorant in regards to leveraged ETFs. I knew you could use margin to buy ETFs, but I had no idea that some ETFs were already leveraged before you bought them. It certainly opens up a whole new realm of possibilities.


----------



## Warr87

System 1 back tested for previous 22 bars: -6.54%
System 2 back tested for previous 10 bars: -3.01%

Not a completely fair comparison. In both of my systems my performance includes my current Open PL whereas the backtests gave me those results based on final account amount. Either way, I appear to be performing a little better than my backtests. Sample period isn't big enough to make any real comments though.


----------



## Warr87

I flew back to WA the other day, and the flight from QLD to WA is long. I took the opportunity to finish one of my books (Trading in the Zone), and even got to re-read parts of other books I really enjoyed. I thought I would list the books I have read and think others should read if they haven't already.

In no particular order:

Nick Radge, 'Weekend Trend Trader'
Nick Radge, 'Unholy Grails'
Kevin J. Davey, 'Smart Portfolios'
Kevin J. Davey, 'Stock Market Investing for Everyone'
Kevin J. Davey, 'Introduction to Algo Trading'
Kevin J. Davey, 'Building Winning Algorithmic Trading Systems'
Andreas F. Clenow, 'Trading Evolved'
Andreas F. Clenow, 'Following the Trend'
Andreas F. Clenow, 'Stocks on the Move'
Mark Douglas, 'Trading in the Zone'
Robert Carver, 'Leveraged Trading'
Anna Coulling, 'A Complete Guide to Volume Price Analysis'*

I am a big fan of Clenow, and I think the first book I read was his 'Trading Evolved'. I have also enjoyed Davey's work as well. Radge is worth a read too, and I just listed to an old podcast of his which I also loved. *I have also been reading Coulling's book. I think it's good but I'm finding it's not for me. Those who like reading charts and are more discretionary will find her book more useful. As someone who has drifted much more towards mechanical/systematic, I haven't completely taken to her book. 

I also have a road trip coming up so I went and downloaded some podcasts. After listening to a number of episodes, I strongly recommend people have a listen themselves! 

https://chatwithtraders.com/podcast-episodes/


----------



## Warr87

System 1 (EMA Cross Strat):
*Week 23:*
Buy: DCN
Sell: AWC

Open PL has this system at 1.9%. Was surprised to see this system still positive as a number of positions closed a little lower this week.




System 2 (MAP Strat):
*Week 11:*
Buy: None
Sell: None

A LOT of sell signals. None of my heard positions triggered from these sell signals though. No buy signals due to my index filter. And none of my current positions were triggered with the current 10% trailing stop, however some are very close!

Open PL $3406 or +6.8% since inception




With a lot of driving the past couple of days I am getting through a lot of podcast's from ChatWithTraders. It's a great resource to hear others start and how they got to where they are now. A number of cautionary tales (it's surprising how many of them blew up there accounts!). Also good if you are after some new trading ideas. Plenty of different approaches to spark something.


----------



## Warr87

System 1 (EMA Cross Strat):
*Week 24:*
Buy: None 
Sell: None

Fully invested. System is sitting at +2%. Nothing particularly exciting but at least it is accumulating more winners than losers. Though at 24weeks you would expect much more performance than this. Oh well.





System 2 (MAP Strat):
*Week 12:*
Buy: DCN
Sell: TGP

Plenty of buy signals. TGP triggered a sell signal so plenty of more opportunities to take its place. With the index back up, my index filter switches back on, thus my system will take on more trades when it has the positions to fill. It is sitting at 6.1% at the 12 week mark. The average profit % and expectancy are matching almost perfectly to backtests! This is obviously a good sign. 12 weeks is still probably a little early to call it, but system 2 is looking good.

Next week a few positions will be evaluated for a 'stale exit' so I may get an opportunity to let other positions take over.





As I have learned a lot since running System 1, I had the feeling that the system design was flawed from the get go. I think this is a normal thing when starting out. I still think the concept of an EMA cross has validity and haven't let go of this idea. But evidence is mounting that system1 may have been curve fitted or more subject to luck than I would like. For example, when backtested and starting this time last year, my system made huge profits as it caught a couple of big winners from Feb to April. More than enough to wait out the year. So that brings me to the predicament. Do I begin to face the music that System 1 is a failure, or do I chaulk it up to the unfortunate fact that I actually started to test this system as the market started to range (which is a killer for a trend system). I will continue to monitor it for the moment. Things to keep in mind, while I haven't beat the index with this system, I have also not gone into a drawn down and my goal that was set from the beginning was to stay alive. I have learned a lot too along the way. Another point, the system hasn't accumulated enough positions to inform a proper decision (sample size isn't big enough IMO).

A small note, I decided to slight modify (though still keep mostly intact) system 2 and applied it to other sectors (separate from the All Ords) and the system performs very well on those. I was just tinkering as I wanted to do a bit of coding and was curious. Good to know it is robust, and also that it will work on a wider universe (or rather, separate) of stocks.


----------



## Skate

@Warr87 it would be wise to read about (State verses Pulse signals)

*System One*
Check system 1 (EMA Cross) buy criteria  -  Is your Buy criteria (State or Impulse) ?

*Quick comment*
"Cross" is an Pulse signal, and ">" is a State signal.

*If you use State signals*
Using a State signal ">" function you can use the "Exrem" function to eliminate duplicate signals.

*Important to remember *
1. State form keeps 'true' for many bars
2. Pulse form - Keeps 'true' for one bar only

*IMHO *
I would avoid any strategy that uses a "Cross function" as the signal is only  'true' for one bar only (on the "CROSS") a State signal holds for more than one bar. Meaning State signal keeps the signal 'true' for many bars.

*It makes a difference*
To keep signals you have to have them in (State) form as opposed to (Pulse) form because the signal is "true" for only one bar (on the cross)

*The MAP strategy*
If it was me (I'm not telling you what to do) I wouldn't fiddle with the MAP entry or stalestop (exit) code - all the other parameters go for your life.

Skate.


----------



## Trav.

@Warr87 good work on your systems as you appear to be heading in the right direction.

I have a question about exits and in particular trailing stops for you. 

Using one of your earlier purchases as an example - also you are still holding this stock so it makes for a practical exercise.

RBL - 

Buy on the 9/8/2019 @ 1.395

High on the 15/11/2019 @ 2.08

Now still holding at a loss @ 1.10​
It appears that you have a SL set at 30% on your spreadsheet.

*My question* is how are you managing this Stop Loss and others? Do you have an Initial Stop Loss then a Trailing Stop ?

From your entry to SP high is approx 50% gain so if you were trailing behind it ( either a % or ATR ) I would have thought that it would have been triggered in late November prior to the gap down in December for approx 30% gain. 

The reason I am asking is that *I have been guilty* on not following my rules because I wanted to maximise profits. Greed and falling for the story of the stock was / is my weakness and the result is holding a stock at a loss for way to long or selling at a loss and taking a hit in my confidence.

Again good luck in the journey and I look forward to following your progress.

Trav.


----------



## Warr87

Skate said:


> @Warr87 it would be wise to read about (State verses Pulse signals)
> 
> *System One*
> Check system 1 (EMA Cross) buy criteria  -  Is your Buy criteria (State or Impulse) ?
> 
> *Quick comment*
> "Cross" is an Pulse signal, and ">" is a State signal.
> 
> *If you use State signals*
> Using a State signal ">" function you can use the "Exrem" function to eliminate duplicate signals.
> 
> *Important to remember *
> 1. State form keeps 'true' for many bars
> 2. Pulse form - Keeps 'true' for one bar only
> 
> *IMHO *
> I would avoid any strategy that uses a "Cross function" as the signal is only  'true' for one bar only (on the "CROSS") a State signal holds for more than one bar. Meaning State signal keeps the signal 'true' for many bars.
> 
> *It makes a difference*
> To keep signals you have to have them in (State) form as opposed to (Pulse) form because the signal is "true" for only one bar (on the cross)
> 
> *The MAP strategy*
> If it was me (I'm not telling you what to do) I wouldn't fiddle with the MAP entry or stalestop (exit) code - all the other parameters go for your life.
> 
> Skate.




@Skate It's a pulse signal. And I wasn't aware of that, but it had actually been something I have been thinking about lately as I have been thinking about the difference between coding something as 'Cross' or '>' or '<'. These days in newer stuff I code, I almost always use the state signal but thats also because I've gotten a little smarter and using other things to confirm a signal (though still very simple as I gravitate towards simplicity as I find it elegant and robust).

As for the MAP strategy, I have been toying more with the exits or filters then anything. The buy signal has been the same. For example, I ran a slightly modified code against the Metals and Mining watchlist (608 symbols in watchlist). I kept the same buy signal as I love the way this buy signal, though simple, catches a lot of quick momentum. What I tinkered with, mostly out of curiosity, is 1) changing the market filter index (believe it or not, I get better results when the market filter was kept to tracking the All Ords), 2) how reactive the market filter was (I made the period smaller and more reactive to turn off given the volitatility in the sector), 3) price filter was set to be below a certain amount, and focused on small securities, but this was offset with 4) with a volume filter to make sure liquidity wouldn't be an issue. Overall it didn't return the same annualised returns on my current MAP strat backtests, but the RAR was much higher and the expected $ per $100 was also ok. I also noticed that the equity curve had a number of spikes and max system DD was not correlated to my current strats (i.e. the maxDD occured at different times to my other strats, and not all equity spikes occured int he same places too). Now, without running some kind of correlation test between the twice, there is some that I can see but not completely.

It was an interesting experiment. Not taken too seriously but I wanted to adapt, tinker, and explore a few things.



Trav. said:


> @Warr87 good work on your systems as you appear to be heading in the right direction.
> 
> I have a question about exits and in particular trailing stops for you.
> 
> Using one of your earlier purchases as an example - also you are still holding this stock so it makes for a practical exercise.
> 
> RBL -
> 
> Buy on the 9/8/2019 @ 1.395
> 
> High on the 15/11/2019 @ 2.08
> 
> Now still holding at a loss @ 1.10​
> It appears that you have a SL set at 30% on your spreadsheet.
> 
> *My question* is how are you managing this Stop Loss and others? Do you have an Initial Stop Loss then a Trailing Stop ?
> 
> From your entry to SP high is approx 50% gain so if you were trailing behind it ( either a % or ATR ) I would have thought that it would have been triggered in late November prior to the gap down in December for approx 30% gain.
> 
> The reason I am asking is that *I have been guilty* on not following my rules because I wanted to maximise profits. Greed and falling for the story of the stock was / is my weakness and the result is holding a stock at a loss for way to long or selling at a loss and taking a hit in my confidence.
> 
> Again good luck in the journey and I look forward to following your progress.
> 
> Trav.




@Trav. Thanks for highlighting that! That is actually just stupidity on my part, and you are right. I should have exited. I didn't have a very good setup on keep tracking on my current trailing stop. I am using excel much better and have a proper spreadsheet now. That mistake has obviously impacted my results, but I'm glad you found it. I will close out that position.

And my sell conditions for system 1 are simply a cross, or a trailing stop of 30%. My initial stop is therefore 30% as well. My other systems have stops that aren't reliant on a cross, but rather a close below a MA.


----------



## Trav.

no problems mate

Maybe try the below code in your next back test just to see what different exits do to your performance as I am finding out this area is often neglected.



		Code:
	

//======================================================================|
//                      Trailing Stop Loop                              |
//======================================================================|

Buy = 0; /////////****************Your buy signal will replace this line


Multiplier = 1; //Optimize("Multi", 1, 1, 3, 1);
Period = 21; //Optimize("Period", 21, 8, 25, 1);
LATRStop = Low - (Multiplier * ATR( Period ));
LStopLevel = LATRStop; // Long Stop Level now based of the ATR
LtrailARRAY = Null;
Ltrailstop = 0;

_SECTION_BEGIN( "Long Trailing Stop");
{
for( i = 1; i < BarCount; i++ )
{
   if( Ltrailstop == 0 AND Buy[ i ] )
   {
      Ltrailstop = LStopLevel [ i ] ;  //ATRStop = High - (multiplier x ATR (period))
   }
   else Buy[ i ] = 0; // remove excess buy signals

   if( Ltrailstop > 0 AND Close[ i ] < Ltrailstop)
   {
      Sell[ i ] = 1;
      SellPrice[ i ] = Ltrailstop;
      Ltrailstop = 0;     
   }
   if( Ltrailstop > 0 )
   {   
      Ltrailstop = Max( LStopLevel [ i ], Ltrailstop );
      LtrailARRAY[ i ] = Ltrailstop;
   }
_SECTION_END();
}}

//Plot Triling Stop
Plot( LtrailARRAY,"trailing stop level", colorRed );


----------



## Warr87

Thanks mate. I'll give it a go.

As I've mentioned a few times lately, exits seem to be key. It's mentioned here, and on some of the podcasts' I've been listening too. Like every beginner, I started focusing on the entries. As you learn more, you figure out that entries are easy, but when is the best time to leave to maximise profits or let it run then becomes the hardest part. I've contemplated an ATR stop as the ATR is a good basic measure of volatility. Though we need volatility to make profit and the ATR doesn't distinguish between volatility to the upside or downside.

I'm going to try to implement the code. Thanks again mate .


----------



## Trav.

All good mate, I have been experimenting with a stop that ratchets up at key points so not entirely based of the ATR.

ISL = ATR
Trail 1 = target 1 reached
Trail 2 = target 2 reached

so really up to your imagination, tie it into your sector filter etc


----------



## Warr87

My later system designs have been utilising dynamic stops based on a market filter. It makes sense on trend following, and I like defining my risk. On a momentum based strategy, though, it doesn't really work. For example, the Ivy Portfolio or Clenow's momentum strategy, you are buying the best performing instruments (in the Ivy Portfolio it would work great using sector ETF's but we don't have the same amount available as the US as they have countless passive (beta) type ETFs). Clenow's is a rotational strategy that can be rebalanced once a month and only holds the top20% of stocks and actually utilises an ATR for sizing (Account Equity * risk [0.001 would be 10basis points]) / ATR = Shares to buy. Keep buying until you run out of money, then each month you check and rebalance your positions. It wouldn't make sense to have a trailing stop in that situation, but your risk is not how wide or tight your TS is but rather how many basis points you wager.

While this is a bit of a tangent, I think it shows how TS only make sense to the system you are designing and the purpose it is in place for. I look to see how others do it though and try and get some good ideas on what might fit better for me.


----------



## qldfrog

Going back to cross vs < or >
One important factor is how fast you get your money to work
If you use a cross,then you have a single tick to enter, next week cross is over so it takes much longer to start your system and increase your exposure
As Skate says, he wants his soldiers working, not idle so that could be a problem


----------



## Warr87

System 1 (EMA Cross Strat):
*Week 25:*
Buy: None
Sell: None

System 1 is at +4.9%. Quite a change from last week.




System 2 (MAP Strat):
*Week 13:*
Buy: None
Sell: None

So TGP was sold and replaced with DCN this week. A few new highs this week and so a number of stops are moved up. I'm always happy about locking in some profits. A few positions already held gave new buy signals which I like as it shows continued strength.

Fully invested so no new positions added, but plenty of signals.

This week this strat is at +9.7% for the 13weeks since inception.


----------



## Warr87

I was thinking more about @peter2 's comment about the MAP and Supertrend strategy working great on longer timeframes. I ran my MAP and Supertrend strategy against monthly bars, and it works better than I remembered. Returns were the same, if not better and the expectancy per $100 invested, geometric mean, and MEGAN ratio were all higher than the weekly. Downside was that the CAR/MAD ratio was lower, and yearly returns weren't as smooth (as in the difference between one year and another were rather drastic at times but still good!). Average holding time was 5-6 candles and average annual return of 30%. This is obviously rather respectable! As I've mentioned a few times, I want a system to run in a SMSF and the monthly system could be it so I'm not running 2 weekly systems (one in my personal name and 1 in my SMSF).

No real rush. My current super isn't losing money so I have time to investigate and get the ball rolling sooner or later. Ideally for the start of the next financial year, or even before then.


----------



## Warr87

System 1 (EMA Cross Strat):
*Week 26:*
Buy: WPP
Sell: None

System is at +4.9% since inception. Will be fully invested next week.




System 2 (MAP Strat):
*Week 14:*
Buy: AVZ
Sell: DCN

More SL's raised on system 2. Currently at +13.5% with the XAO at +5.4% since the system start.


----------



## Warr87

I have stopped paper trading system 1 and started live trading system 2. I have 8 open positions that were entered in on Monday, and the rest of the 12 positions have been entered for the pre-market.


----------



## willoneau

Hi Warr87, did you go live on Monday with 8 positions and going to take 12 more this Monday?
If so what was your trade frequency during the backtest?


----------



## Warr87

this is for the past 52 bars (1yr)




I didn't expect it to be fully invested by the second week to be honest. This may not have been the best time to start given the coronovirus news, but I wasn't going to try and 'time' my entry into the market. I had made my decision and once the money cleared into my trade account I started.

I will post my trading on the live system as well for others benefits. I hope people found my paper trading helpful. I will likely paper trade more in the future too (I have a few other systems that have great backtest results, similar too, or better than, my MAP strat).


----------



## willoneau

Is the exposure % the amount of Capital used ? as that is what I thought.


----------



## Warr87

Yes. So it finally clicked for me the other week when looking at backtests, and looking at the explosure%, wondering why it wasn't 100% all the time. AB takes my equity and divides by max positions and uses that as a position size. But if I have 20 positions and I have a position that is up 60% and then it finally triggers a sell, and that leaves 1 open position, the system wont put that entire amount into the next position but rather a smaller size (based on equity / max positions).

Overtime my back tests show, say 70%, exposure as not all the money is going back into the next open position. I will be using cash left and open positions as my position sizing in my live system to get 100% exposure.


----------



## willoneau

Trav. said:


> no problems mate
> 
> Maybe try the below code in your next back test just to see what different exits do to your performance as I am finding out this area is often neglected.
> 
> 
> 
> Code:
> 
> 
> //======================================================================|
> //                      Trailing Stop Loop                              |
> //======================================================================|
> 
> Buy = 0; /////////****************Your buy signal will replace this line
> 
> 
> Multiplier = 1; //Optimize("Multi", 1, 1, 3, 1);
> Period = 21; //Optimize("Period", 21, 8, 25, 1);
> LATRStop = Low - (Multiplier * ATR( Period ));
> LStopLevel = LATRStop; // Long Stop Level now based of the ATR
> LtrailARRAY = Null;
> Ltrailstop = 0;
> 
> _SECTION_BEGIN( "Long Trailing Stop");
> {
> for( i = 1; i < BarCount; i++ )
> {
> if( Ltrailstop == 0 AND Buy[ i ] )
> {
> Ltrailstop = LStopLevel [ i ] ;  //ATRStop = High - (multiplier x ATR (period))
> }
> else Buy[ i ] = 0; // remove excess buy signals
> 
> if( Ltrailstop > 0 AND Close[ i ] < Ltrailstop)
> {
> Sell[ i ] = 1;
> SellPrice[ i ] = Ltrailstop;
> Ltrailstop = 0;
> }
> if( Ltrailstop > 0 )
> {
> Ltrailstop = Max( LStopLevel [ i ], Ltrailstop );
> LtrailARRAY[ i ] = Ltrailstop;
> }
> _SECTION_END();
> }}
> 
> //Plot Triling Stop
> Plot( LtrailARRAY,"trailing stop level", colorRed );



Hi trav I had a play around with your code but found the exit price was the trailing stop even though the close was below it.?


----------



## qldfrog

willoneau said:


> Hi trav I had a play around with your code but found the exit price was the trailing stop even though the close was below it.?



Could it be that the trailing stop is used intra day, simulating a conditional stop as entered in a broker platform, as per my lame attempt to add SL last week?


----------



## willoneau

Hi qldfrog, I'm rather newbie with coding but I can see that the close below the trailing stop triggers the sell but it takes the trailing stop price not the close or next bars open.


----------



## qldfrog

I see coding that TS in 2 ways:
if (C<TS) then Sell: in that case sellPrice = O(+1)
or 
if (L<=TS) then Sell (can be done intraday) 
in that case sellPrice = TS is reasonable, I did not see the details of the code;
The second option is what i tested and implemented initially for my SL, and what i meant above
Still not that great results statistically, and you can have falling nice where even if triggered, you sell will be far from the trigger price
The second option is roughly how I test SL in backtest
Hope it helps


----------



## Warr87

The MAP strategy - Live


*Week 1 - first scan run 31 Jan 20. First buys placed for 3 Feb 20*
Buy: WJA, RUL, QMS, ALG, NEU, CCX, DTL, AEF

*Week 2*
Buy: AVZ, MAH, RMC, CL1, ADH, JLG, MSG, ORE, VRL, PAR, PPH

One of my positions wouldn't fill. I tried again and still had my open position closed. Trading was suspended so that position was never filled.

*Week 3*
Buy: APD
Sell: None

A number of buy signals for positions that I already hold. That is always something I like to see!


----------



## Warr87

I'm up 1.1%


----------



## Warr87

And the chart above


----------



## qldfrog

If you take dividends into account  you are maybe better comparing to xaoa?
Not very important just a few % at the end of the year


----------



## Warr87

That's a good point. I may add that in.


----------



## Warr87

As some may already know, I have been paper trading a CAM system too (ideally for a SMSF I want to setup). When I updated it on Friday, I noticed that it is still flat. I backtested it over the last few months and my current paper traded results are similar to the backtested results. When backtested over the past year the results are 30% return. Obviously the CAM system is sensitive to relatively flat conditions. I can't get the results of @Skate and his CAM system, but I will continue to look at it to see if I can tweak it to not be so flat and be more consistent.

I also started a Supertrend (monthly) paper trade. My back test results are good so I wanted to try it out. This is another candidate for the SMSF. I tried changing the conditions to only enter if the ST started within the last couple of bars, but for some reason this harmed performance, as opposed to buying if the Close > ST. I will look at it further and see what happens. Anyone who has more experience with this, please let me know. Would be good to see how others have dealt with it.


----------



## Newt

Re your observations on CAM performance last few months, those are probably quite valuable observations for learning and experienced traders doing backtesting or testing.  Strategy performance and the resulting equity curve can be quite variable according to subtle factors such as:

* Stock universe (All Ords, ASX 300, Small Ords, Full ASX, Listed/Delisted stocks, etc)
* Data providers, and their assumptions (excluding or including dividends, adjusting price for share offers, handling or not handling trading halts, etc)
* Variations in strategy coding - even small differences in interpretation of strategy intent and implementation in code can greatly affect trade selection during testing and trading
* PositionScore - even if you and Skate have identically implemented CAM using the same data provider and stock universe, its not unusual for  traders to ultimately have significant "intellectual property" in scoring of stocks (for weeks you have too many coming up to trade)
* Index Filtering, variable protective stops, stale filters - similar notes to above for PS - even the most helpful trader has to limit how far they go sharing all  their coding secrets and preferences.

That raises the question of competition and market efficiency.  For short term traders and those employing mean reversion it might be very detrimental to suddenly be competing for orders and price against others using your exact strategy.  For weekly or even daily trend following, its probably unlikely retail traders from ASF will affect price too much (most of us have tiny portfolio size to other market participants).  In fact I've long wondered if its mildly beneficial for trend traders to share their strategies as it might increase the tendancy for a trending stock to continue doing so for some time - as other buy in and create my interest and hype for that stock.  The risks for the "giving trader" are probably a lot less than giving out say a specific 2 day mean reversion strategy.


Because of the variablies listed above, equity curves can take on a somewhat fractal nature as you zoom in.  For weekly trend trading, it might take as long as 2-3 years for your equity curve (and paper trading) to show strong similarities.  Depending on what your Monte Carlo tests look like you probably already understand that luck and trade selection can results in surprising variations in equity curves for 2 traders with the same strategy (where PositionsScore etc are not implemented).

We're all keen to see some profits in real trading and paper trading, but.......
When I look at Skates CAM performance last 8 months from the Dump it Here thread, it does appear fairly linear, but if you look at last few months actual profits are in order of 3%.   I've been up and down 3% over a few days lately as the markets bounced around through Coronavirus and other challenges.

I've been meaning to play with CAM again, but my original work had similar observations to yourself (quite difference performance to Skate) which I put down to lack of knowledge on my part, or any of the points above.


----------



## Warr87

I agree @Newt. 

I think the biggest difference with my variation of the CAM system is ranking. CAM is good finding a trend, adjusting the position score to catch the one with the highest probability of going up would maximize returns, even in a sideways market. 

I think the CAM system itself can be quiet good. I added a few things which helped with my results (and as you mentioned, stock universe can be a big influence). I've used elements of it to help design other systems as well.

I also back test and compare to my paper trading to make sure that I am tracking and use it as a walk forward. Knowing that my system is performing on live data how it performed in the past, gives me greater confidence that it will continue to do so (and therefore match up to the overall backtested results).

I have also gotten a lot of coding help from people here at ASF. But obviously this is limited as you have mentioned. I also noticed that as my AB coding skills improve, my ability to implement and design half-decent systems increase. I get an idea, and at least now I can implement some basic code to test the general thesis to see if its worth developing further. The help and code-snipets from members here as definitely accelerated my learning. I've also given a few bits of my own code to others (though as you mentioned, reserve some of it for yourself as you're not going to give away your trade secrets).

I'm going to continue to paper trade the CAM system as I still have faith. It's worked for many others.

The Supertrend paper trade is just once a month so I'll continue on with that too.


----------



## Newt

Feel like an idiot, but of course the elephant in the room is what parameter values you use for any given strategy - should be prominent in list above. 

There's no right or wrong implementation of any startegy, but ideally we'd all like to be in a position for robust returns and hopefully a profit over any given 12 months (or at least 2 years).

Sounds like you're having fun on the journey and learning lots...


----------



## Warr87

I certainly am enjoying the journey thus far. If I can survive, and make a profit, the journal will continue and expand. This has combined my interest of computers/programming with investing.


----------



## qldfrog

If it helps, my cam2 ( system 2 ) has return of 50pc or so on full 2019 year yet
both actual and backtest from 08/2019 to now are really low..just above breakeven...
While my sys1 (cam too ) is good
A same base principle can have multiple outcomes


----------



## Warr87

Thanks @qldfrog. That's a good comparison and something to keep in mind. And when you start can have a huge impact on the outcome too. Anything started after August last year probably has been flat or negative.


----------



## qldfrog

Warr87 said:


> Thanks @qldfrog. That's a good comparison and something to keep in mind. And when you start can have a huge impact on the outcome too. Anything started after August last year probably has been flat or negative.



And do not forget the importance of your exit/ stale criteria and or any SL


----------



## Warr87

Yup. exactly. My criteria probably aren't too different, but the difference is still there.


----------



## qldfrog

Anecdotally, a start on 1/01/2019 vs a start on the 25th/02/19 for my system1 cost me 2 digits percentage return on the year
 just for a few weeks.


----------



## Warr87

It's something important to remember!

This is also the nature of trend following. A few big wins will give you the majority of your gains.


----------



## Warr87

My last position is filled (APD). There is a trading hold on AVZ (up 30% from when I bought it). And an upcoming dividend payout for QMS coming up this week too.

So far it's been a good start to the system.

And given the small size of my positions my fills have been good.


----------



## Warr87

Week 4:
Buy: AVH (can only put in order once CL1 settles)
Sell: CL1

at 1.5%. Tracking with the XAO. I wont consider any tracking to be indicative of my system until at least 3 months in. Only had my first sell signal today. But so far I am happy.


----------



## Warr87

Need a little advice from people running a live system.

I have a sell in right now and have a buy to fill its place. Do people wait until its cleared and then put in their buy order as soon as it happens (meaning it probably wont get filled until possibly wednesday), or do you not fill this position until next week?


----------



## investtrader

I try to just get the buy in after the sell ( assuming not enough funds). Sometimes it is a pain because price runs away - but I just then use a limit order equal to the open price.


----------



## Warr87

Well my position sizes are small enough where I should get my fill for my sell. This is my first sell with CMC so I'm not sure if there is a settlement delay or not. I follow skate with slippage by putting in limit orders with 3% slippage (i.e. Friday's close price + 3% in a limit order).

This leads to a follow up question. Does everyone do something similar with sell orders? I.e. a limit sell order with 3% slippage?


----------



## Warr87

a snap shot of my current system (reminder that CL1 is going to be sold):


----------



## qldfrog

Warr87 said:


> Well my position sizes are small enough where I should get my fill for my sell. This is my first sell with CMC so I'm not sure if there is a settlement delay or not. I follow skate with slippage by putting in limit orders with 3% slippage (i.e. Friday's close price + 3% in a limit order).
> 
> This leads to a follow up question. Does everyone do something similar with sell orders? I.e. a limit sell order with 3% slippage?



I do this with 2 to 3% added/removed from close on friday price
With belldirect, i need to have the cash so the sell confirmed, not 2 days, just sale confirmed then i csn enter the buy order,
 as i mentioned in my thread it can be an issue
A lot depends on what CMC allows


----------



## Rsthree

Warr87 said:


> Well my position sizes are small enough where I should get my fill for my sell. This is my first sell with CMC so I'm not sure if there is a settlement delay or not. I follow skate with slippage by putting in limit orders with 3% slippage (i.e. Friday's close price + 3% in a limit order).
> 
> This leads to a follow up question. Does everyone do something similar with sell orders? I.e. a limit sell order with 3% slippage?




I don't I think understand this correctly re the close limit order. If your sell price is $1 and you allow for 3% slippage, ie. Sell at 97c. Does that mean you won't sell below 97c. Which doesn't make sense as you may be holding tanking stock.


----------



## Newt

I think what QF is saying is if you want to sell, then be willing to receive 3% less than last close, if buying, be preparing to offer 3% more than last close.....

Re the question on similtaneous buy and sell signals:  
My main account is with CMC.  If you enter a buy order out of hours, they'll cancel it the moment the markets are open and you have insufficient A/C balance.  So would need to close the position with Sell signal then wait a day or two before entering the new Buy signal.


----------



## qldfrog

Newt said:


> I think what QF is saying is if you want to sell, then be willing to receive 3% less than last close, if buying, be preparing to offer 3% more than last close.....
> 
> Re the question on similtaneous buy and sell signals:
> My main account is with CMC.  If you enter a buy order out of hours, they'll cancel it the moment the markets are open and you have insufficient A/C balance.  So would need to close the position with Sell signal then wait a day or two before entering the new Buy signal.



Exactly what i i met, but you hope to sell buy nearer from the ladt close obviously yet allow room for variation in the initial open
Belldirect seems to act as CMC does
A bugger as it means i need to be on my computer at 9am qld time on Monday to enter the buy, once sell is done


----------



## Warr87

Rsthree said:


> I don't I think understand this correctly re the close limit order. If your sell price is $1 and you allow for 3% slippage, ie. Sell at 97c. Does that mean you won't sell below 97c. Which doesn't make sense as you may be holding tanking stock.




I also can't enter a market order when the market is closed. Which makes it difficult as that was what I was originally going to do.

Thanks for that @Newt. Not sure what I think of CMC right now but I'm going to give them a fair chance. I'm not a fan of having to pay money to see market depth either.


----------



## qldfrog

Warr87 said:


> I also can't enter a market order when the market is closed. Which makes it difficult as that was what I was originally going to do.
> 
> Thanks for that @Newt. Not sure what I think of CMC right now but I'm going to give them a fair chance. I'm not a fan of having to pay money to see market depth either.



BD allows you to enter your sell during the weekend but these orders can be wiped out during the initial Monday morning open price negotiations.not perfect


----------



## Warr87

I'll just have to pay closer attention. I usually just put in a limit order and if I get it, then I get it, others I will move on. Harder with a sell order.


----------



## Warr87

Got my sell for CL1. By the time I took a coffee break at 10am I was able to put in my order for AVH.

My orders are getting filled pretty quickly. Do people think its worth putting in the limit orders for +/- 3%, or should I try and nail that down to 1 or 2 %. The potential downside is not being filled. Probably shouldn't micro manage this, but I do have the temptation to get a better price.


----------



## qldfrog

Warr87 said:


> Got my sell for CL1. By the time I took a coffee break at 10am I was able to put in my order for AVH.
> 
> My orders are getting filled pretty quickly. Do people think its worth putting in the limit orders for +/- 3%, or should I try and nail that down to 1 or 2 %. The potential downside is not being filled. Probably shouldn't micro manage this, but I do have the temptation to get a better price.



If CMC works like belldirect, there is a kind of preopen "auction"
You give your max price to buy or min price to sell, all these figures are gathered and the opening price decided then at ooen, that price is used, it does not mean, in no way that you will pay your worst case scenario, that open price is most often quite reasonable and my issue is often to get a buy anywhere like the open price later
There is also a bit of liquidity at the open.
Today i had to chase PSG and ended up paying nearly 2% above the open price...


----------



## Warr87

with my buy orders, I've found I don't hit the upper limit of my limit order. So those are good. The sell I had today I got at exactly my limit (which included a 2% slippage added). And you are right, at the open is the biggest liquidity, particularly on a Monday.


----------



## qldfrog

Warr87 said:


> with my buy orders, I've found I don't hit the upper limit of my limit order. So those are good. The sell I had today I got at exactly my limit (which included a 2% slippage added). And you are right, at the open is the biggest liquidity, particularly on a Monday.



Your sells were done in a collapsing market today, you have been lucky to be able to sell at all !!


----------



## Warr87

qldfrog said:


> Your sells were done in a collapsing market today, you have been lucky to be able to sell at all !!



thats a good point !


----------



## Warr87

to add to a number of other people's observations, I have also been hit relatively hard by todays low. I was ok with Monday's terrible open (it didn't affect me too much) but today my system has been hit even harder. I'm not worried. My system has been tested rigorously. I am more looking forward to when the market rebounds so I can catch some more winners. The weaker stocks will be shaken out of my portfolio and I will replace them with stronger ones. And those that are still with me during this will only do better after.

I will likely add some more capital to my account as my saving efforts have been doing good.

For those reading and trading systems. Stay the course. You can't win if you're not in the game.


----------



## Warr87

*Week 5*

Not a good week. Just got into full loaded portfolio and hit with a massive down (from 7200 to 6500 on the XAO).

My portfolio  went from +1.5% to -12% (represents a -6R loss in one week).

Unsurprisingly my system has set the index filter to 'down' so my SL have tightened and I wont initiate any buy signals.

Buy: None (index filter)
Sell: RUL (SL), ALG (sell signal), NEU (sell signal), CCX (sell signal), DTL (SL), AEF (sell signal), RMC (SL), MSB (SL), ORE (sell signal), VRL (sell signal), PAR (sell signal), PPH (sell signal), AVH (sell signal)

I had consolidated some other money (had some in smaller funds) and had planned to put this into my system. May be a decent idea to do so to bring my position size back up when my index filter turns back on and the market should rebound. I had planned on adding to my account until it gets to an appropriate amount.

Pyschological factors: obviously with the down market I have the urge to fiddle with my system and keep the positions that I currently have knowing that they will probably bounce back. But my system says sell. It's a terrible idea to hold onto a position and hope that it will rebound. Do as the system says. Overall though, I am not too worried by the current market. My system has already turned on its filter so even if it does continue to drift down I will be protected. The real worry will be my fills on monday's open. This will be interesting.


----------



## qldfrog

100% with you on the Psychological factors part.there will be a bounce and we will miss it. But if the systems say sell..


----------



## Rsthree

It feels like we are watching a cliffhanger movie. 

All we need now is some bio sensors hooked up to warr87 so we can monitor his vitals during the play out.


----------



## Warr87

Hopefully a cliffhanger, and not a horror movie, haha.

I imagine a number of value investors will come out of the woodwork too. Let's hope that a number of people will try and enter the market next week for some bargains so I can offload my positions with decent fills.

Next week will be interesting.


----------



## qldfrog

Shuttttt.
Actually an Israeli firm has pratically found a vaccine
Buy the dip.look at the long term trend.bargains now everywhere


----------



## qldfrog

Spread the word.buy on Monday
While you and i sell...
Another bloodbath in the US last night


----------



## Warr87

qldfrog said:


> Spread the word.buy on Monday
> While you and i sell...
> Another bloodbath in the US last night




I agree! Let's do this, lol. I think the majority of weekly system traders will be offloading on Monday while shorter term swing traders or shorter term systems in general will probably go in the market to buy. One can only hope that it cancels everything out, haha.


----------



## Newt

I'll be happy to buy after the dip, once some stocks are trending up and I get a buy signal.....


----------



## Warr87

I have all but 1 of my fills as of today. I usually leave my orders good until wednesday, but my current ones are good til canceled. If I don't get my fill by the end of tomorrow I'll chase. It's been close to my limit order anyway so I'm not that worried about it.

On other news, I added in some more money as planned (had planned this before the coronovirus kicked off). Hopefully it will work out well with any rebound that comes along.

Time will tell.


----------



## qldfrog

I think i saw a dead cat bouncing yesterday:-(


----------



## Warr87

qldfrog said:


> I think i saw a dead cat bouncing yesterday:-(




Haha yea. Probably was. I certainly hope I can still get my last fill.

I wouldn't be surprised if this week is down, or flat, and we drift a bit further down before the market rallies. But who knows, will watch and wait. I just want to survive long enough to exploit my edge .


----------



## qldfrog

And resell some TP stocks


----------



## Warr87

My final sell didn't get filled. I lowered it and I will check it during the day to see where it's at. I wont lose much by the adjustment I have made.


----------



## qldfrog

Not playing the smartass but i invite you to reflect on the following


Warr87 said:


> I wont lose much by the adjustment I have made



You made the adjustment and based on this will not lose much.i think it is fundamentally a wrong mindset
The market is in charge not you.
If I say, i put a sell on my bhp at $200 a share and will make a nice profit, how would you react?
Share could open down 20pc tomorrow.. who knows ..not me!!
I hope you understand my point
And hopefully your sell will be activated


----------



## Warr87

*Week 6*

Buy: none (index filter)
Sell: WJA, AVZ, ADH, JLG (all index SL)

Index down -3.4% this week. To put it in context, the XAO ws 7121 the first week I started and is now 6287 (-13.27%).

Index filter remains on as the XAO went down again this week. It seems I chose one of the worst times to start my system as I started a few weeks before this crash has happened (just enough time to get a full 20 positions). This will bring my consecutive loss right up, and further expand my draw down. At the moment I only have 3 positions that have survived the down market and my tightened SL. Hopefully they wont get stopped out next week.

Psychologically: I was able to shake off last week, but the further down trend is certainly shaking my confidence as I see my money disappearing not long after I put it in. I will keep trading. The fact I am going to have more consecutive losses than my system tested for is not good. However, I don't know of many systems that would have been able to predict the current market downtrend. At least I know with my market filter I wont be opening any more positions and will be there to take advantage of any momentum after this downtrend is over. While my MAP strategy is a trend following strategy, it does do well in slightly sideways markets, so at least I know after this downward trend I should be ok. Hopefully my first year wont be a negative year.


----------



## Warr87

Only 1 position got a sell. Like last week, I will keep my orders in and if they aren't filled by Wednesday I will chase.

It's sad to see the markets driving down again today. It's also sad to see my account balance, especially given I have added money to it. Hopefully in 6 months I will look back and laugh at my draw down and look at how far I came up since then. Even in my 2011 backtest prompted by @Skate, my system works.

I keep soldiering on.

In other news, I have been paper trading using pepperstone demo account using d1 candles. Was in a 12% draw down but now, I'm at +20% or so. I was short some crypto, and long a few majors in FX. Few of my positions are up 300-500 pips each. I was just paper trading a 5/10 EMA crossover with an ADX filter. Still not sure its a good system, but I wanted something that I could spend 15mins at the end of each day on. This market has given a number of people plenty of opportunities, particularly in some FX pairs.

I was also looking at full automation options on the weekend. Theres a few options out there.


----------



## Warr87

Ran a backtest on the previous 6 bars to compare to my results. Backtest yielded -21%. I'd have to double check my results but it would be similar. Just another test to make sure my system is behaving correctly. Why is this important? Got to follow the system. Backtest and paper trading matched with my forward testing. Backtest and live results match. Conclusion, my system will work and I will recover.


----------



## Warr87

I had to go chasing my sell orders today. Lost a little to slippage but not much I can do. Hoping the price rallys to get my fill may not be the best option. Micro managing positions may work to squeeze a little out but not worth it in the long run (I see it as a form of meddling with the system).

I had to fix my excel sheet as I had a few things not quiet right. I got it done yesterday and got a proper look at my draw down. Sitting at -17.5%. Will have to update with the new orders being sold. I will leave that for the weeks end review. Look at the almost instant loss off my portfolio from my system start is killing me psychologically. People have survived worse. I'm sure others on here have also suffered close to my -17% DD. 

Question for those that follow my thread: Any recommendations on automating trading? I am looking at AlgoTrader that has an interface to IB. Still waiting on prices from them. This is not something I will be doing straight away, but I have always maintained I want to move into a fully automated setup eventually. This would be more to start in a couple of years, but by the time I find something, test it, paper trade to look for bugs, then I would go live (so a lengthy development process). 

FYI, I had a look and it appears it doesn't cost too much to pay for a programmer to help with an IB python script to interface with the native API.


----------



## qldfrog

Warr87 said:


> I had to go chasing my sell orders today. Lost a little to slippage but not much I can do. Hoping the price rallys to get my fill may not be the best option. Micro managing positions may work to squeeze a little out but not worth it in the long run (I see it as a form of meddling with the system).
> 
> I had to fix my excel sheet as I had a few things not quiet right. I got it done yesterday and got a proper look at my draw down. Sitting at -17.5%. Will have to update with the new orders being sold. I will leave that for the weeks end review. Look at the almost instant loss off my portfolio from my system start is killing me psychologically. People have survived worse. I'm sure others on here have also suffered close to my -17% DD.
> 
> Question for those that follow my thread: Any recommendations on automating trading? I am looking at AlgoTrader that has an interface to IB. Still waiting on prices from them. This is not something I will be doing straight away, but I have always maintained I want to move into a fully automated setup eventually. This would be more to start in a couple of years, but by the time I find something, test it, paper trade to look for bugs, then I would go live (so a lengthy development process).
> 
> FYI, I had a look and it appears it doesn't cost too much to pay for a programmer to help with an IB python script to interface with the native API.



about DD I am seeing money hemorrhaging on both of my systems, I should have exited when I decided to wind down system2, 
but instead, I wanted to let the winners run..after all, I have nearly 6 months of already running "selection"...wellllllll that was maybe a reasonable choice but not in hindsight
If it helps yes you are not the only one in DD


----------



## Warr87

I think anyone would have done that. It makes sense to let the winners run until they triggered a sell. 

Haha, yea. A few would be in a DD. I think what caught most people was the suddenness of the drop in the market. I have heard of some people who have started trading just before the '87 crash, or the 2008 GFC. Those who survive and learned have done well. Let's hope the same situation happens here lol.


----------



## InsvestoBoy

Just keep chugging.

Long only equities systems are always going to eat it in an environment like this.

The return of classes of trading strategies has a lot to do with how many people are chasing the same returns. If a lot of participants are running momentum or trend following systems, the returns are pretty much guaranteed to be lower as they all chase the same relative strength or breakouts or whatever.

The plus for you if you keep chugging is a lot of traders get washed out or give up, so you have to compete with fewer people for the same breakouts.

Plus, I bet you, if you buy the breakouts that start when the market stops going down, they will be long term winners. The one I always think of is Apple and Amazon. In Sep 2009, just 6 months after the SPX bottomed, they were already breaking 2007 highs.


----------



## Warr87

Thanks @InsvestoBoy . You will be right I think. Right now I am thinking about my position size shrinking meaning my returns will be lower when things kick off. But this wont be unique to me. And good point about the competition being shaken out. Some of my best winners in back testing were held for a very long time as well.

At least I haven't started my SMSF yet. That would have made me very sad if I had started that at the same time as this strategy lol.


----------



## myrtie100

My drawdown is 18% and that's not including this weeks drop, I'm not looking forward to updating the spreadsheet tomorrow.

Fortunately, I was lucky to have started my weekly trend following system in Dec 2018. I didn't go backwards much, until I went forwards.

I really feel for you Warr87, what a sh*t time to start 

The trick is to keep your emotions in check, don't freak out and follow your plan - which you seem to be doing 

A fully automated system would definately make times like these a bit easier.


----------



## Warr87

yea I never got an opportunity to get forward a little bit. Got a full 20 positions then market went down haha.

I will keep following. I was alright the first week but it is definitely getting harder. Trying to keep the emotions in check. This thread helps, and I keep this here in the hope others find it helpful too to see the psychological side of trading.

I have always wanted a fully automated system. You still have to wait it. But once I start running more than 1 system, an automated setup will make it more feasible. I don't see a lot of info from aussie sites on how to go the fully automated route.


----------



## Newt

We're fortunate to have a decent "brotherhood" of regularly posting system traders in recent years on ASF.  It certainly helps psychologically being able to benchmark both good and bad times against others here.  

I'm still more confident than ever that the last few years have laid solid foundations for long term trading returns.  2020 is certainly evidence that "trading consistency" is an extremely tricky concept to pin down.  You're biggest DD is always potentially just around the corner, and risk management has to be set accordingly.  Back to the paperwork and records - still writing up all the trades in recent weeks for the records.....


----------



## Warr87

I think the recent DD would be hard if I didn't have others here who are more experienced and going through the same.

Consistency this year will be a tricky thing. Could be large potential once this DD is over. Could also be known as a big bear year for the market too.


----------



## Warr87

For those that were interested, I got a response from AlgoTrader. The price they quoted me was, in my opinion, an enormous amount (particularly for someone operating at 100,000USD and under). I wouldn't consider the price of their software until I had at least 500,000. While their software does look good, you could probably stick together something with freely available python testing engines. I have also found traders/programmers who have experience with the IB API, so something purpose built can be done relatively cheap for automation.

I will probably do a system update tomorrow.


----------



## Warr87

*Week 7*
Buy: None (index filter)
Sell: MAH, APD (both due to index filter SL)

System at -20.81% compared to XAO which is now at -27.39%. Officially beating the index i guess 

I was looking at my excel sheet and saw QMS but couldn't find it in my shares account. After some back and forth and a lot of confusion, I googled it and saw that QMS was delisted. Will have to double check what the payout I got for holding it.

I ran my system but before I even double checked what sell orders I had, I saw that my SL's had triggered anyway. This was another massacre for the XAO as it lost 11.1%. It certainly has been a great fall. Thankfully my index filter has had me leaving my positions. While the market is down, and so are many markets around the world, there are some currencies that are doing very well right now. My demo account with Pepperstone is doing amazing right now.





With fewer positions in the market I wasn't hit as hard as the overall market went down. I think this is true for a number of people on here who already had their positions sold off. As the market continues to move down those of us who are already out will be preserving our capital.

I also bought the book, "The Ultimate Algorithmic Trading System Toolbox" by George Pruitt. I wanted to buy it for a while. Looking forward to getting through this book!


----------



## Warr87

I got an email around lunch saying that my order had been placed in the market. It is concerning considering I placed this order on the weekend. The lag was unexpected.

In other news, if you are trading currencies right now, you should be having a good time. I have been trying to run a daily (d1) system on a pepperstone demo account. Started with $10,000. I tried a simple 5/10 EMA crossover with ADX to confirm. It was generally speaking, losing me money. I got down to $8800. But I also caught a couple of the big trends going right now.

USDCAD - long - +570pips
EURUSD - long - +290pips
AUDUSD - short - +350pips
Dash - short (5 contracts) - +600pips
Litecoin - short (8 contracts - +300pips

This brings my experiment to +$4800 while sitting on $9150. Believe it or not, I'm still not 100% with this system I was trying. I wish I knew how to code in C so I could actually backtest this idea and not do it as a discretionary trade. What I also learned from this is that I am not good at position sizing. I have the $10,000 account and at first was just using $10,000 for a trade but then quickly went to $50,000 per position. I lost money in the beginning as the winners were small position sizes while I lost a few at the bigger positions. Not really sure what the optimum position size would be. Even at this $50,000 size per contract the current gains are great. From -12% to what will likely be +50% is obviously good.

What I wish I had was some more knowledge in C to confirm this system with backtesting. Current market will make someone money as it is a strong and confirmed trend. Likely winnings is more due to luck.

If any more experienced currency traders have something to add, that'd be great!


----------



## Warr87

Also, "The Ultimate Algorithmic Trading System Toolbox" by George Pruitt is turning out to be a great book for anyone wanting to be a system developer. He even provides code that you can use to run systems in Excel if you dont want to pay for Amibroker. I'm up to the section on Python.

Highly recommended thus far.


----------



## Nina4

Thanks for the recommendation.

I'm going to have plenty of free time so this may help keep me occupied. 
Do the provided examples and ideas presented lend themselves to being coded in Amibroker?
I'm very comfortable coding if there is no ambiguity in the concepts contained in the book.
Everything can be coded IF the concepts are well presented.

I'm always trying to improve my edge.
Thanks.


----------



## Warr87

He gives examples of Amibroker, EasyLanguage and Python. I haven't got to the appendicies yet but it contains examples. He explicitly says that Amibroker is learnt best by looking at examples. If you know how to code you will be well ahead of most.

Are you after system design books, coding for system testing, or books for ideas? I am a book worm so I tend to do reading when I can.


----------



## Nina4

I have collected a good library over the years and was not looking for more but my interpretation of your positive comments about the book piqued my interest.
I'll check it out when I get home.
Thanks.


----------



## Warr87

It cost me $70 on kindle. It's a little more than I usually spend but for a beginner I thought it was good. I also got some out of it too.

It probably is more skewed towards examples for VBA/Excel and Python. Even includes monto carlo python code in the appendix. But I do like the detail it goes into AB and its optimization.

Don't want to steer you wrong. Even though I am more experienced than some, I found it a good addition to my library.


----------



## Nina4

Thanks for the honest reply.
For the business we're in $70 is nothing.
Education is everything and I look forward to checking it out. Love learning.
Thank you.


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## Warr87

I agree. $70 isn't much but when I can breeze through a book in a few days I found myself spending too much money on books. I try and pace myself these days with my spending. But I'd rather give up $200 in books in tuition then run a sub-par system and hemorrhage money in the market.

I'm not sure if you have listened to them before, but I found the podcast 'Chat with Traders' to be good. From my reading and those podcasts, I got a few ideas. I now have a few systems that backtest great. As my coding skills increase I find it easier to test those ideas in AB.


----------



## Warr87

*Week 8/9*

Buy: None (index filter)
Sell: last positions finally sold

I found that these last few shares (3 positions) were hard to get rid of. WJA was in the market for a couple of weeks and I saw no volume. It just sat there. Finally got a sale last week. The other 2 positions were quiet difficult. I can't get away from work to adjust my positions so I would have to check when I could and adjusted down. I probably could have been more agressive and perhaps was trying to recover more of my money. I lost quiet a bit on these ones too. Overall I have done good with getting fills but the last week or 2 have made me wonder if there is improvement to be made. At times the way I go about it has given me better fills. Hard to compare I guess. Falling market and small liquidity. Never good for anyone.

In total I have lost 23.31%. This is obviously disappointing though still within my maxDD. It could have been worse as well since each position represents 2% risk and I had 20 positions.

This weeks XAO and XAOA candles are interesting. There has been some buying pressure keeping a further freefall from continuing. Whether this is sustained, who knows. I wouldn't be surprised if it was another month, maybe 2, before I start getting buy signals. I am also confident that I can break even this year. Perhaps a tall order given where I am, but I have faith in my system.

I am also keeping things in context. I still have a job. I have known a lot, and it seems to be the norm, for people to be losing there jobs right now. Losing some money in the share market is perhaps not the greatest concern. I certainly feel for retirees and those who have lost their jobs. I'm glad I don't find myself in that position, and I am certainly lucky for that! I hope things improve for people soon!





In other news, I haven't altered my plans for creating a SMSF to run a system on. Though which system I run, I'm not sure. I have a number of working algo's and given all the algo's I have paper traded have done better than my backtests, I am confident in my algo's performing the way they should. Any created SMSF will likely be in the new financial year.


----------



## Warr87

Advice wanted. The following is a sample of my current systems.

Initial account size: $100,000
Positions: 20
Period: 1/1/2012 to 1/1/2017

*Modified CAM (Daily)*









*EMA ADX Weekly*







*CAM Modified (Weekly)*







*SuperTrend *


----------



## Warr87

*MAP*


----------



## Warr87

Plan is to run a system in a SMSF. So far I'm edging towards the Weekly EMA. I'm wondering if I run the MAP strategy if there will be too much correlation to my current MAP strat.

Will also diversify the SMSF with ETF's but in the beginning will rely on whatever system I start on.


----------



## Warr87

*Week 10:*

Index filter still on. Personally I am happy about that as my worry is that there will be a bit of a whipasaw when the market rebounds. I could be wrong as I don't have a crystal ball, but I'm not sold on the fact we are at the bottom of this cycle. My MAP system does ok in a sideways market, so hears hoping we can at least get that going at some point.

On another note, hoping to look at Ernie Chan's books soon when I get some time.


----------



## qldfrog

Warr87 said:


> *Week 10:*
> 
> Index filter still on. Personally I am happy about that as my worry is that there will be a bit of a whipasaw when the market rebounds. I could be wrong as I don't have a crystal ball, but I'm not sold on the fact we are at the bottom of this cycle. My MAP system does ok in a sideways market, so hears hoping we can at least get that going at some point.
> 
> On another note, hoping to look at Ernie Chan's books soon when I get some time.



A general point coming from an ill informed person BUT
I notice you run and compare your backtest on fairly old data
Still worthwhile but 8 years ago, you had few ai systems, more discretionary system, less O/S funds.far less money invested by super and far less "free money"
Do you not question the value of backtests on these relatively old data.
None of these would be anywhere like current instability and all data was in a bull market
Good to compare in specific markets but maybe the wrong data to use and decide to trade tomorrow.i have the deep feelings system should match a time, will become obsolete and one risk is to become complacent and not renew/ reoptimise year after year


----------



## qldfrog

Warr87 said:


> *Week 10:*
> 
> Index filter still on. Personally I am happy about that as my worry is that there will be a bit of a whipasaw when the market rebounds. I could be wrong as I don't have a crystal ball, but I'm not sold on the fact we are at the bottom of this cycle. My MAP system does ok in a sideways market, so hears hoping we can at least get that going at some point.
> 
> On another note, hoping to look at Ernie Chan's books soon when I get some time.



A general point coming from an ill informed person..i mean me
 BUT
I notice you run and compare your backtest on fairly old data
Still worthwhile but 8 years ago, you had few AI systems, more discretionary system, less O/S funds.far less money invested by super and far less "free money"
Do you not question the value of backtests on these relatively old data?
None of these would be anywhere like current instability and all data was in a bull market
Good to compare in specific markets but maybe the wrong data to use and decide to trade tomorrow.i have the deep feeling system should match a time, will become obsolete and one risk is to become complacent and not renew/ reoptimise year after year


----------



## Warr87

I run all backtests against a variety of time periods. I use older data to look for a robustness and to make sure that my system has been curve fitted for more recent data. And since I want to run my systems for 2 years minimum, I also think its necessary to run it against that size of minimum data (if not longer). I will also vary the date I start so I'm not having my system being successful based off a few lucky trades.


----------



## qldfrog

And sorry for double entry..seems like phone was playing up
Did not meant enforce point x2
Just make sure you also play your backtests against the few recent periods is all i can suggest


----------



## qldfrog

And good point on different start dates less than 30d difference at start of last year made a great difference.above 10pc


----------



## Warr87

qldfrog said:


> Just make sure you also play your backtests against the few recent periods is all i can suggest




I agree. I prefer to run my systems against various dates in the past before I use the last 2 years, though. If my backtest for recent data doesn't match historical data then I also know there is a problem. I personally find evaluating systems on recent data only to be unreliable.

Each to their own, though. So far my systems have matched up to their backtested results.


----------



## peter2

The different portfolio performances you've noticed due to different start dates is due to luck. It's just luck that sees the system buy at the start of what turns out to be a great trend. Start later and the system misses the perfect entry. A system with multiple entry strategies will produce subsequent signals to get into this trend. This is a significant factor in the performance of @Skate 's systems. 

All systematic traders need to be aware of the significance of luck when they start. System traders that started their long equity systems in Feb20 got slammed. Just unlucky. When they get the signal to resume buying they'll rely on luck at the start. 

System traders have the idea that when the system says go they buy as many of their buy signals as possible even if it means being fully invested quickly. If they want to reduce they effect of luck on their performances then they need to plan for it. The easiest way to reduce the dependence of luck is to stagger the starts.


----------



## qldfrog

peter2 said:


> The different portfolio performances you've noticed due to different start dates is due to luck. It's just luck that sees the system buy at the start of what turns out to be a great trend. Start later and the system misses the perfect entry. A system with multiple entry strategies will produce subsequent signals to get into this trend. This is a significant factor in the performance of @Skate 's systems.
> 
> All systematic traders need to be aware of the significance of luck when they start. System traders that started their long equity systems in Feb20 got slammed. Just unlucky. When they get the signal to resume buying they'll rely on luck at the start.
> 
> System traders have the idea that when the system says go they buy as many of their buy signals as possible even if it means being fully invested quickly. If they want to reduce they effect of luck on their performances then they need to plan for it. The easiest way to reduce the dependence of luck is to stagger the starts.



One other way is for the signal used to enter to be a cross more than a more than ,less  than....
I hope what i mean is clear

Enters will be slower..that killed me in early 2019....


----------



## Warr87

peter2 said:


> The different portfolio performances you've noticed due to different start dates is due to luck. It's just luck that sees the system buy at the start of what turns out to be a great trend. Start later and the system misses the perfect entry. A system with multiple entry strategies will produce subsequent signals to get into this trend. This is a significant factor in the performance of @Skate 's systems.
> 
> All systematic traders need to be aware of the significance of luck when they start. System traders that started their long equity systems in Feb20 got slammed. Just unlucky. When they get the signal to resume buying they'll rely on luck at the start.
> 
> System traders have the idea that when the system says go they buy as many of their buy signals as possible even if it means being fully invested quickly. If they want to reduce they effect of luck on their performances then they need to plan for it. The easiest way to reduce the dependence of luck is to stagger the starts.




Definitely agree. I started my system 30 Jan. Simply bad luck. Nothing I can do as wondering when the best time to start ... well no one knows, only in hindsight.

I also thought about restricting buy signals to a maximum per week. This was an idea a while ago. It would have saved money in the current crisis, though one has to wonder how many great trends you would also miss if you staggered them.

When peoples index filters turn back on, everyone is going to be bombarded with numerous buy signals. Will be interesting to see how that unfolds.


----------



## willoneau

Warr87 said:


> I got an email around lunch saying that my order had been placed in the market. It is concerning considering I placed this order on the weekend. The lag was unexpected.
> 
> In other news, if you are trading currencies right now, you should be having a good time. I have been trying to run a daily (d1) system on a pepperstone demo account. Started with $10,000. I tried a simple 5/10 EMA crossover with ADX to confirm. It was generally speaking, losing me money. I got down to $8800. But I also caught a couple of the big trends going right now.
> 
> USDCAD - long - +570pips
> EURUSD - long - +290pips
> AUDUSD - short - +350pips
> Dash - short (5 contracts) - +600pips
> Litecoin - short (8 contracts - +300pips
> 
> This brings my experiment to +$4800 while sitting on $9150. Believe it or not, I'm still not 100% with this system I was trying. I wish I knew how to code in C so I could actually backtest this idea and not do it as a discretionary trade. What I also learned from this is that I am not good at position sizing. I have the $10,000 account and at first was just using $10,000 for a trade but then quickly went to $50,000 per position. I lost money in the beginning as the winners were small position sizes while I lost a few at the bigger positions. Not really sure what the optimum position size would be. Even at this $50,000 size per contract the current gains are great. From -12% to what will likely be +50% is obviously good.
> 
> What I wish I had was some more knowledge in C to confirm this system with backtesting. Current market will make someone money as it is a strong and confirmed trend. Likely winnings is more due to luck.
> 
> If any more experienced currency traders have something to add, that'd be great!




Try using the ATR for determining position size.
I also use it to determine initial stop position.


----------



## Warr87

willoneau said:


> Try using the ATR for determining position size.
> I also use it to determine initial stop position.




You use ATR for position size for FX? Do you find any particular range to be useful?


----------



## willoneau

I use standard settings just need to decide which time frame you use both for ATR and entries.


----------



## willoneau

I am in a similar boat as you as I traded FX live awhile ago without much success. But have recently gotten back involved, only demo at moment but this time using ATR for position sizing and stop.
Got the idea from Nonosense FX.
Working on a discretionary system and looking at going live when I am able to double my Capital in the Demo account if I can at all.
Also it gives me something to do while my Stock system waits.
I also like the idea that it is recession proof.


----------



## Warr87

Mine is discretionary leaning at the moment. I want something more systematized and mechanical, but cTrader requires C programming. If I could get some data into something I am comfortable programming with I could at least develop some beginning systems. Something for me to work on when I have a little more time. In the mean time I'll continue doing what I am doing to get some bearings about what I am doing. I want some FX trading for diversification and the fact that it is scalable. I'm in no rush. (It would, however, be good given that since equities is on the downtrend, FX could provide a different avenue for some trading especially given the strong trends in the various dollars.)


----------



## Warr87

Index is still down, therefore still no trading.

I was happy to be out, and now I'm feeling eager to get back in.


----------



## Warr87

*Week 11/12/13*


----------



## Warr87

*Week 14*

Index still down. That makes 10 weeks in a row for me.


----------



## Warr87

Current ideas and thoughts going forward.

Tempted to buy Radge's large cap momentum strategy (it is monthly) and run it as part of my SMSF when I get that up (will likely be in the new financial year). Will obviously modify it for my own means. Why buy this if I already have a number of systems, some of them monthly too? His system is proven (at least to some degree) and I will make it my own.

In my quest to find a mean-reversion strategy to compliment a trend strategy, I decided to create a daily pullback strategy. They are not the same, but I can't get any MR strategy to work on the ASX. It tests alright. This leads me to an open question: 1) is there a way to compare the correlation of your systems with AB? 2) Compare equity of more than 1 system (I'd like to see how my equity would go if, say, I put $100,000 into the monthly momentum strat and $50,000 into the Pull-back strat)?


----------



## Lone Wolf

Warr87 said:


> This leads me to an open question: 1) is there a way to compare the correlation of your systems with AB? 2) Compare equity of more than 1 system (I'd like to see how my equity would go if, say, I put $100,000 into the monthly momentum strat and $50,000 into the Pull-back strat)?




The website below has a tutorial on it: 
https://decodingmarkets.com/combine-equity-curves-in-amibroker/


----------



## Warr87

The first option (using AB composite codes) just wouldn't work. I ended up going the excel route and modified it a little. I got the following the work:




I could save the composite codes but the 'buy and hold' part with the 2 tickers just wouldn't work. Followed all the steps but would only buy 1, not 2. Frustrating but what I got at the end was ok.


----------



## Warr87

Not 100% that I did this correctly. The fact that I have 1 as a daily system and the other is weekly probably means I have screwed up something. However, As you can see the maxDD goes down when you include both systems at once.


----------



## Warr87

There were a few mistakes in the above charts but nothing major. I figured out how to get the values in a weekly format even if it's a daily system.

And some more metrics in excel:


----------



## Warr87

My returns are correlated, but my drawdown isn't.


----------



## Warr87

More analytics:




ST = SuperTrend

My pullback system has the least correlation to other systems with DD. All returns are highly correlated (they are all long only systems, though the level of correlation is still higher than I would have liked). Conclusion, they will gain around the same time though the DD appears to be at different times.


----------



## Warr87

Index is up and I have 6 buy signals. Orders placed. What a good feeling.

Fingers are crossed that no whipasaw is coming.

I am also making headway with putting a strat into python. I will post some info later on this, and my buys.


----------



## Trav.

Warr87 said:


> Index is up



@Warr87 I was wondering what index filter you settled on?

eg

1 - XAO for the entire system - daily, weekly or monthly for your system

or 

2 - The selected stocks relevant sector index ie EHE - Estia Health Limited - Health Care - Sector XHJ - daily, weekly or monthly for your system

Cheers


----------



## Warr87

The All Ords closing above a moving average. (weekly)

The stocks that came up are mostly metals. At the moment I don't have a sector filter (and i'm not sure how to implement one too).


----------



## Newt

Warr87 said:


> Index is up and I have 6 buy signals. Orders placed. What a good feeling.
> 
> Fingers are crossed that no whipasaw is coming.
> 
> I am also making headway with putting a strat into python. I will post some info later on this, and my buys.




Be interested to hear how you go with Python Warr87.  Some time ago I started on the excellent book "Trading Evolved:  Anyone can Build Killer Trading Stategies in Python" (Andreas Clenow).  

I'm yet to be convinced that Python is "better" than Amibroker, but hoping different tools and different approaches might suggest new creative and profitable directions.  If nothing else may open my eyes to other systems/code that people share.

Anything shared by Clenow is usually excellent, so seemed a good place to start the Python journey. 

https://www.amazon.com.au/Trading-Evolved-Anyone-Killer-Strategies-ebook/dp/B07VDLX55H


----------



## Warr87

I love that book. It happens to be one of first I read. I bought his others after I read that one.

Python is versitile. But one of the benefits is the ability to automate. It is also better when it comes to wider data analysis. Amibroker is great but it can't do a lot of indepth analysis like some quant python builds, nor can Amibroker do a wider portfolio analysis. Ambroker also lacks the API for completely automated trading which I eventually want to build to.


----------



## Trav.

Warr87 said:


> At the moment I don't have a sector filter (and i'm not sure how to implement one too).




You can use the following to play with when you have time and it will be interesting to see any change in your backtest results.



		Code:
	

_SECTION_BEGIN("ASX200 Sector ID");
{
// Map the sector ID for this symbol to an index that represents the sector

SectorIndexID = sectorID( ); // 1 Retrieves current stock sector name, 0 retrieves number
 

switch(SectorIndexID)
{
    case 1: tkSector200 = "$XEJ"; break;        // ASX 200 Energy
    case 2: tkSector200 = "$XMJ"; break;        // ASX 200 Materials
    case 3: tkSector200 = "$XNJ"; break;        // Industrials
    case 4: tkSector200 = "$XDJ"; break;        // Consumer Discretionary
    case 5: tkSector200 = "$XSJ"; break;        // Consumer Staples
    case 6: tkSector200 = "$XHJ"; break;        // Health Care
    case 7: tkSector200 = "$XFJ"; break;        // Financials
    case 8: tkSector200 = "$XIJ"; break;        // Information Technology
    case 9: tkSector200 = "$XTJ"; break;        // Communication Services
    case 10: tkSector200 = "$XUJ"; break;        // Utilities
    case 11: tkSector200 = "$XRJ"; break;        // Real Estate
    default: tkSector200 = "$XAO"; break;
}

SectorIndex = Foreign(tkSector200,"C"); // Brings in sector index name XEJ, XMJ etc

/*
SectorIndexImported = ****** add your Filter test here *****;
*/

_SECTION_END();
}


----------



## Warr87

Nice! Thanks. I'll give it a go.


----------



## Warr87

Oh, I also forgot one thing from above with python. It's relatively easier to do machine learning in python too, making strategy research and exploration easy.

I realise not everyone wants to run multiple strategies that are automated, or run ML on financial data, but for those who are interested AB won't cut it.


----------



## Skate

Warr87 said:


> Oh, I also forgot one thing from above with python. It's relatively easier to do machine learning in python too, making strategy research and exploration easy. I realise not everyone wants to run multiple strategies that are automated, or run ML on financial data, but for those who are interested AB won't cut it.




@Warr87 I wish to make a few comments for others reading the banter between you & @Newt about Python & AI.

*Technical analysis*
For a start technical analysis isn’t becoming obsolete for the average punter & Amibroker is not obsolete when compared to advancement in technology. Amibroker uses a “Decision Tree process” to find signals whereas AI uses the "Machine Learning process" to find signals. Trading is not an exact science but a mathematics game, a game of probabilities & not percentages. AI is great at finding static positions (see definition below) whereas the market are very fluid driven by rational people making irrational decisions & that's why there isn't mass take up at present. A supercomputer using AI would have no idea what my the next word is going to be let alone what I am thinking.

*Systematic trading*
Let's compare - A Trading strategy that uses a “Decision Tree process” finds conditions that have been pre-programmed into code, whereas AI find conditions then goes about looking for the reason that preceded that condition. (Simple difference but it's more than that)

*AI advancements in medical research *
"AI" is a godsend in medical research, it's the equivalent of a medical breakthrough for that industry.

*Definition*
Static positions for example can be a cancer cell or comparing genomes. Fluid position are constantly changing (decisions made by emotions)

*Quoting Dr Howard Bandy*
_“The business of trading is changing with astonishing speed. It is now about applied mathematics, machine learning, Bayesian statistics. Traders without skills in math, programming, statistical analysis, and scientifically developed trading techniques are at a severe disadvantage"_

*Quoting Dr Tomasz Janeczko *(Founder of Amibroker)
_“In my opinion throwing more languages (like Python) into the mix just makes things harder, not easier, and is not really necessary as everything is doable within AmiBroker itself, but Howard Bandy and others have other opinion. People have tendency to think in terms "more = better". But the truth is that in programming less is more. And less is better. So don't add complexity when it is not needed”_

*Summary*
Traditional trading system platforms as AmiBroker, TradeStation & NinjaTrader uses a decision tree model. AmiBroker, TradeStation & NinjaTrader the traditional platforms apply an indicator, then see what happens whereas Machine learning such Python identifies something important then see what came before it.

Skate.


----------



## Warr87

If AB came with a server client that could run in the background and run auto tasks like running your AFL code, then submitting such code to your broker for auto execution, then you are right AB would be all that you need. I love AB and it is very powerful but can't do everything.


----------



## Warr87

*Week 15*
Buy: MLX,WAF,RMS,PDN,PPH
Sell: none

5 positions, with 1 more in the market.

Index is up. 6 orders were placed, 5 have already been filled.

MSB remains open. I'm puzzled by this because there are plenty of buys and sellers in the market and yet nothing is being traded. I can't see any trading halts either. This isn't the first time this has happened.

Any ideas?





I have changed over to Norgate from Premium data. It was very easy and a seamless change. Looking forward to see how the python plugins work. In the meantime, AB has been setup to use Norgate.


----------



## Warr87

I just ran my code against my new Norgate database in AB. It only brought up 1 buy instead of the 6 it should have. Any ideas? I changed my ticker for index to $XAO.au as this is the new convention, but I'm not sure what else I may be missing.

Ideas?

@Skate


----------



## Skate

Warr87 said:


> I just ran my code against my new Norgate database in AB. It only brought up 1 buy instead of the 6 it should have. Any ideas? I changed my ticker for index to $XAO.au as this is the new convention, but I'm not sure what else I may be missing. Ideas? @Skate




@Warr87 check out thses ideas.

1. Make sure that "Pad & Align" has been selected.
2. Make sure the Index is selected ($XAO.au)




3. Make sure you have the correct data set select as they will be different to the previous format (make sure the suffix is displayed for your charts)




4. Make sure the Norgate Data Plug-in is selected for the Data source.




Hope this gets you out of trouble..

Skate.


----------



## peter2

MSB is in a trading halt until Wed 13th while waiting for news of an equity raising.


----------



## Warr87

Thanks Peter2. I noticed that after I had posted lol.

@Skate that didn't work. I did 'backtest' and that enters 6 positions so some how my explore code is now not correct. I will have to have a look at it later and see where I went wrong (or start again as its pretty sloppy).


----------



## Skate

Warr87 said:


> Thanks Peter2. I noticed that after I had posted lol.
> 
> @Skate that didn't work. I did 'backtest' and that enters 6 positions so some how my explore code is now not correct. I will have to have a look at it later and see where I went wrong (or start again as its pretty sloppy).




*Another quick check..*
Did you change the: SetForeign( "$XAO" ); as it needs to reflect the Index of the new format ( "$XAO" ) to ( "$XAO.au" )

*# Make sure your Index Filter reflect the the suffix.*

//--------------------- Index Filter ---------------------//

Change ----------->  SetForeign( "$XAO" ); -------------------> to ---------------> *SetForeign( "$XAO.au" );

NEXT*
Set the date from "1 Recent bar/ 1 recent date" to From-to-Date & have the start date 2 1/1/2020 & run explore. 

*IMPORTANT*
You shouldn't have trade signals for today.




Hope this helps...

Skate.


----------



## Trav.

Warr87 said:


> I did 'backtest' and that enters 6 positions so some how my explore code is now not correct.




Do you have a buy delay on the backtest? I am thinking that this might put your Backtest / Explore code out by the delay amount. I have seen this happen on a daily system, but not sure about your weekly setup.


----------



## Newt

Skate said:


> @Warr87 I wish to make a few comments for others reading the banter between you & @Newt about Python & AI.
> 
> *Technical analysis*
> For a start technical analysis isn’t becoming obsolete for the average punter & Amibroker is not obsolete when compared to advancement in technology. Amibroker uses a “Decision Tree process” to find signals whereas AI uses the "Machine Learning process" to find signals. Trading is not an exact science but a mathematics game, a game of probabilities & not percentages. AI is great at finding static positions (see definition below) whereas the market are very fluid driven by rational people making irrational decisions & that's why there isn't mass take up at present. A supercomputer using AI would have no idea what my the next word is going to be let alone what I am thinking.
> 
> *Systematic trading*
> Let's compare - A Trading strategy that uses a “Decision Tree process” finds conditions that have been pre-programmed into code, whereas AI find conditions then goes about looking for the reason that preceded that condition. (Simple difference but it's more than that)
> 
> *AI advancements in medical research *
> "AI" is a godsend in medical research, it's the equivalent of a medical breakthrough for that industry.
> 
> *Definition*
> Static positions for example can be a cancer cell or comparing genomes. Fluid position are constantly changing (decisions made by emotions)
> 
> *Quoting Dr Howard Bandy*
> _“The business of trading is changing with astonishing speed. It is now about applied mathematics, machine learning, Bayesian statistics. Traders without skills in math, programming, statistical analysis, and scientifically developed trading techniques are at a severe disadvantage"_
> 
> *Quoting Dr Tomasz Janeczko *(Founder of Amibroker)
> _“In my opinion throwing more languages (like Python) into the mix just makes things harder, not easier, and is not really necessary as everything is doable within AmiBroker itself, but Howard Bandy and others have other opinion. People have tendency to think in terms "more = better". But the truth is that in programming less is more. And less is better. So don't add complexity when it is not needed”_
> 
> *Summary*
> Traditional trading system platforms as AmiBroker, TradeStation & NinjaTrader uses a decision tree model. AmiBroker, TradeStation & NinjaTrader the traditional platforms apply an indicator, then see what happens whereas Machine learning such Python identifies something important then see what came before it.
> 
> Skate.




Good points Skate.  As an amateur computer nerd, I can however always hide behind "hobby learning".  Getting my hands dirty with a bit of Python may or may not work out like like learning, BASIC, Visual Basic, VB.NET, VBA, 6502 machine language,  Arduino IDE and even a little C#.  Each was usually a very useful tool and for opening my eyes to some new computer hardware, and it was rare they didn't pay valuable dividends for some work or hobby project along the way.  

Too early to say if Python will be of any use with trading, but its increasing use as a data reduction tool in the sciences alone makes it a worthwhile thing to pursue.  And there might even be a bit of fun along the way.   Not planning to attempt any semi-sentient intraday algos anytime soon.....


----------



## Warr87

@Trav. @Skate 

Doing '1 recent bar' doesn't work, but if i put in 'from- to dates' it does.

I'm lost as to why lol.


----------



## Skate

Warr87 said:


> @Trav. @Skate
> 
> Doing '1 recent bar' doesn't work, but if i put in 'from- to dates' it does.
> 
> I'm lost as to why lol.




*1. Doing '1 recent bar' doesn't work* - "Because there are no signals for today" 

*2. 'from- to dates' it does *- "Because it looks back further than 1 day or 1 recent bar" - last signal is the 8/5/2020 that it picks up.

Skate.


----------



## Warr87

but if i'm in weekly, and do 1 recent bar, then it will use the last weekly bar friday.


----------



## Warr87

I also just noticed that my index filter is only on for some of the symbols which also makes no sense.

really wish i knew what was going on.


----------



## Warr87




----------



## Warr87

New mystery. What is explore showing the date 17/5/20 when the last bar is from 8/5/20? As you can see my buy signals from the last formed bar (friday, 8/5/20) is shown.


----------



## Trav.

It's hard to help without the code but

- Maybe an issue with the timeframeset for the index healthy - if it is used? If so maybe strip sytem back for simplicity
- Explore dates maybe looking into future - perhaps run code check and profile in AFL formula editor (real long shot here  )



Sorry I can't really help but maybe a couple of things to check / eliminate.


----------



## Lone Wolf

Warr87 said:


> I just ran my code against my new Norgate database in AB. It only brought up 1 buy instead of the 6 it should have. Any ideas? I changed my ticker for index to $XAO.au as this is the new convention, but I'm not sure what else I may be missing.
> 
> Ideas?
> 
> @Skate




Check that your filter is still on the appropriate watchlist.

On the old Premiumdata, were you running the maintenance script on a regular basis?
From the website:


> *What maintenance do I need to do each day/week?*
> Run the maintenance script (Tools > XXX-PremiumData) to pick up any code changes, name changes, new listings and delistings as well as changes to the index constituents and watchlists.
> As the majority of the database maintenance is done over the weekend, we recommend that the maintenance script is run every Monday (as a minimum).




Look at one of the codes you had a buy for that disappeared, go through each of the filters/buy criteria to make sure it passes each.

I find the interpretation window helpful to plot all your entry and exit criteria. Then you can step through the chart day by day and see what's stopping the trade from triggering.




		Code:
	

//Debug interpretation code
printf ("Filters:");
printf (StrFormat("\nXAO Index Constituent? = %g", NorgateIndexConstituentTimeSeries("$XAO") AND NOT OnLastTwoBarsOfDelistedSecurity));
printf (StrFormat("\nPriceRangeFilter = %g", priceRangeFilter ));
printf (StrFormat("\nVolumeFilter = %g", volumeFilter ));
printf (StrFormat("\nIndexFilter = %g", emaFilter ));

printf ("\n\nBuy Conditions:");
printf (StrFormat("\nBuy = %g", Buy) );
printf (StrFormat("\nBuyCond1 = Cross(H,Ref(HHV(H,10),-1)) ) = %g", Cross(H,Ref(HHV(H,10),-1)) ));

printf ("\n\nVariables:");
printf (StrFormat("\nH = %g", H) );
printf (StrFormat("\nHHV(H,10) = %g", HHV(H,10)) );


----------



## Lone Wolf

Warr87 said:


> I also just noticed that my index filter is only on for some of the symbols which also makes no sense.
> 
> really wish i knew what was going on.




It looks like some of the stocks are looking for a different index symbol to the rest. Are you using something smart in your code to determine the appropriate symbol for the index filer? For example, comparing each symbol against its relevant sector index?


----------



## qldfrog

Trav. said:


> It's hard to help without the code but
> 
> - Maybe an issue with the timeframeset for the index healthy - if it is used? If so maybe strip sytem back for simplicity
> - Explore dates maybe looking into future - perhaps run code check and profile in AFL formula editor (real long shot here  )
> View attachment 103392
> 
> 
> Sorry I can't really help but maybe a couple of things to check / eliminate.



what about the fill gap options


That could maybe affect some code differently?


----------



## Trav.

Warr87 said:


> The All Ords closing above a moving average. (weekly)
> 
> The stocks that came up are mostly metals. At the moment I don't have a sector filter (and i'm not sure how to implement one too).






Lone Wolf said:


> It looks like some of the stocks are looking for a different index symbol to the rest. Are you using something smart in your code to determine the appropriate symbol for the index filer? For example, comparing each symbol against its relevant sector index?




@Lone Wolf I questioned this the other day and @Warr87 was only using the XAO at the time, but I did provide some code to do as you say but I don't think @Warr87 is using this at the moment


----------



## Warr87

@Trav. 
Now I am really puzzled lol. I never had this come up while using the Premimum Data databased .... I don't even know what code would be future referencing.




@Lone Wolf I ran my maintenance script every friday before I did my update. And I did check the watchlist (i've made that mistake before).



> It looks like some of the stocks are looking for a different index symbol to the rest. Are you using something smart in your code to determine the appropriate symbol for the index filer? For example, comparing each symbol against its relevant sector index?




negative.




qldfrog said:


> what about the fill gap options
> View attachment 103394
> 
> That could maybe affect some code differently?



Done


----------



## Lone Wolf

I have no idea if this is relevant, but I came across this comment from someone on the amibroker forum who was having trouble with incorrect dates in his explore list.


> I have , I think , got to the bottom of my problem
> I wished to analyse the data on a weekly basis and had used the Function TimeFrameSet( inWeekly );
> I didn't understand that at the end of the first "Exploration Cycle " I had to do the function
> TimeFrameRestore ( inDaily);" with the consequence that the exploration continued to look back after each cycle.


----------



## Warr87

crisis averted. I recently put in a new line of code when testing the exploration: VolHist = Ref(V, 10);

Any "Ref(C, 2)" etc., is futuring looking. No future looking code was in my buy/sell coniditions (thank god).


----------



## Warr87

6th position now filled. MSB started trading (security issues) this morning.

On another update, I am getting frustrated getting my Norgate data to work into my python backtesters. It was even admitted by Clenow in his section on backtesting in python that the hardest part about python is intergrating the data feed at first which is usually because of the lack of documentation on how to implement it. He also noted that most of the systems available are mostly for US Equities so any non-US equities will present even more problems. Writing the strategies is relatively easy, and versatile once data is available.

Looking at Zipline and Backtrader as backtesting engines. Pyfolio for analysis.

Any advice from someone who has integrated Norgate data and Zipline or Backtrader would be greatly appreciated!


----------



## Warr87

*Week 16:*

Buy: 5 buy signals
Sell: None that I hold.

Moved a few stops up. Overall down another 0.5% but I'm very optimistic.


----------



## Warr87

I got filled on PPH, CAN, ELD, and AEF. I made a mistake as there were only 4 buys this week, not 5 (the 5th one I already held from last week).


----------



## Saqeeb

Warr87 said:


> *Week 15*
> Buy: MLX,WAF,RMS,PDN,PPH
> Sell: none
> 
> 5 positions, with 1 more in the market.
> 
> Index is up. 6 orders were placed, 5 have already been filled.
> 
> MSB remains open. I'm puzzled by this because there are plenty of buys and sellers in the market and yet nothing is being traded. I can't see any trading halts either. This isn't the first time this has happened.
> 
> Any ideas?
> 
> 
> View attachment 103364
> 
> 
> I have changed over to Norgate from Premium data. It was very easy and a seamless change. Looking forward to see how the python plugins work. In the meantime, AB has been setup to use Norgate.



@Warr87, you had PPH as a buy for last week. You also have this again for this week?


----------



## Warr87

I had RMS last week and this week. And PPH as well.

I just double checked and I now have 2 positions in PPH .... good pickup @Saqeeb . Looks like I've screwed up ...


----------



## Warr87

Sold second position. Thankfully not a loss though with commissions I certainly didn't come out on top.

Holding 2 positions in the same stock throws out my 2% capital rule for risk management.

I blame rushing to run my system and place orders on Friday between my work schedule. Have to be more careful.


----------



## qldfrog

Warr87 said:


> Sold second position. Thankfully not a loss though with commissions I certainly didn't come out on top.
> 
> Holding 2 positions in the same stock throws out my 2% capital rule for risk management.
> 
> I blame rushing to run my system and place orders on Friday between my work schedule. Have to be more careful.



Did similar today, 2 parcels of same size same price, only realised this evening when entering into spreadsheet..just pray for no unexpected collapse of that share before tomorrow


----------



## Warr87

*Week 17*
Buy: 3 signals  (Repeat signals: AEF, PPH, ELD)
Sell: None

9 open positions, 3 more to be added monday. Open PL of $338.

Stop losses raised. My portfolio made 1.41% this week (lost a bit today actually). A few of my positions are having another round of signals which I like to see (sustained signals in one direction is a good sign for me that they are strong).




Week to Week changes:


----------



## Warr87

got my fills, now hold positions:


----------



## Warr87

*Week 18:*
Buy: 4 new signals
Sell: None

I only have 4 new signals. The majority of the buy signals were for positions that I already hold! I gained +2.73% to my portfolio this week which is great. I know others have been able to taken advantage of even greater returns, but I am still happy with this. I don't know what happened Friday either as my system gained a significant amount on Friday alone (leaving me to close pretty strong in the week). 

My system is now at an overall -19.23% with the XAO at -21.27%. I don't seem to be able to capture all of the gains from the XAO/XAOA but moving in the right direction! When I'm fully invested I'm sure I will start to see even greater returns. Given how this year has gone, realistically I would be happy to be at 0% by the end of the year.

Open profits: $982
Weekly Gain: +2.73%
#POS: 12


----------



## Trav.

Warr87 said:


> The majority of the buy signals were for positions that I already hold!




Hey mate, I noticed that previously you confused yourself with receiving buy signals on stocks that you already own, and you mentioned above again as receiving more signals on stocks already bought.

So I am a little confused here as I would have thought that once you get a buy signal then it will require a sell to reset it, as per example below.

_Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);_​
So out of curiosity how are you generating these signal.

Keep up the good work !!

Cheers

Trav


----------



## Nina4

Warr87 said:


> The majority of the buy signals were for positions that I already hold!




I'm with Trav. A little confused.

Without knowing your system a simple check could be a simple addition to your Filter.

This assumes you keep your already purchased stocks in a Watchlist. ie Holding.

Filter = Filter AND !InWatchListName( "Holding" ); // Note the ! Not

Cheers.


----------



## qldfrog

Nina4 said:


> I'm with Trav. A little confused.
> 
> Without knowing your system a simple check could be a simple addition to your Filter.
> 
> This assumes you keep your already purchased stocks in a Watchlist. ie Holding.
> 
> Filter = Filter AND !InWatchListName( "Holding" ); // Note the ! Not
> 
> Cheers.



@Nina4 , respectfully I think the "right" way should be @trav _
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);_
otherwise you risk transferring the issue into the reliability of you "holding" watch list
my 2c..I am no expert the only reason I see not doing Trav's way would be to enable entry at all stage, not only the first instance


----------



## Nina4

qldfrog said:


> @Nina4 , respectfully I think the "right" way should be @trav
> _Buy = ExRem(Buy,Sell);
> Sell = ExRem(Sell,Buy);_
> otherwise you risk transferring the issue into the reliability of you "holding" watch list
> my 2c..I am no expert the only reason I see not doing Trav's way would be to enable entry at all stage, not only the first instance




The "Right" way is a loop.

We don't get to see Warr87's code.
Hence the "simple check"



qldfrog said:


> otherwise you risk transferring the issue into the reliability of you "holding" watch list




I'm not sure what you mean. Maintaining a Watchlist is such a trivial thing.

Again "a simple check". A bandaid.

Cheers.


----------



## Lone Wolf

One reason to do it as @Nina4 suggested is if running multiple systems. Assuming you don't want systems suggesting stocks you already hold in another system.



Nina4 said:


> I'm not sure what you mean. Maintaining a Watchlist is such a trivial thing.




He just means that if you can prevent the issue in code then it takes out the human error element. Trivial task or not, the risk of human error still exists.


----------



## Warr87

What do you mean? I explore for the previous 1 bar, so how would AB know what positions are held within my brokers account? I also never got the looping to work for the stale exit, so even if I did the Exploration back to when I started the system, it wouldn't do me any good anyway. I managed to implement the stale exit with the n-bar exit stop added in, but it wasn't quiet right or as good as the loop (when the loop is done right). Therefore I just have to manually do everything as I have no idea how to fix it with code and I was spending a huge amount of time getting nowhere (and incredibly frustrated as well).

Yes, human error does exist but as stated, I can't fix it with coding.

And thanks for the comments. The watchlist idea would be good for multiple systems as @Lone Wolf suggested.


----------



## qldfrog

@Warr87, still incredibly confused on why trav solution would not work.not sure i understand your problem, if it helps feel free to send me some code without your IP in the buy sell and i can try to help if you are not in a hurry.


----------



## Trav.

@Warr87 I feel your pain mate, it can be very frustrating and many hours spent researching only to get nowhere, but I suppose that is why we come to the forum to learn from others and move forward in out journey. 

I am no expert but enjoy learning and sharing what I have discovered so hopefully the below can be of use to you, if not just ignore it.

******

Just to clarify my comment above about ExRem I have included a couple of examples that will prevent multiple signals being displayed either in exploration or on the chart.

*1- Without the ExRem function*

- 4 signals generated over the last few months
- 3 consecutive signals having the potential for you to enter each time







*2 With ExRem function
*
- 2 signals generated over the same time period above
- NO consecutive buy signals shown as the ExRem function inhibits them being displayed







So hopefully that clarifies my comments on the ExRem and if not, please let me know.

Cheers


----------



## Warr87

Thanks mate. Appreciate it. That makes things clearer.

I'm also getting very frustrated over my python project as there is little documentation for things. Even Norgate's python API is no help as there is no real explanation on how to use my subscription with Zipline, lol.


----------



## Trav.

Warr87 said:


> I'm also getting very frustrated over my python project as there is little documentation for things. Even Norgate's python API is no help as there is no real explanation on how to use my subscription with Zipline, lol.




Well I had to google the above as I had no idea what you were talking about  I have enough trouble with AFL let alone python.

Good luck with it.


----------



## Warr87

Zipline is good but the presumption is for the US market. You have to do custom bundle integration for AUS stocks. I also sent an email to Norgate and they weren't too much help tbh. I need to, at some point, send them a more detailed email about it but it boils down to: I don't understand how to integrate the Norgate data into zipline and little to no information is there on how to do it (but a few snipets of code that are mostly replicas of the Zipline documentation).

Writing systems in python isn't too bad mate! I have found many examples and while it is a little more complicated than AFL, there are some python engines that probably make it even easier than AFL. Your coding abilities are better than mine so I'm sure you would be fine with python. The biggest hurdle is integration of data to use for backtesting.

There are also many models written in python for analysis of systems, such as pyfolio. Libraries for analysing alpha too. I may get there one day but I'm real tempted to hire a programmer. I was only going to do this for the IB API side of things but given I can't seem to get Norgate/Zipline to work I'm at my wits end.

(End rant haha)


----------



## Srao

Greeting Guys.

I am Sharing my portfolio. Any suggestions please, 

ALL  ARISTOCRAT LEISURE
ALU  ALTIUM LIMITED
ANZ  ANZ BANKING GRP LTD
APX  APPEN LIMITED
ASB  AUSTAL LIMITED
BHP  BHP GROUP LIMITED
BKW  BRICKWORKS LIMITED
BLD  BORAL LIMITED.
CCP  CREDIT CORP GROUP
CGF  CHALLENGER LIMITED
CMW  CROMWELL PROP
COH  COCHLEAR LIMITED
CWY  CLEANAWAY WASTE LTD
DXS  DEXUS
EML  EML PAYMENTS LTD
FPH  FISHER & PAYKEL H.
GTN  GTN LIMITED
ICE  ICETANA LIMITED
IEL  IDP EDUCATION LTD
IGL  IVEGROUP
IVV  ISHARES S&P 500 ETF
JHG  JANUS HENDERSON
KMD  KATHMANDU HOLD LTD
LYL  LYCOPODIUM LIMITED
MGX  MOUNT GIBSON IRON
MNY  MONEY3 CORPORATION
MQG  MACQUARIE GROUP LTD
MVF  MONASH IVF GROUP LTD
NDQ  BETASHARESNASDAQ100
NHC  NEW HOPE CORPORATION
NWH  NRW HOLDINGS LIMITED
OML  OOH!MEDIA LIMITED
OOO  BETASHARESCRUDEOIL
OSH  OIL SEARCH LTD
PNV  POLYNOVO LIMITED
QAN  QANTAS AIRWAYS
SCG  SCENTRE GRP
SSG  SHAVER SHOP GRP LTD
STO  SANTOS LTD
SWF  SELFWEALTH
SXL  STHN CROSS MEDIA
TNK  THINK CHILDCARE
VAS  VNGD AUS SHARES
VCX  VICINITY CENTRES
VDHG  VNGD DIV HIGH GROWTH
VTG  VITA GROUP LTD
WEB  WEBJET LIMITED
WOW  WOOLWORTHS GROUP LTD
XRF  XRF SCIENTIFIC

Best Regards..


----------



## qldfrog

what would python provide you over AFL?
Python is good for AI, image/shape processing and could have potential applications to add machine learning to systematic trading, no issue there but for the basic trends following, breakout detection etc, AB from a programmer point of view is really good and easy to use.
Unless you plan to do Machine learning or want to avoid paying a AB license, I do not really see the point to be honest, at least at this stage


----------



## Warr87

For me it is the automation that I intend on including. And if you run multiple systems and instruments, then its beneficial. If you only intend on doing one market and one instrument, probably not worth it. I also think the data analytics that can be run are more extensive in python, particularly since a lot of the python libraries for that are shared and opensource.

And I'm open to the idea of ML as well. Or at least I find it fascinating. There are a few good youtube clips and plenty of tutorials on doing basic ML with finance, which python is very good to use.


----------



## Warr87

3 out of 4 positions filled. The last position to be filled is a stock that gapped up (BGL). My positions remain active until Wednesday with a limit order, so time will tell if I eventually get my fill.


----------



## Warr87

Also, with the talk of python and Machine Learning (ML), I thought I'd provide a few links:

https://www.youtube.com/user/sentdex

http://sentdex.com/financial-analysis/asx/
https://pythonprogramming.net/

I have a few other youtube channels that I follow, but thought I'd share this one first. I find his tutorials pretty interesting and useful. I have also included his 2 websites. The sentdex website is based on some ML he does with natural language processing for sentiment. I know in some of his tutorials with quantopian he also uses that as a metric for finding alpha.


----------



## Warr87

BGL got filled this morning:

Now have 16 positions:


----------



## Warr87

*Week 19*

Buy: 3
Sell: None

Total openPL 0.7% (down from last week). As mentioned in another thread, I saw profits go up by wednesday and then evaporate thursday. From what I've seen some others have also lost some open profits this week. Rather strange given that the market itself did pretty well. A brief look at the charts for a number of my positions looks like a consolidation. I can only hope.

Bit of context, I guess: I'm almost up 1% after a month of resuming trading. 1% every month wouldn't be so bad (but obviously more would be needed to recover losses in March). 

I trade on.


----------



## Warr87

I only got 1 out of 3 fills. Unfortunately the 2 gapped up. I tend to get great fills, but even with the 3% premium I add to my limit order they had gapped up too much. Oh well.

Order filled: AYS
Orders missed: TZN, Z1P


----------



## willoneau

Are you using weekly system Warr87?
I also have AYS as a buy on my weekly but after being a large range bar will only buy if trades above high.


----------



## qldfrog

Warr87 said:


> I only got 1 out of 3 fills. Unfortunately the 2 gapped up. I tend to get great fills, but even with the 3% premium I add to my limit order they had gapped up too much. Oh well.
> 
> Order filled: AYS
> Orders missed: TZN, Z1P



if it is of any consolation exactly same positions and situation (in: ays, missed others) for one of my system on monday


----------



## willoneau

Do you close buy signal after Monday like Skate?


----------



## qldfrog

willoneau said:


> Do you close buy signal after Monday like Skate?



With indicator switching to bear, i made sure all buy orders were closed at the end of the day


----------



## Warr87

Yea still on the weekly system. And I have a feeling that my current issues are those shared with most people on this forum! There's some comfort in that at least haha.


----------



## Chronos-Plutus

Srao said:


> Greeting Guys.
> 
> I am Sharing my portfolio. Any suggestions please,
> 
> ALL  ARISTOCRAT LEISURE
> ALU  ALTIUM LIMITED
> ANZ  ANZ BANKING GRP LTD
> APX  APPEN LIMITED
> ASB  AUSTAL LIMITED
> BHP  BHP GROUP LIMITED
> BKW  BRICKWORKS LIMITED
> BLD  BORAL LIMITED.
> CCP  CREDIT CORP GROUP
> CGF  CHALLENGER LIMITED
> CMW  CROMWELL PROP
> COH  COCHLEAR LIMITED
> CWY  CLEANAWAY WASTE LTD
> DXS  DEXUS
> EML  EML PAYMENTS LTD
> FPH  FISHER & PAYKEL H.
> GTN  GTN LIMITED
> ICE  ICETANA LIMITED
> IEL  IDP EDUCATION LTD
> IGL  IVEGROUP
> IVV  ISHARES S&P 500 ETF
> JHG  JANUS HENDERSON
> KMD  KATHMANDU HOLD LTD
> LYL  LYCOPODIUM LIMITED
> MGX  MOUNT GIBSON IRON
> MNY  MONEY3 CORPORATION
> MQG  MACQUARIE GROUP LTD
> MVF  MONASH IVF GROUP LTD
> NDQ  BETASHARESNASDAQ100
> NHC  NEW HOPE CORPORATION
> NWH  NRW HOLDINGS LIMITED
> OML  OOH!MEDIA LIMITED
> OOO  BETASHARESCRUDEOIL
> OSH  OIL SEARCH LTD
> PNV  POLYNOVO LIMITED
> QAN  QANTAS AIRWAYS
> SCG  SCENTRE GRP
> SSG  SHAVER SHOP GRP LTD
> STO  SANTOS LTD
> SWF  SELFWEALTH
> SXL  STHN CROSS MEDIA
> TNK  THINK CHILDCARE
> VAS  VNGD AUS SHARES
> VCX  VICINITY CENTRES
> VDHG  VNGD DIV HIGH GROWTH
> VTG  VITA GROUP LTD
> WEB  WEBJET LIMITED
> WOW  WOOLWORTHS GROUP LTD
> XRF  XRF SCIENTIFIC
> 
> Best Regards..




Nice diversified portfolio, however I am too young for it.
The markets are looking very shaky at the moment. My asset allocation right now is:

precious metals ~15%
cash ~31%
equities ~54%

The equities that I am holding right now are just a few small cap miners, NCM and BUB.


----------



## Warr87

*Week 20:*

No buy/sell signals. Like everyone else's system, mine went down this week. As I was looking through a number of charts earlier in the week, a pull-back seems to be happening in a lot of places.

I did not lose as much as the market this week which is always nice. My -0.76% compared to XAO losing -3.07% and XAOA losing -3.01% compared to last week.

OpenPL: -1.2%
System: -23.2%
OpenPOS: 17

7 out of those 17 are in positive territory. 





And some more metrics, because why not:




Those numbers will improve, I swear haha.


----------



## Warr87

Well nothing to add since I had no buys/sells this week. However, it has so far been a bit of a crazy week. One day all of my positions were in the red and I was down a lot, the next day it had almost entirely recovered and everything was green. Today wasn't bad either. It's a weekly system so obviously the daily ups and downs don't matter but its still crazy to watch. Certainly a feeling of not knowing what is going to happen next!


----------



## over9k

I buy based on sectors/industries, hold for a bit, then trim positions that aren't performing. E.g webjet vs flight centre. One's done considerably worse than the other/gets slammed much harder in the dips. Same with origin vs santos and the big three miners. 

There's some stormy seas ahead yet however.


----------



## Warr87

i buy on price momentum. The sectors that are doing well naturally feature into my portfolio as they are the best performing. It's a trend following strategy too so I give it enough time to breath and make a move, and if nothing happens then I cut it lose and move on.

This has certainly been a crazy market for me to go live with my account. At least it will make future trading seem like a walk in the park haha.


----------



## Chronos-Plutus

over9k said:


> I buy based on sectors/industries, hold for a bit, then trim positions that aren't performing. E.g webjet vs flight centre. One's done considerably worse than the other/gets slammed much harder in the dips. Same with origin vs santos and the big three miners.
> 
> There's some stormy seas ahead yet however.





Commercial flights numbers are still quite low, also many nations are going back into lockdown


----------



## Chronos-Plutus

Chronos-Plutus said:


> Commercial flights numbers are still quite low, also many nations are going back into lockdown


----------



## Warr87

Week 21:

Buys: 5 buys but only room for 3. will update during the week as per usual
Sells: none

As mentioned in earlier post, it was a wild week. But as of Friday, when it counts for me, I was up. Current OpenPL: 2.7%. Total system performance at -20.43%. 17 Open positions but will be at a full 20 next week if I get my fills.

Only 7 out of the 17 positions are in positive territory right now, and most are only just after brokerage. Most have only been held for 5 or 6 weeks so we will see if they get hit by my stale exit. The biggest winner right now is my position in AEF. It is now +68% which is always nice. This is trend following so it only takes a couple of big winners out of the 35% win rate to make me profitable for the year. Maybe AEF is the 1? who knows.


----------



## willoneau

Is your 35% win rate the back tested win rate of your system?


----------



## Warr87

Yes it is. It actually has a much higher win rate depending on when you backtest. It gets upwards of 65%, even in sideways markets. 35% is the lower number. At the moment my realised winrate is 0% given that i entered all 20 positions not long before the COVID crash and all those positions suffered a loss.

Backtest is not fullproof and it is only a guide. I think 35% is realistic.


----------



## Warr87

I got my fills rather easily this morning. I now hold CDV, SPT, and RBL. full invested with 20 positions.

Additionally, I am moving closer to having an automated setup. I had a few spare computer parts around the house and decided to put together a server. I had been looking at a VPS on and off for a while, and I know qldfrog has an AWS that he recently setup, but I decided to do a homegrown solution. There are some disadvantages to this but hopefully it wont impact.

So far it has been going relatively smoothly. The server will end up being a dev area being a place for my data and in the future a python setup.


----------



## MovingAverage

Warr87 said:


> The sectors that are doing well naturally feature into my portfolio as they are the best performing.




One of the things I've been kicking around in my head for my weekly system is to first do a sector rotation to rank the sectors (not sure what period I'd apply to the rotation, weekly, monthly etc) and then focus the system on set ups across the top X sectors. I'd then apply the relevant sector index as the filter rather than the commonly used and more broader XAO. Must try and find some time to run those simulations to see how it performs.


----------



## Warr87

MovingAverage said:


> One of the things I've been kicking around in my head for my weekly system is to first do a sector rotation to rank the sectors (not sure what period I'd apply to the rotation, weekly, monthly etc) and then focus the system on set ups across the top X sectors. I'd then apply the relevant sector index as the filter rather than the commonly used and more broader XAO. Must try and find some time to run those simulations to see how it performs.




You could either do an on/off filter for sector rotation. You could also change position sizes (via 'weights') for each sector based on its index. Would be interesting to see how it performs when you get to code it.


----------



## MovingAverage

Warr87 said:


> You could either do an on/off filter for sector rotation. You could also change position sizes (via 'weights') for each sector based on its index. Would be interesting to see how it performs when you get to code it.




My initial thoughts would be to base position size on something like rate of change (ROC) of the individual stock instead of based on sector index--interesting to see how ROC compares to a conventional approach such as ATR. Either way, would make for an interesting analysis via simulations I reckon


----------



## Warr87

Perhaps ROC and ATR together? ATR is just a measure of volatility, which can be in either direction.

Let me know how those sim's go!


----------



## MovingAverage

Warr87 said:


> Let me know how those sim's go!




I'll add it to my ever growing list of things to sim


----------



## Warr87

MovingAverage said:


> I'll add it to my ever growing list of things to sim




I know them feels. My folder of AFL's is every growing with part-tested ideas and/or wishlist of what I want to sim. lol


----------



## over9k

MovingAverage said:


> My initial thoughts would be to base position size on something like rate of change (ROC) of the individual stock instead of based on sector index--interesting to see how ROC compares to a conventional approach such as ATR. Either way, would make for an interesting analysis via simulations I reckon



This is what I did - deliberately bought all the major players in sectors, sat on them for a bit, then torched the lowest performing stocks.

I got 4/5 right doing absolutely *no* research into why they weren't performing at ALL, and the 5th only matched its competitor's gains after I sold/made no net difference at seeing as I pumped the sale money into the other anyway.

I said this in another thread but some companies are getting slammed SIGNIFICANTLY harder than others in particular sectors. Obviously you can do your research to hopefully pick the right ones, or you can do what I did and whilst maybe lose a few (net) gains/cop a few more fees, save yourself a ton of time with which you can work on something else.


----------



## qldfrog

over9k said:


> This is what I did - deliberately bought all the major players in sectors, sat on them for a bit, then torched the lowest performing stocks.
> 
> I got 4/5 right doing absolutely *no* research into why they weren't performing at ALL, and the 5th only matched its competitor's gains after I sold/made no net difference at seeing as I pumped the sale money into the other anyway.
> 
> I said this in another thread but some companies are getting slammed SIGNIFICANTLY harder than others in particular sectors. Obviously you can do your research to hopefully pick the right ones, or you can do what I did and whilst maybe lose a few (net) gains/cop a few more fees, save yourself a ton of time with which you can work on something else.



You understand that in an irrational bull market, Here is a time where we have a laggards catch up phase ?
So unless you  manage this discretionarily, you should continuously repeat your process reintroducing the eliminated losers,...


----------



## over9k

Nah that's the thing - the losers didn't bounce back. It's not like they were just more volatile on the up as well as the downside or something. They *didn't* recover when the others improved. 

Only one of them increased again and it was only by the same amount as its competitor, so spending the sale money buying its competitor meant that the final result was exactly the same, and the other 4/5 I ended up waaaay up on (relatively speaking).

I'm itching to get into a mining position again but I'm anticipating more outbreaks in china yet so just have to sit & wait. My gold miners are up massively though.


----------



## MovingAverage

over9k said:


> This is what I did - deliberately bought all the major players in sectors, sat on them for a bit, then torched the lowest performing stocks.




I'm thinking of a slightly different approach to what it sounds like you're doing--using sector rotation to rank sectors and then only buy in the top X ranked sectors only--not buying across all sectors which is what I think you're suggesting you do. What I'm think is, assume there are 10 sectors, rank those sectors based on some metric and then only buy in say the top 3 ranked sectors. A very crude way of ranking the sectors may be based on the RSI of the index for each of those sectors. You could rank sectors many different ways but a lot of rotational systems seem to use RSI. Periodically I would re-rank the sectors and only buy in the top 3 ranked sectors.


----------



## over9k

Nah I analyse sectors, buy into what I think are the best sectors in a fairly diverse fashion (depending on how many players there are obviously), then nuke the non-performers. I effectively bet on sectors and then trim/refine my position by company. 

So I start with best sectors/industries, then end up (eventually) at best companies per sector. I have quite a good discussion going on with a couple of other guys in a couple of other threads (trading the trend, trading the bounce, economic implications of a sars/coronavirus outbreak) about what sectors are/aren't bull markets but for example, microchip manufacturers - intel & AMD have both been flat for a couple of months and I don't own anything in them now, but skyworks was/is a star performer. Same goes with zoom, which is miles and miles above slack, despite them both being stay-at-home stocks.


----------



## Warr87

*Week 22:*

Buy: None
Sell: None

OpenPL = +3.9%, total = -19.25%.

I was close to +8% until thursday took a huge hit to my stocks (in particular AEF). Overall my positions are doing very well though. This is only my 7th week of my index filter being on. I'm remaining positive in this crazy market.


----------



## qldfrog

Warr87 said:


> *Week 22:*
> 
> Buy: None
> Sell: None
> 
> OpenPL = +3.9%, total = -19.25%.
> 
> I was close to +8% until thursday took a huge hit to my stocks (in particular AEF). Overall my positions are doing very well though. This is only my 7th week of my index filter being on. I'm remaining positive in this crazy market.
> 
> View attachment 105277
> 
> View attachment 105278
> 
> View attachment 105279



Aef hit my results a big way too
If it helps, aef  is victim of the super funds reducing their overall ethical investment?


----------



## Warr87

are they? i haven't read any financial news lately. As a fund they aren't bad (I had some money in their funds before I started designing systems).

While it lost some ground this week I'm sure its going to go further.


----------



## MovingAverage

Monday is going to be ugly, so strap yourself in


----------



## MovingAverage

Warr87 said:


> are they?




i'm with you. i thought in these highly PC times they were all for things that were ethical. i know the big funds were winding back their exposure to coal, but AEF really--why are they on the nose?


----------



## Warr87

MovingAverage said:


> Monday is going to be ugly, so strap yourself in




can't be as bad as march lol.



MovingAverage said:


> i'm with you. i thought in these highly PC times they were all for things that were ethical. i know the big funds were winding back their exposure to coal, but AEF really--why are they on the nose?




yea I'm with your thinking there. AEF has had pretty steady returns in their ethical funds too.


----------



## MovingAverage

Warr87 said:


> can't be as bad as march lol.
> 
> 
> 
> yea I'm with your thinking there. AEF has had pretty steady returns in their ethical funds too.




very true, march was nasty. must admit the up one day down the next is doing my head in


----------



## qldfrog

Warr87 said:


> can't be as bad as march lol.
> 
> 
> 
> yea I'm with your thinking there. AEF has had pretty steady returns in their ethical funds too.



For AEF down 21% in a week, the only explanation I can find is exodus from super fund;
Both my wife and I had some super in the ethical investment option, all back to cash last week and I am probably not the only one, so here it goes...that was my reasoning, anyway, just one code


----------



## MovingAverage

qldfrog said:


> For AEF down 21% in a week, the only explanation I can find is exodus from super fund;



where are the super funds putting their money then, coal?


----------



## over9k

MovingAverage said:


> very true, march was nasty. must admit the up one day down the next is doing my head in



It's more the scale of the volatility than anything. 2, 3, 4% swings per day have become *normal*. Depending on the sector it can be in the double digits. It's reopening numbers fighting with virus numbers. We'd seen serious chop for the past few weeks with the market as a whole ending up basically flat but there's now a trend change and it's only going to get worse. 

There's going to be plenty more ugly virus data for the next week but the big thing I'm hanging out for is jobs data on the 3rd. If that's bad (and I reckon it will be), combine that with the virus data, the IMF's global and U.S economic downgrades (from 3% contraction to 4.9%), mortgage delinquencies now spiking, and wall st now actively calling for the already planned 2nd stimulus package to be brought forward and I'm tipping a virtual certainty of stimulus to follow it.

Either way, buying the day before it is looking like a good bet - either the jobs data will be good (not likely) and we'll see a spike or it'll be bad and you just hold (or buy more) and then bounce on the stimulus.


----------



## MovingAverage

over9k said:


> It's more the scale of the volatility than anything. 2, 3, 4% swings per day have become *normal*.



agree dude, that's what i'm struggling with.


----------



## over9k

Yeah you could trade the chop and basically buy/sell on a daily basis as there's just been chop for the last few weeks (I've been slowly buying the dips on aus based travel stocks to fill a long position) but I was saying weeks ago that U.S WILL get a 2nd wave and 2nd market slump and people are still ignoring me even now. It's very simple exponentials.

I have a fair bit of cash ready & waiting because oooh boy the next week is going to be ugly.

The other thing to think about is seasonality - U.S/northern hemisphere is over the hill of summer now so is due for an overall contraction anyway but the southern hemisphere is not so we can expect a decent pickup in at least domestic travel and economic activity down here whereas up there it's going to be non-existent. I haven't and wouldn't be thinking about *anything* other than stay-at-home tech. It's going to be armageddon. 

The one that always gets me is australian market irrationality - things here will still follow the U.S movements even when they have almost nothing to do with the U.S market. It makes it (relatively) predictable but god it's annoying.


----------



## MovingAverage

over9k said:


> The one that always gets me is australian market irrationality - things here will still follow the U.S movements even when they have almost nothing to do with the U.S market. It makes it (relatively) predictable but god it's annoying.



What's that saying...the the US sneezes and the rest of the world gets the flu. I hear you about annoying, but it is what it is, man. But when it comes to global economies we are second rate dude, it is what it is.


----------



## qldfrog

MovingAverage said:


> where are the super funds putting their money then, coal?



answer already given in my post: people are taking money out of shares into cash, bonds or even withdrawing. 
Less money in shares and so less in AEF which is a favorite with super and where the people in the street play the market unwillingly
That would make sense unless you believe a 20% fall for a fund vs a few percent for the index can be explained by a market  move to coal uranium, asian sweatshops and tobacco/herbicide giants???
Happy to be proven right/wrong..I  should maybe try to find AEF specific recent data


----------



## MovingAverage

qldfrog said:


> answer already given in my post: people are taking money out of shares into cash, bonds or even withdrawing.



no offense but don't agree with you...but hey time will be the judge as to who is correct;


----------



## qldfrog

https://www.raskmedia.com.au/2020/06/22/australian-ethical-asxaef-releases-fy20-update-shares-fall/
just went back a bit based on this analysis, limited impact of super withdrawal but decreased super fees


----------



## qldfrog

MovingAverage said:


> no offense but don't agree with you...but hey time will be the judge as to who is correct;



I was wrong in term of outflow, see above


----------



## qldfrog

qldfrog said:


> I was wrong in term of outflow, see above



which is positive for the weekly system, might bounce back


----------



## MovingAverage

qldfrog said:


> I was wrong in term of outflow, see above



love you frog...wish there were more like you here


----------



## qldfrog

I trust figures over opinion.and figures are clear, AEF even has increased inflows.
Wish more people looking at figures


----------



## Warr87

qldfrog said:


> which is positive for the weekly system, might bounce back




One can only hope lol.


----------



## Warr87

Question for my readers:

Does anyone have any experience using Radge's 'Large Cap Momentum' turnkey system?

https://docs.google.com/spreadsheet...yj70UEhwF0RsaBjhqhnCqjvziCwbKy8JPfOOo/pubhtml

I think I am going to finally pull the trigger on moving my super to either a direct investment option or possible the SMSF option. Plan on doing this within the next month. With the talk of esuperfund that has been going on it is definitely tempting as the fees seem reasonable. I will likely have less than $100,000 at first so the SMSF may not be worth it. Since I will stick to equities going the direct investment option may be better since I will have access to the ASX300 + ETFs.

While I have systems that test well for weekly, and 1 or 2 that test well on monthly, at first I am thinking of taking Radge's and modifying the code to my needs. The benefit is Radge's turnkey system it has been proven.

Any thoughts on the matter? Any reviews for Radge's large cap system?


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## MovingAverage

Can't comment specifically on the Large Cap Momentum system, but his turnkey systems are a great starting point. I've actually purchased his code in the past and then made changes to suit my style. The code is good and using it as a starting points saves you wasting time on other aspects of coding a system and allows you to focus your time on tuning the sections of the code that are important. Of course this assumes you're very comfortable with coding in AB


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## Warr87

I trading a system I coded right now. I've also coded a few others that have some great backtests. I'm relatively confident in coding (though I'm not as good as Trav, or Skate, or a number of other members here). I am actually very interested in what this professional set of code looks like. I am glad you have had some good experiences. A solid working starting place is what I'm after.

My problem with the metrics given for his system is the CAR/MDD. I'm not sure what period this was (was this 2008?). I've noticed Radge's systems often have this ratio of 1 (or a little less). The first order will be to tinker with this to get it a little better if I can.


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## MovingAverage

Warr87 said:


> I trading a system I coded right now. I've also coded a few others that have some great backtests. I'm relatively confident in coding (though I'm not as good as Trav, or Skate, or a number of other members here). I am actually very interested in what this professional set of code looks like. I am glad you have had some good experiences. A solid working starting place is what I'm after.
> 
> My problem with the metrics given for his system is the CAR/MDD. I'm not sure what period this was (was this 2008?). I've noticed Radge's systems often have this ratio of 1 (or a little less). The first order will be to tinker with this to get it a little better if I can.




You should call Nick. I’ve found him very approachable and I’m sure he’ll be happy to tell you the period for the CAR/MDD


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## Warr87

I was going to send an email as I have a few other questions too. May throw that question in there as well.


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## Warr87

I got a response from Radge. I got the underwater plot for DD. It looks like some of the DD's were protracted but it'll be easier to analyse when I have a full backtest.

The website is down but I will be looking to purchase the code some time in the next few weeks. The intention will be to use ING Living Super with its access to ETFs and ASX300.

Since I only intend on doing equities to begin with it might just be the easier way to do the members direct investment with ING. When I'm ready to expand to other assets I will create the SMSF.

I will create a new thread when I buy the code and have a separate journal. It will be a boring journal as the large cap momentum fund only trades monthly.


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## Warr87

been another good day. I hope this momentum continues. one of the downsides of being off work during the week (tendency to check my PL). Funnily enough AEF which was leading my PL is no longer my winner.

Questions have been sent out about my super. i'm looking forward to getting my hands on that system and starting my trading there.


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## MovingAverage

Warr87 said:


> been another good day. I hope this momentum continues. one of the downsides of being off work during the week (tendency to check my PL). Funnily enough AEF which was leading my PL is no longer my winner.
> 
> Questions have been sent out about my super. i'm looking forward to getting my hands on that system and starting my trading there.




My weekly is killing it at the moment. APT is my biggest gain being close to 60% up on entry price with a lot of close followers. This image is the unit price of my weekly over the past month. Like you say, let the momentum continue.


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## Warr87

nice! openPL is a double edge sword though, it's not real until it's in your bank account!

Here is a screenshot of my positions:




My stale condition will keep in soon so those red positions will likely be culled soon as well.


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## MovingAverage

Warr87 said:


> nice! openPL is a double edge sword though, it's not real until it's in your bank account!
> 
> Here is a screenshot of my positions:
> 
> View attachment 105481
> 
> 
> My stale condition will keep in soon so those red positions will likely be culled soon as well.



Open P/L...good point. Good to know someone is prepared to keep me in check


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## MovingAverage

here's the performance of my weekly


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## Warr87

MovingAverage said:


> Open P/L...good point. Good to know someone is prepared to keep me in check




this thread has a number of purposes. 1) asking for advice, 2) sharing my trading so others can helpfully get something from it too, 3) keeping myself honest and hoping someone can keep me in check too!


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## MovingAverage

Warr87 said:


> this thread has a number of purposes. 1) asking for advice, 2) sharing my trading so others can helpfully get something from it too, 3) keeping myself honest and hoping someone can keep me in check too!



i like this thread in the hope you'll keep me in check too.


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## lindsayf

Warr87 said:


> I got a response from Radge. I got the underwater plot for DD. It looks like some of the DD's were protracted but it'll be easier to analyse when I have a full backtest.
> 
> The website is down but I will be looking to purchase the code some time in the next few weeks. The intention will be to use ING Living Super with its access to ETFs and ASX300.
> 
> Since I only intend on doing equities to begin with it might just be the easier way to do the members direct investment with ING. When I'm ready to expand to other assets I will create the SMSF.
> 
> I will create a new thread when I buy the code and have a separate journal. It will be a boring journal as the large cap momentum fund only trades monthly.




Will ING give you stop loss, trailing stop functionality?


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## Warr87

lindsayf said:


> Will ING give you stop loss, trailing stop functionality?




Good question. I'm actually not sure. I haven't looked into it as it's not a functionality that I need. My stops are never put into the market. There are highs and lows during the day, and I only care about the close. It would be entirely possible for the market to swing against me by lunch time and then recover by the afternoon. If I had a stop in the market all that would happen is that I would sell for a loss and then need to re-enter. It makes sense to have these in markets such as FX but not as useful for equities. I know some professional traders used to hunt for stops to purposefully shake weak investors out of the market. I'm not sure if that is still a practice today to go stop-hunting.

If this is something you want you should give the a call. Or wait a few weeks and I should be able to let you know .


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## lindsayf

Just curious.  AustrailianSuper - where I do some trading - does not have that functionality.  But as the trades are long term I dont see it as an issue.  My exit criteria does not demand a stop.


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## Warr87

lindsayf said:


> Just curious.  AustrailianSuper - where I do some trading - does not have that functionality.  But as the trades are long term I dont see it as an issue.  My exit criteria does not demand a stop.




I'll give an update for those who are interested when I have the account up and running. For long term it definitely may not be needed. Presumably those using a super aren't running daily systems but more long term.

A preliminary look at my holdings show +8%. I will give a proper update later on tonight.


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## Warr87

Week 23

Buys: 3 but i'm fully invested
Sells: none

I'm at +7.1% for what I have in the market right now, this brings my system to -16%. I'm climbing back up to at least not being in a DD.

As my positions have stayed in the market they are starting to meet with the index. I'm certain I will start to overtake it soon. If it's by the end of the year I will be very happy.


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## Warr87

I have made my account with ING Living Super. There claims that it takes 5mins to setup were pretty much on the money. It was seamless tbh. Hopefully it wont take long for everything to rollover into the account. My current job will be the closet.

As for the momentum system. Radge was very quick with emails. Everything is ready. Just waiting on money to clear and I will get my code. That was also seamless. I'm exciting to see how this next system will fair.


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## Warr87

Got the code today. I can't display backtests but things aren't too bad so far! I'm still waiting on my job to get back to me with switch funds to my new super so I may not get to do a trade until next month. And one thing I do want to do is fix the CAR/MDD (as I have mentioned before I'd prefer something a little better).

I tried changing some of the parameters in the testing and unsurprisingly Radge had the defaults on what looks to be the best middle ground. I probably wont have time to play around further until the weekend because of work.

On other news. Yesterday's market was great, my system was up, and today it lost a little of that. The market giveth and takeith. Good thing it's a weekly system or things could be a little more stressful.


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## willoneau

Warr87 said:


> Good question. I'm actually not sure. I haven't looked into it as it's not a functionality that I need. My stops are never put into the market. There are highs and lows during the day, and I only care about the close. It would be entirely possible for the market to swing against me by lunch time and then recover by the afternoon. If I had a stop in the market all that would happen is that I would sell for a loss and then need to re-enter. It makes sense to have these in markets such as FX but not as useful for equities. I know some professional traders used to hunt for stops to purposefully shake weak investors out of the market. I'm not sure if that is still a practice today to go stop-hunting.
> 
> If this is something you want you should give the a call. Or wait a few weeks and I should be able to let you know .



After reading Skates comments on GTFO indicator I now put a stop in the market on my weekly system when indication of GTFO. I think he just gets out were I tighten and put in market stop.


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## Warr87

Week 24
Buy: EMR, FLN, DTC but I'm already fully invested
Sells: none

OpenPL is at 8.8% and system overall is at -14%. While the XAO/XAOA lost this week I still managed to gain a little. No amazing positions in my portfolio right now but very few (and small) loses. I'm pretty happy with how things are going and confident that by the end of the year I should at least be able to break-even. Time will tell though. Always have to remember that open profits aren't truely yours, and the market will happy extract such open profits for you.

In other news the code arrived. It is a rather good turnkey system (and true to its name as the default settings were pretty spot on and ready to go). I can't share any backtests but it should be a pretty good system. I changed a few minor things.


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## Warr87

*Week 25*

*Buys:* 2 different buy signals. 1 will be entered on monday hopefully.
*Sells:* 1 stale exit (PDN). will have to wait for this to sell before i can enter my next buy.

Wasn't watching the market much this week. A few bad days took most of last weeks gains. Even though the week was positive for the XAO my system didn't rise with it (which was surprising). As you can see by the second chart, I typically gain slightly more or lose slightly less compared to the XAO/XAOA. But can't win every week. It is a marathon nonetheless.

I am hoping I can take some profits soon. Most of my positions are slightly positive.


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## Warr87

I got a good fill on PDN.

I can't seem to load any pages on CMC right now (or on my phone app). Once I did I will put in my buy.


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## Warr87

Didn't get my fill on GGG. If I had a position at monday's open then I may have got it but even with my 3% premium on my limit order, it never hit.

That is unfortunate. But I'm sure I'll have more buy signals next week.

This has been a great week as well. Everything is doing great though I may lose 2 positions for next week. 1 being from a trailing stop (CAN) and the other being a stale exit. Time will tell. Looking forward to Friday's close.


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## qldfrog

Indeed, even today..


Warr87 said:


> Didn't get my fill on GGG. If I had a position at monday's open then I may have got it but even with my 3% premium on my limit order, it never hit.
> 
> That is unfortunate. But I'm sure I'll have more buy signals next week.
> 
> This has been a great week as well. Everything is doing great though I may lose 2 positions for next week. 1 being from a trailing stop (CAN) and the other being a stale exit. Time will tell. Looking forward to Friday's close.


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## Warr87

qldfrog said:


> Indeed, even today..




yup. i actually leave my orders GTC on the wednesday. I know skate does it for the monday only but I can't guarantee i get my sells on monday's open so I let my remaining position stay live until wednesday. If it doesn't fill by then, well there's no point chasing anymore IMO.


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## Warr87

*Week 26*

Buys: plenty. Will be taking 2 new positions on Monday
Sells: 1 from trailing stop. It was just a few percent from the stop last week and unfortunately went even lower. 


This week I gained 2.9%. Not bad. OpenPL is 9.4% with system at -13.84%. As can be seen in the graph below I did better than the XAO though the XAOA is slightly ahead of me. Next week will see 2 fresh positions. The system is starting to get into the swing of it and slowly cutting away the losers while the winners do well (avg w is 21% right now).


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## qldfrog

Doing well,
One item to consider is your investment level
If you match xao while not fully invested, you are beating it
Looking at the whole chart, you obviously had bad luck with timing but limited the damaged, a bit slow to jump again in .. system or psyche?
And doing a fair job since
Always inspiring for beginners like us


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## Warr87

Thanks mate. really appreciate it. i haven't turned a profit yet like you, but my timing couldn't have been worse! Thankfully my system did put on the breaks. It was hard to follow the system as my money was evaporating. And it was a little slow but I think it jumped in around the same time as most others here. Pysche has nothing to do with it, except do I follow the system? Well i have at every point. In the past I have tinkered with the index filter to get back in there quicker but I remember it making little difference to the overall system. What I am noticing right now, though, is with the 50% loss in CAN I have a reduced position for Monday. It's actually lucky that I didn't get a fill on GGG, because now I can have 2 proper positions as opposed to what would have been 1 pretty small position. What I also need is some actual gains to materialize at some point! haha

And I don't know about inspiring. This is my first live system. When I prove myself I can start live trading others too .

Oh, and with the investment level. That is a good point. I only had 19 positions but still managed to slightly outpace the XAO. Now I have 18. Hopefully I can get my next 2 positions tomorrow though. My system is starting to dump the losers and the winners are riding! It's not as quick as @Skate's action strategy, but nobody is perfect .


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## Warr87

Update: I got my fill on PDN, and got my sell filled easily for CAN, I also managed to add AMI pretty easy too. fully invested now.


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## Warr87

2 things of note. CDV has an offer for takeover. Though it's currently trading higher than the takeover bid. I'm not sure how it will work if the takeover is successful and they acquire all remaining shares? Before I started trading systems I did have some shares of mine forcibly sold after a takeover. I'm curious if that will be the case again? And if so, hopefully at the last price not the 1 offered to current shareholders. Would hate to see a position forcibly taken and at a lower cost than it should yield...

Another thing is that TBR (another 1 of my positons) is buying back shares. I'm also unsure how this will effect me?


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## Warr87

*Week 27*

Buys: Plenty of buys this week! I see 18. 1 will be taken on Monday.
Sells: 1 stale. Happy to cycle it out and fill it with a better position!

OpenPL is +11.1%. Overall I'm at -12.04%. Full invested. I don't have much to say about this week as I wasn't paying attention. It seemed rather flat from what I can see. Flat is ok, I'd prefer that then it drifting down. This week my system actually gained 1.8% even though the XAO/XAOA went down. Nice to see I am pulling away from the index despite missing some gains after the intial bounce.

I have also been revisiting my other systems that I have designed. The daily pullback system would have had a field day this year. Easier said than done and probably don't have time to run a daily system right now. I have also been looking at brokers with API's for auto trading. It seems with brokerage and API availability, IB is still the better choice in aus. Even with IB's low brokerage, I have found I need at least $50,000 for my PB system to avoid annoying commission drag.

Best be saving and hope I can fund that second system.


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## Warr87

Update: got my fill for sale of TBR. Got my position filled straight away for its replacement, SFG. Fully invested.


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## Warr87

*Week 28*

buy: Plenty of buys. 4 will be placed into market after sells are made
sell: 3 stale exits, 1 stop-loss & MA-close

I don't know what happened on Wednesday but the day was down but my whole portfolio was up by 5%. Thought I may have lost those gains but they stuck through the rest of the week. Right now my total% is -7.25% so getting close to breaking even. OpenPL is 15.9%. One oddity is 1 of my best positions slowly lost and decided to go from +45% at one point to now closing for a slight loss (past the stop-loss). A little infuriating as I would have liked to actualize some profits. Never easy seeing your best position fade and not give up profits. Overall, portfolio is doing very well and let's hope it can maintain momentum.


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## Warr87

I got all fills for my 4 sells. One of them was AEF, which was 1 of my biggest winners not long ago. It turned into a -5% loss. It closed 10% lower last week which put it into a loss territory. That kinda sucked.

I sold DTL, ELD, and EVN. With the fills I got, DTL and ELD turned into the slightest of profits. EVN for a slight loss.

I got 3 out of the 4 fills for my replacements. These are AVZ, LEG, STX. I'm noticing my portfolio loading up on mining companies right now.

1 outstanding buy in market.


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## over9k

Kogan screamed today. 6% run just within the hour.


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## Warr87

Don't know what happened today but I checked and I lost a large chunk of profits. Most came from MSB which had a benign annoucement.

On a more important note. I am going to go through a hire a python developer to write a daily system to be run with IB, fully automated. I'm looking at Upwork right now but if anyone has a python programmer they can recommend me, PM me.


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## Warr87

Never got a fill on my final position, AJM. Got an email that it was purged from market. Re-entered position but was immediately rejected. Wednesday is the last day I give my positions to be filled and it failed. Portfolio is left with 19 positions.

For those that follow my journal, many of you would know I listen to podcast's and/or read books. Just finished the audio book 'random walk down wallstreet' which was good, but more importantly i'm reading the audio book 'complete turtle trader'. i've come across the story before, and in 'Chat with Traders' podcast there is a turtle trader in an interview. However, this book so far has been great. Looking forward to finishing this one.


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## Warr87

*Week 29*

Buy: missing my fill during the week. I have a HEAP of buy signals this week! 1 position filled monday.

Sell: none

Positions held: 19, 1 available

This was a disappointing week for me. I lost a bucket load of open profits on Tuesday or Wednesday (can't remember) and never fully recovered those. Some were recovered but not much. OpenPL is now +13.5%. Total system is at -9.72%. XAO/XAOA was up for the week. Due to some loses, the AW/AL ratio has changed a little. Overall, still in a good position and beating the index.


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## Warr87

I got my fill of WGO on monday.

It's been a strange week. When I have checked in during the week, if the market has been up i've been slightly down, and vice versa. overall i am up. tomorrow will be the real test. but interesting to note nontheless.


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## Newt

Agree.  Small caps seem to be bouncing wildly and frequently opposite of banks and financials.


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## Warr87

maybe looking at the sectors I hold would give me a clue. wont change my trading but I occasionally get curious.


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## Warr87

*Week 30*

Buy: number of buys. 1 to enter after sell
Sell: 1 to sell due to close below MA

Pretty good week, actually. The index's ended up being pretty flat. As mentioned in previous post I noticed a bit of divergence with my positions and the market, but overall I'm on top. Like my papertrading of this strategy, it took a couple of months for the system to cut away the loses and let the winners ride. While I haven't got back my loses like @Skate, I am getting there!

During my listening to the audiobook 'The Complete Turtle Trader' I found a statement about openPL to be interesting. The concept that open P&L isn't real should be taken as completely true. The point being that this idea can lead to people cutting winners early in order to bank profits. This is the death of a trend trading system. And thinking about it more, it makes sense. I could, if I want, liquidate my holdings and that profit is real. Always to be taken with a grain of salt but something to think about it.


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## Warr87

LEG was sold. only had it for 2 weeks.

LTR took its place.

I also noticed an error in the above post. The following should have read: "The concept that open P&L isn't real should *not* be taken as completely true."


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## Skate

Warr87 said:


> I also noticed an error in the above post. The following should have read: "The concept that open P&L isn't real should *not* be taken as completely true."



*
Open versus closed profits *
"Open profits belong to the market, closed profits belong to you" 

If you can accept that mindset (which a lot of traders can't) then that will serve you well when volatility impacts your trading.

Skate.


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## Warr87

*Week 31*

*Buy:* 1 buy
*Sell*: 1 (stale)

Interesting week. The XAO/XAOA was pretty flat, and so was I. OpenPL is 17.9% with a total system at -5.26%. I gained a measley 0.71% but something is better than nothing . Realistically 0.5% a week would make a good return!

My stale exit is actually one of my better performing positions but it hasn't really moved much hence why it has triggered. It will actualise some wins which is always nice. Hopefully its replacement will perform just as well!

Finished the Turtle Trader audiobook. It was pretty interesting and I recommend it to others.


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## Cam019

Warr87 said:


> My stale exit is actually one of my better performing positions but it hasn't really moved much hence why it has triggered.



Warr87 is this something that you have tested and that makes a real difference to your system? I remember listening to Nick Radge's most recent interview on Chat With Traders and he talks about having tested a time stop, e.g. if a stock doesn't move X percent in N days then it gets cut. He actually found it was detrimental to his system performance because when the market consolidated, like it is now, so did the leaders that they were already in. They didn't move up, but they also didn't pull back much either. They would have ended up actually getting out of the leading stocks because they didn't move up enough during their consolidation period to avoid getting triggered by the time stop. Some food for thought.


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## Warr87

my original testing was without a stale exit. honestly can't remember exactly the difference in results. the position to be cut is +40% right now but hasn't moved in value for 10weeks. i guess holding on might yield a bigger winner. it is something to look into. consolidation is definitely something to consider.


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## Cam019

Warr87 said:


> my original testing was without a stale exit. honestly can't remember exactly the difference in results. the position to be cut is +40% right now but hasn't moved in value for 10weeks. i guess holding on might yield a bigger winner. it is something to look into. consolidation is definitely something to consider.



Can you tell me what the ticker is, or would you rather wait until the position is sold?


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## Warr87

RMS


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## Warr87

RMS sold. it was a strong open so I got a great fill (above what it closed at last friday).

GRR has taken its place.

Fingers crossed.


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## Warr87

Bad day for the market, though I stayed in positive territory! always good .

Today marked the start of my super portfolio. i opened an account with market access to the ASX300. i bought Radge's large cap momentum code and changed a few settings. i will post my results on this, likely in a separate thread. but it's monthly, so not a lot to really keep people engaged. will be slow!

in other news. i finally released some money from some managed funds i invested in 2 years ago. this means my MAP strategy will have double the funds. i will have some left over for a small daily trading strategy as well but that is still going through backtesting/papertrading and probably will be for at least 3 months.


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## Warr87

interesting week. even on the days when the market lost I still gained a little. it was all wiped out today though. i'm sure i'm not alone.

my system is also giving me the index down. my index filter is set to 10weeks. this means i'll be shedding a lot of positions. honestly my temptation is to fiddle with the filter so i can keep trading ... but i will resist.

a proper update to come.


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## peter2

Looks like this system trader is doubting his system. IMO an index filter is a real tricky thing to include in a momentum trading system. The main reason is deciding what parameters to use with the index. If the period is too small then one down week can turn it off. This gets us out of the market quickly but this may be premature and triggered by what turns out to be a normal dip in a bullish market. If the parameter is too long, then we lose too much of our open profit and we're late into the next bullish rally.

The system trades bullish momentum in individual stocks. Stocks most in demand start moving first and it's their movement that causes the index to move. Stocks make the index move, yet in our mom system we place the cart before the horse and wait for the index to move before trading individual stocks. It doesn't make sense (to me).

I was never comfortable with any parameter I chose for the index and that's why my index filter doesn't turn the trading system off/on. I use it as a warning indicator to reduce/increase portfolio heat. @rnr made a valuable comment that his index filter indicates which setups to use.

I've no doubt that your (@Warr87 ) portfolio holds many positions that are losing money. Why don't you sell all the biggest losers when the index filter triggers this action. Then if the market goes further down exit all (GTFO exit). If the market rallies (just an ugly dip) then you're still partially invested and have capital to buy the stronger stocks.

I understand that you can't make any changes without testing and I agree this is the correct course of action. I also know that discretionary ideas are also very hard to code. The ideas that I've suggested CAN be coded if you think they have potential to improve performance.

It's times like these that I wish I could show you with back testing results how valuable these ideas are. I've only got 15 years trading experience to know that they are.

@Skate 's stale exit is only one way a portfolio can be kept in the strongest momentum moves. Selling the weakest stocks first at the early signs of market bearishness is another way.

Rotational momentum systems always ensure the portfolio is filled with the strongest movers. They cull the slowest movers in the portfolio (even if price is going up).


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## Skate

peter2 said:


> Then if the market goes further down exit all (GTFO exit).




@peter2 what a timely post. Momentum is critical to any strategy let alone the "Action Strategy". Momentum is one of the deciders when to enter a confirmed trend. 

*Stale Exit*
A "stale Exit" is another kettle of fish as it measures the price differential bar-by-bar. Positions can have a strong run-up only to "bob around" in a confined price range. Whether the position is a winner or a loser plays no part in how the"Stale Exit" is calculated.

*The GTFO Filter*
Using this type of filter ensures your strategy is fully in or fully out of the strategy. The bad news is that today's massive move activated the "Action Strategy" GTFO filter. As a result, the "Action Strategy" has to be totally liquidated. 

*Liquidating a performing strategy *
The GTFO Filter is designed to do a job & it's hard to stomach particularly when the strategy ends the week on a positive note.

Skate.


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## willoneau

I wasn't happy with how long it took for my Index Filter to turn back on after the flash crash. After testing my system before and after it I came to the decision not to use it that way and only to tighten my stops.
I don't think the next Bear Market will be sudden like the last but roll over first, although it is just MHO. But I also think the high will be taken out before a Major Bear Market starts too.


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## Warr87

*Week 31*

*Buy:* None
*Sell:* 10 (trailing stop triggered by index filter)

Time for a proper update. All sells got a fill. some of them were slight losers, some were winners. My portfilio is left with mostly winning positions right now. Overall for week 31 I was up until Friday. I still beat the index but lost to the XAOA which remained unaffected (relatively) to the sudden move down last Friday.

Not every week can be a winner. I have had a pretty good run so far and as you can see by the graph below, heading upwards. While the index filter off is a shame, it's there to protect my portfolio. It may be the case that selling off those positions wasn't good, but it may be the case that a correction is coming. Hindsight will be 20-20. My musings before about the index filter are just some outloud thoughts. I have followed my system, even during the COVID crash. Doesn't mean that occasionally you wont have some small niggling doubts.


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## Warr87

peter2 said:


> Looks like this system trader is doubting his system. IMO an index filter is a real tricky thing to include in a momentum trading system. The main reason is deciding what parameters to use with the index. If the period is too small then one down week can turn it off. This gets us out of the market quickly but this may be premature and triggered by what turns out to be a normal dip in a bullish market. If the parameter is too long, then we lose too much of our open profit and we're late into the next bullish rally.
> 
> The system trades bullish momentum in individual stocks. Stocks most in demand start moving first and it's their movement that causes the index to move. Stocks make the index move, yet in our mom system we place the cart before the horse and wait for the index to move before trading individual stocks. It doesn't make sense (to me).
> 
> I was never comfortable with any parameter I chose for the index and that's why my index filter doesn't turn the trading system off/on. I use it as a warning indicator to reduce/increase portfolio heat. @rnr made a valuable comment that his index filter indicates which setups to use.
> 
> I've no doubt that your (@Warr87 ) portfolio holds many positions that are losing money. Why don't you sell all the biggest losers when the index filter triggers this action. Then if the market goes further down exit all (GTFO exit). If the market rallies (just an ugly dip) then you're still partially invested and have capital to buy the stronger stocks.
> 
> I understand that you can't make any changes without testing and I agree this is the correct course of action. I also know that discretionary ideas are also very hard to code. The ideas that I've suggested CAN be coded if you think they have potential to improve performance.
> 
> It's times like these that I wish I could show you with back testing results how valuable these ideas are. I've only got 15 years trading experience to know that they are.
> 
> @Skate 's stale exit is only one way a portfolio can be kept in the strongest momentum moves. Selling the weakest stocks first at the early signs of market bearishness is another way.
> 
> Rotational momentum systems always ensure the portfolio is filled with the strongest movers. They cull the slowest movers in the portfolio (even if price is going up).




Great info p2. you are right about the pitfalls of an index filter. the index has been moving only slightly so it has been skirting with that filter for a couple of weeks. One big push down finally crossed that line. Maybe the system has exited prematurely? Overall, I don't think my system suffers from whipasaw so I don't think this will happen here.

I am designing a new system for daily, and it doesn't even use an index filter. with the momentum type strategies I have been working on it does seem that an index filter in some cases can make things worse. no better performance or lower DD during crashed but slow to pick up new winners. as you say, for this system I can't really change it without testing. For the moment, it stays where it is. I don't know how long I will trade this system for, but for the moment it works I will continue.

I'm going to have to come back to this post the next time I design a system.


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## Warr87

Week 32:

Buy: none (index down)
Sell: 2 hit 10% stoploss (from index down)

Not much to say about this week. Even though I have half the positions I still maintained my current proft, if not finished a little ahead. Nice to make the same amount but with half the amount invested. Definitely pulling away from the index as well.

TotalPL : -5.09
This week gain: 2.09%
Open positions: 10
Positions remaining: 10
Index down


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## Warr87

An update.

I got my 2 fills. I closed out my position MSB for +36% (0.9 R) and GRR for -11% (0.3R).

8 Positions remaining in portfolio.

(and so far looks to be a good week for my portfolio)


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## Warr87

Week 33

Buy: none (index down)
Sell: 1 sell for stale exit.

Very flat week. Even though today ended down, I managed to still scrap through a little profit. Overall a good week. I'm continuing to break away from the index. I was surprised to see a stale exit but I have had that position for almost 19 weeks, so it probably is a good idea to sell and when the index picks up again, gain a new position. After this sale I will have  7 positions.

System at -2.61%, gain of 2.48% this week. 8 positions with 1 to be sold Monday.


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## Warr87

WAF was sold. I made 39% from it. Not bad for a stale exit.


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## Warr87

Week 34

Buy: None (index down)
Sell: none for positions I hold

I thought I was going to end the week slightly positive. Despite the market also being slightly up today I ended up very slightly down. Overall most days were good for me when I had a look. Overall, I lost 0.84% this week which is nothing. Not every week can be a winner . I'm still outpacing the indexes. Something catastrophic would have to happen to change that.

I'm looking forward to the index turning back on as I have doubled my capital allocation to this system. (So its no longer a 'tiny' account but a 'small' account lol.) It's still small compared to others but in time .... Regardless even with the small capital I started with I have outpaced returns in some managed funds I had with twice the money.

Currently hold 7 positions
Index down (trailing stop at 10%)
system at -3%
This week: -0.84%


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## MovingAverage

peter2 said:


> I was never comfortable with any parameter I chose for the index and that's why my index filter doesn't turn the trading system off/on. I use it as a warning indicator to reduce/increase portfolio heat. @rnr made a valuable comment that his index filter indicates which setups to use.




The problem I have with index filters is that most people default to using a broad index as their filter...that is, folks seem to default to using the XAO index as their filter. I've had much better success using sector indexes as filters: I'll check the sector index filter of a stock before deciding to take the trade. This approach still has some downsides but overall it performs much better than using the broad XAO index.


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## Warr87

i've backtested using specific filters and got better results with the XAO as a filter. I guess it depends on your system. I agree that just using the XAO for the sake of using the XAO isn't the best approach.


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## MovingAverage

Warr87 said:


> i've backtested using specific filters and got better results with the XAO as a filter. I guess it depends on your system. I agree that just using the XAO for the sake of using the XAO isn't the best approach.



In my experience an index filter is only good for systems that have a longer term hold time. I also trade a short term swing system (average hold time 3 days) and any type of index filter is completely useless and really kills performance of the system.


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## Warr87

agreed. my weekly system obviously holds some positions for several months. a daily system would likely be impacted, particularly a swing system.


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## MovingAverage

Coincidently, Nick Radge just published this on twitter re index filters  









						Trade Management With An Index Filter
					

Now we're going to look at how that same short term trend filter can improve trade management. Before we jump in it's imperative to mention...




					www.thechartist.com.au


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## Warr87

Week 35

Buy: none
Sell: 2 SL's triggered

I only had time to check early in the week, and things were going good. This obviously changed by the end of the week, particularly Friday which hit me the hardest lol.

I lost 3% this week. The XAO lost a fraction more. Yay for me I guess lol. The fact that I have my index filter on is helping. I have triggered 2 stoploss's for this week, both are in for a profit. One of them is my biggest winner. I only have 1 position that is losing right now so overall I am in good health. I know when the market starts going up again I will be a bit slow due to my filter, but the safety it is giving me is worth it in this system.


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## Warr87

I got my fills on RBL (138% profit, 3.4R) and AYS (8%, 0.2R).

RBL was my biggest winner. Still have  few others in my portfolio. Looking forward to the market continuing up and my filter turning back on.


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## Warr87

Week 36

Buy: 12 buys
Sell: 1 stale exit

Index is up. The XAO gained a lot this week. According to my spreadsheet I gained 3%. Not bad since I'm only 25% invested. 

According to my current spreadsheet I'm at -3.06% but according to Share Trade Tracker I would be out of drawdown. Something to look into. I'm thinking of changing to Share Trade Tracker but its limited in charts. I would love some different charts and the ability to track my progress against the XAO like I currently do. I'm not sure how @Skate has weekly results showing in his charts too.


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## Skate

Warr87 said:


> I'm thinking of changing to Share Trade Tracker *but its limited in charts*. I would love some different charts and the ability to track my progress against the XAO like I currently do. I'm not sure how @Skate has weekly results showing in his charts too.




@Warr87 you can add addition worksheets to Share Trade Tracker & you only limited by your imagination as to how you configure the contents of the additional worksheet.

Skate.


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## Warr87

Skate said:


> @Warr87 you can add addition worksheets to Share Trade Tracker & you only limited by your imagination as to how you configure the contents of the additional worksheet.
> 
> Skate.




That's good to know. Shame I can't see anything on the website on how to do that. I may have to msg you and hopefully you can give me a quick rundown on how got your chart to display weekly results. The other thing I would want to add in is sharpe (want to see what my sharpe ratio is with all my portfolios combined).


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## Skate

Warr87 said:


> That's good to know. Shame I can't see anything on the website on how to do that. I may have to msg you and hopefully you can give me a quick rundown on how got your chart to display weekly results. The other thing I would want to add in is sharpe (want to see what my sharpe ratio is with all my portfolios combined).




@Warr87 Share Trade Tracker is a Microsoft Excel Workbook. Adding additional worksheets is the same procedure in Excel or Share Trade Tracker.

If you look at the HappyCat Strategy STT Dashboard in the “Dump it here” thread you can see some of my additional worksheets. There are other sheets you can’t see but at least you will get the idea of what can be accomplished. 

I trade a multitude of strategies & prefer to view the trading results separately with separate graphics. I also have a worksheet with combined results that give an overview of my trading results. 

My wife prefers to view the weekly results in one printed sheet at the end of each week ( that are filed) as the printed sheet is concise. The mechanics of trading is left up to me.

Skate.


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## Warr87

Week 37
Buys: 4
Sells: none

I am fully invested as of yesterday. I had 4 buys. I am transitioning to the new spreadsheet so I don't have any real graphics to throw up for people. My new positions are all rather flat which is to be expected. I practically started from the beginning given I did shed a lot of positions with my index filter. I expect my portfolio to pick up some momentum in the coming months. Even with that, I am still ahead. And, according to my VAMI report in my new spreadsheet I was out of drawdown in +5% in August which would checkout. So not a bad recovering given the instant losses I had from when I started.

Hopefully some better updates coming soon when I have time to fiddle around with the new spreadsheet.


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## Warr87

Week 38

Buys: 1
Sells: 1

1 to sell due to closing below MA. Only held it for a week so a little surprising. I have a few other buy signals to take its place! Overall, I don't think my account gained much this week. Seemed pretty flat for me. All of my gains are from the few positions left over from when my index filter came on. The new positions added in the last 2 weeks are all relatively flat and haven't taken off yet. Can't wait for that as my account has doubled as I reinvested some other capital into this system since it survived the paper trading phase, live phase over 6months (including a market crash). 

I think the profit factor below is not entirely accurate, or rather, not entirely representative of the system. Why? Well, as soon as I started I had all my stops hit due to the COVID crash. Needless to say, the current win% is pretty good and shows how I clawed back after an immediate and large drawdown from the beginning. (At least that's my justification haha)


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## Newt

Nice going Warr87.   So many ways to use an Index Filter, but (within limits) its often more profitable to tighten stops than sell everything.  When the next strong upward move comes, sometimes that stocks that held sideways, but not down, in the market sell off can be first to rebound.  

Thanks for all the hard yakka sharing your trades too.


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## Warr87

I think on weekly an index filter can work well. on a daily system I am papertrading, not so much. i prefer a tightened trailingstop instead of an immediate selloff. but different systems respond better to those filters.

i am looking forward to the next upward move. want to take advantage of the double sized positions. at least I have broken even and its not even the end of the year. I'm sure i'll be in double digit positive territory by the time the 12month mark comes around .

and not a problem. i have got a lot from this community so I hope this helps others out.


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## Warr87

Also, after some backtesting and the live trading on a demo account, I went live with a breakout system for ETH/USD and BTC/USD using CFDs. While the live trading was mostly negative, this was due to false brekaouts and the system was taking trades as it should have. So I was happy that live trading matched close enough to previous backtests. I was lucky as this week saw a breakout in both etherium and bitcoin as I went live with the system with real money. With just under $1000 I made around $180 i believe. if it continues to be profitable I will scale up into this account with some other money. It's long only so I expect to lose some of those profits obviously. Typically its a 2 profit factor.

I am working on 30min timeframe for ETH and 4HR timeframe for BTC.


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## Warr87

AVJ was sold for a 10% loss. AMS has taken its place.


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## Warr87

Week 39

Buys: Nil (index filter down)
Sells: 1 sell due to close conditions. 6 stoploss sells due to index down

Sorry for the late update. Work had me very busy. Was able to get buy/sells in though.

It was a very poor week as a lot of others experienced. As I suspected, when I checked my system my index filter had turned back on. This is the first year I've traded, so I have nothing to compare it to, but the up and down market and uncertainty is certainly not pleasant. Almost feels like I'm whipsawing as well due to filter on/off. But given the volatility right now, in hindsight it will be appreciated. It's a long game.

I dont't think the stats my system is currently showing demonstrate it. I need to figure out how to replicate my old chart in my new spreadsheet as I like to compare myself to the XAO.

Things will be updated again as some of the sells from the SL will actualize some wins.


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## Warr87

well today was good for all my systems (except my crypto system). All gained approx. 2.5%. Nice to see some positive numbers lol.

still waiting for my sells to clear for my SuperASX300 system. Will be entering into the 2 new buys tomorrow hopefully.


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## Warr87

Week 40

Buys: 7 (to fully invest)
Sells: None. all survived

Overall not doing too bad. Portfolio rebounded a little towards the end of the week. Profit factor is also back to 1. Previously it was close to 2 which is healthy. I was listening to Covell's book (on audible) 'Trend Commandments' and listening to his interviews. It reminded me that, right now, my system is not in sync with the market. Either is any other trend followers here. Everything is good and operating as expected! There will be good and profitable times ahead! Staying breakeven right now is actually a good outcome cosidering the market right now.

With 13 positions right now I am at +5.9%. The index is up this week (after been down from last week), and I am expecting some momentum. But, as any trend follower, I am not predicting/have an opinion on where its going.


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## Warr87

In other news, I currently have 2 EA's trading live within an FX account. They were live tested before running on a real account. I have been looking at learning python as many here know, but on the advice of someone I decided to learn some MT4 (MQL4) programming to write my own EA's. The EA's are trading CFDs. What's being traded right now is BTCUSD and ETHUSD. It is also up 20%. I tried putting in the trades into my current spreadsheet but it wouldnt work. When I get a spreadsheet specifically for CFDs/Futures/FX worked out I plan on tracking the progress more indepth. Right now I only have $1000 in the account. I liquidated some other small investments I had started years ago with the plan to put it into this. If these EA's continue to perform like they did in the backtest and then forward testing in demo account, I will increase capital. I am also forward testing a LTCUSD bot, and a ASX200 bot. The LTCUSD is the same as the BTC and ETH EA's, whereas the ASX200 is a MR bot (that is performing very well and is incredibly simple which I also like). Coding for MT4 is actually rather simple but I did do some courses on youtube and udemy. A member here has also given me a bit of advice too which has helped greatly. But I think experience with AFL will help with MT4. Both are C based languages I believe. 

I have a few other ideas for EA's and the CFDs are attractive due to low margin requirement, thus easy to trade in small lots and scale up accounts. I still do not have a AUDUSD system which is killing me, because I want a FX system to run. A lot of people lose money with CFDs, thus money management is key (as always). WIth backtesting, forward testing in a demo account, and then limited capital in a live account, I hope to avoid any major pitfalls of trading with CFDs.


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## Warr87

Update:
I got all my fills.

And what a change a day can make. My MAP strategy is over a profit factor of 1. Today it gained 1.6% of portfolio value. (Strangely enough my superASX300 strategy took a huge hit. usually that one is the less volatile.)


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## Warr87

mentioned my move into CFDs/cryptos a few times. Here is an update on how that is going. Still needs tweaking, but its getting there,


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## Warr87

Week 41
Buys: fully invested
Sells: none

A pretty good week, for pretty much everyone here I believe. my profit factor increased for all my strats. Hopefully a rise in momentum as I'm now fully invested. Overall I am now at +8.6% which is great.









As for my CFD/crypto trading, a few false breakouts have put my strat in a slight drawdown. but  i still have a trade open that will give me +13.5% when its eventually closed. paper trading on the demo account with some strats continue.


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## Warr87

Does anyone have any experience with Alera Portfolio Manager? It can take buy/sell signals from AB and send them to IB (fully automatic or semi-auto). They have a free license for papertrading. The problem is that there is no tutorial on even how to set this up, instead they suggest you go to third party and spend money on a course to learn how. Besides this seeming rather dubious, it is frustrating. If anyone can share how to do this, it would be great.


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## Warr87

For those that are interested, Radge has released more information on a long/short system. They are seperate systems but are meant to work together. Look to be for US market only. He is also releasing a new system for 2021 that is a new monthly momentum strategy.

And in case anyone is wondering, no I'm not affiliated.


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## Warr87

Week 42

Buys: none
Sells: none

Fully invested so no buys. No stale exits either. I presume everyone did well this week. All my systems are up.


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## Warr87

Week 43

Buys: none
Sells: none

Fully invested. An up week. Things are going well with this portfolio.










Other Updates:
HappyCat is going well with +7.2%. I have had a few issues with my CFD trading an my EA's. My home server for some reason disconnected which stoped my EA from closing a position. I also had another anonamly with a different EA. I went from +18% since September to +3%. That one position that did not close when it should have took 10% of my profits. Hard thing to see. But this is why it is with a small amount of capital. It was backtested, then tested on a live demo account, and then on a small capital live account--and still mistakes happen.


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## Warr87

Week 44

Buys: 1 (plenty of others but only 1 position opened up)
Sells: 1 sell (position at -11%, closing due to close below MA)

Not a bad week. I'm happy to be cutting away 1 position and giving another position a go. I've been at home this week and checking my account each day has desenitised me in some ways. I have noticed the small incremental increases daily. It was only when I had a look at this weeks finishing portfolio value compared to last weeks did I notice how good of a week I have had. Last week was +25.3%, this week is +32.5%. Pretty respectable! I'm not as skilled as others who post their trading journal, but happy to be posting these numbers. Still within my first year of trading, so let's hope I can keep up he momentum of 20-30% CAR.

I'm not silly though. I know this upward trend wont last forever. Got to relish in it though as its been a hard first year of trading with the market being so indecisive.









Other Updates:
My CFD trading remains up and down. 2 other EA's have passed demo trading and are now live. I am noticing a difference in backtesting though. When backtesting with demo login on the demo server I am getting different results when backtesting on my live account. Its the same broker so I shouldn't have these problems. It's ..... interesting. I keep my demo account going to see how the live vs. demo still trades with the EA. I am very cautious. I backtest and when I'm happy I run on the demo. When it passes a month (or more depending on # of trades) it goes on to live account, but still comapred to the demo. SMall amount of capital too.

My demo account is at +45%, while my live account is at +6%. Been trading them since september. The 2 new EA's running should add more steady stream as they are both MR EA's, 1 is on AUDUSD 1hr, the other is ASX200 1hr.

Other Other Updates:
My daily system that is paper trading is doing OK. +7.2% from 3weeks of trading. Could be better, but its likely going to do better when my weekly isn't. This is part of the reason why I want a daily system. Not as correlated. THough both trend trading on on the same universe, so still correlated (just more reactive and recovers better when market goes down).

The monthly system has its only thread. It's doing good. Can't look at it too much as a month system. Checking it too often is pointless.

I'm still following the happycat system from skate. its at +7.3%. This is noticable less than skate, but I missed a position. Still a good result as its positive.


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## Warr87

Got my fill on my sell, and at a good price. My buy, however, is not even close. The share opened above my +3% limit order and finished the day at +27%. I leave my buys in until wednesday so still an opportunity.


----------



## peter2

So, if price falls by more than 21% you'll be happy buying it?


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## Warr87

peter2 said:


> So, if price falls by more than 21% you'll be happy buying it?




probably not. my rule for wednesday is just to give my system a chance to pick a position up if it has just missed my limit order from monday. i wouldnt expect something that has gone up by 30% to pullback that far.

your point is well taken though!


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## Warr87

Week 45

buys: 1
Sells: none

No sells for positions in my portfolio. While the market seemed to pull back a bit this week, my positions remain in play. I was waiting for prices to settle and I hope this is just a pause before a continued uptrend. I obviously like being at +31.3% and want to get higher. I also suspect that a few of my positions will trigger a stale exit some time soon as well. But its not this week.

I had a buy in this week but the position gaped up and continued to go up. I don't chase so its gone. I will enter in a new position on monday.

















Other updates:
My CFD trading took a hit this week. I found another bug in an EA I just took live last week. Even though I backtested, forward tested on a demo account, and kept it with some small capital, it still got through. I've identified the issue and will work towards fixing it. It took 5% of my account by the time I figured there was an error in the coding. But this is why I have so many steps before I let it loose.

All other portfolio's lost roughly the same amount as my MAP strategy, 2-3%. I suspect most people here are in the same boat.


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## qldfrog

Warr87 said:


> Week 45
> 
> buys: 1
> Sells: none
> 
> No sells for positions in my portfolio. While the market seemed to pull back a bit this week, my positions remain in play. I was waiting for prices to settle and I hope this is just a pause before a continued uptrend. I obviously like being at +31.3% and want to get higher. I also suspect that a few of my positions will trigger a stale exit some time soon as well. But its not this week.
> 
> I had a buy in this week but the position gaped up and continued to go up. I don't chase so its gone. I will enter in a new position on monday.
> 
> 
> View attachment 116237
> 
> View attachment 116238
> 
> View attachment 116239
> 
> 
> View attachment 116240
> 
> 
> View attachment 116241
> 
> 
> 
> 
> Other updates:
> My CFD trading took a hit this week. I found another bug in an EA I just took live last week. Even though I backtested, forward tested on a demo account, and kept it with some small capital, it still got through. I've identified the issue and will work towards fixing it. It took 5% of my account by the time I figured there was an error in the coding. But this is why I have so many steps before I let it loose.
> 
> All other portfolio's lost roughly the same amount as my MAP strategy, 2-3%. I suspect most people here are in the same boat.



Well done.thanks for the journal
An interesting point on your last comment, i am seeing a divergence between my systems specifically my qfduc weekly/daily and yours/the Cat and some others trend systems.
Underperforming when you guys have stellar results but overperforming when you do not.
Find it interesting and maybe an incentive for me to give a go to a back to basic trend system , to add diversification
Note: i also gapped up on 2 buys..missed..this week and even now, i have some manual errors or whatever issues which affect system runs.
We can assume these issues will be always there.maybe reduced but not removed.
On my daily, one day this week, i could only log to my broker 10min before opening, not good for blood pressure...
Have a great weekend


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## Warr87

qldfrog said:


> Well done.thanks for the journal
> An interesting point on your last comment, i am seeing a divergence between my systems specifically my qfduc weekly/daily and yours/the Cat and some others trend systems.
> Underperforming when you guys have stellar results but overperforming when you do not.
> Find it interesting and maybe an incentive for me to give a go to a back to basic trend system , to add diversification
> Note: i also gapped up on 2 buys..missed..this week and even now, i have some manual errors or whatever issues which affect system runs.
> We can assume these issues will be always there.maybe reduced but not removed.
> On my daily, one day this week, i could only log to my broker 10min before opening, not good for blood pressure...
> Have a great weekend




thanks mate. i appreciate it. i still don't perform as well as others here but happy with my results.

and now that you mention it, i think you are right. i follow your journal and i think you are right that there is some negative correlation with your current systems and mine/other trend followers. my daily was an attempt for a small diversification though there probably isn't much. my CFD trading is also another way through trading a variety of different instruments (FX, crypto, and soon commodities). if you do have that divergence then maybe a basic trend system would be a good idea!


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## Warr87

Here are the current results for a modified CAM system traded daily on the AllOrds. I have papertraded this version in python/IB but it didn't work as intended. My papertrading in good old AB + ShareTradeTracker.

Started 16/11/2020
AllOrds
20 max positions
buys on the open (as opposed to how my MAP strategy trades where I buy on the previous close +3%, with the daily, I just buy at whatever the open is)
Buying into uptrends or pullbacks (CAM strat uses MACD, CCI, ADX to determine these conditions)
ranking is key to the success of this strategy (a ROC momentum ranking is used)


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## Warr87

I am now in ERF. I almost made a mistake as I had forgotten to put in my order. I swear I did it on Friday but noticed nothing had happened. Glad to pick up this mistake.

Now fully invested.

I also fixed up my EA's. Now backtesting against other futures and instruments. It's testing well. Have a few ideas for further improvements. One big improvement is the lower margin I now need. I think my previous EA was loaded up on too many contracts. It was using ATR as position sizing, I'm now using a more defined SL and using that as a hard limit to size. Less risk but will act more like a breakout EA that I had intended. (Hopefully. now lots of forward testing to be completed)


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## investtrader

You mentioned-
"buys on the open (as opposed to how my MAP strategy trades where I buy on the previous close +3%, with the daily, I just buy at whatever the open is)"
Do you mean an IB MOO order? I know these work amazingly well on US stocks - traded them for years and it was rare you didn't get the opening price, but I don't know if this order type is available here and what fills you will get.


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## Warr87

its just an open order. takes whatever the market order is at open, as opposed to my MAP strategy that sets a limit order for the previous close + 3%. the daily system will just take whatever there is.


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## investtrader

Fair enough. Netwealth has a market order which is not strictly a truse market order that takes any price. It basically turns into a limit at the best offer. But you send set them up with one click.


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## Warr87

investtrader said:


> Fair enough. Netwealth has a market order which is not strictly a truse market order that takes any price. It basically turns into a limit at the best offer. But you send set them up with one click.




IB has a very different algo's as well. i think even a VWAP algo. this strategy is just in papertrading right now so no actual trades are being taken. i am learning more of IB's order types. its a bit daunting at first, but as you learn how to use them i think they are fantastic.


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## Warr87

Week 46

Buys: none
Sells: none

Was a flat/down week until today and yesterday. A few sell orders are coming up but I don't hold those positions. It was an interesting week. Saw my systems mostly stay flat or slightly down. A bit of a recovery. The system is not at *+35.5%*, last week it was at +31.3%. With what seemed as a flat week did result in a few % gained (so that's always nice when officially reviewing at the EOW). Now fully invested and happy that almost all of my  current positions are winners. Market's are fickle things. Who knows what will happen next week?














Other updates:
ASX300 Super -- is at +5%
HappyCat -- is at +5.4%
(Paper trading) DailyCAM -- is at +5.8%

CFD trading:
Had a lot of success with my improving my EA's. Did a lot of testing. I caught the breakout for BTCUSD, account is +5% for that trade. Got +2% from my AUDUSD MR EA. I should have got into the ETHUSD breakout but my EA didn't take the order. And my demo account is using the EA for CORN and SOY futures (both had breakouts on the 1H timeframe) but didn't take. I think I have an issue with the EA only taking 1 trade despite it having a different magic# and on different charts. It's odd. It was a shame to miss 3 breakouts this week but at least I caught one. For those who don't know, BTC is at $23k USD. I got in at $19k. My only fear is that my broker doesn't trade on the weekend. So if it gaps down on the weekend it may go through my SL. Sometimes it gaps higher. Overall the BT is profitable so we will see.


----------



## Warr87

Thanks to a helpful member on here I think I have solved my EA issue. Time will tell on Monday when the market opens up again.

I also got around to reconstructing my chart to compare my performance. I didn't realise how much my strat jumped up in week 38, lol.


----------



## Warr87

Week 47

Buys: CDV
Sells: BOQ (stale)

An interesting week. Thought it'd be a down week. One of the days all of my systems lost a bit of profit. They all bounced back. I gained another 4% in this strategy. Now at +39.8%.




















Other updates:
ASX300 +5.9%
HappyCat +4.9%

CFD Trading
I manually closed my BTC trade. I wasn't too sure about the trading with my broker so I closed it. It could have gapped up, but seemed like a big risk. Theoretically Icould code an exit into it for public holidays but that is a lot of additional work for a few days. I added +5% to my account from the trade. It could have been a lot more but the position sizing was rather small (was a wide range when entered). Gained a small amount from an ETH trade too, and a minor win from an AUDUSD trade. The EA for SOYF and CORNF are still being run. Both doing well an acting like I expect (the EA I mean).

If anyone has any good ideas for a trend following strat with currencies, particularly AUDUSD, I would love to hear them. Tried a few ideas but nothing has really worked. Happy to share whatever EA I code from it too.


----------



## ducati916

Warr87 said:


> Week 47
> 
> 
> If anyone has any good ideas for a trend following strat with currencies, particularly AUDUSD, I would love to hear them. Tried a few ideas but nothing has really worked. Happy to share whatever EA I code from it too.




So not sure whether this would help or not: I am going to trade the Yen. If there is a Yen/$Aus, which of course there is:




Then between us I'm sure we can figure something out. What we will need is a dedicated thread to these 2 currencies. Then entries/exits and analysis can be posted pretty close to real time (given that this is a 24hr market) and we'll see how we go. I'll be trading Yen long/short. Obviously if I am short Yen, it is likely that you would be long $Aus (although there will be the odd strange one I'm sure).

Anyway, let me know if you are interested.

jog on
duc


----------



## Warr87

sounds good mate. i'd be happy to see if I can code some of your ideas. I just checked my MT4 terminal and it only shows me AUSJPY, which obviously isn't an issue. Just the base currency is different. Since I'm new to coding this it may be a bit slower to get off the ground but excited. I'm pretty happy with my donchian EA that I coded and need a new project. Definitely want some currencies trading as I'm not 100% happy with the current AUDUSD EA. It's a simple MR strat but the parameters that worked has it more of a swing system.


----------



## Warr87

I made a mistake. I manually closed my BTCUSD position on the thursday last week because I wasn't sure how my broker was trading over the holiday period. I assumed they would be trading similar to the ASX which wont open until tomorrow. I was wrong. They started trading again this morning at 9am as per usual. My EA opened a new BTC position as it noticed the breakout, so I am back in. It bought at 26k, whereas I had previously bought at 19k. Let's just hope that this wont undo my profits from before. A downside of using CFD's that don't trade on the weekend is that when monday comes it is a gap up or down, this means my trailing stoploss is a bit slow to catch up (since it doesn't record the movments from the weekend since it wasn't trading with the broker but the price is moving on the exchanges).

My EA also entered into a ETHUSD position just before market close last week, so that is doing very well (+11% right now).


----------



## Warr87

BOQ was sold for a 24% profit. Not bad for a stale exit. CDV has taken its place.







My ETHUSD position was closed with a 12.7% gain to my account.


----------



## Warr87

Something wasn't adding up with my profit when I logged into my account, and my systems return. I think my spreadsheet is taking into account my original funding for the account, not what it is now. i thought I had this sorted. Needless to say my returns are well inflated. I will get around to fixing it, but just half it and that is what I am at now. Still a good return, and still well above the XAO.

Sorry for the confusing and unintentional misleading. I knew I wasn't that good .


----------



## Warr87

Despite finally being on holidays from work I have found myself pretty busy. Wont be posting an update just yet as I haven't got around to fixing the performance tracking issue just yet. It's on my to-do list.

The EA's are doing well. I even started the EA's trading CORN and SOY futures on my live capital account (been in my demo account for at least a month). They are also trending very nicely right now too.

An update for the SuperASX300 will also be coming. Some time this week.


----------



## Warr87

Week 48 (late update)

Buys: ERM
Sells: SDG (stale)

SDG came up as a stale exit. this didn't actually sell until today. I had to keep checking it as there was just no volume on this thing. It was a little frustrating. It did end up closing for a +68% profit, so can't go wrong there even though I had to keep lowering my sell price.

It was a good week last week. The momentum in my profile is still growing. I'm gaining pace greater than the market which is always nice. I finally got around to fixing (in part, I'm really not sure how accurate it is) the performance tracking. I will be more careful in the future. It got to the point where the performance stats just weren't matching up to what I expected and weren't making sense. It should have been obvious earlier ...

Revised performance charts.

at +31.5%. Still very healthy and something I am very happy with!








As for the CFD trades. That is going great. As of today it is +21.5% realised with another +22.7% in open profits. My donchian bot is doing good. I also started gold spot price, thankfully before its up-move earlier in the week. Though it did get stopped out. The ETH bot has been stoped out from a few false breakouts but is currently doing well.

What I'm now trading with CFD's using an EA:
XAUUSD (spot gold)
BTCUSD
ETHUSD
CORNF
SOYF
AUDUSD (this is the only one not using the donchian EA)

The Super account will get an update of its own soon. Only entered into the trades yesterday by the time settlement came around and my money was available.


----------



## Roller_1

@Warr87  what are you using for your EAs mate? Where are you building them?


----------



## Warr87

I'm just writing them for MT4 and using FXCM.


----------



## Warr87

Week 49

Buys: none
Sells: none

I'm now at +33.4%. I think others had some better results this week. I'm still happy. No real comments on the system or the week. It pretty benign.













Other updates:

Happycat is +11%.

CFD
+26.5% with +15.5% is open profits still on the table. Markets have been trending in the ones I now trade (SOY, CORN, Spot Gold, BTC, ETH, and AUDUSD). I'm pretty happy with how its progressing. I may add more capital to this soon as it was seeded with an initial $1000.


----------



## peter2

Good job @Warr87 . I see your MAP equity curve is kicking the XAOs butt. Stay on track.


----------



## Warr87

thanks mate. i'm still suspicious of the results, but I think I'm just second guessing my success thus far. The results weren't as stand-out until I compared them to the XAO. 

I just ran a quick backtest over the same period. I'm lagging significantly behind that backtest (by half). But I missed a few trades and struggled to get a few fills when I sold. 

This should also be one of my worst years, I can only hope. With the market crash last year I'm hoping for strong market returns this year. Time will tell .


----------



## peter2

A little bit of psychology, a little bit of commonsense and a huge pat on the back. A trading system will only earn what it's designed to earn. Our role is to apply the system as perfectly as possible in order to earn the maximum that's available. If the system is not fully automated then we're going to make some mistakes. Overall, mistakes cost us and reduce system profit. Hopefully the system has enough of an edge that a few mistakes won't cost us too dearly. I don't like that you're only earning 1/2 of what your system should earn. That's a huge problem that you'll have to fix. The system could be at fault if the buys and sells are frequently impossible to get in the real market . Or you're the weak link in the system. You've got to minimise the number of mistakes. 

I think you're correct in comparing your results against a system back test (or a forward test). Don't fall into the trap of comparing the results of your system against results of other systems. If you see that other systems return better results then work on developing better systems. @Skate is a master at this. 

Don't overlook the significance of your trading achievements. Your MAP system started at exactly the worst possible time. Did you quit? No. You traded your system through a very difficult period and now you're starting to see the rewards as your equity curve leaves the XAO in it's dust. Very few new traders experience the immense personal satisfaction that you should be feeling now. Most of them quit or change systems. You have dug yourself out of a significant drawdown. Having done it once, you must know that you can do it again.


----------



## qldfrog

About the lag against backtest: i believe check against backtest is indeed the criteria to track.i stopped one of my system due to unexplained delta.
One way i have explained deltas which can seriously affect performance is when i have both buy/sell at open but no cash reserve left.
my broker does not accept buy order if i do not have cash or pending cash available, so i need to wait for some packets being sold before entering an extra buy order.
Based on sell execution orders at open, it sometimes mean my buy orders are late and miss the open price.
But 50pc underperformance is huge.worth investigating, doing a bit of forensics on trade history..
Overall :great job Mate


----------



## Warr87

peter2 said:


> A little bit of psychology, a little bit of commonsense and a huge pat on the back. A trading system will only earn what it's designed to earn. Our role is to apply the system as perfectly as possible in order to earn the maximum that's available. If the system is not fully automated then we're going to make some mistakes. Overall, mistakes cost us and reduce system profit. Hopefully the system has enough of an edge that a few mistakes won't cost us too dearly. I don't like that you're only earning 1/2 of what your system should earn. That's a huge problem that you'll have to fix. The system could be at fault if the buys and sells are frequently impossible to get in the real market . Or you're the weak link in the system. You've got to minimise the number of mistakes.
> 
> I think you're correct in comparing your results against a system back test (or a forward test). Don't fall into the trap of comparing the results of your system against results of other systems. If you see that other systems return better results then work on developing better systems. @Skate is a master at this.
> 
> Don't overlook the significance of your trading achievements. Your MAP system started at exactly the worst possible time. Did you quit? No. You traded your system through a very difficult period and now you're starting to see the rewards as your equity curve leaves the XAO in it's dust. Very few new traders experience the immense personal satisfaction that you should be feeling now. Most of them quit or change systems. You have dug yourself out of a significant drawdown. Having done it once, you must know that you can do it again.




Thanks mate. I don't think I've made too many mistakes overall, so I should look at the backtesting against my live results. I checked it a while ago and I was actually outperforming the backtest. Now it seems to be the other way. I think the few trades I've missed have made a difference (they have made a difference with the HappyCat strat as I'm behind skate with that due to the limited trades I missed). I'm not too worried right now as my backtest showed +60% which would be an absolute crazy amount. During my paper trading the backtest and trading matched perfectly. During the first 4months or so on live data, the same. So some investigation should probably be made.

You are right I started at possibly the worst time. It was hard to trade through all that as the market was crashing and my system hadn't given me sell signals. But what kind of system trader would I be if I discarded my rules immediately out of the gate? I also reminded myself that the best time to trade is after a market crash, but you can never pick the bottom, so you just have to keep trading and manage risk. It looks like that has paid off. The encouragement from users here has definitely helped. And as a trend trader I expect to be in a draw down in the future, but at least I know I will recover with a vengeance.


----------



## Warr87

qldfrog said:


> About the lag against backtest: i believe check against backtest is indeed the criteria to track.i stopped one of my system due to unexplained delta.
> One way i have explained deltas which can seriously affect performance is when i have both buy/sell at open but no cash reserve left.
> my broker does not accept buy order if i do not have cash or pending cash available, so i need to wait for some packets being sold before entering an extra buy order.
> Based on sell execution orders at open, it sometimes mean my buy orders are late and miss the open price.
> But 50pc underperformance is huge.worth investigating, doing a bit of forensics on trade history..
> Overall :great job Mate




Yea I think a few missed trades and not getting some fills may have left to the large difference in the delta. My back test runs on getting the next candles open. Though in practice I do the previous close +/-3%. I could simply change to just market orders at the open and not worry about restricting my limit price. I am lucky where I don't have to wait for settlement with my broker either, but as you mention if i don't get a sell order fill I have to wait for the buy usually (unless I have enough cash for the position).

I'll have to find some time to investigate and hopefully I can sort it out. +30% is nothing to baulk at though, especially since I was in a -23% drawdown. +60% would of course have been better .


----------



## Warr87

I did a backtest from today back to september. Why september? that's when I added more capital to my system and the approximate time I also got out of a drawdown. It returns a profit of 34% which is damn close to what I'm at now. I think the issue may be the potential missed buys or sells when the market was a bit erratic/unsure. I'm also not sure if I could have handled buys/sells a bit better From Feb-Sep.

This brings me to a question for the followers. Should I just buy/sell at the open with a market order, or should I continue doing the +/-3% that I currently do? If the backtest just does the open for buys/sells perhaps to be true to the backtest I don't micromanage the orders and just let it enter at whatever the market is doing?


----------



## Trav.

Warr87 said:


> Should I just buy/sell at the open with a market order, or should I continue doing the +/-3% that I currently do? If the backtest just does the open for buys/sells perhaps to be true to the backtest I don't micromanage the orders and just let it enter at whatever the market is doing?



@Warr87 how about modifying your code a bit so the backtest simulates your exploration - 3% limit as suggested by @captain black in the Dump it here thread then you might be able to understand your differences between the backtest and trading rules






						Dump it Here
					

It's worth noting that Amibroker Backtest can't be overridden to compensate for missed (not purchased) positions.   That's not correct.  Use a buystop as part of your entry condition, adjust your trade delays and set the buystop entry condition to false if the low of the entry day gaps up...




					www.aussiestockforums.com
				




I found this code on the AB forum which works fine, you just have to remember to change your setting - SetTradeDelays(0, 0, 0, 0);



			https://forum.amibroker.com/t/overriding-amibroker-backtester-settings-generating-unrealistic-results/7374/4
		


// I have added some comments to help



		Code:
	

/// based on limit order example of
/// @link http://www.amibroker.com/kb/2014/11/26/handling-limit-orders-in-the-backtester/
/// responded to in this thread
/// @link https://forum.amibroker.com/t/overriding-amibroker-backtester-settings-generating-unrealistic-results/7374/4
BuySignal = Ref(C, -1) >= 2.0; // Replace code ****Ref(C, -1) >= 2.0**** with your buy conditions

// buy on the next bar
Buy = Ref( BuySignal, -1);
BuyStopPrice = Ref( Close, -1) * 1.03; // 1.03 is 3 %

// now we check if buystop was hit
Buy = Buy AND Open> BuyStopPrice; // Was H is code and changed to Open

// if Open price is above the buystop, then we use Open for entry
BuyPrice = Max( Open, BuyStopPrice );


----------



## stasisbr

Warr87 said:


> This brings me to a question for the followers. Should I just buy/sell at the open with a market order, or should I continue doing the +/-3% that I currently do? If the backtest just does the open for buys/sells perhaps to be true to the backtest I don't micromanage the orders and just let it enter at whatever the market is doing?






Trav. said:


> I found this code on the AB forum which works fine, you just have to remember to change your setting - SetTradeDelays(0, 0, 0, 0);




@Warr87 I'm keen to hear what difference it makes on your backtests. For mine I get better results with just a Market Order as opposed to the C+3% rule.

@Trav. Great work on digging up that code


----------



## Warr87

Trav. said:


> @Warr87 how about modifying your code a bit so the backtest simulates your exploration - 3% limit as suggested by @captain black in the Dump it here thread then you might be able to understand your differences between the backtest and trading rules
> 
> 
> 
> 
> 
> 
> Dump it Here
> 
> 
> It's worth noting that Amibroker Backtest can't be overridden to compensate for missed (not purchased) positions.   That's not correct.  Use a buystop as part of your entry condition, adjust your trade delays and set the buystop entry condition to false if the low of the entry day gaps up...
> 
> 
> 
> 
> www.aussiestockforums.com
> 
> 
> 
> 
> 
> I found this code on the AB forum which works fine, you just have to remember to change your setting - SetTradeDelays(0, 0, 0, 0);
> 
> 
> 
> https://forum.amibroker.com/t/overriding-amibroker-backtester-settings-generating-unrealistic-results/7374/4
> 
> 
> 
> // I have added some comments to help
> 
> 
> 
> Code:
> 
> 
> /// based on limit order example of
> /// @link http://www.amibroker.com/kb/2014/11/26/handling-limit-orders-in-the-backtester/
> /// responded to in this thread
> /// @link https://forum.amibroker.com/t/overriding-amibroker-backtester-settings-generating-unrealistic-results/7374/4
> BuySignal = Ref(C, -1) >= 2.0; // Replace code ****Ref(C, -1) >= 2.0**** with your buy conditions
> 
> // buy on the next bar
> Buy = Ref( BuySignal, -1);
> BuyStopPrice = Ref( Close, -1) * 1.03; // 1.03 is 3 %
> 
> // now we check if buystop was hit
> Buy = Buy AND Open> BuyStopPrice; // Was H is code and changed to Open
> 
> // if Open price is above the buystop, then we use Open for entry
> BuyPrice = Max( Open, BuyStopPrice );




Don't we only want to buy if the open is less than the BuyStopPrice?


----------



## Warr87

I added this and I got 1 extra buy and no changes to my backtests lol.



		Code:
	

Buy = (MapBuyCondition AND PriceF AND Index_UP) AND Open < BuyStopPrice;


----------



## Trav.

Warr87 said:


> Don't we only want to buy if the open is less than the BuyStopPrice?




you might want to change the following

Buy = Buy AND Open <= BuyStopPrice;

step it through and see how you go.


----------



## qldfrog

Warr87 said:


> Don't we only want to buy if the open is less than the BuyStopPrice?



Yes just do a 
Buy = Buy AND Open<=BuyStopPrice


----------



## qldfrog

qldfrog said:


> Yes just do a
> Buy = Buy AND Open<=BuyStopPrice



Sorry just noticed already there suggestion..
The other point to be aware of is that your 3pc margin on buy or sell order might be rejected.. especially after rounding if deemed too far from expected open price.
And be aware that the same rejected price might be accepted, still before opening, a few min later...


----------



## Warr87

I get no change using the following:



		Code:
	

// buy on the next bar
Buy = Ref(MapBuyCondition, -1);
BuyStopPrice = Ref( Close, -1) * 1.03; // 1.03 is 3 %

// now we check if buystop was hit
Buy = (MapBuyCondition AND PriceF AND Index_UP) AND Open <= BuyStopPrice; // Was H is code and changed to Open

// if Open price is above the buystop, then we use Open for entry
BuyPrice = Max( Open, BuyStopPrice );


Something to look into.


----------



## qldfrog

Warr87 said:


> I get no change using the following:
> 
> 
> 
> Code:
> 
> 
> // buy on the next bar
> Buy = Ref(MapBuyCondition, -1);
> BuyStopPrice = Ref( Close, -1) * 1.03; // 1.03 is 3 %
> 
> // now we check if buystop was hit
> Buy = (MapBuyCondition AND PriceF AND Index_UP) AND Open <= BuyStopPrice; // Was H is code and changed to Open
> 
> // if Open price is above the buystop, then we use Open for entry
> BuyPrice = Max( Open, BuyStopPrice );
> 
> 
> Something to look into.



BuyPrice = Max( Open, BuyStopPrice ) is wrong.you buy at the open in that case as it is within range to remain an active buy


----------



## Warr87

__





						Handling limit orders in the backtester
					





					www.amibroker.com
				




Googled limit orders for AB. The link above is very similar to the post from @Trav.

I corrected a few things and the results I got were +3% over the lsat 49weeks. Obviously needs a bit more work as that doesn't seem realistic.


		Code:
	

Buy = Ref(MapBuyConditionFull, -1);
BuyStopPrice = Ref( Close, -1) * 1.03; // 1.03 is 3 %

// now we check if buystop was hit
Buy = Buy AND Open <= BuyStopPrice; // Was H is code and changed to Open

// if Open price is above the buystop, then we use Open for entry
BuyPrice = Max( Open, BuyStopPrice );


----------



## Warr87

qldfrog said:


> BuyPrice = Max( Open, BuyStopPrice ) is wrong.you buy at the open in that case as it is within range to remain an active buy




Removed that and its now +13%.

Sells haven't been figured in. Could be a tomorrow thing if I have the time lol.


----------



## Warr87

Honestly I think it's shaping up to be just using market orders for the open may be more realistic for my system. During the COVID market crash I did manage to save a few % with my orders, but overall it may be that just making sure I enter the position at the open is the better idea.

But will see what happens with a little more testing.


----------



## Roller_1

I'm pretty sure you need to use a limit order to get into the opening auction and get the true open as per your tests. If you use a Market order you will get the first available transaction after the market opens, not during the auction which decides the true open. 

Why not just place a limit buy 10% above previous close? That's what i do for both buy and sells, always get the open unless a big gap.


----------



## Warr87

Roller_1 said:


> I'm pretty sure you need to use a limit order to get into the opening auction and get the true open as per your tests. If you use a Market order you will get the first available transaction after the market opens, not during the auction which decides the true open.
> 
> Why not just place a limit buy 10% above previous close? That's what i do for both buy and sells, always get the open unless a big gap.




I like that idea mate. I can't remember who said it, but I remember 'market orders are for chumps', lol.


----------



## Roller_1

Warr87 said:


> I like that idea mate. I can't remember who said it, but I remember 'market orders are for chumps', lol.




But a word of warning always rout the orders to ASX exchange, CHI-x doesn't use the opening auction i don't think. Once i was just using Smart routing (on IB) and something went wrong with the ASX exchange i think or with the stocks opening time and i got filled at my LMT price when selling (10% below previous close) only happened once tho..


----------



## Warr87

Roller_1 said:


> But a word of warning always rout the orders to ASX exchange, CHI-x doesn't use the opening auction i don't think. Once i was just using Smart routing (on IB) and something went wrong with the ASX exchange i think or with the stocks opening time and i got filled at my LMT price when selling (10% below previous close) only happened once tho..




good to know!

With the MAP strat, it's on CMC. My HappyCat strat is with IB. I actually like IB and tempted to switch everything over to IB. I like the variety of algo orders on offer and I get the feeling that order fills are just smoother with IB. Eventually I'll move to the US markets too (i'm tempted with Radge's long/short daily system actually), and IB is good for that.


----------



## Roller_1

Warr87 said:


> good to know!
> 
> With the MAP strat, it's on CMC. My HappyCat strat is with IB. I actually like IB and tempted to switch everything over to IB. I like the variety of algo orders on offer and I get the feeling that order fills are just smoother with IB. Eventually I'll move to the US markets too (i'm tempted with Radge's long/short daily system actually), and IB is good for that.




I'm trading a similar style to the daily in the US but a few differences, returns are nice and smooth. Hopefully live trading matches backtests in the long run.


----------



## Newt

I'm also split between both CMC and IB.  Think IB allows you to, for example, place 3 sell orders and 3 buy order on the same day and have them go off.  With CMC, if your already full invested, it won't accept 3 sells and 3 buys (buys would have to be placed after sells have executed).


----------



## Warr87

Roller_1 said:


> I'm trading a similar style to the daily in the US but a few differences, returns are nice and smooth. Hopefully live trading matches backtests in the long run.




similar style to radge's long/short daily? i do like the synergy of that combo that radge has. would need to ensure i have available margin for it though. it's tempting. would like to hear about yours.


----------



## Warr87

Newt said:


> I'm also split between both CMC and IB.  Think IB allows you to, for example, place 3 sell orders and 3 buy order on the same day and have them go off.  With CMC, if your already full invested, it won't accept 3 sells and 3 buys (buys would have to be placed after sells have executed).




CMC is alright. But the lower commissions, 9 accounts under 1 master IB account, and the order placement like you mention, certainly gives it more appeal even if you aren't taking advantage of the API. Though I originally went for CMC over IB so I would still have the shares registered under my CHESS. That being said, I am so entirely sick of the mountains of useless mail I get related to CHESS holdings. Essentially junkmail.


----------



## Newt

In no hurry to close CMC as like to be a bit diversified across brokers and may one day get into using the API and other markets IB offers.  

Amen to the paperwork issue.  Also worried initially about IB being outside CHESS, but way over that now - constantly trying to figure out which registry is involved for a new position, update dividend payment info for those that don't do it automatically - then the paperwork from both CHESS and the registry.  Versus on demand electronic reports from IB = zilch paper!


----------



## qldfrog

Roller_1 said:


> I'm pretty sure you need to use a limit order to get into the opening auction and get the true open as per your tests. If you use a Market order you will get the first available transaction after the market opens, not during the auction which decides the true open.
> 
> Why not just place a limit buy 10% above previous close? That's what i do for both buy and sells, always get the open unless a big gap.



Mentionned before but some brokers wl not allow that, even the 3pc around close price is sometimes rejected by bell direct in my case


----------



## Roller_1

Warr87 said:


> similar style to radge's long/short daily? i do like the synergy of that combo that radge has. would need to ensure i have available margin for it though. it's tempting. would like to hear about yours.




I don't know the rues of the strat that he sells and no doubt its probably better than mine. I'm not using leverage either, 5 longs and 5 shorts @ 10% of account each. I built it in RT, i also tweaked my MR in RT after moving across from Amibroker

You're right though about his diversification of strategy types, i'm following a similar path after getting hit of a 25% DD in March. I realized i need more strategies. I'm running 3 different ones now


----------



## Warr87

Roller_1 said:


> I don't know the rues of the strat that he sells and no doubt its probably better than mine. I'm not using leverage either, 5 longs and 5 shorts @ 10% of account each. I built it in RT, i also tweaked my MR in RT after moving across from Amibroker
> 
> You're right though about his diversification of strategy types, i'm following a similar path after getting hit of a 25% DD in March. I realized i need more strategies. I'm running 3 different ones now




I was papertrading a daily strategy in an attempt to diversify. Have to remember though that any long equities strategy is going to be fairly correlated. Adding a shorting component is good. In my experience the shorting strategies just lose me money. Some people do it well, I haven't been able to pull it off even in simulation. I imagine the US market offers more opportunities though. Not only with more shortable stocks but just more opportunities in general. I think the US will probably have better shorting opportunities but until I upgrade my norgate to include US I guess I wont know, lol.

Diversification can also come in different markets. If you had the capital, no reason why you couldn't trade in the europe market too. Will be a long time until I have the capital to even think of going outside of Aus or US, lol.


----------



## Roller_1

Warr87 said:


> Diversification can also come in different markets. If you had the capital, no reason why you couldn't trade in the europe market too. Will be a long time until I have the capital to even think of going outside of Aus or US, lol.




That's the issue isn't it, too many ideas not enough $$ lol. I am maxed out at 3 strategies atm 

1 weekly trend on asx, 1 asx MR, 1 US short term. 

Hopefully by the end of the year i'll be able to introduce a US  momentum 

I haven't even looked into shorting on the ASX liquidity on the long side can be bad enough for short term systems


----------



## Warr87

Roller_1 said:


> That's the issue isn't it, too many ideas not enough $$ lol. I am maxed out at 3 strategies atm
> 
> 1 weekly trend on asx, 1 asx MR, 1 US short term.
> 
> Hopefully by the end of the year i'll be able to introduce a US  momentum
> 
> I haven't even looked into shorting on the ASX liquidity on the long side can be bad enough for short term systems




hahaha, yup. waaaaay to many ideas and not enough capital. I had to stop a while ago with codingnew systems. Had a few ideas going that were testing well. But I don't have the money to trade them. I can dust them off when I have more money but no point spending hours designing a system I can never trade.

I have my super account trading a monthly momentum. trading the week asx here. i stopped papertrading the daily asx because of time constraints. instead of the daily i could go US. I've also never gotten a MR system to work on the asx so haven't even bothered. i may just cop up to buying radge's short term long/short and then modify as needed. it should be a tax deduction anyway. but thats probably at least 6months away.

i think a momentum style in the same vain as Clenow would work great in the US markets. I also revisit every now and then an ETF strategy based on 'The ivy Portfolio'. thats likely to be effective in the US given the availability of ETFs (i've tried on a watchlist made of just Aus ETFs but doesn't seem to work at all). the markets are big enough in the US to run a strategy like Radge's or clenow's momentum strategy on blue chip type stocks, while having another strategy aimed at those on the smaller/medium end.

Oh, and futures/commodities. I run a strategy on those right now using CFDs. If it was easier in australia to run futures strategy directly then I would, but right now I just have to rely on CFDs instead.

ahhhh, the options. at least I have places to put me equity when it grows, lol.


----------



## dpong

Excellent thread!  Way to trade through the crash of 2020!  Great commitment!

Though you asked some questions almost a year ago, here are my answers:

1) I never use limit orders for a sell.  A sell is a sell.  I sell the open, period.  Limit orders for a buy make sense.
2) If all my positions are full, and I have a buy and a sell, I sell this week.  Next week I look for a new buy and buy it then.


----------



## qldfrog

dpong said:


> Excellent thread!  Way to trade through the crash of 2020!  Great commitment!
> 
> Though you asked some questions almost a year ago, here are my answers:
> 
> 1) I never use limit orders for a sell.  A sell is a sell.  I sell the open, period.  Limit orders for a buy make sense.
> 2) If all my positions are full, and I have a buy and a sell, I sell this week.  Next week I look for a new buy and buy it then.



Like your option 2:
Did you find it better than sell and then buy the same day by hand potentially chasing vs the open?
Any test backtest on that scenario?
i would assume it will reduce your exposure which will be beneficial in falling market/stock so could give a small edge? Obviously in a rising stock/market you miss one exposure for a week.does that compensate?
Last point: that 2) is much easier to manage, no drama if you are away on monday morning


----------



## dpong

Less drama is my answer.  I put in bids pre-market.  My system says buy or sell the open.  If I had sufficient funds (due to less than 100% invested) I will buy and sell on the same open.  But if I have to sell one to get the funds to buy the other I will sell and wait for next week. 

I've done no testing.


----------



## Warr87

dpong said:


> Excellent thread!  Way to trade through the crash of 2020!  Great commitment!
> 
> Though you asked some questions almost a year ago, here are my answers:
> 
> 1) I never use limit orders for a sell.  A sell is a sell.  I sell the open, period.  Limit orders for a buy make sense.
> 2) If all my positions are full, and I have a buy and a sell, I sell this week.  Next week I look for a new buy and buy it then.




thanks mate. I'm starting to agree with you for sells. I end up chasing. Gotta stop micromanging them I think and just sell. #2 I'm definitely going to think on


----------



## qldfrog

dpong said:


> Less drama is my answer.  I put in bids pre-market.  My system says buy or sell the open.  If I had sufficient funds (due to less than 100% invested) I will buy and sell on the same open.  But if I have to sell one to get the funds to buy the other I will sell and wait for next week.
> 
> I've done no testing.



A serenity choice 👍


----------



## Warr87

Anyone know why CORN and SOY futures shotup over night? Both have huge candles. @ducati916 @peter2

SOY 1H




CORN 1H


----------



## peter2

From Marketwatch.com.   You know the reasons don't matter when we're trading the chart. All softs have been in a strong bull trend for months. 



Corn price chart shows a possible "blow off" top. Consider tightening your trailing stop.


----------



## Warr87

peter2 said:


> From Marketwatch.com.   You know the reasons don't matter when we're trading the chart. All softs have been in a strong bull trend for months.
> 
> View attachment 118321
> 
> Corn price chart shows a possible "blow off" top. Consider tightening your trailing stop.




Thanks peter. You're right, doesn't matter as I just trade the chart. But to see both shoot up was interesting and I was curious. Both have been in some nice trends lately. I wish I had finished my papertrading Corn and Soy earlier to get more of that action. Oh well.

My corn stoploss is at 491.17 (bought at 494.62 and price now at 532.41). It's a trailing stoploss of the 15 period lowest low (1H chart). Will be a few more bars before it gets brought up. I'm real tempted to tighten that SL but I wont interfere with my system.

From what I can see they have been in an uptrend since August.

I hope others got in as well.


----------



## ducati916

Warr87 said:


> Anyone know why CORN and SOY futures shotup over night? Both have huge candles. @ducati916 @peter2
> 
> SOY 1H
> View attachment 118318
> 
> 
> 
> CORN 1H
> View attachment 118319





Usually in commodities it indicates a supply/demand imbalance due to any number of factors: weather, planting, etc. That probably (as indicated in the news clip) is part of the problem.

The second issue is the issue of an across the board inflation. All commodities are classified under PPI prices. Ag. PPI inflation moves directly and significantly into CPI (food, which is excluded within the model) inflation, where lower socio-economic persons are really hit hard.

Fed. policy is to raise inflation.

Low prices through 2020 would have (likely) reduced planting acres. Looking at previous periods of low prices combined with a general commodity inflation 2008/2009 and there would still seem to be legs on the trade higher.




jog on
duc


----------



## Warr87

Thanks @ducati916 . I knew that commodities tended to do better in times like 2008/9 but I didn't really have much of an explanatory force behind it like you. Thanks for the analysis!

My trades got out overnight. Not surprising as they are opporating on a shorter timeframe, 1H. they did good though.

SOY futures 1H





CORN futures 1H




Soy locked in around 2% for my account whereas corn locked in approx 15%.

Its not all roses though. As a trend trader I take these wins but I get false breakouts all the time which also chip away at the open profits. I make the money from getting setup early and being on the right side of the trade.

I've tried to find some good shorting parameters for my EA but I don't have enough data to make an informed decision. My broker just can't supply it to me right now which is a shame. Based on the graph in from duc if it continues it will be a very nice bull run if it is cyclical (and hopefully I can short on the way down too).


----------



## qldfrog

Inflation is now moving in the mainstream finance news, Brazil raising rate, USD value increasing aka global inflation for exchanged goods so commodities, oil, food,you name it


----------



## Roller_1

Warr87 said:


> I've tried to find some good shorting parameters for my EA but I don't have enough data to make an informed decision. My broker just can't supply it to me right now which is a shame. Based on the graph in from duc if it continues it will be a very nice bull run if it is cyclical (and hopefully I can short on the way down too).




Have you seen tradeview? 
Your Trading Automated. - Next Level Trading - Trade View 
i checked it out a while ago and looked pretty good, although i haven't done much EA work.


----------



## Warr87

just had a quick look. looks pretty and all,but i'll save the cash.


----------



## Warr87

Week 50

Buy: 2
Sell: 2 stale exits

Pretty flat week. I am down less than 1% compared to last week, leaving a portfolio total of +32%. Not much to add this week, as far as the stock portfolio goes it has been pretty quiet and benign.











Other Updates:

The CFD account is where most of this weeks action occured. I still continue to be caught by a few false breakouts in ETH, though not entirely lost. I won a few AUDUSD trades in the MR strategy I have going. I haven't got around to fixing my ASX200 MR strategy though (I know the main issue but I need a few ideas to fix it). It is the argricultural breakouts that really made this week: SOY and CORN futures. My donchian EA got me in right before the upmove. Added a decent amount to my account! it then continued to drift down a bit but has started to breakout again. 

The CFD account is now at +46% realised. A big change since not long ago I was in a drawdown. I have always intended to add more to this once it proved itself. I wonder, is now the time? I only seeded it with $1000, I'm wondering if its time to add a few more to it. I do need to add a shorting component to the EA but it doens't seem to be entering the trades in backtest. It is rather strange. I also want to add energy to the mix as well (NGAS, OIL, etc.) but nothing of note has worked as yet. 

Another out-loud thought. While I initially wasn't interested in getting RealTest, wanting to expand into futures (as I have wanted to do before even papertrading this system), I wonder if RealTest would be a better solution for that. I'm unsure if I would try to import contract data from yahoo through RealTest, or if I find the future ETFs as a replacement and trade using those (takes the problematic away of rolling over contracts). Any advice regardng that would be appreciated.


----------



## Warr87

On monday I sold JLG and CSR due to stale exits. They were replaced by CLQ and NCZ. Something I'm no entirely used to is selling into a non-volatile market. I didn't have any issues getting my fills for those positions. It was nice lol.

Current open positions:





I made a mistake with the HappyCat strategy. I worked on the weekend and I thought I had seen the signals Friday arvo. I remembered Monday morning that I hadn't. By the time I did it was around midday. I missed one of the buys (as it took off). Rather annoying. It was another position which is driving the strategy's return. I have missed a few now, but this one is because of my mistake.

As for the CFD trading. I got stopped out pretty quickly with CORN and SOY (twice). They both triggered a buy but sold for losses after the false breakouts. Few other losers too and a few small winners. Overall its a few % lost. But can't always win. What's more surprising is that GOLD is now active. Interesting to see if that will go for another bull run.

Asked for some advice on a new version of my EA to including shorting. Will try to include a shorting component soon, if it works out.


----------



## Warr87

Week 51

Buy: 1
Sell: 1

A number of stale exits came up, but none for me. Just 1 close condition (C < MA). I lost 2% this week. Not a big deal. I actually recovered a lot from Monday. Not sure how others went but overall I'm not too worried. Though the XAO and XAOA went up by a small amount. With the changing out of my positions slowly, there is bound to be some lost momentum. THe strategy tests very well in sideways markets or a slight trend upwards.






Other updates:
HappyCat gained some ground this week.

Checked the ASX300 Super and it is doing very well! 

My CFD account has lost around 10% or so. Its at +34%. One thing that is hurting me is the false breakouts for my agriculturals (corn, soy) and ETH. ETH is at a very high point right now and keeps trying to break higher. It succeeded a little but reverses. Lets hope the next time it can punch through like BTC.


----------



## Warr87

Week 52

Buys: none
Sells: 4 (MA close condition), 1 (stale exit), 3 (stoploss)

I started the week off lower. Which happened the week before but the difference being I had recovered—not this week. I saw a few bad days towards the end of the week. I was also getting losses with my CFD trades too. So it was a bad week for the market overall I guess. I didn't realise how down I was until I checked yesterday. This week was -8.84%, last week -2.6%, week before that -0.72%. That kind of loss this week certainly wasn't welcome as I was feeling particularly good about my systems. But as I've pointed out, it can't keep going on forever.

My index filter has been triggered and now my SL's are 10%. A number of stocks also triggered a close condition. I will be closing out 8 out of 20 positions. Some of those already pretty profitable so I will be realising some good returns. I have no crystal ball so hard to see if this is just a whipasaw event or my system getting out before it goes pear shaped. Time will tell.

I finish year 1 of trading with a real account with +21.29% (watermark of +33.44% in week 49). I used to think +10% would be a great return, which would be from a hedgefund. My perspectives have obviously changed. I'm hoping this will be one of my worst years and I can continue to get a minimum of 20%. That would obviously be amazing. I know some years I will be breakeven. I also think some years will see 21% as being a mediocre return. The equity curve below certainly shows an interesting year of trading. Not a good year for the XAO and some volatile times in my return.













Other updates:

CFD trading was down this week too. I did have a few good wins with soy and corn but a few losses too. ETH still seems to be trying to break through. A win or 2 but mostly losses there. The AUDUSD system I had running I had to close as the number and quick succession of losses means I am no longer confident in it. Just the MR system I had for ASX200 futures, in a market that drifts downwards it just hemorrhages money. The AUDUSD system would enter then stoped out only to re-enter on the next bar and do the same thing as the price drifted down.

On friday my EA's entered into Gold, Soy, Corn, BTC, and ETH. I hope there will be a better week next week. Realised account is now +34% (with unrealised positions +36%).


Happycat also took a big hit this week. now its at +8%.

My monthly momentum system was doing great until Wednesday/Thursday. It was at +20% but now at +13%. Interesting to see the monthly system lose almost as much as my weekly system over the same few days. The monthly system avoids a lot of noise but it is even slower to react for obvious reasons. Though as the CFD trading (almost exclusively using 1hr bars) or the weekly system, they all got caught out this week. A proper update will be provided during the week.


----------



## Newt

Awesome work Warr87.  If you can make 21% in a year like 2020 them I'm sure you'll keep pulling well ahead in years to come.  Experienced traders may have been talking of high double or even triple digit returns based on establisedh knowledge, systems and experience, but for your first serious year trading - well done!


----------



## Warr87

Newt said:


> Awesome work Warr87.  If you can make 21% in a year like 2020 them I'm sure you'll keep pulling well ahead in years to come.  Experienced traders may have been talking of high double or even triple digit returns based on establisedh knowledge, systems and experience, but for your first serious year trading - well done!




Thanks mate! Radge sent out an email a few weeks ago to his subscribers. He made amazing returns last year. I felt dwarfed by his success, and a few others. But with limited capital and my first very simple system, probably doing better than most.

Looking forward to an even more successful second year. I will reach my own personal goals if I can keep up his kind of return compounded.


----------



## Warr87

Week 53

Buys: 8
Sells: none

Another down week. Pretty disappointing. My system has surprising taken a large hit over the last few weeks. The selloff on monday for my exit/stales meant I could take some of my profits. Overall I came out positive for those realised returns but still ended up down for the week. A bit of frustration (not so much at losing money as you will also lose money, but rather the rather quick loss of return and loss of momentum). As you can see in the sold trades below, NCZ, CLQ, and BRL, were big losses. They hadn't been in for long and was more poor timing. These things happen.

I'm still at +17%. This is still a good yearly return. But I remain annoyed at losing half of my profits over the past 3-4weeks. The index was down last week and this week it closed up. This means I will open new positions on Monday. I always lose momentum after the index is down. If the market is down again next week, it will hemorrhage more of my money, if it at least remains flat then the system will pick up momentum again. So what to do? Well, no crystal ball here so I will buy as I have buy signals.

I am noticing more discrepencies with my reporting as well. It's slightly off on my spreadsheet and when I login. I should do an audit of my system. I've been extra careful with inputting data but something has gone wrong somewhere. Don't put much faith in my exact numbers that I am reporting, but they are at least ballpark. Chopping and changing the capital allocated to this has made it hard to keep an accurate record.


----------



## Warr87

Other updates:

Happycat is at +9.4%

My super account is doing good too and already recovered losses from last week.

CFD trading
This has been the star of the week. It was being hammered the last 2 weeks. It finally caught a BO on ETH that also broke out numerous times recently. This trade alone added 18% to my account. Soy and corn make a little (not by much but still positive). Currently have BTC, ETH, and corn open.


ETH trade (30min candles):




Don't take this too seriously. Remember, I'm only showing the winning trade. I've had a lot of false BO's with ETH recently, but once it did break through, the payouts were great. It BO from a tight range too so I had more contracts on it than normal. 

At some point I will put together the stats for my trades and see how they are performing individually.

Current account: +50.09%, open profits +5.2%


----------



## Warr87

MAP strat:


----------



## peter2

I understand your frustration but surely your system has shown similar results in the past so you shouldn't become frustrated when your system gives you similar results going forward. I'm thinking that after a little success (overcoming that huge DD and making new equity highs) you're having difficulty tolerating the system's routine portfolio heat. Success may have changed your risk tolerance.


----------



## Warr87

I think you are right. I also knew this was going to happen eventually (as seen in my previous updates). frustrated but it will pass.

it is likely just portfolio heat. and my recent success has likely made me expecting better and fewer DD's.


----------



## Warr87

Got all my buys:

Now currently have the following positions.




Got my buys for HappyCat too.

ETHUSD gapped down this morning so that closed out. But my BTCUSD trade is still going, same with my corn trade.


----------



## Warr87

CFD trading account:

It's been interesting since Monday's open. I got gapped down on one trade, but in general things are going great. A huge breakout on BTC, corn, and soy. My account is currently +47.7% realised, with another 44.7% in open profits. Total equity is now +92.5%. I will obviously lose some of those open profits but its crazy to see my account almost at +100% since its been open from August 24th. But took a few weeks after.

That being said, its not entirely easy. There are a lot of false breakouts. And getting those from multiple EA's can be a killer. But when it catches that trend, it wins big. I realise that corn, soy, BTC, and ETH, are in bull runs and will reverse eventually. Hopefully I have the shorting component sorted by thing so I can catch the trend down.

Spot gold has also triggered. rather small profit right now so will see. the trailing SL is large. THe SL on all the other trades is now above breakeven, so that's something.

For those new to my thread, I only have a donchian long only system trading right now. Did have 2 MR strats (on AUDUSD and ASX200 CFD) but had to stop them until I have the time to fix them.


----------



## Warr87

Week 54

Buys: 4
Sells: 3

The week wasn't too bad. I'm not noticing anything particularly out of the ordinary. I was holding CDV, though, and that has now disappeared from my portfolio. I believe it got bought out but the disappearance is making it difficult for me to keep an accurate track of profit/loss. This has happened before and I find my brokerage statement hard to read and find exactly what Cr's are for that loss (they don't seem to make it easy). Once I get this sorted I will re-evaluate my tracking of positions. Either way, I know things aren't nose diving so that's always good.

Don't take the stats below to heart as I've already mentioned I've noticed a tracking error. The chart will likely be revised in the future.









Other Updates:
HappyCat +10.8%

ASX300 super +18%

CFD trading:
now at +63% realised, with another 21% in unrealised profits open.

Soy, Corn, ETH, and BTC have been good to me this week. I almost hit +100% including unrealised profits. Sitting at +63% is obviously very good! Catching a couple of big moves on Soy and Corn during the week helped a lot. my ETH trades have been good too. my BTC trade is still open and accounts for most of my open profits. Had a spot gold trade but was just a small profit.


----------



## Warr87

downloaded RealTest as a trial. Life has me pretty busy right now so not sure how far I will get into it, but it is likely I will use RestTest in combination with Radge's API to automate things. Skate's happycat strat is going to be run forever, and the money I was going to be used in my daily strategy is currently being used by HappyCat. (I've needed to test this system before devoting money too it, and a daily system requires a lot more time/energy to implement than weekly/monthly, thus I want to at least semi-automate it).


----------



## Roller_1

Warr87 said:


> downloaded RealTest as a trial. Life has me pretty busy right now so not sure how far I will get into it, but it is likely I will use RestTest in combination with Radge's API to automate things. Skate's happycat strat is going to be run forever, and the money I was going to be used in my daily strategy is currently being used by HappyCat. (I've needed to test this system before devoting money too it, and a daily system requires a lot more time/energy to implement than weekly/monthly, thus I want to at least semi-automate it).




Good to hear Warr, happy to help with either if i can. Trading ASX or US?

Did you do the testing on the happy cat or Skate?


----------



## Warr87

Just ASX. i don't have enough capital for US and ASX right now. 

I think Realtest may make it easier for me to test on the US since I can use Yahoo a bit easier with RT. But, more importantly, I want to try a sector rotation ETF (if you look through some old posts I am a fan of the 'Ivy Portfolio' and is something I've wanted to implement for a while). Importing ETF data for the US from Yahoo should be straight foward.

I didn't do the testing for HappyCat as I don't have the code. It was based on faith and confidence in Skate's testing. Very very few people would satisify my need for valid testing in order to follow there advice with trading, and skate is one of them. But I know this took a risk.

In my procrastination with some other things I started to code up my DailyCAM system that is intended to take over the HappyCat system running. Right now I am having an issue with not knowing how to do a boolean test of an expression? I.e. "UpTrend == True && macdRising == False"

Other than that it has been easy to transpose formulas over.


----------



## Roller_1

Warr87 said:


> Just ASX. i don't have enough capital for US and ASX right now.
> 
> I think Realtest may make it easier for me to test on the US since I can use Yahoo a bit easier with RT. But, more importantly, I want to try a sector rotation ETF (if you look through some old posts I am a fan of the 'Ivy Portfolio' and is something I've wanted to implement for a while). Importing ETF data for the US from Yahoo should be straight foward.
> 
> I didn't do the testing for HappyCat as I don't have the code. It was based on faith and confidence in Skate's testing. Very very few people would satisify my need for valid testing in order to follow there advice with trading, and skate is one of them. But I know this took a risk.
> 
> In my procrastination with some other things I started to code up my DailyCAM system that is intended to take over the HappyCat system running. Right now I am having an issue with not knowing how to do a boolean test of an expression? I.e. "UpTrend == True && macdRising == False"
> 
> Other than that it has been easy to transpose formulas over.







Something like that?

Hopefully you can find something of Value in RT



Warr87 said:


> Very very few people would satisify my need for valid testing in order to follow there advice with trading, and skate is one of them. But I know this took a risk.




That's fair, just remember the non historical data caveat.


----------



## Warr87

Thanks mate. that fixed it. im used to coding using the boolean operators == . 

Last question for the moment. what about instituting an index filter? i did a search of the help guide (which is pretty good) but couldn't see using foreign tickers. I imagine its just different verbage and there is a way to import data from a foreign ticker like AB.

The initial test for RT went smooth. it calculated everything quickly. big thing will just be getting used to the new coding which looks straight forward but has some differences to MT4 and AB.

and so far I am definitely finding some value in RT.


----------



## Roller_1

Warr87 said:


> Thanks mate. that fixed it. im used to coding using the boolean operators == .
> 
> Last question for the moment. what about instituting an index filter? i did a search of the help guide (which is pretty good) but couldn't see using foreign tickers. I imagine its just different verbage and there is a way to import data from a foreign ticker like AB.
> 
> The initial test for RT went smooth. it calculated everything quickly. big thing will just be getting used to the new coding which looks straight forward but has some differences to MT4 and AB.
> 
> and so far I am definitely finding some value in RT.




I'm pretty sure you could do, MaxDRise = 0 would getthe same result i think.

See below for the index filter

use a IncludeList to import a different symbol then call it in the data section using the Extern() function

**note you nee double '$$' to call a index to call a regular symbol only use one '$'


----------



## Warr87

great. thanks mate. I had seen the Extern function but I didn't realise you could use it like that.

thanks for giving that (and I hope it is helpful for others who read the thread).


----------



## Roller_1

Warr87 said:


> great. thanks mate. I had seen the Extern function but I didn't realise you could use it like that.
> 
> thanks for giving that (and I hope it is helpful for others who read the thread).




Easy, no worries


----------



## Warr87

As a general update. I am still trading this system. (I stoped putting up updates for a few reasons. I kept having trouble getting an acurate account of P/L with the changes in capital for the system. I have learned a lot from that. Other reason has been time. I have been incredibly time poor the past few months.) Like other people in this forum, I lost profits from mid-late Jan until beginning of April. I found my system was whipasawing as my index filter was turning on and off. In the past few weeks, it has gotten a bit better. I have noticed a few things. 1) It has been annoying to lose so much of my open profits. the success was great and I was riding high. To see around half of your profits disappear is never easy. It may get easier in the future, but never easy. 2) The fact that my realised P/L is still above the index, even after last year's difficult market, has made following through easier to handle emotionally. I have open profits, and while not as good at its height, its still better than nothing. 3) seeing my results (or rather losses) replicated by others here is always beneficial. That is, when being annoyed at open profits evaporating and wondering whats up, to then see the same analysis of sideways and difficult markets and the shrinking profits from it, from others has reassured me. 

Could my system be better? Heck yes. I still think I have missed out on some good opportunities and that the system didn't trade as well as the backtest. But this was anticipated to some degree. I was vigorous in my papertrading. I confirmed papertraded results with backtest which matched up perfectly. When live, at least for the first 6months, backtest matched liveresults. What accounts for the possible difference? I think luck and the realities of trying to get fills for buys/sells. I am edging more and more towards IB since I already have an account there to trade the HappyCat strat.

My CFD trading has experienced similar dips in performance. Not exactly the same time but similar timeframe. I got down to just +10% which was a big change from where it was. Trading the same EA on 5 charts means in the unlikely occurance that all instruments are going through consecutive losses at the same time can be damaging. That being said, it is now at +88% realised and +102% unrealised is a big turn around. If you look at the chart below, you can see around trade #373 is the low and over a few weeks its climbed to new highs. This has mostly been off SOY futures, but CORN, BTC, and ETH have played a part. A small win on gold too, though this trade does not occur often.

Also, with the new changes in margin requirement I have found that my BTC trades now greatly impact the rest of the trading. I missed out on profit with CORN and SOY because I couldn't open them due to negative free margin. Not by much, but obviously can't open new trades without free margin. Increasing my account will help, though that being said, increasing my account also means the system will take on bigger positions. It's using 2% risk. Some options could be to create a specific account just for BTC trading so its margin requirements doesn't impact the rest of my trading. Things to look into.


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## Warr87

System will be 100% this week. Profit is doing good and after a few losers cut away, should hopefully climb higher. A number of dividends lately too which was a nice cherry on top.

CFD did great during the week. Account offically doubled since trading from September. CORN and SOY did great, and BTC and ETH trades also did great.


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## Warr87

I haven't posted here for a while, but I was continuing to trade. Doing my taxes, and putting it all together, it seems I did a little better than expected. I returned what appears to be approx 31%. It wasn't as much as backtested as my real results started to diverge from backtested results around 6months in I think.

Either way, while not as good as many others my first full financial year with 1 system returning 30% is obviously good.

It's not trading now as I decided to take the opportunity of the down market (and index filter on) to move from CMC to IB. Honestly, I'm just sick of the constant mail. I will likely re-distribute some of my MAP funds with some other money to possibly start trading another system. I am unsure if I will run a MOC style system, or a MR system (likely on the US market). It's something I haven't figured out yet but I'm working towards it.


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## KevinBB

Warr87 said:


> to possibly start trading another system



With respect, why on earth would you consider running another system when this one is giving you 31%? I would be very happy with 30% any day of the week.

I did my taxes a couple of weekends ago. The big cheque arrived yesterday, making me a very happy person. Every year I tell myself that they will be finished by the end of July, but it never happens.

Also, with regards to IB, I find their reporting very good once you get used to how they do the daily MTM, but just keep extra good records yourself if you have any stocks that are actually trusts (ETFs, listed property trusts, and the like) held with IB. Last year they didn't provide the trust distribution records that are needed for Australian tax. My solution to this was to maintain a NABTrade account (any CHESS sponsored account will do) and hold my ETFs in there. That way at the end of this tax year I'll get the full tax reporting at year end. Makes things much easier.

KH


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## KevinBB

KevinBB said:


> why on earth would you consider running another system when this one is giving you 31%?



I've just read @Skate 's post about his platinum strategy. Now I understand why.
Maybe I'm aiming too low but, for now, 30% will do me just fine.
KH


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## Warr87

KevinBB said:


> With respect, why on earth would you consider running another system when this one is giving you 31%? I would be very happy with 30% any day of the week.
> 
> I did my taxes a couple of weekends ago. The big cheque arrived yesterday, making me a very happy person. Every year I tell myself that they will be finished by the end of July, but it never happens.
> 
> Also, with regards to IB, I find their reporting very good once you get used to how they do the daily MTM, but just keep extra good records yourself if you have any stocks that are actually trusts (ETFs, listed property trusts, and the like) held with IB. Last year they didn't provide the trust distribution records that are needed for Australian tax. My solution to this was to maintain a NABTrade account (any CHESS sponsored account will do) and hold my ETFs in there. That way at the end of this tax year I'll get the full tax reporting at year end. Makes things much easier.
> 
> KH




That is a good point. And perhaps my view of what is acceptable or not is a bit skewed from seeing the journals of others here. Many traders here (and others like Radge) definitely did better than 30%. For a first system, though, it's certainly not bad. Could it return that every year? Who knows. All of my trading strategies are trend following and in the ASX. So the other system would be for diversity.

I currently trade,
daily trend following (though it is surprisingly slow).
weekly MAP
And possibly a MR on the Russell3000?

Other: As others know I also trade a monthly momentum strategy in my super.

Taxes have been more difficult this year with the number of trades using the weekly system. I find IB better with reporting too, with the ability to customise outputs for reports. I have to double check, but I also remember you can generate round-trip reports too (which is important for my tax returns). Other issues, with CMC, if my position got bought out it just disappeared and then I'd have to wait for a cheque to come in the mail. All of this isn't quick which means my money is tied up in that process and not able to be redeployed (which is very frustrating).

I have a few different systems to choose from (buy Radge's MOC/long strategy and modified it for my purposes, or his MR strategy for the Russell3000). Temptation is to take my gains from the MAP, add in some savings that I haven't deposited yet, and have the new system with an equal starting foot as the MAP system.


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## Warr87

KevinBB said:


> I've just read @Skate 's post about his platinum strategy. Now I understand why.
> Maybe I'm aiming too low but, for now, 30% will do me just fine.
> KH



30% is definitely good. The last year was a potential gold mine for trading though, and many achieved much greater. I'm not trashing the MAP strategy just diversifying. Was always my aim to add in a MR strategy or trade in the US as well.

Even MR strategies did pretty well during periods last year. The volatility was definitely there for people to profit.


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