# qldfrog weekly Skate inspired system



## qldfrog

Following both a change of circumstances and the trigger of the Dump it thread by Skate, I decided to plunge again into system trading.
Based on code provided initially by Skate and after discussions with @Lone Wolf, @Newt, @jjbinks and @Habakkuk and @Wyatt, I heavily tweaked the initial code and ended up with a relatively stable system
various backtests on various periods as well as some walk forward  tended to reassure me a bit.
I expect a market crash relatively soon and the earlier this happens the hardest I could be hit but I need to start one day;
Weekly to allow ongoing even if traveling O/S
100000$ initial amount, reinvested in full
20 positions max
10$ a trade
both exit and enter baed on system
XAO as universe
Let's start
Note that I am not fully happy with the exit and DD, and as time goes I might refine the systems with conditional stop loss etc


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## qldfrog

while still bringing in funds to start the system, today was opening day:
I purchased the following:

BRG : 324 @15.41
JIN 476 @ 10.53105
MWY 1388 @ 3.61 

Is also added 
IFM  2608 @ 1.495 
to fill last week Buy signal.
last week was up to 1.45 but I find it ok to populate today at this price
As I see it, it is a race against time to have enough positive positions before the next crash
Another last purchase triggered last week might be processed this week if the price is decent


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## Skate

qldfrog said:


> while still bringing in funds to start the system, today was opening day:
> I purchased the following:
> 
> BRG : 324 @15.41
> JIN 476 @ 10.53105
> MWY 1388 @ 3.61
> 
> Is also added
> IFM  2608 @ 1.495
> to fill last week Buy signal.
> last week was up to 1.45 but I find it ok to populate today at this price
> As I see it, it is a race against time to have enough positive positions before the next crash
> Another last purchase triggered last week might be processed this week if the price is decent




qldfrog, I'm sure there would be a great deal of differences between our CAM Strategy. I'll post my CAM strategy results & buy signals for comparison.

*Only 2 Charts*
Out of your 4 positions my Cam Strategy only held two of these so I've posted two charts (BRG) & (JIN)

*Settings*
Equity - $100,000
20 Positions
$5K positions
Starting Date - 11th February 2019
Commission rate used - $29.95 (actual rate for $5K positions = $19.95)

Skate.


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## qldfrog

Thanks Skate, I will get back to the above soon;
Today I completed my entries to "initiate the system":
I purchase more shares to align the portfolio to a backtest started on the 8/02/2019

AMI 5681 @0.88  $5,009.28
CNU 990 @5.05  $5009.5
NHC 1204 @ 4.15 $5006.6 
cost above reflecting $10 brokerage

The start of the system highlighted an interesting problem

When you start, and assuming you have an edge in your position score:
you can either: 
1)just purchase the "new" buys only...discard last week ones just get new
or
2) fill your 20 positions allocation on day one including previous period buy recommendations.
But then you will probably buy at less than optimum time based on your system concept:
either buy too high, or buying codes which are already loosers 
or would be so low with their position score that they would never be actually considered on an ongoing system with only a few free postions at a time
How to you solve this?
Whatever the method, I feel you end up a looser and with a less than optimum results until the effect of the initial positioning lessen.
I opted for a half baked solution:
purchase the recommendation of the last 3 bars, at today's price..
From the start, my real portfolio is already behind a backtest version by $1k..the extra profit ownership on the last 3 weeks would have gathered, but we have at least 34% of funds invested.And will only use new recommendation from now on


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## qldfrog

Skate said:


> qldfrog, I'm sure there would be a great deal of differences between our CAM Strategy. I'll post my CAM strategy results & buy signals for comparison.



Thanks for the feedback Skate: Is it the strategy you actually run ?..I know you have an hybrid approach and so leverage multiple systems but, is the code you backtest above something you actually run?
Reason I ask is that your entry into BRG is quite "lucky": entry on a day where the share jump 21pc, want to make sure this is not some test code with maybe a future looking part or similar.
Indeed I expect much difference between your code and my current version as I have changed the initial base code you provided a LOT to suit my style (aka less DD ideally, etc)
I understand if you feel answering is providing too much information.
Thanks again


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## Skate

qldfrog said:


> Thanks Skate, I will get back to the above soon;
> Today I completed my entries to "initiate the system":
> I purchase more shares to align the portfolio to a backtest started on the 8/02/2019
> 
> AMI 5681 @0.88  $5,009.28
> CNU 990 @5.05  $5009.5
> NHC 1204 @ 4.15 $5006.6
> cost above reflecting $10 brokerage
> 
> The start of the system highlighted an interesting problem
> 
> When you start, and assuming you have an edge in your position score:
> you can either:
> 1)just purchase the "new" buys only...discard last week ones just get new
> or
> 2) fill your 20 positions allocation on day one including previous period buy recommendations.
> But then you will probably buy at less than optimum time based on your system concept:
> either buy too high, or buying codes which are already loosers
> or would be so low with their position score that they would never be actually considered on an ongoing system with only a few free postions at a time
> How to you solve this?
> Whatever the method, I feel you end up a looser and with a less than optimum results until the effect of the initial positioning lessen.
> I opted for a half baked solution:
> purchase the recommendation of the last 3 bars, at today's price..
> From the start, my real portfolio is already behind a backtest version by $1k..the extra profit ownership on the last 3 weeks would have gathered, but we have at least 34% of funds invested.And will only use new recommendation from now on






qldfrog said:


> Thanks for the feedback Skate: Is it the strategy you actually run ?..I know you have an hybrid approach and so leverage multiple systems but, is the code you backtest above something you actually run?
> Reason I ask is that your entry into BRG is quite "lucky": entry on a day where the share jump 21pc, want to make sure this is not some test code with maybe a future looking part or similar.
> Indeed I expect much difference between your code and my current version as I have changed the initial base code you provided a LOT to suit my style (aka less DD ideally, etc)
> I understand if you feel answering is providing too much information.
> Thanks again




No problems explaining if it helps.

qldfrog, let me explain how I would trade this strategy. I have coded the CAM Strategy to your stated requirements.

*Requirements*
Starting date - Week ending Friday 8th February 2019 (Explore for new signals)
Purchase date - Monday 11th February 2019
20 Positions
$5K positions
$100K Starting Equity

1. Buy in the pre-auction (place orders before the Mondays open)
2. I take every signal in order till the 20 positions are filled.
3. Follow the strategy without question.

*QUESTIONS
1. "Is it the strategy you actually run ?"
*
This is my CAM modified Strategy - Do I trade it ? - Not yet, but I'm thinking about trading it as it's quite different to my Hybrid Breakout Strategy. Meaning its not correlated.

_*2. "I know you have an hybrid approach and so leverage multiple systems but, is the code you backtest above something you actually run?"*_

Yes, this will be the actual code I'll be trading, I'll start small $300K portfolio with 20 positions @ $15K.

*3. "Reason I ask is that your entry into BRG is quite "lucky": entry on a day where the share jump 21pc, want to make sure this is not some test code with maybe a future looking part or similar."*

Luck plays a big part of trading. That an honest signal from the CAM Strategy (no fudging involved)

*Luck *(re-post)
To a great degree, our success or failure in the market is a function of our luck. We like to think that our results are a direct consequence of our insight and efforts, but the reality is that luck plays a big part in how we do.

*Trading is all about price movement. *(re-post)
Nothing works perfect in trading so the next best thing is to accept 'that sometimes it works well and other times not so well. Those that can handle that tend to do well. I say just go with the flow. Trading success is all about just luck & you create your own luck by doing all the right things.

_*4. "Indeed I expect much difference between your code and my current version as I have changed the initial base code you provided a LOT to suit my style (aka less DD ideally, etc)"*_

There is a huge difference in our strategies, I didn't get many of your signals. The base code of my CAM Strategy is the exact same code I've supplied to you. I included additional code my CAM Strategy with added parameters.

*Important to understand*
The CAM strategy will pump out a large number of positions that's why the PositionScore is critical.

*Graphics*
Let me post a few graphics so you have a better understanding (correlated to the date you have given in your post 8th Feb 2019)

Skate.


*CAM Strategy using the Backtest feature for AA Positions - *this is what you see using Amibroker.  (BRG) Long entry 11th Feb 2018




*CAM Strategy using the Explore feature for AA Positions - *this is what I see using Amibroker.  (BRG) Long entry 11th Feb 2018 (includes my pre-auction calculations) - I have only listed the first position instead of a huge list. It aligns with the Backtest AA position signal for reference.

*Explore signal*




*CAM Strategy 8th February Backtest report*





*CAM - (AMI) Chart as you listed a purchase *(for signal comparison)


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## DaveDaGr8

Not sure if anyone is using a derivative of the code from the amibroker forum

https://forum.amibroker.com/t/s-c-magazine-jan-2018-traders-tips/3875/5

But their version of the cam indicator is future looking.

***************************
PositionScore = 100 * RSI(scoreLookBackPeriod); 
// PositionScore = (try your own formula here);  
buySignal = enterLongRule; 
sellSignal = exitLongRule; 
 BuyPrice = Open; 
SellPrice = Open;    
 // Buy/Sell on the next bar 
Buy = Ref( buySignal, -1); 
Sell = Ref( sellSignal, -1); 
Buy = ExRem(Buy, Sell); 
Sell = ExRem(Sell, Buy);
**************************

It uses todays open prices, but then uses positionscore RSI calculated using todays close. 

Having said that, when fixing it up, the indicator is one of the safest around.


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## qldfrog

I will go back to my drawing board, after doing changes which I though were pure cosmetics on charting, I do not even see AMI appearing anymore and different explore results.....weird
back to windiff, but I am trying to display similar info on my graph to ease comparison, and make it easier for me to analyse.. Thanks for your answer. Skate. 
I just sold the AMI, net loss of $30 or so, might have been a misreading,
it last appeared in an Explore result more than 6 versions of the code ago.
Apologies, not very professional


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## qldfrog

DaveDaGr8 said:


> Not sure if anyone is using a derivative of the code from the amibroker forum
> 
> https://forum.amibroker.com/t/s-c-magazine-jan-2018-traders-tips/3875/5
> 
> But their version of the cam indicator is future looking.
> 
> ***************************
> PositionScore = 100 * RSI(scoreLookBackPeriod);
> 
> **************************
> 
> It uses todays open prices, but then uses positionscore RSI calculated using todays close.
> 
> Having said that, when fixing it up, the indicator is one of the safest around.



Well spotted, it took us a while to discover initially but we noticed this a while back and used the =Ref(xxx, -1) as a safe way ahead.

I also believe the 100* is really not needed and when trying backtesting, i like   using for buy/sell a 
	
	




		Code:
	

Sell = Sell  AND Status( "BarInRange" ) ;

But actually ended up using a different scoring in the system discussed here , probably the major difference between Skate and I


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## DaveDaGr8

Yeah the 100* is for human readability, most likely for explore's and should have no affect on the backtester. 

what does the status("barinrange") do for you ?

I do like this indicator, it can have a very loose market filter and still maintain a reasonable car/mdd long after other systems have to go to bed.

I don't trade it though as it conflicts with another system i have, but i'm interested to see what you can make out of it.


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## qldfrog

DaveDaGr8 said:


> what does the status("barinrange") do for you ?



I use "status(bar  in range") to declutter my charts display,-> only show buy/sell on the range I do backtest  (the range I specify) and so can zoom out and avoid having too many arrows displayed..more cosmetic and can also be a nuisance potentially: to each his own


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## qldfrog

I moved the code to use settrade delay and so remove some of the complexity for the backtesting handling of offset vs explore mode.I believe I had a flaw in my explore before
I now trust AB to work properly  but code is simpler
In the process, *found a bug* (in cased with conflicting buy/sell) which explained why AMI was set as a buy but disappeared as I was doing my improvement
It should indeed have been purchased but no more JIN???
This is what the explore on the 23/02 from early this month gives me:
	

		
			
		

		
	



I so sold my JIN today @10.43 for a loss of $68.1 and bought WEB 320@15.58 (for a much cheaper price than the open Monday of 15.95 so a "gain" of 0.37*320=$118.4 dollars
My mistakes so far saved me:118.4-20-68.1 so 30 dollars
Pure "luck" but just have to hope AMI was not the killing stock of the decade 
I have purchased all the stock highlighted in green above


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## qldfrog

Current status after one week, still in ramping up process, my initial mistakes were not too costy even if I rushed too much to remove AMI


The system will require some buy on Monday open.I will announce them once executed


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## jjbinks

hi qld frog,
Thanks for sharing your results. 
If its okay with you do you think you could post your back test results here so we can gauge what to expect from  your strategy.



My question to you and others trading systems is:
_ How do you know that your system is not working and when would you stop trading?_
--I think part of this comes back to system design. The more confident you are with your back testing process the more confident you can be with your system but trading real world may not produce same outcomes either because (1) there was some problem with back testing (2) Your edge has eroded


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## qldfrog

Sure.give me some time but will post fy17/18 and august 2018 to current.
1)Cover 1 recent phase of good time
2)The dip of last year starting a system at a bad time..
I could as well show the zillions i could have made since 2006 or similar but we all know this is meaningless
If you have a specific period you would like me to use, just ask

Question is good and of course behind my mind too.
So currently i try to make sure code is foolproof and backtest can really be trusted as representative of what would have happen
I plan to paper track the fy17/18 backtest vs explore as a comparison
If the edge get eroded well i have no clue on how to determine it,a weekly system means we are only dealing with a limited amount of trade per year.hard to be statistically relevant so you might hit good or bad luck,
Starr the same system on two different week and i can expect significant difference in the way mine will work.
For example it is very specific, i do not fill 20 with an order of preference, i do take the chosen ones. Up to 20
..i will have  only 8 entries for february by monday, the ramp up alone will take 2 or 3 months..i have to believe, but focused in my design in limiting somewhat the DD

And have to be able to afford loosing the money invested


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## Newt

Great job qldfrog starting this thread and following through sharing your trades.  
Some very real challenges have come up already, and in real life people have to work through these, including:
- which positions to start with? (dilemma - you don't want to "force" positions the code had previously entered, BUT its frustrating if those positions advance while you wait for new signals!)
- How to judge your performance against the system, if you do take some "back-dated" positions?
- How to balance real life experience versus theoretical paper trading?

Re the last point, I'm concerned you seem to be sorting out some fairly major system consideration on the fly here as you're entering real positions.  Having been there before over many years as my systems evolved, hope you don't mind me sharing some pros and cons:
- there is nothing like real money in the market to make you pay attention to details and confront what you're doing (wrong)!
- this can accelerate your learning curve 
- however, until you can answer (quickly!) questions about your system (such as posed by jjbinks) you are essentially still very much in a trial/learning period
- if your intention is to trade a $100k portfolio then perhaps it would be wise to trade only a fraction of that amount until you have stabilised your system for at least 12 months - I'm plucking numbers out of thin air, but would suggest 1/4 planned size initially
- Please remember how many years skate was backtesting before going live

I suspect system trading and the coding/backtesting mindset encourages periods of (obsessive?) enthusiasm at times, and its hard to hold off going "all in" when you believe you're on to something.


Please pardon my back seat driving suggestions, but for people stumbling across your thread it might be helpful to outline a little more about what your strategy involves?  For people that haven't digested all of skate's thread it might be helpful to jot down a few bullet points about the CAM strategy (if that's what your trading?), weekly TF, entry after pullbacks (if those are the signals you're taking?).

And congrats again for publicly sharing your progress


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## Newt

Another thought, prompted by skate's post above and experiences tweaking my own code - it can be invaluable to code markers in your price pane, or ribbons under it, showing when your various entry or exit criteria are met. 
I've had to grudgingly admit in the backtesting/optimising phase that my system criteria were smarter than me many times.  Sometimes its only much later with experience you realise the system may be picking up strong buying in stocks in ways you didn't originally anticipate or plan. 

That seems to have been a strength of skate's work in backtesting and real trading - minimal screen complexity, but still enough that you TRUST and follow the signals when they come up.


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## qldfrog

Thanks for the hints Newt
All very valid.much tganks

A long time ago 5y or so i spent a fair amount of time building a system around the unholygrail  plus some of my own tweaking.
Ultimately trading it for a year or so,after a paper phase, got decent results vs my own poor decision making and did not experience any bigbig sc..
Had to give up when i started travelling too much to follow it properly..was a daily system
This relatively good experience might have made me cocky?
I also know that until you jump with cash,delay and push and you postpone so much that you hit a crash or down period, or Greece is falling etc..and you end up static and paralysed by you own pessimistic for me mood.
Every one is different. But i can only agree with your cautious message.also the fact that whatever beautiful compounded percent result you see in backtest, the ato will tap on your shoulder yearly to take half or so of your gains if any, so the miracle of compounded returns is very relative in Australia..


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## qldfrog

Apologies for the previous posts typing mistakes, AI is overtaking me, and not yet up to scratch in the autocorrector...
OK, got a few minutes ahead of a very busy week:
Let's start: 
A) a bad scenario: start trading 01/08/2018, just before the mini crash at the end of last year:
end date 3/03/2019 (today)
*Settings*
Equity - $100,000
20 Positions
$5K positions
Starting Date - 1 August 2018
Commission rate used - $10




Not great but DD not a disaster, and it would have been difficult to start at a worse time in the very decent history.
Starting every month of 2018, August is the worst so my choice, DD limited to 15 % or so based on different run around that period


====================================
On a "good market"
Same setting, date range:1/07/2017 to 30/06/2018





Sounds very nice, too good to be true? 
Maybe so this is the period I am going to analyse weekly, comparing explore results vs backtests and see if it all makes sense.
By doing random check, I could not see any issue but need to be 100% sure
will keep you posted


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## qldfrog

today's purchases:

HTA  35820 @0.14 +10 =5024.80
BBN 2080 @ 2.38 +10 = 4960.40 
As of tonight: profit $1078 after sales or error purchase last week
Total invested   $        100,000.00
Cash remaining  $          66,119.12
Nb of active positions 8
Nb max position 20
Current portfolio value 101166.5398
Return since 25/02 1.17%
purchase value per position 5058.32699
Invested percentage 35% 
Keep trucking, keep testing...


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## qldfrog

ok the result of the tests running on paper (excel) the explore between 1/07/17 to 30/06/18
I end up with 
on 30/6/18 after a year: 

cash 5010.83 , 19 shares lot still invested
portfolio value 148682.3
total= 153693.13 
so 53pc vs 172900 or 72.9pc
This happens as there are times where I did not have the cash to actually do the recommended buy
I kept my $100 000 as initial amount and did not lend money, trying to put myself in the shoes of the trader.
Still a very good result
Keep trucking


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## jjbinks

Yep still a great result. 
How does the equity curve compare?
Do you still have that big rise Aug-Oct  and then relatively flat until may


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## qldfrog

I did not get the detail for the equity curve, I just did the +/- of shares and remaining cash.
The system was ramping up slowly, fully invested in 20 shares by the 4/9/2017
staying in, then in feb/march going between 17 and 20 shares based on weeks and offloading a lot in april down to only 11 positions by 5/05 before investing again  up to 19 position by mid june 2018
It would be more work, or more exactly a different approach to get the data
I think I should build a portfolio, add/remove each week and print its value so that I could get the equity curve, DD etc
I just wanted initially to ensure the system was doable, and it raised the question:
if you have 7k in the bank in the weekend, and 2 positions to fill based on explore, how do you do it, do you put 3.5 in each ,do you only take 1, if your portfolio total value is now 193000 so 200k with the cash , should you buy 2x10k but you only have 7k in the bank..a lot of practical issues, I will try to analyse the backtest to understand the rules applied by AB


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## qldfrog

As for today:
Total invested   $        100,000.00
Cash remaining  $          60,982.52
Nb of active positions 8
Nb max position 20
Current portfolio value  $        100,747.26
Return since 25/02 0.75%
purchase value per position 5037.363
Invested percentage 39%

We have lost in the last week


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## kahuna1

Hi.

whilst I applaud your sharing of the system, not a single share I have ever owned that you have purchased in 35 years in the ASX. In short, a technical system alone v one that mixes fundamentals to  even select with strict criteria a group of say 30 stocks you do trade I have found better. For 20 odd years and 10 live I shared my ideas on a thread at another place. The list of selections had to first be VALUE or high value fundamentally.

Without that very strict criteria, of selecting stocks that make money, or are close to it, or have extreme underlying value, the exercise of following a stock based upon a chart movement or share movement is a recipe for disaster. Having had that discussion with many, over many years, its like a Muslim trying to convert someone of the Jewish faith. A fundamental based value person, who is using a technical based enter and exit or for me a larger filter, that being the ASX 200 as it hits highs and lows, it cycles, and reaches a high, peaks, then retreats and hits a low. A normal cycle and without that overall filter along with a filter so your not buying rubbish which is technically breaking a defined chart or trading patter, your again lost.

In that, the ASX bottomed in Dec about 12% away from where it is. Even a blind person with a chart can see that. The only two filters of the overall market one needs to care about is the HIGH or the LOW, and is it going up or down. Now whilst at ASX 6,200 plus it MAY go higher, it is doubtful. In an UP market 90% plus of stocks go UP, in a down one, the opposite. Its rare for any stock to ignore the correction and in fact even the bigger stocks the biggest gainers over a period of time in a correction quite normally will go down FAR far far more than the market.

Some of the stocks say pre 2008 such as CSL I shared and miners and oilers, in an 8% overall market correction tended to go down 15% even 20% yet over time, they were the biggest gainers overall. I was for example bullish OIL pre 2008 and so to coalers, until all my stocks were eventually taken over, but the highs and lows were extreme, and whilst markets pre 2008 had a very good cycle and a correction of 8% 10% 15% or more before resuming their merry rally, post say 2010 its a lessor case. It is still for me, essential to enter when the index is DOWN, not up and when people  hate stocks verse the love affair.

Other on actually pulling a company fundamentally to bits prevents buying such atrocities that go bust on the main. Some stocks, say pick one that has gone broke and I am sure technically, at some stage even extended stages they technically looked great, but were crooks, utterly worthless and even a casual look at what they did their hopes of ever making a profit were close to zero. People are attracted to the mad gamble and I have stopped on the main trying to stop or even educate. That said, one I did, or tried to, a technical guy, loved the TAS and EDE and a few others that since I did care a bit about him, knew him, looked at them and went they are so unlikely to ever prove to be of value they should have a biohazard sign around their necks. Like everyone I look for the next good thing, but with very strict fundamental signs.  Now time takes care of most things and for most rubbish its sent to the bin, and in say the case of EDE and TAS and so on, similar stocks, it breaks and breaks hard UP, as it did, but the close examination of accounts, costs and in these two cases an insane fee structure to a group of lawyer more than say the COE of a company managing 50 billion plus is what they are paying themselves verses income less than 1% ... hence its not hard to call it what it is.

Good luck, and I might add, bigger stocks, whilst not guaranteeing success or in fact anything, being able to identify true and extreme value longer term, say in the case of CSL or even BHP at sub $20 and overvaluation up near $50 for BHP  makes more. Buying say a $3- or $1 stock such as MFG and less than 10 years latter its $36- is what it is. 

Take care and good luck
Mark K


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## qldfrog

2 more buys on Monday, no sell


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## qldfrog

Bought at open this morning
EQT : 187 @ 26.78 total cost inc brokerage:$5017.86
MYR:  10279 @ 0.465 total cost inc brokerage:$4789.74 
Following the system..Keep testing keep improving
Myer not a stock I thought I would ever buy!!!!


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## qldfrog

and EQTwas going ex dividend today, I so have lost the dividend amount yet I am nearly sure I checked on Friday when ordering and it was not marked clearly as ex div..
Good lesson, next time check the whole announcement thread
Keep learning


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## qldfrog

Had a bit more time home staying away from the heat today and refined mostly the exit:
Should definitively have bought AMI and JIN at the beginning of last month, but ok for my signal since.
DD can still be brutal but system so far going OK gain of 1.84% since 25/02 on 51k invested
per comparison XAO (6260-6241.9)/6241.9 gain of 0.2%  but obviously not statistically meaningful..


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## qldfrog

I could not resist I bought AMI again at.92 on the open, will probably regret it but if I get JIN back too, then I will be in sync for a start on the 1/02/2019.
I should probably abstain, does not really make sense let's wait tomorrow night for the next signals...


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## qldfrog

JIN purchased yesterday: 423 @11.890 + $ 10  commission =$5039.47 
I am now in full sync for a 1/02/2019 trading start while I only started on the 25/02

No order for Monday.

Backtest system would have a profit of $5339.66.
Current real profit with the delayed start is:2,260.24

Total invested   $        100,000.00
Cash remaining $41,126.18
Current portfolio value  $        102,260.24
Profit  $            2,260.24
Nb of active positions 12
Nb max position 20
Return since 25/02 2.26%
purchase value per position 5140.7725
Invested percentage 60%

Happy trucking along..$1500 paper profit in the week on 60k invested..happy..need to build a buffer for the inevitable DD


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## qldfrog

Reached version 11 of my code after more exploration display fine tuning, I would like to improve chart display..more work if I can find the time


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## qldfrog

heavy losses on the NHC results
Down 20% from buying price in 2 days


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## lusk

qldfrog said:


> heavy losses on the NHC results
> Down 20% from buying price in 2 days




Sometimes your just going to get clubbed nothing you can do about it and your money management
means its no big deal.

The way some stocks have been behaving lately with results i have been exiting beforehand
as it doesn't seem worth it even if you get left behind.


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## qldfrog

The beauty of the system is i let it do its run
I would never have bought nhc after the chinese embargo, hta or myer for structural reason yet myer went up...
The whole purpose of the system is to get beyond my own failing and always too early perception.so i let it run
And yes not a biggy in the scale of even just this portfolio


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## qldfrog

One order for Monday.

Backtest system would have a profit of $5306
a bit of a loss :around 250$ last week;Thanks to NHC which plunged by $1000
Current real profit with the delayed start is:$2,014.43
Start 25/02/2019 
Total invested   $        100,000.00 
Cash remaining $41,126.18 
Current portfolio value  $        102,014.43 
Profit  $            2,014.43 
Nb of active positions 12 
Nb max position 20
Return since 25/02 2.01% Annualised return so far 26%
purchase value per position 5140.7725 
Invested percentage 60%


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## peter2

I understand why you're referring to the theoretical back test results, but it seems to me that by mentioning them each week may make you feel like you're chasing. You started when you could and the theoretical perfect application of the system should also start at the same time. 

It seems to me that you've done a good job of sticking to the system so far, so the comparison with a perfect application of the system should be very good. Monitoring your performance in this way will indicate when you've overridden or ignored the system and is important. 

It's likely that you understand the difference far better than the readers and if you don't feel like you are chasing then carry on.


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## qldfrog

I may not need to add these in my weekly report indeed
I run both explore and backtest at the end of the work the backtest as a check that i am indeed following my system wo error but it is true that the delta should remain constant within the slight error produced by packet size which differ slightly based on opening price or thing like 
us marketmark crashed i might do my purchase at last close not close plus 2pc...tomorrow


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## qldfrog

OK today I purchase 1965 RND@2.65 a share
65% invested  on a big down day today


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## qldfrog

Horrible week for the system:
Total invested   $        100,000.00 
Cash remaining $35,908.93 
Current portfolio value  $          99,540.50 
Profit -$               459.50 
Nb of active positions 13 
Nb max position 20 Annual return so far -5%
Return since 25/02 -0.46%
Invested percentage 64% 
We lost 2.5k in the last week..outch, and results are below the XAO for the first time:


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## qldfrog

forgot to say: no buy or sell on monday for the system


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## qldfrog

slightly better week:
we are back above the index
Total invested   $        100,000.00
Cash remaining $35,908.93
Current portfolio value  $        100,633.05
Profit  $               633.05
Nb of active positions 13
Nb max position 20
Return since 25/02 0.63%
Annual return so far 5.64%
Invested percentage 64% 




Action on Monday:Yes  some exit planned


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## qldfrog

On open today: 
exiting NHC,BBN and MWY
NHC sold 8/04/2019 bought 26/02/2019 nb:1204 @ 4.15 
Sold open @2.81for loss $    1,633.36 -32.62%
BBN sold 8/04/2019 bought 4/03/2019 nb:2080 @2.38 
Sold open @ 2.25 for loss $       290.40 -5.85%
MWY sold 8/04/2019 bought 25/02/2019 nb:1388 @ 3.61
Sold open @3.54 for loss -$       117.16 -2.33%


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## qldfrog

Back on track this week
Total invested $ 100,000.00
Cash remaining $48,870.02
Current portfolio value $103,245.34
Profit  $            3,245.34
Nb of active positions 10
Nb max position 20
Return since 25/02 3.25%
Annual return so far 25.20%
purchase value per position 4887.002
Invested percentage 53%




Action on Monday:Yes action is pending
Have all a great week end


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## qldfrog

On open today: 
exiting AMI
AMI sold 15/04/2019 bought 14/03/2019 nb:5434@ 0.92
Sold open @0.77 for loss -$ 835.1 or 16.7%
so only 9 positions only out of the 20 allowed, my system is getting cautious


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## qldfrog

Some well intended friend was worrying about the under performance of my system vs Skate's stellar one:
This version I use has been tweaked to lower hopefully DD and is more cautious in its entry than Skate's one:
It also limits its entry timing to some specific trend reversion so overall, today:
I have a portfolio profit of 3.8k with a start on 25/02 and an invested amount of roughly 50k;
I usually give my results in percentage on the overall invest-able amount, but so far I am very far from being fully invested
bringing this back in percentage on the money at risk, that is nearly a 7.6pc return in less than 2 months or nearly 54% annualized
Time will tell but if that system is really DD resistant AND persists in its performance, I could not be happier


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## Newt

Congrats on a great start, and I hope the long term returns continue for you


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## jjbinks

IMO 20% annual return for a system is great


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## peter2

I'm thinking that your friend doesn't understand the subtle differences between your system and Skate's Modified CAM system. While both systems may be described as trend following systems the entry conditions are quite different. Qldfrog's system uses a momentum filter to find entries, while Skate's ModCAM follows the 13ema and enters more quickly.

Momentum systems find stocks that have already gone up more than others. IMO they enter late in a trend but this doesn't matter if the market remains bullish. They can even tolerate a sideways market provided the administrator uses loose exit stops. If the market resumes going up then these systems are fully invested and take advantage quickly. This system will do very well in stocks with a follow up surge of demand. The stronger stocks tend to show these additional surges.

Skate's ModCAM system enters a trend quickly and profits quickly in bullish markets exactly like we experienced in Jan-Feb19. If the market continues sideways then this strategy will experience increased activity with many small losses. This is a higher activity system but again, this depends on the exit stop strategy employed.

Varying market conditions cause all profitable edges to wax and wane. These two systems will produce different equity curves as the market conditions change.

The start dates were different. A minor point but one that is important in any comparison in the early months. One started at the beginning of the recent rally and the other half way through. This won't matter in a year or two as both systems will generate profits over time if their administrators stick to their system rules.

I think that ASF is fortunate to have multiple systems running in real time. Readers will be able to see the ups and downs of the systems as they progress. People intending to manage their own portfolios, but don't yet have the knowledge or confidence should be following along closely and recording all the buys and sells with their own spreadsheets/portfolio managers. This is a great way to learn without losing money.


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## qldfrog

This friend is well aware now but i wanted to add some explanations for any potential follower of this thread.


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## qldfrog

Short week
today's bad performance (-1k) detract a bit but we keep on a good trend
Total invested $ 100,000.00
Cash remaining $53,044.20
Current portfolio value $103,593.30
Profit  $            3,593.29
Nb of active positions 9
Nb max position 20
Return since 25/02 3.59%
Annual return so far 24.75% on total amount including cash
purchase value per position 4822.2
Invested percentage 49%


Have all a great Easter No expected  action on Monday


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## qldfrog

Short week again, and away for a short break so my apologies for the delay
we keep on a good trend
Total invested $ 100,000.00
Cash remaining $53,044.20
Current portfolio value $104,943.71 inc dividends
Profit $4,943.71
Nb of active positions 9
Nb max position 20
Return since 25/02 4.94%
Annual return so far 29.1% on total amount including cash
purchase value per position 4849
Invested percentage 49%


Some action on Monday


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## qldfrog

bought 1947 BBN at 2.42 on open this morning with a 10$ brokerage fee, we are now 53% invested in 10 stocks
profit at  $ 4,962.81 today


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## qldfrog

slight profit, outperforming the as again
we keep on a good trend
Total invested $ 100,000.00
Cash remaining $48,322.46
Current portfolio value $105,211.98 inc dividends
Profit  $            5,211.98
Nb of active positions 10
Nb max position 20
Return since 25/02 5.21%
Annual return so far 27.98% on total amount including cash
purchase value per position 4861.128
Invested percentage 54%


no action on Monday
still happy with performance in the current context


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## qldfrog

_outch_
HTA today:

HTA  to $0.12 -$0.05 -28.13% loss of  -$1,611.90 in a day ...
anyway, this is life


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## qldfrog

Big loss this week:-2.3 k so HTA not the only one to be blame..ahh well
Total invested $ 100,000.00
Cash remaining $48,322.46
Current portfolio value $102,899.96 inc dividends
Profit $2,899.96
Nb of active positions 10
Nb max position 20
Return since 25/02 2.9%
Annual return so far 14.11% on total amount including cash
purchase value per position 4861.128
Invested percentage 52%


some action on Monday
Have all a great week end


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## qldfrog

talk about a bad day, neither the buy or sell order on open are fully completed, none of the buy at all, and only part of the sell.
Not sure what to do in such cases as I have not modeled this in my backtests
I have a generous [ nearly 4% ] margin from Friday close but this was not enough
I have left my orders on and see what happens tomorrow


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## willoneau

Hi qldfrog, I run a system similar to skate. Have you back tested your system on a weekly chart? or reduced your universe?. Mine is weekly so set and forget until I down load after Friday close, I have recently gone over my trading of the system for the past three years to see how I can improve going forward. I have decided to change my exit signal so now I have two systems running and time will tell which is better as my modified exit signal is discretionary in nature sort of and hard to back test. It could probably be coded to back test, but live forward testing is fine.


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## qldfrog

Yes,
My system is weekly, backtested and working on the xao universe with added volume checks


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## qldfrog

Just a few months in...
And the buy/sell planned for yesterday open managed to go through today so all good in term of compliance to system


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## qldfrog

Sorry for the abrupt short posts, really very busy lately, i will give the details of the sell HTA and the buy::
Freelancer ASAP


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## qldfrog

yesterday completed the transactions planned on open Monday:
sold HTA (  hutchinson ) 3582@$0.125 received  $4467.5 so a loss of $557.30 
purchased FLN ( freelance)r  5868 @$0.835 for a cost of $4909.78


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## qldfrog

Slight recovery this week:+0.6 k  loosing the edge, only marginally better than xao on that period
Total invested $ 100,000.00
Cash remaining $47,880.17 
Current portfolio value $103,547.36 inc dividends
Profit $3,547.36 
Nb of active positions 10
Nb max position 20
Return since 25/02 3.55%
Annual return so far 15.8% on total amount including cash
purchase value per position 4817
Invested percentage 53%


some action on Monday
Have all a great week end

Report Bookmark


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## qldfrog

a quick remark: please note that the 3.5k profit, while in an environment of 100k, was only gained playing with around 50k, whereas with the xao, I would have to risk twice that amount...just to ensure proper comparison


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## jjbinks

Hi qldfrog 

Are you not fully invested due to lack of signals currently?

I think you make a great point about risk. You want a system to ideally beat index and have less risk.

Cheers
Jj


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## qldfrog

I have 100k overall to invest with share packets of 5k approximately
So 20 codes
Since i started, due to the selection criteria i use in the system, and some packets already exited, i only have 10 packets
And spoiler alert i will have less after monday opening.
I could backtrack and buy selection triggered before my start but i risk missing the decisive up time so just patient.in the long run i could maybe reach my 100k invested,


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## qldfrog

ok: a lot of action today:
got rid of BBN: loss of $293;
got rid of EQT:$14 loss so basically break even
out of MYR for a profit of $1779
and bought one packet of AQG for a total cost of $5008 inc brokerage
We have now only 8 position invested so only 42% invested.
And a loss today on a rising market..


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## Trav.

qldfrog said:


> ok: a lot of action today:
> got rid of BBN: loss of $293;
> got rid of EQT:$14 loss so basically break even




@qldfrog just a quick question about the sales of BBN and EQT. 

Did you sell as they are trending sideways? BBN in particular caught my eye as it appears you only purchased it on the 29/4 and which really isn't very long, or was there some other driver that initiated the sales?

Cheers


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## qldfrog

Just the verdict of the system, but yes the programming interpretation of a stale or not occuring expected surge
Bbn lost a bit, eqt well time to go as it went no where, but no discretionary decision
Just verdict of the system using optimised parameters determined by backtest earlier this year.
I would not have bought hta or myr by my own decision..
First one lost me money, second was a nice winner...


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## qldfrog

a week to forget:lost the edge on xao , profit down by 1600$ , nearly half on friday session
Total invested $ 100,000.00
Cash remaining $58,886.80
Current portfolio value $101,873.39 inc dividends
Profit $1,873.39
Nb of active positions 8
Nb max position 20
Return since 25/02 1.87%
Annual return so far 7.60% on total amount including cash
purchase value per position 4935.33
Invested percentage 42%



some action on Monday
Have all a great week end


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## qldfrog

Today, I bought  370 DXS @ $13.25
and now have 9 out of 20 available parcels in play
Invested percentage : 46%


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## qldfrog

a better week but still behind the xao , profit up by 1050$
Total invested $ 100,000.00
Cash remaining $53,974.30
Current portfolio value $102,926.29
Profit $2,926.29
Nb of active positions 9
Nb max position 20
Return since 25/02 2.93%
Annual return so far 11.13%
purchase value per position 4937.405455
Invested percentage 47%



some action on Monday
Have all a great week end


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## qldfrog

Today, a bit of a bloodbath and the system was not spared...
But I bought 2,538 EPW @ $1.915
and sold the CNU (Chorus) package at $5.39 for a profit of 400$ inc divas it was getting stale
I still have 9 out of 20 available parcels invested, hard to go to full invested in the current context with my cautious filter
Invested percentage : 47%
Have all a great week


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## qldfrog

another so so week
profit down by 900$ 
Total invested $ 100,000.00
Cash remaining $54,445.23
Current portfolio value $102,017.30
Profit $2,017.30
Nb of active positions 9
Nb max position 20
Return since 25/02 2.02%
Annual return so far 7.22%
purchase value per position 4980.217273
Invested percentage 46%




no action on Monday
Have all a great week end

Report Bookmark


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## qldfrog

as we start having a few weeks under mgt, a few initial feedback ideas:
The entry point is critical, 
by not entering previously trigered buy, and with the cautious entry criteria, I do not even make full use of my available cash, so I deleverage the system.
My soldiers are unused would say Skate...
In a volatile environment such as the current one, this is not ideal as I forgo some of the market rise, and increase the risk of laggards
This is not agile enough to be optimun.
I nevertheless soldier one but might try to design a second more agile, probably daily system
Renovation of our cottage are nearly completed and I could now get bored


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## jjbinks

hi qldfrog,

Looking back at your back test result you posted earlier, your trade exposure was ~50% in bad market and upto 72% in a good period. 

I think working on a system for more volatile conditions may work well in combination with your current system. Can I ask why you are considering a daily system? 

Also would be curious to see how a back test of your system from current trading period compares with your real results.

Cheers
jj


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## qldfrog

Thanks jj i
Backtest: i give it a go and post the results


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## qldfrog

OK to answer jj, and also because it is an interesting check to do:
I started the system on the 26/02 and bought back recommended system shares from up to the 01/02
By the 26/02, I had already lost 1395$ vs the 01/02 start
if I backtest the system, I get the following results:
Backtest:

*All trades* *Long trades* *Short trades
Initial capital* 100000.00 
*Ending capital* 105215.73 
*Net Profit* 5215.73 
*Net Profit %* 5.22% 
*Exposure %* 45.17% 
*Net Risk Adjusted Return %* 11.55% 
*Annual Return %* 15.87% 
=========================
my real life results are:
Current portfolio value $102,017.30
Profit $2,017.30 
I have real life gain of $2017vs backtest $5215
interesting difference, where does it come from?

Initial mess up: 
AMI I bought sold then bought again, 
similarily JIN, JIn was a winner but AMI was not,
I lost more on AMI than backtest; $835 loss vs backtest loss of $490
, JIN purchase was less shares at a higher price
JIN profit backtest $3663 vs real $2257

So profit $2017+ initial delayed start $1395+ [mess up AMI:loss: $345 difference] plus messup JIN: 1406 diffence):
total 2017+1395+345+1406=5163 vs 5215 so we match the backtest except for the later start and the initial mess up
Another area where we have a small difference is the number of shares and parcel size:
I send my order on the week end for a given nb of shares, computed based on a premium price.
As a result my parcels are at most 5k, more often than not well under:around $4875 on average 
So under invested..again...

Overall, the system is compliant to its backtest, I wish I could have started earlier or be fully invested from the start,,but hey I could have been saved by that too under different circumstances
So yes, a simple, reliable system , not stellar but not too bad  and doing its work so far, as long as a major crash is not on the way....
Thanks for following this


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## qldfrog

jj asked:
why considering daily? 
Well because I can...in preretirement mode, and because I expect a sudden crash more than a slow death..so want my exit to be triggered ASAP and not waiting for a week of fall before deciding to exit


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## jjbinks

Thanks for sharing. 

Re daily vs weekly. If you have stop losses in place then weekly or daily you should be protected from sudden crash. 
Some systems such as flipper seem to do better on weekly time frame!


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## qldfrog

No stop loss in my current system which is not something i like but i had various mostly negative results when i tested stop loss during initial backtests
But crashes do not happen daily, so the backtest figures are not that comforting..
Stop loss will be a must have in my next system


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## peter2

@qldfrog Thanks for posting your journey and thoughts so far. You have my full support and my best wishes for your future results. 

There are only two ways to beat our benchmarks, gain more when the market rallies and lose less when the market falls. The easier of the two is to lose less when the market falls but it's just as important to re-invest when the market starts to rally.

Our market (ASX) is near yearly highs. Nobody knows what is going to happen next, but all the indications for a recession or a period of zero growth may become a self fulfilling outcome. Stick to your trading rules because you know they'll do the job you created them for.

As for a daily system. Good luck, you'll need lots of patience and research for this. The daily volatility seems to be much greater since the GFC and this makes trend following with reasonable stops difficult. The weekly charts seem so much smoother to me.

Stop losses. The're a buggar. Every SL method tests badly as you know. If you want to avoid the huge market draw downs (GFC -50%, great depression -90% and lots of -20% that happen regularly) you've got to employ a SL method.


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## qldfrog

Good week:+1.2 k but still lower than  xao on that period
Total invested $ 100,000.00
Cash remaining $54,445.23
Current portfolio value $103,231.53
Profit $3,231.53
Nb of active positions 9
Nb max position 20
Return since 25/02 3.23%
Annual return so far 10.82%
purchase value per position 4980.217273
Invested percentage 47%


some action on Monday
Have all a great week end
note actually not that lower considering only 50% invested but still I could have made more putting 100k in an asx based eft


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## qldfrog

Quick question
I compare my system to the xao, but the xao would return some dividends
Is there a xao plus div index i could use for my comparison?


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## Newt

Hi QF

All Ords Accumulation index tracks all ords + dividends.
Might be worth watching the small ords too, depending your trading stock universe.


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## qldfrog

Ok.much Thanks


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## willy1111

qldfrog said:


> Quick question
> I compare my system to the xao, but the xao would return some dividends
> Is there a xao plus div index i could use for my comparison?




If you are using Amibroker $XAOA.


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## qldfrog

today, my system sold WEB for a loss of $186, sold BRG for a gain of $485 and bought 1070 AGG (anglogold) @4.55 for a total cost of $4878.5
we only have 8 positions now, 3 in gold miners ...yeap


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## qldfrog

Good week:+1.7 k but still lower than xao on that period
Total invested $ 100,000.00
Cash remaining $59,864.21
Current portfolio value $104,946.49
Profit $4,946.49
Nb of active positions 8
Nb max position 20
Return since 25/02 4.95%
Annual return so far 15.56%
purchase value per position 5016.780833
Invested percentage 43%

some action on Monday
Have all a great week end


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## qldfrog

the missing graph


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## qldfrog

This morning purchased 861 NAN (nanosonics) @5.82 for a total cost inc brokerage of $5021.02
Sold the 2608 IFM @ $1.70 for a gain of $514
at the end of today:
8 active positions, portfolio value $105,295


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## qldfrog

so so week:-0.1k , still lower than xao on that period
Total invested $ 100,000.00
Cash remaining $59,266.79
Current portfolio value $104,806.38
Profit $4,806.38
Nb of active positions 8
Nb max position 20
Return since 25/02 4.81%
Annual return so far 14.26%
purchase value per position 4966.995833
Invested percentage 43%




no action on Monday
Have all a great week end


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## qldfrog

decent week:+0.9k , still lower than xao on that period again...
Total invested $ 100,000.00
Cash remaining $59,278.51
Current portfolio value $105,664.43
Profit $5,664.43
Nb of active positions 8
Nb max position 20
Return since 25/02 5.66%
Annual return so far 15.90%
purchase value per position 4967.9725
Invested percentage 44%




no action on Monday so will remain so under invested..but hey, this was not designed for a crazy bull run market
Have all a great week end

Report Bookmark


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## qldfrog

another week to forget:-0.4k , still lower than xaoa since start, I am now using xaoa as a comparison
Total invested $ 100,000.00
Cash remaining $59,278.51
Current portfolio value $105,293.16
Profit $5,293.16
Nb of active positions 8
Nb max position 20
Return since 25/02 5.29%
Annualised return so far 14.10%
purchase value per position 4967.9725
Invested percentage 43%



Still no action on Monday s
My system seems to tell me: stay in cash, maybe GG has it right!!!
Have all a great week end


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## qldfrog

A good week+1.4k , catching up on xaoa since start
Total invested $ 100,000.00
Cash remaining $59,278.51
Current portfolio value $106,673.20
Profit $6,673.20
Nb of active positions 8
Nb max position 20
Return since 25/02 6.67%
Annual return so far 16.91%
purchase value per position 4967.9725
Invested percentage 44%



And some action on Monday..buying at last
Have all a great week end


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## qldfrog

This morning: bought 1366 OCL at $3.57 for total cost inc brokerage of $4886.62
Nearly 50% invested..getting there SLLLLOOOOOWLY


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## qldfrog

Probably worth while trying a few variations  in my filter compared to  the same period

Being a newly retired is too busy but i need to
1) Do a thread about taxation difference income and CGT between country to prove with figure we are a bloody high taxation country
2) develop a new different system with faster ramp up to get better use of my capital
3) start new thread about 
Moving to retirement before pension age
Challenges: finances social stress based obviously on my experience but also i hope others

This is a full time job, luckily, weekly systems are not to hard on my time


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## willoneau

jjbinks said:


> hi qld frog,
> Thanks for sharing your results.
> If its okay with you do you think you could post your back test results here so we can gauge what to expect from  your strategy.
> 
> 
> 
> My question to you and others trading systems is:
> _ How do you know that your system is not working and when would you stop trading?_
> --I think part of this comes back to system design. The more confident you are with your back testing process the more confident you can be with your system but trading real world may not produce same outcomes either because (1) there was some problem with back testing (2) Your edge has eroded



hi jjbinks, as skate said in a post - back testing means jack, I agree totally and only use it to determine if I have positive expectancy and not to really look at returns. A robust strategy should be able to withstand the ebb and flow of the market over the long term, Nick Radge states many good systems can take up to 3 years to become 100% profitable depending on when they are started in the market cycle.


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## willy1111

qldfrog said:


> 1) Do a thread about taxation difference income and CGT between country to prove with figure we are a bloody high taxation country




I'd very much be interested in this.

In Oz if one is over preservation age and retired, doing share related activities inside a Super allocated pension is tax free.

I don't think you are of preservation age yet.

Recently I met a chap on my travels from New Zealand who said he invests in the Oz market and his Capital Gains are tax free but had to pay income tax on dividends. I haven't researched it so not sure of all the exact details.

It would also be intetesting if other countries apply certain rules to share related activities like in Oz, ie share trading business has different tax treatment to share investment.


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## willoneau

Hi willy1111,I traded for a sort period in my super fund and was profitable. The only down side was the lack of stocks to choose from and the max % allocation allowed to those stocks. In the end i gave up as many of my stock picks weren't allowed.

Also i run my trading as a business so capital gain isn't an issue.

PS, the profitability of my super at the time might have had more to do with the direction of the market at the time.


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## willy1111

willoneau said:


> Hi willy1111,I traded for a sort period in my super fund and was profitable. The only down side was the lack of stocks to choose from and the max % allocation allowed to those stocks. In the end i gave up as many of my stock picks weren't allowed.
> 
> Also i run my trading as a business so capital gain isn't an issue.




Cheers.

I do mine through an smsf administered by esuperfund for approx 900 a year plus ato levy approx 250 plus annual fee for company of 50 so about 1200 a year regardless of size of fund...this allows me to use Commsec the same as any other Commsec user so no restrictions on stocks etc.

Admin is super easy too.

Only issue for me is I'm a long way from preservation age


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## willoneau

That is interesting willy1111, i did it through AustralianSuper at the time.

I would be interested to know what your yearly costs are before any trading takes place. I know commission is a % above any lot above $10000.


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## willy1111

willoneau said:


> That is interesting willy1111, i did it through AustralianSuper at the time.
> 
> I would be interested to know what your yearly costs are before any trading takes place. I know commission is a % above any lot above $10000.




Yes quite a few superfunds have a direct investment option where they allow one to pick their own stocks generally within ASX300 index.

I tried that and found it too clunky and limiting hence went the smsf route.

Mine costs about $1,200 per year before trading costs, no matter if you have a $10k balance or $10m balance. Costs vary depending on who administers it for you, an online provider like esuperfund who I use is about $1,200.

Commsec is normal commission.


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## willoneau

Thanx willy1111 i might look into it.
what about the costs of a SMSF


----------



## qldfrog

very bad week:-1.1 k including a 1k loss just on today....
Total invested $ 100,000.00
Cash remaining $54,391.89
Current portfolio value $105,550.53
Profit $5,550.53
Nb of active positions 9
Nb max position 20
Return since 25/02 5.55%
Annual return so far 13.42%
purchase value per position 4975.368182
Invested percentage 48%


some action on Monday
Have all a great week end

Report Bookmark


----------



## jjbinks

willoneau said:


> hi jjbinks, as skate said in a post - back testing means jack, I agree totally and only use it to determine if I have positive expectancy and not to really look at returns. A robust strategy should be able to withstand the ebb and flow of the market over the long term, Nick Radge states many good systems can take up to 3 years to become 100% profitable depending on when they are started in the market cycle.




Really what I was getting at when I asked about backtest results was that how it fits in with monitoring of your live trading results. As a trader you must have some kind of evaluating your own performance and my question is what do you use as your benchmark. As you mentioned different systems can take more or less time depending on market conditions to become profitable. (Not sure what you mean by 100% profitable as opposed to say 50% profitable). If you back test over periods which cover different parts of the market cycle this should give you an idea. I feel 3 years is a long time to wait to find out if your system truly works or not!

I guess, ultimately that leaves you with trying to find a system which becomes profitable within an acceptable time frame for you. For me that would be somewhere between 6-12 months! But it is easier said than done.


----------



## qldfrog

I fully disagree with the notion backtests are crap
As discussed, backtests are equaling my real system since i started, you backtest different phases..up down,going no where shift dates by a few days and get a pretty good idea of your system value.
In my opinion, if you have to wait months to see if a system works, then you do not program it properly on backtest or you are in a new never experienced before market
So a lottery
Backtests do not represent an image of the future we all agree, but they are critical in a pure systematic system without human based decision


----------



## peter2

@qldfrog I understand your disappointment with your portfolio performance so far. I would like to remind you of something. Your portfolio is only 50% invested, so you should only expect to have 50% of whatever the benchmark has done. I see the XAO is +12%, 50% of this is 6% and your portfolio sits at 5.5%.  Not bad at all.

We could discuss your reluctance to invest more as the market rally continues.
We could discuss your entry criteria which I thought was a little late (like all momentum strategies).

But as you're monitoring your back testing and your performance is matching nicely, I think you're going along quite well. Your conservative nature will be rewarded when the market dips as it always does.


----------



## willoneau

Hi jjbinks, let me explain first what i meant by 100%, it was in reference to going broke, just not really explained well. Nick Radge explains it better in Unholey Grails.
I didn't say back testing was crap i said as skate pointed out means jack, meaning past tests will not be the same as future results. Doing Monti carlo simulations points that out.
The biggest and most important aspect of back testing for me is does it have a positive expectancy over time.


----------



## willoneau

At this stage jjbinks my benchmark is to be profitable at the end of the financial year. I know i want to be able to monitor my progress and will be looking at doing that in the near future, just not sure how to track closed positions, live positions or both together.


----------



## qldfrog

@peter2 thanks, yes i am aware and i like being even with xao with half the risk, just a bit frustrating to realise all this initial work of system setup and research could have been match by VAS
But i am old enough to know that the market, or the world actually, does not care with work effort or justice etc
Real frustration is on having only 24h in a day and not having time to work and design a more dynamic second system to take advantage of what has been a stellar unusual market since January


----------



## willoneau

qldfrog said:


> @peter2 thanks, yes i am aware and i like being even with xao with half the risk, just a bit frustrating to realise all this initial work of system setup and research could have been match by VAS
> But i am old enough to know that the market, or the world actually, does not care with work effort or justice etc
> Real frustration is on having only 24h in a day and not having time to work and design a more dynamic second system to take advantage of what has been a stellar unusual market since January



Hi qldfrog, I did some back testing over the last couple of years and found my daily system out performed my weekly.But over all my weekly was way ahead, my thinking was to incorporate the two for times in the market when these changes happen and also allows me to trade more often which indulges my passion.


----------



## jjbinks

willoneau said:


> Hi jjbinks, let me explain first what i meant by 100%, it was in reference to going broke, just not really explained well. Nick Radge explains it better in Unholey Grails.
> I didn't say back testing was crap i said as skate pointed out means jack, meaning past tests will not be the same as future results. Doing Monti carlo simulations points that out.
> The biggest and most important aspect of back testing for me is does it have a positive expectancy over time.




I see what you mean re the 100% now. Completely agree that looking at back test without monte carlo results is essentially useful.
I think we don't talk about monte carlo results in our threads as much as we should but in someways for novices like me it perhaps it is one of the most useful results to guide expectations. Definitely something I paid attention to before starting trading. But have not been thinking about MC simulation much recently so thanks for the reminder!
Obviously expecting to match results from a single back test is stupid. But if you run your test over different time frames MC give you an idea what your chances of profitability is over different time courses.


----------



## willoneau

The MC simulations use the same time frame just alters the criteria slightly ( you can adjust how much deviation in amibroker, I think i used 2%). Run 1000 simulations and see best and worse results. If still positive then on a winner.


----------



## jjbinks

willoneau said:


> The MC simulations use the same time frame just alters the criteria slightly ( you can adjust how much deviation in amibroker, I think i used 2%). Run 1000 simulations and see best and worse results. If still positive then on a winner.



You can run MC over different time frames and durations.
e.g. 6 months, 12months, 2 years etc and see how long it takes for you to be profitable 95 or 99% of time on MC. 
also you can chose different periods e.g. test during GFC and other times to see how your system performs. I think this then gives you a bench mark to assess if your system is working real time and edge is valid. 
e.g. MC over multiple different 12 month period predicts 5% or greater return 95% of the time and your return is less than this I would say that you have a problem. 
In my experience getting really tight MC results over 6-12 month period is very hard. 2-3 years for most systems they should be profitable. (This goes back to what you mentioned about radge saying that all good systems should be profitable within 2-3 years)


----------



## willoneau

That sounds like alot of work and the market is always changing so not sure of the benefit. For me risk of ruin less than 1% within 3 years with positive expectancy is good enough to start forward testing a system.


----------



## qldfrog

I just fulfilled my first promise: comparison of income tax rates among a few selected places, demonstrating if need be that we are horribly taxed here yes are supposed to go to private hospitals, pay for education and offer poor expensive public transport
https://www.aussiestockforums.com/threads/income-tax-rates-in-the-world-vs-australia.34841/
Now need to do a thread on becoming retiree and work on system number II
Have all a great week


----------



## willoneau

qldfrog said:


> I just fulfilled my first promise: comparison of income tax rates among a few selected places, demonstrating if need be that we are horribly taxed here yes are supposed to go to private hospitals, pay for education and offer poor expensive public transport
> https://www.aussiestockforums.com/threads/income-tax-rates-in-the-world-vs-australia.34841/
> Now need to do a thread on becoming retiree and work on system number II
> Have all a great week



You thinking of leaving Aus qldfrog?
does the smaller size of Aus population have an influence on tax% compared to other countries with larger populations?


----------



## qldfrog

willoneau said:


> You thinking of leaving Aus qldfrog?
> does the smaller size of Aus population have an influence on tax% compared to other countries with larger populations?



No, pure mismanagement
Yes thinking of not being a tax resident
But i expect very low income now that we retired so oz tax might be bearable
Just have to cry for the country ..


----------



## qldfrog

o with the system, i purchased today 3148 JLG @1.565 for a total of 4937$ inc brokerage
I now have 10 positions out of 20 after 6 months of live play


----------



## qldfrog

shaky week" but not a bad result with a $330 gain
And we got a weekly gain
Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $49,455.28
Current portfolio value $105,878.15
Profit $5,878.15
Nb of active positions 10
Nb max position 20
Return since 25/02 5.88%
Annual return so far 13.67%
purchase value per position 4979.244
Invested percentage 53% 


a lot of action on Monday: 6 buy/sell planned.
Have all a great week end


----------



## willoneau

jjbinks said:


> Really what I was getting at when I asked about backtest results was that how it fits in with monitoring of your live trading results. As a trader you must have some kind of evaluating your own performance and my question is what do you use as your benchmark. As you mentioned different systems can take more or less time depending on market conditions to become profitable. (Not sure what you mean by 100% profitable as opposed to say 50% profitable). If you back test over periods which cover different parts of the market cycle this should give you an idea. I feel 3 years is a long time to wait to find out if your system truly works or not!
> 
> I guess, ultimately that leaves you with trying to find a system which becomes profitable within an acceptable time frame for you. For me that would be somewhere between 6-12 months! But it is easier said than done.



HI jjbinks, just another thought I remembered was that usually at the start of your system weather testing or live most of your closing trades will be losses because you will be accumulating and holding the winners for longer periods and getting rid of those losers quickly.


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## qldfrog

True, i am just starting selling winners after 6 months


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## willoneau

Hi qldfrog, keep it up mate, I just did some back testing with my system from your start date until start of month(12month period). I found my daily system not very impressive compared to previous year with a return of 10%, my weekly is nearly 21% return mind you single backtest. I also use AXO but my buy price limit is $1
If i go back to 1/8/2017 a period of two years my return jumps up to an amazing 63% return.
Keep following it , i also thought you were using weekly system?


----------



## qldfrog

Yes , i am on  a weekly system


willoneau said:


> Hi qldfrog, keep it up mate, I just did some back testing with my system from your start date until start of month(12month period). I found my daily system not very impressive compared to previous year with a return of 10%, my weekly is nearly 21% return mind you single backtest. I also use AXO but my buy price limit is $1
> If i go back to 1/8/2017 a period of two years my return jumps up to an amazing 63% return.
> Keep following it , i also thought you were using weekly system?



Thanks for the info, putting the final touch on a System Ii


----------



## qldfrog

OK
System II finalised and will start on Monday
$100k
20 positions max
5k per position initially
very good results on backtests, more dynamic
8 purchases planned Monday for that system

I will add the systemII results to my weekly reports
I start SystemII 6 months after System I so a good starting date
Planning to run both in parallel till Christmas and may consider to merge both together if a version is distinctively more performing


----------



## qldfrog

System1: the original system saw a lot of tradings today:
sell
DXS for a profit of 61.4
EPW for a loss of -261.11
JIN for a good profit of 3046.75..I will miss JIN
and we bought today
RBL  3496  @ 1.4 for a cost of  $ 4904.4
RMS  4405 @1.135 for a cost of  $5009.675
WLL 715 @ 6.79 for a cost of  $4864.85

System 2:
we start : initial capital 100532.76
8 purchase trades for a cost of $39204
and a loss at the end of the day of 967 dollars :-(
bad choice for a start day!!!!


----------



## willoneau

After following tech/a a bit i would have had conditional order just above that large expantion bar say 1.47/1.48 (RBL).
What is with WLL jumping from 5.25 to 6.71?


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## peter2

You may like to read about the takeover offer for WLL. The huge gap up on the daily chart is a clear indication that an offer has been made. Weekly charts may not show the gap and weekly systems don't read the ASX announcements.


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## willoneau

thanx peter2 , my system doesn't read them either.


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## qldfrog

willoneau said:


> After following tech/a a bit i would have had conditional order just above that large expantion bar say 1.47/1.48 (RBL).
> What is with WLL jumping from 5.25 to 6.71?



Then it would not be systematic and i can trust myself to be influenced by my mood or the market falling 2pc.
Or thinking i know the takeover will be rejected or..
Or being always too early
I failed for years that way so the beauty of systems


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## qldfrog

Note:
When designing this system, o also tried to remove shares which did jump too quickly
Take over or results announcements, overall and on the different periods i tested, end results were lower and i scrapped that filter off


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## willoneau

I find with my system there are times those large expansion bars are the triggers but price then falls away, i usually might give up a few cents by not getting in on open but on weekly system not too important i think . i don't scrap them just put conditional order just above high instead of open.
I am waiting on three at moment in daily system , MMI-INR-SEN , if they hit my stop before closing above i just remove from my watch list and remove conditional order too.


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## qldfrog

I understand and see the point but then you trade an hybrid system
So you must behave and be able to control yourself better than i can ,


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## willoneau

Wouldn't say control myself better, went and had a look at my results over the last year and tried to improve my results. I found that if i had placed conditional orders just above the high of the trigger instead of open as per system i was able to scratch 5 or 6 not sure , trades. I didn't go and calculate the difference between the other trades entry on open and what they would have been just above the high but i think by scratching those i was in front. Test it and see what you find? if you enter on open on Monday (weekly system).


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## qldfrog

Thanks @willoneau, I will go into these refinements when I get more experienced, but until I can code these checks in AB, I prefer sticking to the basic rules with a backtest comparison for my system as i go along.
I do not contest your check will avoid many doomed entries..
Thanks nevertheless for raising that issue..I really am using a crude system but sometimes the KISS rule is the best for novices like me.
I am just wondering today if I did not start system @ at the trigger of the down slide....anyway, have to start sometimes


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## willoneau

i'm no programmer , just manually went through was about 40 odd trades in the year i think


----------



## qldfrog

Not a bad result this week:
###########################
System I (the original)
with a $1525 gain this week

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $52,350.81
Current portfolio value $107,403.77
Profit $7,403.77
Nb of active positions 10
Nb max position 20
Return since 25/02 7.40%
Annual return so far 16.48%
purchase value per position 5268.797
Invested percentage 51%


we are catching up on XAOA
No action on Monday
###########################
system II
not toooo bad considering our start date!!!!!

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $61,328.29
Current portfolio value $100,134.31
Profit -$398.45
Nb of active positions 8
Nb max position 20
Return since 5/08 -0.40%
Annual return so far -36.17%
purchase value per position 5110.690833
Invested percentage 39%
We beat the XAOA on that time frame
Some action on Monday
Have all a great week end

Report Bookmark


----------



## qldfrog

I just noticed a difference between backtest and real on System 2, I will investigate..teething issue...


----------



## jjbinks

Nice to see you bucking the trend. 

Was going to update my us flipper diary because I've got a busy weekend  but then realised us market will be trading till tomorrow morning haha!
But when I was doing my update at this week has interestingly been the best week for the flipper system up 3% as of close of trade thursday us time compared to russel 3000 which is flat. 
US market had strong bounce overnight with didn't follow through for in the all ords today.

A daily system which I was testing (buys new highs essentially) and have been tracking was up ~4% this week. I was suprised as Monday the system was down by 4% and sold 3 positions. The new positions were found pretty quickly (gold miners - my system also picked up RMS which has had a great week!!) and biomed compay OPT which have had a ripper week. 

Your results and mine seem to suggest that there is profit to be made in volatility. Just a matter of how to make the most of it!


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## qldfrog

And today it was down 1k so good end of week result overall
Better than i expected.
But system wise, I spent most of my refinements looking at reducing DDo the last few down periods :
October to 1rst january this year and so on.
It may have paid off.


----------



## qldfrog

qldfrog said:


> I just noticed a difference between backtest and real on System 2, I will investigate..teething issue...



false fright: all good, was just not giving proper test interval, so all going on as planned: 6 more buys on Monday


----------



## qldfrog

Bad week:
###########################
System I (the original)
with a $1400 lossthis week

Start 25/02/2019
Total invested $ 100,000.00
Cash remaining $52,350.81
Current portfolio value $106,003.45
Profit $6,003.45
Nb of active positions 10
Nb max position 20
Return since 25/02 6.00%
Annual return so far 12.81%
purchase value per position 5268.797
Invested percentage 50%
The good thing: we are now above the XAOA!..just



A buy on Monday!
###########################
system II
outch a big 2500 loss this week

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $31,835.52
Current portfolio value $97,630.90
Profit -$2,901.86
Nb of active positions 14
Nb max position 20
Return since 5/08 -2.89%
Annual return so far -95.78%
purchase value per position 5305.92
Invested percentage 67%

We beat the XAOA on that time frame


Moe heavy actions (7 trades) on Monday
Have all a great week end


----------



## jjbinks

Tough week this week. Hopefully market changes direction 
How did your systems perform if you test over the october/dec correction from last year?


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## qldfrog

jjbinks said:


> Tough week this week. Hopefully market changes direction
> How did your systems perform if you test over the october/dec correction from last year?



This period was specifically used in my design for both systems, i do not remember the outcome but the DD was limited.
Especially system1 which had a low DD focus


----------



## qldfrog

Sorry for the delay:
back from 2 nights on the sunny coast.
On Monday at the open, system 1 bought
1,895 BBN shares at $2.79for a total cost inc brokerage of $5278.1.
when looking at today's position, both systems are registering losses since last week..wait and see


----------



## qldfrog

Bad week:
###########################
System I (the original)
with a $400 loss this week

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $47,072.71
Current portfolio value $105,644.38
Profit $5,644.38
Nb of active positions 10
Nb max position 20
Return since 25/02 5.64%
Annual return so far 11.51%
purchase value per position 4707.271
Invested percentage 55%

We are now below the XAOA again



heavy activity planned on monday
###########################
system II
outch another big 2000 loss this week

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $24,896.24
Current portfolio value $95,572.94
Profit -$4,959.81
Nb of active positions 15
Nb max position 20
Return since 5/08 -4.93%
Annual return so far -94.78%



We lost to the XAOA on that time frame

More very heavy actions on Monday
Have all a great week end


----------



## qldfrog

OK today we sold NAN and FLN with respective losses of
$898.22 and $606.80 after brokerage
We also bought 172 CCP @28.17 for a total of $4855.24
2127 IFM @2.27 for a total of $4838.29
599 SHV @7.98 for a total of $4790.02
lastly 1984 EPW at 2.45 for a total of S4870.80
that last one is interesting  and if you follow the dump it posts, you will recognised that code as the subject of a recent discussion;
EPW is subject to a takeover at 2.465 , so should I follow blindly my system or just discard that entry
Well, here I just ensure I was not overpaying and carried on the buy, maybe we will get a higher offer, who knows..
have all a great week, the system 1 has now 13 entries out of 20
system2 saw 8 buys and 5 sells today..very busy, some of the buy not at open as I had to sell to get the cash(well pending)  to buy again


----------



## willoneau

qldfrog said:


> OK today we sold NAN and FLN with respective losses of
> $898.22 and $606.80 after brokerage
> We also bought 172 CCP @28.17 for a total of $4855.24
> 2127 IFM @2.27 for a total of $4838.29
> 599 SHV @7.98 for a total of $4790.02
> lastly 1984 EPW at 2.45 for a total of S4870.80
> that last one is interesting  and if you follow the dump it posts, you will recognised that code as the subject of a recent discussion;
> EPW is subject to a takeover at 2.465 , so should I follow blindly my system or just discard that entry
> Well, here I just ensure I was not overpaying and carried on the buy, maybe we will get a higher offer, who knows..
> have all a great week, the system 1 has now 13 entries out of 20
> system2 saw 8 buys and 5 sells today..very busy, some of the buy not at open as I had to sell to get the cash(well pending)  to buy again



With EPW and the take over bid will your funds be tied up long,? personally I would have just watched on sidelines.
I think I read that Nick Radge usually waits for two weeks to see if counter offer then gets out if not.


----------



## qldfrog

I have a stale formula which should exit if no move


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## qldfrog

what a week:
###########################
System I (the original)
with a $2900 gain this week
Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $36,144.00
Current portfolio value $108,547.94
Profit $8,547.94
Nb of active positions 13
Nb max position 20
Return since 25/02 8.55%
Annual return so far 16.86%
purchase value per position 5163.428571
Invested percentage 66%

We are still below the XAOA but with lower exposure so all good


4 trades planned on Monday
###########################
system II
static just $6.94 gain this week

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $8,971.24
Current portfolio value $95,579.88
Profit -$4,968.51
Nb of active positions 15
Nb max position 20
Return since 5/08 -4.93%
Annual return so far -71.93%
purchase value per position 1794.248
Invested percentage 91%




We are losing to the XAOA on that time frame

More very heavy actions on Monday
Have all a great week end

Report Bookmark


----------



## qldfrog

quick correction system 2 has 18 entries not 15 mea culpa


----------



## willoneau

qldfrog said:


> I have a stale formula which should exit if no move



I would be interested how you come to using a stale exit or how you decide it is stale?


----------



## jjbinks

Good to see you had a nice week!
Was it a single stock which shot up to make most of the gain or multiple small gains?

So far in my testing it seems a few small wins which account for most of the profit in a system.


----------



## qldfrog

I think the essence of our system is weeding out losers and letting winners run, so yes, most of the gains usually come from these few winners which will ultimately stale and get pushed out
Isn't the concept great?


----------



## qldfrog

jjbinks said:


> Good to see you had a nice week!



Not so nice as the asx beat me flat, and system 2 only just broke even
Have all a great night/week


----------



## qldfrog

system1 performed 3 buy this morning:
NAN 757 @6.69 for a total of $5074.33
PWH 1048 @ 4.75 for a total of $4988
RUL  7357 @0.68 for a total of $5012.76 
there was a sell order but it was refused by belldirect earlier on (too far from price maybe? weird as I am around 2/3 pc from previous closing price)
And my manual order did not pass so pending sell tomorrow
we are nearing 80% invested

System2 more dynamic had 8 buy/sell...a lot for a 20 positions system..
Have all a great week.quite hectic here as I am selling my PPOR and discovering the selling process, cleanup, staging etc...so the frog is very busy..my apologies for expected delays and late feedbacks


----------



## jjbinks

No need to apologise re:delays!
Its great that you are sharing your journey.


----------



## qldfrog

ok, so on monday was supposed to have my RND sold.open was @3.1 but my initial order was refused?????I then asked 3.15 as suggested by bell direct before the open..but never went that high
ended selling today at 3.01xx so a loss of 0.08X1965 so 157$ vs the backtest or theory
Nevertheless, the sale resulted in a $671 profit cashed


----------



## qldfrog

A strange week with a loss on system 1 and a nice win on system 2, I was not expecting that but system 1 lost 1.5k today and system 2 1k due to gold miner being hit hard
anyway, here we are

###########################
System I (the original)
with a $590 loss this week
Start 25/02/2019
Total invested $ 100,000.00
Cash remaining $26,981.41
Current portfolio value $107,960.82
Profit $7,960.82
Nb of active positions 15
Nb max position 20
Return since 25/02 7.96%
Annual return so far 15.21%

Invested percentage 75%


We are still below the XAOA but with lower exposure so all good


2 trades planned on Monday
###########################
system II
good week:  $2612 gain this week

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $517.61
Current portfolio value $98,192.25
Profit -$2,359.25
Nb of active positions 20
Nb max position 20
Return since 5/08 -2.33%
Annual return so far -27.41%
Invested percentage 99% 




We are catching up with the XAOA 

More heavy actions on Monday


----------



## qldfrog

system1 performed 2 buy actions this morning:
ZIM 482@10.9 for a total of $5263.8
FNP 923@ 5.79 for a total of $5354.17
we are now 78% invested

System2 more dynamic had 1 buy/sell as we have reached our max nb of position:
sold 40000 AGY @ 0.08resulting in a loss of $1580 outch
and bought
83 DMP @$44.9 for a total of $ 3736.7 
here we reached another problem separating us from a backtest scenario;
I could only buy DMP after selling AGY..so could not do both at the open, I had to be present at 10:15 to manually enter the buy order: in that case, it was positive as I bought DMP below the open price but can not expect this to be always in my favour
have all a great week


----------



## qldfrog

horrendous week:
lost 15k or so on gold usd exposure, SEA collapse, bonds etc
And for the systems:
###########################
System I (the original)
LOSS of $2280 this week

WTF?
Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $16,363.44
Current portfolio value $105,680.24
Profit $5,680.24
Nb of active positions 17
Nb max position 20
Return since 25/02 5.68%
Annual return so far 10.47%
purchase value per position 5486.696667
Invested percentage 84%
dividends   $               433.81
Average per week: 202.8657143

We are going opposite the XAOA which was going higher
not a nice chart


2 trades planned on Monday
###########################
system II
static just $125 loss this week

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $10.91
Current portfolio value $98,066.59
Profit -$2,484.91
Nb of active positions 20
Nb max position 20
Return since 5/08 -2.45%
Annual return so far -23.56%





We are still losing to the XAOA on that time frame

More very heavy actions on Monday
Have all a great week end


----------



## qldfrog

A few thoughts
Neither system use stop losses
But system 2 has a more dynamic behaviour and exit for example some gold stocks on monday that remains with system1
The reason i have no stop loss in either is that backtests during several periods show they were more of a negative than a positive
I just hope there was no mess up with the tests.
@peter2 exited some of the stocks causing the fall this week.and as a human , i would have done the same
Yet with oil situation, gold might rise again...
I still want to point out that, due to personal reasons.. first open house of ppor,... this was one of the busiest week i have ever had,
 and a system allowed me to carry on stock trading whereas otherwise i would have been unable to practise rational clear thinking trading or investing.so no regret


----------



## jjbinks

Sorry to hear about the losses! One of the things about trading. Hopefully you are going OK!



qldfrog said:


> and a system allowed me to carry on stock trading whereas otherwise i would have been unable to practise rational clear thinking trading or investing.so no regret




These really highlights one of the big benefits of a system (esp if it is weekly or monthly). 

It's also interesting to note that for system 1 you have gone from about 50% invested at start of august(after about 5 months of trading) to know being 84% invested. (investing 30% of portfolio in 1 month).
Its been a volatile few weeks so no surprises that you taking some losses. Hopefully with time we'll see winners your system picks shine!


----------



## qldfrog

No win if no risk, so i am ok
Most  of the losses last week were following huge gain this year.part of life


----------



## qldfrog

@jjbinks thanks for the nice words.kind of you, but no worries i am quite ok
Hope you are going well too
Did you jump paper to real dollars?


----------



## Newt

Yep, another turbulent week.  I was just breaking new equity highs Mon, finished in a 6% DD by the end of the week.  Happy to keep churning as required - can't be setting new highs all the time, and sideways better than down.


----------



## qldfrog

today system 2 swapped 2 parcel: 2 sells 2 buys
And system1 added 2 parcels;
ALK : 9016 @ 0.595
and MSB 2522  @ 2.17 
we now have 19 out of 20 available packets invested


----------



## qldfrog

good week:
###########################
System I (the original)
gain of $2340 this week

Start 25/02/2019
Total invested $ 100,000.00
Cash remaining $5,506.18
Current portfolio value $108,017.67
Profit $8,017.67
Nb of active positions 19
Nb max position 20
Return since 25/02 8.02%
Annual return so far 14.28%
purchase value per position 5602.83
Invested percentage 95%
dividends   $515.77
still loosing to index, catching up on getting fully invested


2 sells 3 buys on monday
###########################
system II
gain $727
Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $6.69
Current portfolio value $98,793.80
Profit -$1,467.39
Nb of active positions 20
Nb max position 20
Return since 5/08 -1.73%
Annual return so far -14.03%
purchase value per position #DIV/0!
Invested percentage 100%
dividends   $                97.21  
Average per week: -293.4774
does not seem to be able to catch up with index, fully invested





We are still losing to the XAOA on that time frame
no action on monday, plenty of buy signals but fully invested and no sell
Have all a great week end


----------



## jjbinks

qldfrog said:


> @jjbinks
> Did you jump paper to real dollars?




Got into trading a asx system. (loosely based on all time highs/tech trader) 
Largely tracking along with the XAO. Back testing suggested that this was not going to have the greatest returns but seemed to be robust in terms of having decent return with DD<30%. 
Its been a good learning experience more than anything else. Have some ideas to improve the system but need to find the time to do things properly.


----------



## qldfrog

Thanks for the status on your system @jjbinks 
today, no change in system2 which is fully invested but for system1, we sold 2 goldies:
AQG:sold 1176  @5.85 for a profit of $    1,861.60
AGG:sold 1070 @5.91 for a profit of $    1,435.20

bought 1527 IMF @ 3.69 for a total of $5644.63
bought 298 BKW @ 18 for a total of $5374
bought 427 BAL @ 12.87 for a total of $5505.49
once again BAl is under takeover so should I buy it or not...backtest do not check and my system was tested on backtest, BUT shares of companies under takeover usually diseappear so may not be taken into account in my backtest..anyway, there was only 3 buys so I could store money there for a week but not a very pleasant thoughts
I pondered a lot before sending the order..


----------



## qldfrog

result of the week:
for the systems:
###########################
System I (the original)
LOSS of $141 this week

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $2,165.36
Current portfolio value $107,876.44
Profit $7,876.44
Nb of active position20 
Nb max position 20
Return since 25/02 7.88%
Annual return so far 13.56%
purchase value per position 2447.72
Invested percentage 97%
dividends   $               619.52



No trades planned on Monday
###########################
system II
gain $ 1,840.22 this week

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $6.69
Current portfolio value $100,634.02
Profit $82.52
Nb of active positions 20
Nb max position 20
Return since 5/08 0.10%
Annual return so far 0.71%
Invested percentage 99%
dividends   $               236.61
Average per week: 16.5036
We are back in black after a disastrous start during the august fall





We are still losing to the XAOA on that time frame but results are improving

More actions on Monday 2 buy and 2 sells
Have all a great week end


----------



## qldfrog

For anyone interested
Neither of my 2 systems use stop loss but i am a believer in stop loss, so yesterday, i went and tried again to put stop loss triggers in my formula and backtest these
Well this is monte carlo tested and i tried on several past periods
Crash, uptrend etc
I have very marginal only slightly improved results with a trailing stop set at 47%
And it sometimes even return worse results
I have trouble to believe this but such are the figures
There is a psychological advantage if i say to myself, i have a stop loss so i sleep better
But that's about it
Anyone with similar experience where SL are useless in their system?


----------



## Newt

Its really hard qldfrog, and SLs do often curb profits.  I found some value in the concept of "consider selling when your entry criteria are reversed".  Thinking this through allowed me to develop a compromise of trailing stops versus "would I enter here now if I had never held this stock?".  
Whatever conditions you're using for entries, perhaps review and see if there is some useful way you could flip them for trailing stops at a distance you're happy with from current price action.

Skate has some clever double trail stops on not dis-similar principles if you read back through stuff he's shared.


----------



## rnr

qldfrog said:


> *For anyone interested
> Neither of my 2 systems use stop loss*




Hi qldfrog,

So your only exit strategies are your *Initial Stop* and *Take Profit*?

Cheers,
Rob


----------



## qldfrog

No, no 
There is no stop loss but there are exit conditions, stale, change of trends etc
But none are applied intra day, they just point to
- exit on monday open as part of my weekly system
So if disaster happens, i am exposed naked until next monday when the damage or most of the damage is done


----------



## Newt

That could be an advantage too, that you DON'T have stops in the market all the time, so won't get taken out by wild daily moves in the market - get to stand back and look at the bigger weekly picture?


----------



## peter2

Just want to confirm that stop losses do reduce the profits in all trend following systems. The only reason to use them is to reduce the draw downs to a comfortable level. This comfortable feeling has a cost and that is reduced profits. 

The best stop loss is a very tight initial stop loss but this is very hard to trade as the W% is only 10-20%. The AW/AL is HUGE and there is much more work to do as so many trades are stopped out quickly and need to be re-entered.


----------



## qldfrog

That is exactly what the figures on my backtests show indeed


----------



## qldfrog

This is the time again:
OK week especially considering the indexes:
###########################
System I (the original)
win of $368 this week

Start 25/02/2019
Total invested $ 100,000.00
Cash remaining $2,166.18
Current portfolio value $108,245.27
Profit $8,245.27
Nb of active positions 20
Nb max position 20
Return since 25/02 8.25%
Annual return so far 13.74%
purchase value per position N/A
Invested percentage 97%
dividends   $               865.08
Average per week: 294.4739286
Catching up on the  XAOA , nearly there with initially far less exposure but now fully invested


no trade  planned on Monday
###########################
system II
small loss of $245 this week

Start 5/08/2019
Total invested $ 100,532.76

Cash remaining $31.00
Current portfolio value $100,388.49
Profit -$163.06
Nb of active positions 20
Nb max position 20
Return since 5/08 -0.14%
Annual return so far -0.89%
purchase value per position N/A
Invested percentage 99%
dividends   $               133.77
Average per week: -32.6114





We are overtaking the XAOA on that time frame

No action on Monday
Have all a great week end


----------



## qldfrog

my mistake: there is some action on monday: system 1 has one sell and a matching buy; system 2 has 2 sell and matching buys


----------



## qldfrog

system 1
sold RMS@1.2 for a gain of $266 after brokerage [and $44 of dividends]
bought FLC@.54 for a cost of $5410

system 2 sold LLC for gain and MTO for a loss 
bought NUF and IMF


----------



## Newt

Gee, I just assumed the ASX would be closed today with Qld/NSW holiday.


----------



## jjbinks

Newt said:


> Gee, I just assumed the ASX would be closed today with Qld/NSW holiday.




Haha I thought the same. (completely forgot that labour day is a state-wide holiday)
I had some trades for the start of the week which I was planning to put in tonight. Luckily, I changed my mind and decided to get it out the way last night!
Always learning something new. 
https://www.asx.com.au/about/asx-trading-calendar-2019.htm
So queens birthday market is closed even thought its note a holiday QLD/WA.


----------



## Newt

Yes, I've been doing my weekly trade review Fri night most weeks, trying to stick to my (Skate-inspired) New Year's resolution of sticking to the strategy and minimising opportunities to fiddle.

2 buys from Fri night have executed this morning by looks of it.


----------



## qldfrog

Sells were in this week end but the buys had to wait for the sell execution and i was a bit late
On a up day, i lost a bit with my buy price today higher than at the open
To note as well for us in the north
Market opens at 9am qld time due to daylight savings
I was a bit late at 9:15...


----------



## Newt

Yep, I'll probably stuff up at least a dozen Outlook meeting invites for southern colleagues before April 2020 rolls around.   Nice to see the market data an hour earlier though....


----------



## qldfrog

disappointing week considering the indexes:
slightly negative overall
###########################
System I (the original)
loss of $90 this week so static

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $2,032.00
Current portfolio value $108,154.65
Profit $8,154.65
Nb of active positions 20
Nb max position 20
Return since 25/02 8.15%
Annual return so far 13.17%
purchase value per position $5,407.73
Invested percentage 97%
dividends   $               865.08
Average per week: 291.2375

Can not catch up on the XAOA ,now fully invested


no trade planned on Monday
###########################
system II
small loss of $137 this week
so flat
Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $61.57
Current portfolio value $100,250.64
Profit -$300.93
Nb of active positions 20
Nb max position 20
Return since 5/08 -0.28%
Annual return so far -1.55%
purchase value per position $5,012.53
Invested percentage 99%
dividends   $               133.77
Average per week: -60.1864
still above comparison index




1 sell, one buy on Monday
Have all a great week end


----------



## qldfrog

system 2 bought MHJ, sold SIQ for a $386.77profit after costs


----------



## qldfrog

so so week considering the indexes:
positive overall
###########################
System I (the original)
gain of $1623

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $2,032.00
Current portfolio value $109,777.85
Profit $9,777.85
Nb of active positions 20
Nb max position 20
Return since 25/02 9.78%
Annual return so far 15.32%
purchase value per position $5,488.89
Invested percentage 97%
dividends   $               865.08
Average per week: 349.2089286 
The purchase of FLC at 54c followed by a SPP at 44c wiped nearly 1k from profits



Can not catch up on the XAOA  ,now fully invested
   no trade planned on Monday
###########################
system II
gain of $555 thia week

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $1,368.52
Current portfolio value $100,806.24
Profit $254.66
Nb of active positions 20
Nb max position 20
Return since 5/08 0.27%
Annual return so far 1.36%
purchase value per position $5,040.31
Invested percentage 98%


Average per week: 50.93272 
more or less even with xaoa
1 sell, one buy on Monday
Have all a great week end


----------



## peter2

qldfrog said:


> Can not catch up on the XAOA ,now fully invested




Rubbish, of course you will, if your portfolio holds enough of the stocks in most demand (strong relative strength). 80% of your portfolio will match the index moves and 20% will thump it.


----------



## qldfrog

This is Friday night check time
positive overall
###########################
System I (the original)
gain of $1,078.40 

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $2,032.00
Current portfolio value $110,856.25
Profit $10,856.25
Nb of active positions 20
Nb max position 20
Return since 25/02 10.86%
Annual return so far 16.51%
purchase value per position $5,542.81
Invested percentage 97%
dividends   $               865.08
Average per week: 387.7232143



still a bit below the XAOA ,now fully invested
1 buy sell on monday
###########################
system II
gain of $314.99 this week

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $1,170.00
Current portfolio value $101,121.23
Profit $569.79
Nb of active positions 20
Nb max position 20
Return since 5/08 0.59%
Annual return so far 2.67%
purchase value per position $5,056.06
Invested percentage 98%
dividends   $               177.46
Average per week: 113.95872




Have all a great week end
4 sell buy on monday


----------



## qldfrog

system 1 sold 1984 EPW for $4751.6 after brokerage so a loss of around 120$  compensated somewhat with a $89 dividends before franking credit
and we bought 1588 IDX just below 3.43, incurring 20$ brokerage as the purchase was performed in 2 steps so total cost of $5461.16


----------



## qldfrog

system 2 sold gsw, imf,  ape and bsa
bought mmi, tbr, mto and ccv


----------



## qldfrog

This is Friday night again
so so week with a small loss overall between the 2 systems
###########################
System I (the original)
gain of $813
good considering both FLC and IMF launched a SPP and saw their SP hit hard

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $1,322.62
Current portfolio value $111,669.83
Profit $11,669.83
Nb of active positions 20
Nb max position 20
Return since 25/02 11.67%
Annual return so far 17.31%
purchase value per position $5,583.49
Invested percentage 98%
dividends   $            1,048.80
Average per week: 416.7794643




We caught up with the XAOA at last ,now fully invested
2 sells, one buy on monday
###########################
system II
not good a week:  loss of $1,429.23  
A bit messy as VLW [villa world ] got sold and delisted, money deposited on std account then transferred onto the trading account, hopefully, I did not mess up with my excel spreadsheet

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $5,027.11
Current portfolio value $99,692.01
Profit -$896.41
Nb of active positions 19
Nb max position 20
Return since 5/08 -0.84%
Annual return so far -3.55%
purchase value per position $4,984.60
Invested percentage 94%
dividends   $               177.46
Average per week: -179.28128



5 sells, 6 buys on monday
Have all a great week end


----------



## qldfrog

Spending a few days on the Sunshine coast sorting some RE investment there.i managed to get most of my buy sell this morning.will give you details when back on the computer.have a great week


----------



## qldfrog

Back in the saddle,
on Monday System 1 sold
FLC for a loss of $ 920.00
IMF for a loss of $ 493.37 
and bought 220 RMD @21.55 for a total cost of $4751
but I got a great bargain as I could then buy 264 IMF at $3.4 and some FLC at $0.44

being ironic of course: yesterday SP low: FLC $0.435 and IMF $3.35
Both these shares were savaged as the SPP got issued and costed the systems a lot
I do not intend to get in FLC chart is not promising, IMF offer was not taken


----------



## qldfrog

This is Friday night  and Halloween came late for me
atrocious week for both 2 systems
###########################
System I (the original)
loss of $1835
Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $6,212.88
Current portfolio value $109,834.43
Profit $9,834.42
Nb of active positions 19
Nb max position 20
Return since 25/02 9.83%
Annual return so far 14.19%
purchase value per position $5,491.72
Invested percentage 93%
dividends   $            1,048.80
Average per week: 351.2294643





Diverging from the XAOA
3 sells on Monday, no buy
###########################
system II
not good either a loss of $861
Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $2,941.57
Current portfolio value $98,830.70
Profit -$1,757.72
Nb of active positions 19
Nb max position 20
Return since 5/08 -1.69%
Annual return so far -6.64%
purchase value per position $4,941.53
Invested percentage 96%
dividends   $               177.46
Average per week: -351.54328



we diverge this week as well..not good
5 buy and 5 sell on Monday
Have all a great week end


----------



## qldfrog

This morning , System1 sold
fnp @5.34 for a loss of $435
shv @7.29 for a loss of $433
and msb @1.79 for a loss of $978
no buy today so only 17 stock invested and 20k in cash 

system 2 sold 5 stocks:3 losers, 2 winners for a net gain of $1522
and we purchased 6 new stocks to end up fully invested at 20 stocks


----------



## qldfrog

This is Friday night again, no rest for the wicked
and a great week for both 2 systems
###########################
System I (the original)
gain of $1,949.29 
Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $19,992.79
Current portfolio value $111,783.71
Profit $11,783.71
Nb of active positions 17
Nb max position 20
Return since 25/02 11.78%
Annual return so far 16.54%
purchase value per position $5,589.19
Invested percentage 81%
dividends   $            1,048.80
Average per week: 420.8467857


In sync with the XAOA
3 sells on Monday, no buy we will end up with only 14 positions...
###########################
system II
very good, a gain of 2,374.88 
Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $12.66
Current portfolio value $101,205.58
Profit $617.94
Nb of active positions 20
Nb max position 20
Return since 5/08 0.67%
Annual return so far 2.44%
purchase value per position $5,060.28
Invested percentage 99%
dividends   $                97.21
Average per week: 123.58772 

We are in profit again and catching up 



no sell among my portfolio so can not take any of the 5 suggested buys,
no action on Monday
Have all a great week end


----------



## qldfrog

note: system1 has some Belamy final price should be around 13.25after takeover. so I sell try to sell a bit below to get out and be able to use cash asap, if I have the opportunity


----------



## jjbinks

Nice work. 
I was thinking about your losses 2 weeks ago. Was too busy to post at the time. (My system I am trading also got hit quite hard that - week 5% draw down!)
This is an effect of my system. I have a 10% initial max stop loss but afterwards I don't have a trailing stop loss.
But the real reason the losses were so big are because of position sizing. I only have 10 positions and I don't rebalance positions. I had 2 winners which were taking almost 30% of my portfolio which had sharp losses that week and hence the big draw down. 
You trade 20 positions 5% per position so I guess this is less of an issue for you.


----------



## qldfrog

No problem @jjbinks and thanks for your concerns
All going good,still no stop loss here and if lucky with big winners might reach the same issue but so far behaving nicely


----------



## qldfrog

this morning system1 sold:
9016 ALK @.645 for a $430.8 profit
427 BAL @13.2 for a $120.91 profit
2127 IFM@2.07 for a $445.4 loss
only 13 positions left
no change on system 2
also note one of the 13 position is wll which is going to be paid back and deregistered after a takeover


----------



## qldfrog

Friday night again, 
static week for both 2 systems
###########################
System I (the original)
loss of $295
Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $35,817.40
Current portfolio value $111,488.34
Profit $11,488.34
Nb of active positions 13
Nb max position 20
Return since 25/02 11.49%
Annual return so far 15.71%
purchase value per position $5,574.42
Invested percentage 67%
dividends   $            1,048.80
Average per week: 410.2978571



Mostly in sync with the XAOA with a better week this week
1 buy on open mondaywe will end up with only 14 positions...
###########################
system II
a gain of $199.97 
Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $12.66
Current portfolio value $101,405.55
Profit $817.91
Nb of active positions 20
Nb max position 20
Return since 5/08 0.87%
Annual return so far 2.96%
purchase value per position $5,070.28
Invested percentage 99%
dividends   $                97.21
Average per week: 163.58172



We are in profit and catching up 

3 buys and sell on Monday
Have all a great week end
I will try to use some of Peter's beautiful summary spreadsheet in the future to present a more synthetic view of the results


----------



## qldfrog

All right, a bit of an hectic day as I forgot my smartphone..so naked..a real millenial..
a wink toward another thread only
BUt I managed to enter my orders
System 1 bought 
DHG : 1559 @3.5 for a total of 5466.5
System2 sold:
NEU :for a gain of $1119.265
MTO for a loss of $660
RWC for a loss of $332
and bought
JHG @36.95 losing25$ vs real open
PDL @8.16 losing 29$ vs real open
TNE @8.99 basically open price 

Not too bad, but got hit today by BBN fall: a loss of nearly 500 for both systems...Chinese secret services could not stay quiet...


----------



## qldfrog

WLL scheme implemented got $5090.8 (inc div) so a profit of $226
13 positions. 35.5k in cash


----------



## qldfrog

Another week, nice but still behind xao which was flying this week
Still using the old display as i was working a few days this week and have been short of time to integrate Peter's more fancy result display

System 1: gain of $1554

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $35,441.70
Current portfolio value $113,042.34
Profit $13,042.34
Nb of active positions 13
Nb max position 20
Return since 25/02 13.04%
Annual return so far 17.37%
purchase value per position $5,652.12
Invested percentage 68%
dividends   $            1,048.80
Average per week: 465.7976786


One buy on Monday


System 2: not as good but still gain of $766
Not that bad
Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $29.61
Current portfolio value $102,171.55
Profit $1,584.01
Nb of active positions 20
Nb max position 20
Return since 5/08 1.63%
Annual return so far 5.22%
purchase value per position $5,108.58
Invested percentage 99%
dividends   $                97.21
Average per week: 316.80252


After all, even with a bad start, getting more that a decent term deposit...
notice I forgot to sell abp since 9th august arrrrgggg I have to cut the loss
doing a full recheck of all my entries..that will cost me dear
and found another unsold....
human error, not even code
4 sells, 4 buys on monday


----------



## qldfrog

system1 buying 1965 AVN @2.9 for a total of $5708.5 after brokerage, 14 invested positions out of 20

system2 selling NMT @0.2 for $72 gain, BLX for $348 loss, BBN for $1009 gain and ABP @3.9for $356 loss
please note that both ABP and NMT should have been sold well before; I messed up;
abp should have sold at the open on the 12/08 at 4.12 so I lost $348 with my mistake..would nearly have been break even
and for NMT should have sold @0.19 so I won by luck $184
my mistake cost me $200 , missed opportunities..maybe the 10 bagger...
All good now.


----------



## qldfrog

And system 2 bought CTX, JHX, MOE and OZL today back to fully invested


----------



## qldfrog

Weeks are flying..Probably because of my pre retirement life...
a weird week
System1: drums rolling: profit of $1,672.69 and now overtaking the XAOA from its inception
very happy;
System 2 not so; lost $1,651.09and become negative since inception
Not good

System 1:

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $29,734.26
Current portfolio value $114,715.03
Profit $14,715.03
Nb of active positions 14
Nb max position 20
Return since 25/02 14.72%
Annual return so far 19.11%
purchase value per position $5,735.75
Invested percentage 73%
dividends   $            1,379.10
Average per week: 525.5366071


2 sells on Monday

---------------------
System 2:
Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $10.77
Current portfolio value $100,520.46
Profit -$12.3
Nb of active positions 20
Nb max position 20
Return since 5/08 -0.01%
Annual return so far -0.04%
purchase value per position $5,026.02
Invested percentage 99%
dividends   $                     -   
Average per week: -2.46


on monday, sell 2 buy 2


----------



## qldfrog

action this morning: system1 sold BBN for a profit of $1135 and NAN for a loss off $27
12 out of 20 positions are active only so only 63pc invested

system2 sold RBL for a profit of $1588 and DMP for a profit of $459;
bought AQG @7.61 and OML @ 3.86
fully invested 20 out of 20


----------



## qldfrog

Horrendous week looking at storms going one after the other past my mountain where the creek is dying I would the last 10 or so went within 5km and hardly any drop
@Wayne will know what I mean/feel
So the ASX decided to join the party: RBL crashed from 1.86 to 1,03 loosing $3k on its own in system1;
Luckily system 2 was exiting it this Monday with 1.6k profit...but still
Overall
System1: drums rolling with dramatic effect : LOSS of $3936 on only 60k+ invested...yeap
yes, it hurts

System 2 soso; lost of $655 and negative since inception
Not good

System 1:


Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $41,195.07
Current portfolio value $110,778.96
Profit $10,778.96
Nb of active positions 12
Nb max position 20
Return since 25/02 10.78%
Annual return so far 13.66%
purchase value per position $5,538.95
Invested percentage 62%
dividends   $            1,387.81
Average per week: 384.9628571


1 buy on Monday..yes and RBL is not flagged as a sell????? Anyway, such is the system


---------------------
System 2:

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $681.30
Current portfolio value $99,865.15
Profit -$667.61
Nb of active positions 20
Nb max position 20
Return since 5/08 -0.66%
Annual return so far -1.89%
purchase value per position $4,993.26
Invested percentage 98%
dividends   $                46.18
Average per week: -133.521

on monday, sell 3 buy 3


----------



## Trav.

qldfrog said:


> RBL is not flagged as a sell?????




Really? what trailing stop are you using or something else as I am very surprised that you are still holding this one.


----------



## qldfrog

Trav, I have no trailing stop on that system as they seriously deteriorate the overall returns, 
I thought I would be out too due to other exits programmed but not yet so, as per my existing settings, I stay in.
This has been tested again and again in raising, falling and going no where periods so I stay in and 'obey' the system...
Statistically, I should be right...but that specific one could be a dud and MC backtest always have a chance to really get it wrong....
Note I entered at 1.40 if it helps..:-(


----------



## Trav.

Unfortunately when you backtest you are unable to factor in announcements (Norgate data) as this would be an exit in pretty much any system.

ie Price sensitive announcement AND Price falls x% then SELL.

I think that you will be holding for a significant amount of time to try and claw back some of those losses (if one of your other exits don't kick in first) and then you may miss other opportunities.

Note...This is not a attack on you or your system but just observations that I have found in my journey which I am trying to find a way to improve. Good on you for updating us on your progress as it does raise some interesting scenarios for all of us.

Cheers


----------



## qldfrog

Trav. said:


> Unfortunately when you backtest you are unable to factor in announcements (Norgate data) as this would be an exit in pretty much any system.
> 
> ie Price sensitive announcement AND Price falls x% then SELL.
> 
> I think that you will be holding for a significant amount of time to try and claw back some of those losses (if one of your other exits don't kick in first) and then you may miss other opportunities.
> 
> Note...This is not a attack on you or your system but just observations that I have found in my journey which I am trying to find a way to improve. Good on you for updating us on your progress as it does raise some interesting scenarios for all of us.
> 
> Cheers



Thanks,Based
Based on similar cases it might exit in a couple of weeks as it gives up on any up trend after,
Unmanned stop losses would have failed as  it started too low after the announcement..that i did not feel was that bad..


----------



## qldfrog

new week hopefully better than last one..
System1 bought 1432 IMF @3.82 for a cost of $5480.24
System2 sold 253 LLC @$19.120 for a win of  10.36
sold 4173 TGP  @$1.120 for a loss of -61.73
sold 5700 MHJ @ $0.63  for a loss of  -399.0044
and bought
SHV @ 8.62
SIG @ 0.60172
VRT @ 4.62

we also started a system 3 basic 20% flipper with a few minimal tweak, idea being simplicity first
System3 bought
1679 ADH @2.35 inc cost


----------



## Trav.

qldfrog said:


> SIG @ 0.60172




Interesting buy this one and something that we have no control over with announcements just before the open.

Unfortunately ( or fortunately for you) it gapped down @ open allowing you a entry of $0.60172 but closed very weak which is a bugger.

I suppose it could have been worse if you managed to buy at open at around $0.66

-9.8 % for the day and closed @ $0.595 so not far of your buy price.


----------



## qldfrog

Trav. said:


> Interesting buy this one and something that we have no control over with announcements just before the open.
> 
> Unfortunately ( or fortunately for you) it gapped down @ open allowing you a entry of $0.60172 but closed very weak which is a bugger.
> 
> I suppose it could have been worse if you managed to buy at open at around $0.66
> 
> -9.8 % for the day and closed @ $0.595 so not far of your buy price.



Yes was looking at it sec ago, as you say thanks god i did a manual buy as i had no cash available until my sells at open completed
I could have checked before pressing on buy but i traded live while filling a 1 tonne water container at 9:03 on top of the ute trying to have enough water for my hobby farm..  stress can also come outside of trading
Only reached 40.5C today ;-)
Basically only realised now what happened


----------



## qldfrog

high chance for this SIG to be a loser and RBL carries on its fall..not surprising
I hope in a dozen year I will have automated conditions detecting these and avoiding these big losses 
but for the time being....


----------



## Trav.

@qldfrog yes mate I hope that we find the holy grail, but I think that we just have to better at managing of losses. How this looks for each person might be different but I am thinking that I will sacrifice some % profit on back testing to have a lower draw down on my trades. peter2 has outlined his methods and honestly you can't really go wrong following those.



peter2 said:


> Stop losses. The're a buggar. Every SL method tests badly as you know. If you want to avoid the huge market draw downs (GFC -50%, great depression -90% and lots of -20% that happen regularly) you've got to employ a SL method.




P2 - EXITS of a short to medium term trader


----------



## qldfrog

Yes i followed this thread with high interest 
As you know from my numerous entries on his subject, i want to have a stop loss but all the ones i backtested were awful.
I also noticed with regularity in the past, on discretionary play where i i w using initial SL plus trailing SL that far far too often, there was some shaking triggering my SL then back well above within seconds
One time..fair..bad luck
When repeated again and again, this is market manipulation and i am the sucker
So I  could maybe implement a notification then send the order manually, but in a fall i am screwed 
Or return to my automatic SL with no hope of being played fair
I was using bell direct and my SL were done 7 or so y ago


----------



## qldfrog

Peters post, the one you highlighted and other answers on more specialised one tell me i should at least have a very wide automated SL in place.
I can now have nearly a year of trend system so i i shou be able to set various levels and test them well maybe an isl based on previous high then a trailing on
Should be able to code that


----------



## Trav.

All good mate, but I know for myself that following a system faithfully will not work 100% so I have to make some discretionary moves especially around announcements that can't be back tested.

I did contact Norgate to see if they had a flag / field that indicated if a price sensitive announcement was released so I could analyse some of the back testing results but unfortunately they don't have such an option. Imagine if we could incorporate that then test I think that would help us out. Maybe someone has access to this from another provider but for me that is the piece of the puzzle missing in a systematic system.

Good luck with you trades mate and I will stop bugging you..


----------



## Warr87

One method is to use an ATR to determine your SL. I believe 3 * ATR(14) is a common one. It hasn't worked the best in my systems but might be an option for you. If an ATR is a measure of how much price fluctuates, it makes sense to use this to stay in the game and avoid noise (but have some protection against free falling stocks).


----------



## peter2

I'm sorry to say that we can't protect ourselves from large spikes down. All we can do is minimise the damage. We do this by having 20 or more positions. 

It's rare to see such a large % drop on a stock trending up. Obviously it happens occasionally. 

Take the loss and get out of the trade. You'll feel much better. There's another reason also. We don't want to holding when the follow up bad news is released. See SIQ chart.


----------



## qldfrog

peter2 said:


> Take the loss and get out of the trade. You'll feel much better.



Ohh yeahh, that's definitively true
Thanks all for your inputs above
One last question @peter2 , are your SL entered in your broker platform, or do you have notification or your own live server sending the sell
Reason i ask was this suspicion i had that some people could manipulate/shake the market?
With the volume filter and the shares i have been using in my systems, it should realistically be safer now anyway. No shaking on BHP shares;-:-D
Yet a manual entry after notification could help in crash aka RBL for example


----------



## frugal.rock

I have followed SIG for a while and personally think you have bought in around the bottom of their current cycle. (Was looking at 0.53 entry around June and of course, kicking myself now!)
With their "transformation" plans and the supply contract with Chemist Warehouse, I consider it a solid medium to long term choice with dividends. Good luck with everything and take care with thee impending heatwave this week...
F.Rock
PS; the cheese and kisses is a retail manager at a Priceline pharmacy thus my interest in SIG, API and (BTC to a lesser extent) BTC was kind to me earlier this year.


----------



## qldfrog

Trying to work on SL code today.in backtest on simple flipper it makes a difference...but code must be wrong as i can not find any instance when actually used...using custom backtest code to see and analyse trigerred SL


----------



## qldfrog

Anyway will keep you informed.sold rbl this morning


----------



## qldfrog

Sold rbl at 1$ and was 1.065 last time i checked
My usual non systemic outcome...
But i feel better..kind of


----------



## frugal.rock

Opened my trap about SIG too early
I didn't know that API was invested in them.
The outcome today of API dumping their SIG holding makes sense though with the SIG contract with Chemist Warehouse.
I guess that they dumped for ethical reasons/ conflicting interests with Chemist Warehouse being the competition. They dumped a sound investment IMO.
F.Rock


----------



## Roller_1

qldfrog said:


> Reason i ask was this suspicion i had that some people could manipulate/shake the market?
> With the volume filter and the shares i have been using in my systems, it should realistically be safer now anyway. No shaking on BHP shares;-:-D
> Yet a manual entry after notification could help in crash aka RBL for example




Hi QF
I'm not sure what broker you are using, I use IB and although I'm trading a different type of system I enter the market with "Limit If Touched - LIT", this way IB holds the order until a certain strike price is hit and then send the order to the exchange so it isn't sitting in the queue for a long period of time. No idea if this helps with manipulation but it is my theory anyway. so you might be able utilise something similar for a stoploss. Another option to test is instead of having a live stop, just one so that if the weekly close is below a certain level then exit the following Monday on open, or something similar. In my tests that test out better than having a live stop. I think Nick Radge highlights this in the Weekend Trend Trader


----------



## qldfrog

Thanks
Indeed my trial this morning confirmed


Roller_1 said:


> Another option to test is instead of having a live stop, just one so that if the weekly close is below a certain level then exit the following Monday on open, or something similar.



So basically not a live sl but exactly as you defined is something i can live with
Just to be aware, the trailing sl for best results that way is pretty wide aka 50pc of hights or similar number based on my backtests


----------



## willoneau

qldfrog said:


> Thanks
> Indeed my trial this morning confirmed
> 
> So basically not a live sl but exactly as you defined is something i can live with
> Just to be aware, the trailing sl for best results that way is pretty wide aka 50pc of hights or similar number based on my backtests



Hi qldfrog , what about using the % of high with a reducing factor as your R multiple increases or gets close to a target. This reduces that increase in distance between your current price and trailing stop as price increases.


----------



## qldfrog

I ultimately went to a highest  minus a multiple of atr
I feel comfortable with this and will enter these at the end of the week for the next open
Not a miracle solution but benign enough not to kill backtest performance, and give me a bit of safety
I will implement something similar on my 3 systems and might even jump and add some automatic ones with the broker


----------



## willoneau

When I looked at my back test I found possible exits between 400% and 500% profit that dropped to between 2 and 3. By tightening once around those levels profitability would increase on system . I also understand this reduces the chance of higher R multiples but i have found a few R multiples around 20 out weights chasing a 30 R multiple which was rare.


----------



## willoneau

Also after reading some of Van Tharp books I have had a closer look at my position sizing Algo and have modified it to scale up and down depending on being in profit or DD


----------



## frugal.rock

Sig @ 0.60172
Could be worse as suggested.
I bought in long at 0.57 total cost, day trade.
11:35 @ 0.57, volume 20k and 11.45 @ 0.565, 10k volume.
The first trade (pretty sure I triggered the high 0.57 of the day at the time) seemed to trigger someone's order as immediately after a huge order dumped on 0.565, took it out completely and left around 70000 volume available to buy at 0.565. Thus my leverage in again at 0.565
Was waiting for an opportunity just before close, and the haters will tear me to pieces for saying this, I read something  in the DOM. I decided to wait for post auction, from which I decided to utilise the only good thing about Westpac trading (IMO), the 1 day offset option.
There's only one reason to do this.
Will let you contemplate what.
Further, the topic is weekly system so not sure why you would sell at a small loss the day after you bought...
Just sayin. The shorties definitely grabbed it by the short and curlies first up.
Good luck, or is it luck at all? 
F.Rock


----------



## willoneau

Hi frugal.rock, when you leverage back in again was it part of your risk strategy or new trade?


----------



## qldfrog

To be clear, i kept SIG as i bought at 60c, all good
But i did sell my rbl this morning
If of interest, between my loss this morning and the win on the other packet sold at 1.8, i am still ahead
So not so bad


----------



## willoneau

qldfrog said:


> To be clear, i kept SIG as i bought at 60c, all good
> But i did sell my rbl this morning
> If of interest, between my loss this morning and the win on the other packet sold at 1.8, i am still ahead
> So not so bad



RBL - qldfrog was that a daily system trigger or part of your weekly system that uses daily information?
just looked at chart nasty drop and no way to do anything about it when gaps occur.


----------



## willoneau

qldfrog said:


> To be clear, i kept SIG as i bought at 60c, all good
> But i did sell my rbl this morning
> If of interest, between my loss this morning and the win on the other packet sold at 1.8, i am still ahead
> So not so bad



Do you have a stop location for SIG?
interesting that you bought SIG as it doesn't look like a weekly trend following signal as i thought from previous post you were following, just my thoughts.


----------



## willoneau

I bought MEA at beginning of month which has different chart profile.


----------



## qldfrog

Rbl was part of my weekly trend based systems, purchased by both systems.sold by 1 system at 1.86$ and manually stopped loss this morning at $1
Sig was purchased as part of one trend system.
Got it at 60c
No ISL
Finished this evening work on SL ultimately based on atr
I will manually add these SL tomorrow then plan to update these SL level manually weekly


----------



## qldfrog

Note
For the time being. I have stopped working on the weekly but with daily check system.
So i have now 3 systems
System1 and then system2, trend based, with system2 more dynamic
These developed with the help of many here plus a lot of tweaking.
And on monday start of a very basic flipper system.
Many thanks to all for your inputs
Have a great week


----------



## willoneau

qldfrog said:


> Rbl was part of my weekly trend based systems, purchased by both systems.sold by 1 system at 1.86$ and manually stopped loss this morning at $1
> Sig was purchased as part of one trend system.
> Got it at 60c
> No ISL
> Finished this evening work on SL ultimately based on atr
> I will manually add these SL tomorrow then plan to update these SL level manually weekly



Did you use a stale stop to get out at $1.86?


----------



## qldfrog

willoneau said:


> Did you use a stale stop to get out at $1.86?



Yes i have an automated check and basically was not worth keeping based on this system parameters, sadly system1 is more conservative/less edgy and in that case, it cost me
But all that is coded so it says sell or buy and i obey
With yesterday work and code changes, i will start adding SL both on purchase and as well a trailing one updated weekly


----------



## qldfrog

Friday night and waiting for Santa rally, ..i still want to believe in Santa
OK week for both 2 systems
###########################
System I (the original)
win of $842.02 after a 12PC fall of ZIM today..damned
Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $39,200.83
Current portfolio value $111,620.98
Profit $11,620.98
Nb of active positions 12
Nb max position 20
Return since 25/02 11.62%
Annual return so far 14.38%
purchase value per position $5,581.05
Invested percentage 64%
dividends   $            1,387.81
Average per week: 415.0348214



Mostly in sync with the XAOA with a better week this week
4 buy on open monday but one is NVL which is being purchased so I bypass
we will end up with 15 positions...
###########################
system II
a gain of $996.93 
Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $26.97
Current portfolio value $100,862.08
Profit $329.32
Nb of active positions 20
Nb max position 20
Return since 5/08 0.33%
Annual return so far 0.89%
purchase value per position $5,043.10
Invested percentage 99%
dividends   $               189.93
Average per week: 65.865




We are back in profit

 3 buys and sell on Monday
progressing  on the SL work, some included already on the weekly action

Have all a great week end


----------



## qldfrog

Not to forget: the flipper wants me to buy NVL, but as above I do not proceed as it is a takeover in process


----------



## qldfrog

I completed basically a week of refining thanks to drought and fires  heat locking me inside
I specifically added a SL (not automated but triggered manually on my weekly review) and have now 3 optimized systems;

These resulted in # buys on Monday for system 1 (1 buy being a catch up actually after the optimisation work)
8 sells and 8 buys for system 2: this is where my tweaking got the most of impacts,
and still no action on system 3(flipper)
Now a bit of dreaming...and i know, de listed codes are not there, etc etc so reality would have been different
but with these systems, I allowed a bit of (irrational and maybe unhealthy) thinking
-> putting 100k in each system on the 1/01/2005, I would have reached last November 2019
respectively 7.2m, 7.5m and 10m whereas the xaoa would only have tripled..but obviously compounding would push that xaoa gain further
This is a nice incentive to refine work and stick to tested systems, please note that this period included the GFC
anyway a little bit of dreaming does help when the drought is affecting our psyche....


----------



## Trav.

qldfrog said:


> I specifically added a SL (not automated but triggered manually on my weekly review) and have now 3 optimized systems;




Good on you mate for trying out something new, and being realistic with the back testing results as we are aware that they can be over optimised and set you up for disappointment if you don't achieve the same returns.

I am curious if you used the standard stop loss loop or defined your own?


----------



## qldfrog

Trav. said:


> Good on you mate for trying out something new, and being realistic with the back testing results as we are aware that they can be over optimised and set you up for disappointment if you don't achieve the same returns.
> 
> I am curious if you used the standard stop loss loop or defined your own?



I found stop losses based on amibroker in build..which is equivalent to the one you would put via your broker using conditional sells are often very damaging to the overall performance, i so added a new exit, which will be triggered on Mondays open, but is really a SL, with a trailing component
Overall even during minicrash periods, it leads to better outcomes
Hope it helps.
It does not have the mind pleasing effect of an hardwired..kind of...broker SL but in case of real 20pc down crash etc, usual stops can not be actioned so why bother
And it will be enough based on back tests to preserve gains limit losses on the life of the systems
The negative is that it adds more strains on the psyche, if on Monday asx crashes 15pc,10pc on Tuesday, how strong will i be to not press the sell all button...
There is actually such a button on my bell direct broker page...
Hope it helps


----------



## qldfrog

system 1 at the open today bought:
LIC  610 @$8.92 for a total cost of $5451.2
MSB 2718 @$ 2.01 for a total cost of $5473.18
UOS  6292 @$ 0.88 for a total cost of $ 5546.96 
System2 had a huge readjustment I will details later


----------



## qldfrog

system 2 sold CAT,CTX,JHG,JHX,NSR,SIG,VRT,XRO for a total loss inc brokerage of 172$ so basically just brokerage...and any lost opportunity
system 2 purchased AX1,CWP,KMD,LIC,MYS,PRU,UOS,VRL 
Rolling on


----------



## qldfrog

Wishing all the people involved in this process a Merry Christmas, thanks for the mentoring, the questions and even pieces of codes from many here
Enjoy


----------



## qldfrog

As I had a bit of free time:
as you remember, my optimised flipper system on back-test would have gone  from $100k in 2005 to 10M by now, the best raw return on that period among my systems

Now imagine that guy actually lives in Australia;
with this system, you basically buy and sell a lot so we can assume that we will roughly pay tax on the yearly capital gain, no discount year after year and discover the marvel of taxation;
As a smart cookie, that investor is paying tax at 33% only (I can hear the booo from our leftist friends already)
So using this 100k to 10M compounded amazing returns, if our investor is paying tax at 33pc only, that very same ideal system started at 100k will reach 3.1M.
Less than a third from the same system user based in a tax heaven.....
*The miracle of compounded taxation*
So if you plan to spend more than 15y in retirement and retiring early, think well where you want to be, there is a lot of private insurance you can buy with 7M
Similarily, the taxed investor will have paid the ATO 1.2M along the 15y, not that great a number actually: 1000 of these guys are required every month to pay our federal debt (interest only) 
This ATO kill in the bud tax rate will have  burnt 10-1.2-3.1=6.7M lost to everyone.

Now imagine that investor as a factory or any Australian business taxed at 33pc and trying to grow...Now you understand why ndis nor your pension will never be financed in the future..
Interlude over


----------



## willoneau

What about husband and wife running it as a business and splitting tax on profits in stead of capital gains?.


----------



## Warr87

there are ways to minimize tax. talk to a CPA. but i'm not sure what your point is. There are other places in the world that have higher tax than we do. Some have lower. But those who do tend to have lower do not to have the services that we have. The govt. isn't a charity, and to have the lifestyle we have things need to be paid for. if your complaint is having to pay millions of dollars in taxes, you are likely going to have that complaint fall on deafs ear...lol. if you would like a rethink of corporate tax, that sounds fine. 

I would follow @willoneau train of thought and run it through a family trust with a bucket company

(also my understanding is that given the frequency you would like treat the gains as income not capital gains, unless the particular stock was kept for a particularly long time but that is something your accountant can answer)


----------



## qldfrog

willoneau said:


> What about husband and wife running it as a business and splitting tax on profits in stead of capital gains?.



It will be income indeed, same taxation , probably in a company to get the 33pc ..as an individual it would be worse, and it will not take long to reach 33pc tax rate especially if these profits are reinvested: you need some other income to buy food and pay rates
You may not split income that easily...just saying that a backtest result is 60pc lower in real world just after considering tax here.

And that any business is facing similar issues,less pronounced as you can reinvest some gain into machinery etc but whole business areas face the same problem as above
The point is: in a place like Australia, unless you can benefit from the super system..and for how long?, you are facing a very unfair battle if only with tax rates in place
So back to the only Australian game buy real estate and flip it after 5 years or bank shares..a nation moving toward a bright innovative future


----------



## qldfrog

Warr87 said:


> there are ways to minimize tax. talk to a CPA. but i'm not sure what your point is. There are other places in the world that have higher tax than we do. Some have lower. But those who do tend to have lower do not to have the services that we have. The govt. isn't a charity, and to have the lifestyle we have things need to be paid for. if your complaint is having to pay millions of dollars in taxes, you are likely going to have that complaint fall on deafs ear...lol. if you would like a rethink of corporate tax, that sounds fine.
> 
> I would follow @willoneau train of thought and run it through a family trust with a bucket company
> 
> (also my understanding is that given the frequency you would like treat the gains as income not capital gains, unless the particular stock was kept for a particularly long time but that is something your accountant can answer)



Yes indeed CG treated as income as there is low chance to keep shares more than a year...
Anyway, do not forget the compounding taxation horror in any scenario..as for the gov is not a charity, my issue is that it is for at least 50pc of the population in Australia.


----------



## qldfrog

a bit slack with the holiday season but time to report our weekly Christmas rally figures
Well got on kind of:
a good week:
System1 gained  $773 and system2 a nice $1332
Flipper more or less static as only one stock

###########################
System I (the original)

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $22,729.49
Current portfolio value $112,394.63
Profit $12,394.63
Nb of active positions 12
Nb max position 20
Return since 25/02 12.39%
Annual return so far 14.93%
purchase value per position $5,619.73
Invested percentage 79%
dividends   $            1,387.81
Average per week: 442.6651786




no action on Monday
###########################
system II

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $834.75
Current portfolio value $102,194.55
Profit $1,661.79
Nb of active positions 20
Nb max position 20
Return since 5/08 1.65%
Annual return so far 4.22%
purchase value per position $5,109.73
Invested percentage 98%
dividends   $               189.93
Average per week: 332.358



kind of OK vs XAOA with a better week this week
3 sells, 1  buy on open monday 
we will end up with 18 positions...

The flipper (systemIII) has 2 buys on Monday, one being under a takeover but as nothing is finalised yet I will take it as the chart looks decent overall

Have all a great week end and hopefully a nice holiday family break


----------



## qldfrog

Today, the flipper (system 3) bought MAH and VRL (vrl is under takeover offer but...)
System 2 sold TNE, IMD and PDL for a total profit of $132.5and got a buy which is not filled due to low market today and high price gap..will see tomorrow
System 1 unchanged
Surprised to see the market falling by that much today, was expecting a kind of eoy rally just to prop up profit of fund managers etc.They seem to have tried as the final fall is just 0.2% but was pretty bad earlier in the day


----------



## qldfrog

Another short  but good week
a good week:

###########################
System I (the original)
Gain of $945

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $22,731.74
Current portfolio value $113,340.56
Profit $13,340.56
Nb of active positions 12
Nb max position 20
Return since 25/02 13.34%
Annual return so far 15.81%
purchase value per position $5,667.03
Invested percentage 79%
dividends   $            1,387.81
Average per week: $290



Caught up with xaoa
no action on Monday
###########################
system II
gain of $366
Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $15,061.09
Current portfolio value $102,560.60
Profit $2,027.84
Nb of active positions 17 
Nb max position 20
Return since 5/08 2.02%
Annual return so far 4.97%
purchase value per position $5,128.03
Invested percentage 84%
dividends   $                     -   
Average per week: 88.16695652




Caught up with XAOA 
Last Monday buy on MAQ could not be executed and I gave up on that one, I will need to check that my volume check is still present
But this is history
On Monday:1 sell 4 buys
we will end up with 20 positions and fully invested

The flipper (systemIII)  lost $191 and  buys on monday

Have all a great week end , stay safe with the fire and the preparation many do around their block or house


----------



## qldfrog

Life goes on...
flipper bought FLC and WAF
System 2 sold AQG for a loss of $39.71 after brokerage
And bought CNU, IFN,GRR and AVN
rolling on


----------



## qldfrog

Got an interesting message today from a most experienced trader here highlighting the fact that my system..we are talking system 1 was basically on par with the XAOA and so had no edge:
indeed to date I am basically even with xaoa if started on the same day: same performance so why bother
Obviously, there is a teaching in this and I learn a lot, I add SL oe at least SL type exits, I control my emotions, this was not a dream run as RBL was enough to loose me 4k profit or a third.
Where I find some solace is that I just confirmed one of the belief I had when questioning the results vs just adding some VAS to my portfolio;
It took my system until September to be 80% invested;
On average SystemI has been 64% invested so these 13k profits in the last 11 months were built on an average of $64k or so;
That looks much better and definitively help me to sleep better 


So should I be happy? Never, I am not complacent with results like that....
My SL is better but not satisfactory, I need to see if I could review both entries and exits, 
Using Peter's style display with still a few hundred dollars discrepancy but overall real


Winning rate is low, hardly better than a two up game...Where is the edge...
If I were to run that system from 01/01 to 31/12 (full 2019 calendar year), I would get  


(backtests actually match my real life results so i am confident there)
I am happy with such a system

As a final check; i started the backtest 25/02(as real world system1):



and the real world results are bloody similar:13.3k gain, 52% winning rate 64% exposure

So I really did welcome that opportunity to do a full system check.
Anyone seeing something fundamentally wrong, please tell me
And it was definitively a welcome check.


----------



## Warr87

The 23% return is still very respectable IMO. The limited sample may not be enough to determine your edge. I guess it also comes down to why your system wins? If it's through rising momentum and the market has been choppy, then you wont have a statistical edge outside of upwards momentum. The edge could also be its ability to withstand a drawdown or minimise exposure to undue volatility. this impacts your ability to recover from what is an inevitable downdraw. The fact that your system isn't 100% exposed but keeps pace with the XAOA shows that $ per volatility, you are more efficient. 

The more I read, and listen to podcast's of other traders, the more I am realising that exits play a big part. It's been mentioned here as well. And as it was so eloquently discussed in one of the recent recent books I read, the exit determines how much of your profit you are willing to give up. I think it was Kevin Davey's podcast who also mentioned that his most successful exits is actually n-bar exits. @Skate does something similar with stale exit. I guess it comes down to: "why does your system trade", or perhaps "why does your system win". 

Some ideas, as I have been thinking about this a lot.

For a quick momentum system, you need to identify as soon as momentum has slowed. (ADX or MACD could be good candidates.)
Consecutive down bars (or even changes in a short range RSI as used in mean-reversion type systems). If you are longer term then this may not be good as you would want to weather a PB.

Tightening your stop based on volatility. To measure volatility, using the ATR is common. Perhaps a condition that has volatility increases your trailing SL tightens to preserve profit?
Of course, a simple Close < Moving Average can be good too.
I'm still trying to figure things out for myself, and haven't even graduated to real trading yet so perhaps this should all be taken with a grain of salt.


----------



## qldfrog

@Warr87 , I indeed spent a long time working on exit conditions for system 1,
without going into exact code;
I now have exits triggered on:
stale , C<MA indeed, 
a hard % of entry price if Signal > MAC,
conditional(market condition)  C <ema and even on close below trailing ATR fct

Some of the parameters are conditional on general market conditions
So yes, getting out is basically the most complex part of system1
I hope this helps people but these are grossly the areas I have worked on.
I dismissed a simple broker trailing stop as I do not trust the outside implementation due to weird previous experience.
So I remain exposed to fast sudden major market crash


----------



## peter2

My observations  on System 1: I have to start by saying that I don't know the underlying strategy. Looking at my charts of the posted system 1 buys I got the impression that the buy signals were a little late. 2 or 3 bars can make a big difference to the average win. I think @Skate was making that observation also when he posted his charts of a few system 1 buys early on in the thread. 

There are ways to measure entry efficiency for a discretionary trader but they don't apply here because @qldfrog is using an algorithm. His algorithm finds the buy signal at the right time every time. 

My observation that some entries are late would require a different algorithm that identifies an earlier buy signal. Without knowing the strategy setup criteria I can't offer more specific suggestions. 

W% - Consistent with trend following systems in a range bound market. Once the market resumes it's trend the W% will increase to 60% while the trend lasts. 

I'm as pleased as you are, to see that your getting close to what your system is designed to get. 

Regardless of the strategy (that I don't know) it seems strange to me that system 1 is not fully invested by now. Early 2019 was a trend followers dream market although I must temper this by remembering that the 2019 rally was a classic "V" reversal. Systems that include a market filter will lag significantly after a "V" reversal and miss many of the early buy signals that produce well above average winners. The 2019 rally did go for six months and IMO trend following systems should have had time to get fully invested especially if the manager is comfortable with the portfolio heat required to run the system. 

Just some thoughts and if I can help further please ask.


----------



## peter2

qldfrog said:


> system 1 at the open today bought:
> LIC 610 @$8.92 for a total cost of $5451.2
> MSB 2718 @$ 2.01 for a total cost of $5473.18
> UOS 6292 @$ 0.88 for a total cost of $ 5546.96




LIC provides an example. Your buy signal looks good but I'm wondering why your system hasn't provided a buy signal much earlier in the trend? This latest buy signal is closer to the end of the trend than the beginning. If the portfolio was fully invested when earlier signals were triggered then that's a reasonable excuse for not having it in the portfolio already. 



I'm trying to help you improve system 1 performance by starting trades earlier in their trend.


----------



## qldfrog

Thanks Peter,
I really appreciate your input and will work on it asap
i  think you highlighted actually 2 key issues on sys1
1)
Sys1 went out of full investment early November quite drastically from 100 to 80pc in a week or two, i will check the details and see what causes this.just luck..many entries turning stale or
a major problem with my index conditional entry maybe.
i designed sys1 as conservative with sys2 more dynamic but using similar algorithms
Comparing both should give me some clues.
I will share my findings should it help others.
2) late entries.LIC a good case indeed.i need to reverse engineer my code and understand bar by bar how i could improve it

You all remember how we were working hard on ensuring we were not reading the future in backtests, so i was very careful there and lately wondering if i am not actually going too far and delaying entries by one bar..will check if i do not have a pure coding issue..if i i c not detect anything wrong in the code itself


All great comments and food for thoughts..now i need to find the time to act on these


----------



## Skate

peter2 said:


> LIC provides an example. Your buy signal looks good but I'm wondering why your system hasn't provided a buy signal much earlier in the trend? This latest buy signal is closer to the end of the trend than the beginning. If the portfolio was fully invested when earlier signals were triggered then that's a reasonable excuse for not having it in the portfolio already.
> 
> View attachment 99532
> 
> I'm trying to help you improve system 1 performance by starting trades earlier in their trend.




*Apologies*
The post is in-detail, lengthy & posted in "qldfrog-weekly-skate-inspired-system thread" rather than the 'Dump it here' thread with the sole purpose of explaining my alternative entry & exits in a position currently held by 3 of my strategies. Sometimes looking at charts of other traders can stimulate thinking on a higher level to understand why those positions were taken & why.

*Disclaimer - Currently I'm holding ASX:LIC in three of my strategies*
I'm a current holder of (ASX:LIC) in three of my strategies & as I was mentioned in the post above it's a perfect opportunity to explain & display my actual entry points in my PANDA, CAM & HYBRID Strategies showing the timing of each strategy into the trade. Also I would like to remark that trading multiple strategies jumping in & out of trades at different times rather than buying & holding a position "over the long run" has its advantages. @peter2 has included a chart with marked entry points - my charts are actual positions taken.

*Why trade the same position three times*
I have canvassed this question with @peter2 here: https://www.aussiestockforums.com/posts/1046625/ & @peter2 answer is found here: https://www.aussiestockforums.com/posts/1046639/

*Timing*
Each of my strategies will enter & exit at different times & at different stages within a confirmed trend (confirmation is the key word) & sometimes my strategies will enter on a pullbacks within the trend.

*Mechanical Strategies*
Trading a combination of strategies allow me to "Dance-to-the-music-being-played"- meaning there are a multitude of entry points into the same trend as displayed by @peter2 chart of (ASX:LIC) above. Strategies have their own coded reason (subject to condition's being met) to enter & their own reason to exit a position (each of my strategy have a multitude of different & varying conditions that need to be satisfied). Entry & exits are conditional & can be different entirely to any of my other strategies within the same move, I'm aiming to take full advantage of a trend & it's very difficult for me to combine & code it all in a single strategy. In saying that my HYBRID strategy relies on three different strategies vying for the fastest confirmed entry point, only the first signal is taken & the others not displayed.

*Moreover*
On occasions my strategies can be in the same position at the very same time. The three charts below displays the entry points of (ASX:LIC) Footnote: all three strategies listed are currently still in the trade.

*Reading the weekly charts*
I'm a visual guy so I have code the charts to display the information that's important to me with colour coding because sometimes I'm lazy (a picture paints a thousand words - as they say). The charts display (to me) what other traders are currently thinking with a display of their emotions (the yellow ribbon) about the individual security. I won't go into a detailed explanation, other than to say it's all in the colour coding of the bar charts & ribbons. The white squares on the price bar is the "actual entry bar" & the yellow circles are the "actual exit bar". The yellow & white arrows are the signal bars.The lower ribbons display if the index is on or off (Green & Red) & the Yellow ribbon means caution (a period when the security is unloved) A yellow ribbon with two confirmations I'm off the sucker (quick smart)

*Timing the 'Exit'*
Season traders are all about chasing stock that has volatility & rightly so but the importance of an exit can't be overstated because it’s important to remember that the EXIT really determines the final outcome of a trade - leading to the long-term success or failure of any trading system. IMO - the timing of your exit has to be the most important part of your trading Strategy as I'm a firm believer that timing the "exit" is where the money is too be made.

*Three Charts of my current trades in ASX:LIC*
1. The PANDA Strategy (Variable Trailing & StaleStop)
2. The CAM Strategy (One HARD Stop)
3. The HYBRID Strategy (Variable Trailing & StaleStop)























Also
The result of the closed trade (green dash line between entry & exit) only forms or paints when the position is closed 

Skate.


----------



## qldfrog

Any relevant entry is most welcome @Skate , and we can all learn so much of these interactions.
As least at my humble beginner level
I have a bit of beekeeping tasks to do today but much to work on after Peter and Skate input


----------



## barney

qldfrog said:


> I have a bit of beekeeping tasks to do today but much to work on after Peter and Skate input




Sorry off topic …. You are an apiarist Frog?? … Frogs and Bees … unusual bedfellows

My old Man (who is really old now) used to keep a few bees …. absolute best honey in the world when I was a younger whipper snapper ….. Nature at its best these bees are

Back on topic … Good thread


----------



## qldfrog

*Out of topic:*
@barney  hobbyist only: 3 hives, a few more after swarms but  keeping down to 3 in winter, bees are an amazing wonder, was just discussing with my wife about a piece of comb I got today: 
admire not only the precision but also as seen with the transparency :how they are designed so that the opposite sides actually reinforce the whole structure;The walls themselves thiner than a mm


perfection..not like my trading...
*Interlude over*
after all our exchanges above I will investigate:
1) why am I not fully invested now: and is it an issue?
Could I have my index based conditions wrong?
2) am I actually entering too late?
Is the trigger wrong or too conservative, my code faulty?
reusing both Peter and Skate LIC example, how do I stand, why?


----------



## qldfrog

Pb 1:why am I not fully invested now?
the 11/11/19 and 18/11/19 saw a 100% to 64% exposure fall and only a slow ramp up after


When running Sys1  January 2020 code in backtest(with matched (I checked) explore instructions
I actually get 32entries (buys with or without sell) and have 17 active packets
But as you might have seen in my weekly reports, I have traded far more...

It is no mystery I have changed the code slightly as I was going since February, refinements and SL/exit criteria
indeed I traded 16+37=53 buys..
Initially wondering why, looking at older reports I then realised I was using aversion since discarded afterI I worked on SL and exits.
indeed stored reports with that version matched my real world action for that period.
on the 11 and 18/11 I offloaded 6 packets which when tested now would still be in
For example SHV purchased on 26/08 was sold on 11/11
but now


So with current code all along I would have been much better off with less brokerage and more exposure -> the SL exercise in December has been useful

Moral: any system changed while trading  is hard to check, here the change is positive but it could have been worse and hard to detect
And if you have checked once your backtest matches your real world operations, this is only valid till your next code change..obviously but I got caught...


----------



## qldfrog

Now the LIC example:
indeed very late entry


I investigate


----------



## qldfrog

And to summarise:
I realised yesterday thanks to the seemingly unrelated: "why am i not invested fully now?" How deeply i FU initially and how i sorted it , blissfully unaware ,when working on my exit...
The market being so good last year for trends was hiding the depth of wrongdoing...but it has been expensive vs optimum total return
Even so, better than my super results...
I will also now store my explore results weekly to be able to understand the impact of gradual code changes if any
Now to a deeper issue, why am in so late? And do i want to change that as this system is supposed to be conservative over dd periods?
More work..i toyed moving into finance in the 2000's but decided for Brisbane vs Sydney...i now do it in _retirement.._have all a great day.stay safe with fires


----------



## peter2

It's all good @qldfrog you'll be tinkering on these systems for the rest of your days. I'm reminded of @Country Lad 's sign off, been doing this for 36 years and just getting the hang of it. 

It's possible that your system algorithm doesn't know if a trade is already open in a stock and reports every buy signal when it occurs. Subsequent signals on open positions can be used to add (pyramid) to winning ones should you like to do that. 

If your report lists redundant signals on open positions then I'd check the chart and look for signals that occur soon after the trend has started and buy them first. 

When I look for Darvas boxes to trade I prefer to trade the 1st or 2nd ones not the later ones.


----------



## qldfrog

A lot of interesting talk this week and a pretty disappointing/bad  end result for the systems today
I know there is so much to fix that I feel pretty tempted to stop system 2 and flipper.

System1 lost a whooping $829 on a week which saw the asx surge 
I have to get into the details and check which shares produce that and see if there is a fundamental fault I can spot
and system2 got a minimal $108 profit
Flipper lost another $342 and does have a single (slightly) positive position out of 5!!!!!
Pathetic..

###########################
System I (the original)

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $22,731.74
Current portfolio value $112,511.68
Profit $12,511.68
Nb of active positions 15
Nb max position 20
Return since 25/02 12.51%
Annual return so far 14.50%
purchase value per position $5,625.58
Invested percentage 79%
dividends   $            1,387.81
Average per week: 266.20





one buy on Monday, which seems quite a late entry here as well based on chart
###########################
system II

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $549.45
Current portfolio value $102,668.80
Profit $2,136.04
Nb of active positions 20
Nb max position 20
Return since 5/08 2.12%
Annual return so far 5.00%
purchase value per position $5,133.44
Invested percentage 98%
dividends   $                     -   
Average per week: 89



2 buy 2 sell
we will end up with 20 positions...

Have all a great week end
Report Bookmark


----------



## peter2

Yes, that is disappointing with 15 open positions in the Sys 1 portfolio. I'd love to help but unfortunately I don't use Amibroker nor could I evaluate your system code.

13/14 positions in the P2 wkly/dly portfolio went up this week and I'm certain @Skate portfolios would show the same pattern.


----------



## Trav.

@qldfrog I feel that you are being pretty hard on yourself mate. I know that I have had similar thoughts this week....

WHY am I not raking in the $$$ when the market is up???

Realistically we are in stocks selected in previous market conditions which are obviously not today's conditions and it may take a few days / weeks for some of the stocks to catch up. Alos their is a lot going on in the world which is playing havoc to the market in some areas

It is also hard to comment on your system / stock selections as you don't list which stocks you are in currently in ( table form ) and their relation to each sector. ie. if you have gold stocks then how is the materials sector going.

*As and example - for this month *

NCM (Newcrest Mining) up 1.74%
XMJ (Materials) up 2.19%

Z1P ( Aip Co) down 0.54%
XFJ (Financials) up 2.42%

Also just a random thought about the market performance in January I had a look at the XAO performance over the last 10 years a there is a mixed bag of results so when backtesting maybe have a look at that?? ( as i said random thought that might add no value other than to reassure you that your system is OK and maybe take a step back for a week or two)

XAO January Returns

2010  -5.9%
2011  0.1%
2012  5.2%
2013  5.1%
2014  -2.8%
2015  3.0%
2016  -5.4%
2017  -0.8%
2018  -0.3%
2019  4.0%
2020  3.5% (incomplete month)

Anyway excuse the ramblings above and I hope you have a good weekend.

Cheers


----------



## Trav.

just adding to the above ramblings. Your system is weekly so take a step back and look at the bigger picture

example of iron ore companies below. plenty of red today but the yearly green figures are the go.

https://www.marketindex.com.au/iron-ore


----------



## qldfrog

peter2 said:


> Yes, that is disappointing with 15 open positions in the Sys 1 portfolio. I'd love to help but unfortunately I don't use Amibroker nor could I evaluate your system code.
> 
> 13/14 positions in the P2 wkly/dly portfolio went up this week and I'm certain @Skate portfolios would show the same pattern.



Thanks Peter for the offer, i just have to understand where the problem is:
Do the shares loosing this week matches the ones which would have not been selected with the latest code?
Thinking aloud
If version 1 selected a share that version 2 would not, then version 2 would maybe never tell me to offload that share...
Could i not have a bunch of shares purchased by the deficient system and which now would never trigger a sell
After all, my code is done so that i do not see all the buy and sell only matching couples
This came to me thinking about consequences of what i discovered yesterday
Would make sense and i will check this week end
Conclusion
It is VERY dangerous to tweak a system live wo resetting entries


----------



## qldfrog

@Trav.,
as of today's close this is the system1 portfolio:


Note the exit SL has NOT been updated
And I have not missed any exit so my response to Peter was not relevant here.
In term of results JLG lost 9%, OCL and LIC 3% and IMF 1.4% but remaining stockes were pretty good, easily above tha xaoa...


----------



## qldfrog

Amibroker code error in my SL detected which could maybe help others:
 SL= HighestSince( Buy, H -.expression) will look the _nth _Buy condition ..and _n _default to 1 !!!
so several consecutive buy condition will reset SL at each buy which may not be what you want


----------



## peter2

Those results look quite OK. It's always 2 or 3 that earn most of the profit and you've got them (JLG, OCL, RUL). IMO the entry on AVN is the only one I'd call as late, so I think your entry algorithm isn't too bad. I'd consider increasing your volume requirement as you should never be in such a lowly traded volume stock as ZIM.

I'd call your portfolio an eclectic mix of companies. Quirky even (I'm being polite). The current bullish sentiment and buying demand is for well known main stream companies. No wonder you missed out this week. However, you will have a good week one day. "Quirkyness" will be in demand some time.

For a portfolio containing such an odd bunch of companies you're doing very well. The current open results show me that your system is working quite well. Don't cut the legs off that frog!


----------



## Warr87

qldfrog said:


> Amibroker code error in my SL detected which could maybe help others:
> SL= HighestSince( Buy, H -.expression) will look the _nth _Buy condition ..and _n _default to 1 !!!
> so several consecutive buy condition will reset SL at each buy which may not be what you want




I had the same issue with my stale exit as any new buy condition being met will reset the count. I routinely get the same buy signal a few weeks in a row for some of my positions. I rely on my excel sheet right now for the stale exit and SL.


----------



## Warr87

To add to this, if you work with python you could possibly work around this with your portfolio fed into it. There are some quant open source programs out there that likely have solutions for this. For the moment, Amibroker + excel are good for me .


----------



## qldfrog

Thanks Peter, 
Last post of the day before I fill Joe's server with my rambling
In term of late entry, I think my system2 (my dynamic one still based on trend, but more reactive) has this pretty well sorted;
I looked at my LIC graph for System2 and entries are OK and roughly match @Skate and @peter2..so not completely off.As per system1, I will also check that system2 does not carry ghosts from previous obsolete code
	

		
			
		

		
	



Feeling a bit better all this work was not useless..and I need relativity:
as opposed to 2% deposit returns.....in a world where Gold goes *down *when Iran fires missiles at US bases
Have all a great night, I hope my ramblings and loud thinking do help people engaged in the same processes
Thanks for all the feedbacks


----------



## qldfrog

Big relief today:GREAT NEWS
I realised after checking:
where the hell did I lose so much when each entry weekly result was not that bad  that my *update of the EOW prices had failed on system 1*..was done properly ok with system2 and 3:
RELIEF RELIEF
these are real Friday closing values for System1


and the change vs post #286 are substantial enough:
Corrected results for system1:
weekly gain of $360
still under performing vs xaoa but not that bad
We got 

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $22,731.74
Current portfolio value $113,700.33
Profit $13,700.33
Nb of active positions 15
Nb max position 20
Return since 25/02 13.70%
Annual return so far 15.82%
purchase value per position $5,685.02
Invested percentage 79%
dividends   $            1,387.81
Average per week: 291.4962766 



---------------------------------------
And there is a big plus, I did an in depth check on system1
detected a few loose hands which are now fixed, reinforced my confidence today
But even better for system2, I realised I had some ghost from obsolete version of system2

To state it clearly
v1 of code produced a buy which was implemented (shares bought) , code was "improved, and triggers refined etc for a v2 version (similar but still substantial differences in buy sell along the weeks)
Now these v1 entries do not appear anymore in v2 so are not be displayed either for exit
They get bypassed and I ended up with quite a few *ghost *packets 
I got 5 packets which are in that case (out of 20)and I will offload them on Monday and hopefully start afresh then
So much support from you guys Thanks a million,,,not yet for the million ;-) but we will get there


----------



## Newt

Great going QF.  Nothing wrong with feeling bad, as long as you work through it.  Sounds like you benefited in the end


----------



## qldfrog

After the saga of the last 3 days, today was remediation day:
System1 bought 1938 AFG @$2.9 
System 3: (the flipper) bought 2816 KAR @$1.38, 25806 HTA @$0.155 and 4907 HFR@$0.81
all good

System2 The dynamic version of system 1 is where the action was:
I had to offload ghosts entries not managed anymore by my current system version:
I so sold CCV,MOE,IFN,OML,OZL and VRL which would not have been purchased with the current version
I got a total profit after brokerage of $852 but loose 25% of exposure.
Could have been worse...obviously these ghost were not random entries and while they do not pass my current system, they were not too bad but de facto had no managed exit: a potential disaster

System 2 also bought 32258 HTA @.155 and sold AVN and GRR for a loss of $219

Have all a great week, the promised rain in Brisbane did not really eventuate..maybe next week...


----------



## qldfrog

System1 a winner this week+ $1,844.92 , but the asx jumped so high
System 2 a nightmare,-$1,096.27 but I sold a lot of ghosts on Monday and got a few duds
the flipper is really bad:lost 1.5k on 8 stocks, 2 positive only, even randomly I could do much better..I have to really check this week end if anything is wrong

###########################
System I (the original)

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $17,101.54
Current portfolio value $115,545.25
Profit $15,545.25
Nb of active positions 17
Nb max position 20
Return since 25/02 15.55%
Annual return so far 17.62%
purchase value per position $5,777.26
Invested percentage 84%
dividends   $            1,387.81
Average per week: 323.8592708




will check actions for Monday later
###########################
system II

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $34,743.38
Current portfolio value $101,572.53
Profit $1,039.77
Nb of active positions 13
Nb max position 20
Return since 5/08 1.03%
Annual return so far 2.33%
purchase value per position $5,078.63
Invested percentage 65%
dividends   $            1,065.25
Average per week: 41.5908



will check actions on Monday later


Have all a great week end, enjoy the rain if you have some


----------



## Warr87

how did the flipper backtest? I think I've found some code for that before but never got fantastic results.


----------



## qldfrog

Warr87 said:


> how did the flipper backtest? I think I've found some code for that before but never got fantastic results.



well on a long range back-tests performed OK, not great but as good if not better than my other systems.
I was keen in term of diversification: basically would not be synchronized with my CAMish systems.Concept had a Radge stamp of iapproval
Indeed it is not synchronised , but I should check in a more detailed way, including ensuring I do not have a fundamental issue here as the results are really poor ..very short period but in such a context, should still be better...


----------



## qldfrog

Action on Monday: System1 purchase 3 extra codes bringing it to fully invested, 
system 2 sells 2, buy 4 bringing it to75% invested..plenty to catch up after last month mistakes and the ghosts..
flipper sells 1, buy 2


----------



## jjbinks

Hey qld frog,

In my experience with trying to tweak the flipper I found it could take big hits during volatile periods.

From what I can gather you are still using 5% of equity per trade with flipper?
Was 1.5k loss equally distributed between stocks or was it 1-2 really bad stocks.

Also be weary with flipper code as depending on how you code it you may have future leak. 

Keen to hear how well back test results over the period you have been trading matches with the actual results.

Cheers
j


----------



## Newt

Please don't take offence guys, but why would you focus on the flipper when something like Radge's Bollinger Band BO strategy showed more promised in the book?  Certainly from my own Amibroker testing years ago I could get returns from all of them, but BBO seemed to show the most promise.


----------



## qldfrog

I will reply later, with the rain plenty to do on the block
I will check the flipper parameters , execution etc
As to why slipper? I wanted to have an ultra simple and validated system  in place for a small amount i had aside :80k
Trying to avoid spending too much time on it, as the cam related systems need refining,while checking on paper what an abcd/1234 code would produce
A kind of useful carpark ....


----------



## jjbinks

@Newt 
I'll need to have another look at Radge's book but for me 2 reasons why flipper seems nice
1)Fairly simple concept
2)If i remember correctly Flipper had shortest periods of draw downs/quickest to positive returns. So from this perspective I felt it is a good starting point as a beginner. (I though I would lose confidence in my system if it had a fairly long period of draw down. )


----------



## Newt

jjbinks said:


> @Newt
> I'll need to have another look at Radge's book but for me 2 reasons why flipper seems nice
> 1)Fairly simple concept
> 2)If i remember correctly Flipper had shortest periods of draw downs/quickest to positive returns. So from this perspective I felt it is a good starting point as a beginner. (I though I would lose confidence in my system if it had a fairly long period of draw down. )




Thanks JJB
I'll have to dig out the "Holy Tome" and re-read


----------



## qldfrog

Now that the storm is over and internet back:

About the flipper: I started buying on 16/12 so started run from 13/12/2019

The backtest is as follow:





I deviated by not buying NVL [from memory a takeover target]

The backtest during that period has a loss of $2147




My own results are






So in term of following code, all good;

For info, running that same code last year produces: using $80k on calendar year





For comparison:

The xaoa went from 57954 to 72371

An increase  of  24.8%..so basically flipper returned a bit above the xaoa, and is not too linked to the other systems..and I know if market goes down, flipper can go down..



So “kind of all good” but I agree no stellar performance expected


----------



## rnr

Hi @qldfrog,

From my understanding of the system, excluding the Index filter at this stage, there are only 2 trades that have signaled a weekly entry with scans commencing on 13/12/2019.

Cheers,
Rob


----------



## qldfrog

Tha


rnr said:


> Hi @qldfrog,
> 
> From my understanding of the system, excluding the Index filter at this stage, there are only 2 trades that have signaled a weekly entry with scans commencing on 13/12/2019.
> 
> Cheers,
> Rob



Thanks Rob, that is interesting and would mean my code does not match the index methodology.
I have just started rereading the unholy grail yesterday.
As mentioned a bit earlier, i used this third system as an easy simple alternative, and went straight into code i did years ago and some i pinched from the internet.
You could very well be right.better look at the code itself


----------



## qldfrog

rnr said:


> Hi @qldfrog,
> 
> From my understanding of the system, excluding the Index filter at this stage, there are only 2 trades that have signaled a weekly entry with scans commencing on 13/12/2019.
> 
> Cheers,
> Rob



@rnr  Rob, I cleared the code conditions etc, (looked at >$2 as per Radge..which I do not filter on in my own realm) and with that I still got quite a few entries, more actually
IMF, CDA, MVP for example : I looked at the chart and yes 20% above is triggered for these 3
we must use a different meaning of Low/High? do use use* Low of closes* and *high of closes*?
Only if interested in this 
That would easily explain, and obviously how far back you go to define the low periods for buys (13/12 or before)
Anyway, what I mean is that this flipper based system is not an initial winner in the last month..
would make sense when you think of it:
short term you jump on the good news/days..and it will take a while to either clear out the duds and carry on  (we are a momentum system still) to get the gains, 
Actually, the ideal time to get into a flipper is at a trend reversion, when going from bear to bull market, after, we just follow the bull move so probably not a great way to park cash


----------



## rnr

qldfrog said:


> @rnr  Rob, I cleared the code conditions etc, (looked at >$2 as per Radge..which I do not filter on in my own realm) and with that I still got quite a few entries, more actually
> IMF, CDA, MVP for example : I looked at the chart and yes 20% above is triggered for these 3
> we must use a different meaning of Low/High? do use use* Low of closes* and *high of closes*?
> Only if interested in this
> That would easily explain, and obviously how far back you go to define the low periods for buys (13/12 or before)
> Anyway, what I mean is that this flipper based system is not an initial winner in the last month..
> would make sense when you think of it:
> short term you jump on the good news/days..and it will take a while to either clear out the duds and carry on  (we are a momentum system still) to get the gains,
> Actually, the ideal time to get into a flipper is at a trend reversion, when going from bear to bull market, after, we just follow the bull move so probably not a great way to park cash




Hi @qldfrog,

It's excellent to hear that you are getting some rain over there.

The systems published in Nick's book "Unholy Grails" were designed with daily parameters so when testing over on a weekly basis these parameters need to be adjusted accordingly.
When comparing these systems with other parties, the conversion to weekly parameters may well cause inconsistencies between results.

My interpretation of this system revolves around a 20% HiLo Peak-to-Valley ZigZag indicator which determines the entries and exits as per the pic below.




A blue signal bar (high has moved up a minimum of 20% from the previous zigzag low - i.e BUY condition met) indicating a BUY at next OPEN and a red signal bar (low has moved down a minimum of 20% from the previous zigzag high - i.e. SELL condition met) indicating a SELL at next OPEN.

Other filters are ignored in this example.

And for the record the BUY and SELL signals do not look forward and can therefore be used for back-testing. 

Cheers,
Rob


----------



## qldfrog

a bit of activity today:
system1 bought 2766 CAT @$2, 1049 EML @$5.31, 2603 FWD @$2.15 reaching fully invested status
System2 bought 810 LYL @$6.2, 1760 NEU@$2.76, 5092 PSI@$3.3 and 409 ZIM@11.73..That last one was a battle as the SP shot up from open and I only got 4.8k and not $5.5 even after manually chasing a little bit.
System 2 sold HTA @13c and SHV @8.42 for a loss of $955 inc brokerage costs
This HTA is going to go into my blacklist ..it is below the 20c limit that I do not want to implement as it seems to be detrimental on the XAO realm, but I am really doomed with that share

System3 (the flipper is under a bit of a review as per previous posts), I had a buy order on MSB but it shot straight up and I did not get any
System 3 sold FLC @42c for a loss of $215
Once the flipper review is completed, I will either close it or carry on after adjustments


----------



## qldfrog

about 20c limit, I will from today use the 40c limit..seems more beneficial than negative and would avoid basic increments being too big in percentage, we do not want to deal with these anyway...


----------



## qldfrog

A few decisions today: i will implement the 40c SP limit on the xao world for all systems, i i ha a few below 40c entries and i i wi let these run their course
The flipper system will be liquidated in the coming days
Not so much as for it being a bad system, but was a too quick harsh and not thought enough code
Not enough backtests, checks etc
Never rush if there is a lesson
I will probably replace it with a zigzag,flipper and own sauce later on but only if i can spend enough time to do a decent work


----------



## tech/a

Warning

Do not use the Zig Zag indicator in systems.

It is important to remember that the ZigZag feature has no predictive power because it draws lines based on hindsight.
It cannot signal until the low or high % value is reached.
So a system will always be looking backward in some cases weeks if using weekly.
So you don't know that a high or low is going to hold to a given % in real time.


----------



## qldfrog

Thanks @tech/a 


tech/a said:


> Warning
> 
> Do not use the Zig Zag indicator in systems.
> 
> It is important to remember that the ZigZag feature has no predictive power because it draws lines based on hindsight.
> It cannot signal until the low or high % value is reached.
> So a system will always be looking backward in some cases weeks if using weekly.
> So you don't know that a high or low is going to hold to a given % in real time.



Indeed, can be a miracle in backtests
Too good to be true.....
Following some leads from @rnr , i dig into the AB Zig function yesterday

Then fully aware of the mostly future looking of the Zig function, i(it is highlighted in the AB pages ) i use one of the recommended tweak to reduce that risk, and  i only usethe zig  in conjunction with a flipper style % of high low 
Previous high and low points determined by the tweaked zigzag instead of tested on an arbitrary  past period in my initial code

I have to say that my current task is really :
Does my code future leak or not?
If i can be confident that it is not leaking, then i will proceed but for the time being i will paper run and liquidate existing flipper attempt That was just stupidity from my part.

I should know better at my age...
Your inputs much appreciated


----------



## qldfrog

A standalone post about *buying at open for systems users;*
I use bell direct(very happy) and did order a buy on open at 3.3, order sent in the week end
That order was rejected on Monday morning and I was given a 3.26 indicative pricing; ultimately open was at 3.29 from memory and i had to chase the price the price to have my order executed
I asked BellDirect what is their formula so that I can write it and ensure safe Monday morning open orders
This is the answer from BD: I find it interesting:
_I can advise that the order was sent off for manual review and was rejected by a designated trading representative as the trade was going to move the market too much in one order. The rejection order saying ‘price discovery at $3.26’ means that to place the higher order you will first need to place the order at 3.26 and then slowly move up to 3.30, allowing time for the market to react to your orders. 



Please be advised that we have to abide by the ASX rules and regulations when accepting and manually checking orders for the market.
_
What it means in a nutshell is that your week end generated orders may get rejected just before the open..and you need to be actually active and logged in at 9/10AM on Monday morning
Not what I wanted to hear, even if this does not happen too often
_
_


----------



## rnr

tech/a said:


> Warning
> 
> Do not use the Zig Zag indicator in systems.
> 
> It is important to remember that the ZigZag feature has no predictive power because it draws lines based on hindsight.
> It cannot signal until the low or high % value is reached.
> So a system will always be looking backward in some cases weeks if using weekly.
> So you don't know that a high or low is going to hold to a given % in real time.




Hi @tech/a ,

Let's just qualify that statement to read

Do not use the Zig Zag indicator when back-testing a system UNLESS you link the Entries and Exits with a % move validation indicator" as the ZigZag indicator on its own effectively looks into the future.

See below for an example.

Cheers,
Rob




or

https://www.aussiestockforums.com/t...tfolio-hypothetical.34661/page-2#post-1030875


----------



## tech/a

You may find the 20% Flipper or ( Whatever % ) System maybe more appropriate
for a Universe of stocks which are not Volatile (generally). Larger caps.
Nothing under $1 and $3 even better.

Just saying.


----------



## Skate

@qldfrog - @captain black often spoke of the ZigZag function for use in the development of his systems & went to great lengths to explain the ZigZag function should never used in a trading strategy because the signals keep repainting when more data is received. (Football analogy - the goal posts keep shifting with additional data) 

*ZigZag *
The ZigZag indicator can be used to reveal the profit potential for different stocks & in different time frames though. Using the ZigZag function gives you a sense of where the profits are & what happens when you reduce trade duration. 

*Important *
The ZigZag function looks into the future & of course, should never be used for trading with real money. Use the ZigZag function in your strategy development phase - use it as a guide to how accurate your signal are in relationship to the pivot points.

Skate.


----------



## qldfrog

tech/a said:


> You may find the 20% Flipper or ( Whatever % ) System maybe more appropriate
> for a Universe of stocks which are not Volatile (generally). Larger caps.
> Nothing under $1 and $3 even better.
> 
> Just saying.



I noticed better results indeed just moving my price threshold to 40c from 20c, and targetting restricted xao
Plenty to try


----------



## tech/a

Trading Pennies is like catching Flies.
You need the skill of a Kung Fu Master.

Trading Blue chips is like catching an Elephant
Even I can move that fast!


----------



## qldfrog

This one is a gem @tech/a 
About zigzag and future leaks
Indeed the Zi() function is a well known future looking fct, you can observe this as the data gets fill and you see your zig line changing potentially evenchanging  trend way: up or down
There is an interesting article and some mitigation code in AB forums:
http://www.amibroker.com/members/traders/11-2003.html

For my own purpose and to ensure I do not have future leak in my code, i found this useful AB snipplet:
(not restricted to ZigZag)
http://www.amibroker.org/userkb/2007/06/01/detecting-look-ahead-by-nulling-bars/
basically, the code nullify all price data after the currently displayed range in the chart:
if your code has any future leak, you should see your Buy/Sell indicator vary as you scroll thru the chart time period..better explanation in the link....
A manual process but not that painful


----------



## rnr

Hi @Skate,

In the attached chart of AFI I am using the HiLoZZ indicator (which is based on the ZigZag function) and I have it set at a 10% move from peak to trough (green line). In the bottom frame of the chart there is an indicator set up to confirm when a valid peak or valid trough has formed thus confirming that the next leg of the HiLoZZ indicator will be in the opposite direction.

The Flipper system code published by Nick Radge determines a BUY or SELL on the next bar after a predetermined percentage move has been attained.

As mentioned above the percentage move is 10% so when a blue bar is shown on the chart it is followed by a blue BUY arrow and when a red bar is shown on the chart it is followed by a RED arrow.

The Flipper System is presented in the above chart.

Are you inferring by the statement below that one shouldn't trade this system in real life?

"Important
The ZigZag function looks into the future & of course, should never be used for trading with real money."


----------



## Skate

rnr said:


> View attachment 99839
> 
> 
> Hi @Skate,
> 
> In the attached chart of AFI I am using the HiLoZZ indicator (which is based on the ZigZag function) and I have it set at a 10% move from peak to trough (green line). In the bottom frame of the chart there is an indicator set up to confirm when a valid peak or valid trough has formed thus confirming that the next leg of the HiLoZZ indicator will be in the opposite direction.
> 
> The Flipper system code published by Nick Radge determines a BUY or SELL on the next bar after a predetermined percentage move has been attained.
> 
> As mentioned above the percentage move is 10% so when a blue bar is shown on the chart it is followed by a blue BUY arrow and when a red bar is shown on the chart it is followed by a RED arrow.
> 
> The Flipper System is presented in the above chart.
> 
> Are you inferring by the statement below that one shouldn't trade this system in real life?
> 
> "Important
> The ZigZag function looks into the future & of course, should never be used for trading with real money."






rnr said:


> "Important
> The ZigZag function looks into the future & of course, should never be used for trading with real money."




*Carification*
Hi @rnr - I understand where you are coming from & when Metastock was my choice of poison (before Amibroker) I played around with this indicator (or something similar) & the results were pleasing. When I met @captain black - "by the way" he was one of the coders that initially gave Nick Radge a hand in getting his 20% Flipper up & running (also credited in the book "Unholy Grail") he explained coding the Flipper was difficult to use in a strategy. I've tried a million variations trying to get a strategy to perform using the ZIGZAG function. Failure led me to develop a ZIG function so it could be coded into a tradable system.

*Let me explain *
The ZigZag function repaints, meaning with additional data the buy signals can evaporate & most times they do making it hard to have confidence in trading the raw signals. Your metastock chart look amazing & very impressive in catching the pivot.


rnr said:


> The Flipper system code published by Nick Radge determines a BUY or SELL on the next bar after a predetermined percentage move has been attained.




*Similar idea*
I was not aware that Nick uses the ZigZag pivot to determine the 10% rise above the pivot as the signal trigger bar. I use a similar but completely different idea as the entry trigger bar in my ZIG strategy. Your chart clearly plots the signal bar (blue bar) & the next bar the (buy bar), simple & effective.

*Just to confirm*
1. Has Nick Radge published the Flipper code?
2. I thought Nick uses a 20% rise from memory, but I could be wrong (whereas you use a 10% rise)

*Hats off to you*
If you have a tradable strategy using the ZigZag indicator demonstrates to me your coding skills. The only feature I wish Amibroker had that Metastock currently has "is the ability to lock & hide formulas".

*I'm not challenging or contesting ideas *
Every post I make I never challenge or contests a members post or ideas but I post to give an alternative view from my perspective, from my limited experience.

Skate.


----------



## Newt

BTW, I believe Nick has "spring cleaned" his Turnkey system are on The Chartist - removed the Unholy Grails systems that were there and now has large cap Trend and MR systems for ASX or US on offer.


----------



## rnr

Hi *@Skate*,

Firstly let me clarify a few issues and apologise for any confusion I may have caused.

  1)  When I say that the HiLoZZ indicator is based on the ZigZag function, my reference is to the way in which it works i.e. High-to-Low as it definitely does not use the standard ZZ indicator supplied by                 MetaStock (MS will not accept the parameters of High to Low).

  2)  I did not state that Nick used the ZigZag pivot to determine the percentage move above the pivot as the signal trigger bar.

  3)  My bad, as I was referring to the “Flipper” system (not code) published by Nick Radge.

  4)  Nick used a 20% move from peak to trough in his book whereas I applied a 10% move to capture more examples in a screen shot.

The only feature I wish Amibroker had that Metastock currently has "*is the ability to lock & hide formulas*".
If this comment relates to dll's then I think I have read at some point in time that you can use them with AB.

Cheers,
Rob


----------



## qldfrog

Good evening all before the long weekend and Australia day, with all my winging, Australia is still a marvelous country , wasted potentials everywhere: human and others in my opinion but at least with some future;Be proud!;
And an amazing week:
System 3: the ill thought of flipper based system is being discarded and I just have one position to close: cost of the exercise: $2k..just do not tell my better half;

System1 was on steroids this week:
we overtook the xaoa with a massive $6.1k gain..very happy obviously
Less with system 2 which should roughly parallel and better it but suffered a $261 loss
Understandable as we are just ramping up again after the old ghosts shares liquidated in the last fortnight

==============
Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $372.90
Current portfolio value $121,650.81
Profit $21,650.81
Nb of active positions 20
Nb max position 20
Return since 25/02 21.65%
Annual return so far 24.02%
purchase value per position $6,082.54
Invested percentage 99%
dividends   $            1,387.81
Average per week: 441.8531633
invested  121,277.91 


3 buys but we are fully invested: no  action on Monday

==============
System 2
Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $23,606.48
Current portfolio value $101,310.63 

Profit $777.88
Nb of active positions 14
Nb max position 20
Return since 5/08 0.77%
Annual return so far 1.67%
purchase value per position $5,065.53
Invested percentage 76%
dividends   $            1,065.25
Average per week: 29.91826923 


4 sell 4 buys on Monday

Have a great long week end


----------



## qldfrog

Interesting time, we will see when world markets open but it is not unreasonable to expect big fall this week.so my unease with missing stop loss remain.
The change i did is i reduce my buy price on the open tomorrow morning.
Will check again tonight


----------



## qldfrog

forgot to update yesterday:
system 1 did not buy or sell and is fully invested
System 2 sold 4 set of shares: AX1, UOS, CWP, KMDfor a combined loss of $1222 and bought CIP, JLG, PHG and RUL in what was a pretty down market
we are now 78% invested for system 2


----------



## qldfrog

As China fights its epidemic, the more i learn of the economic effects there, via the news but also via anecdotal  WeChat contacts, I think even blind Freddy should see that China economy is already taking a significant hit
Much more than all this Trump trade war saga:
Whether this will be the black swam triggering a global market fall, far too early to know and I have no clue, but as far as Australia is concerned, there is no way we will absorb that one without damage, even if the epidemy is stopped next month...which I doubt
So in prevision of an ASX hit I moved into even more conservative positions for my overall portfolio;

For the 2 systems currently live, I do not want to panic but I just did a major move:
I manually put stop losses on all shares parcels for system 1 and 2 
These were positioned discretionary,similarly to @peter2  not especially tight and with no regards to purchase price
In term of heat, as per yesterday prices I end up with:


----------



## qldfrog

Yesterdaywas no posted)
one stop loss triggered MAH at 26c for system 2, so system2 sold its MAH parcel at 26c for a profit of $595 after all costs
system 2 is at a loss overall and only 72% invested
Vamos...


----------



## qldfrog

Friday again after a short week, but eventful;
System 1 lost $654 and system 2:$869
not too bad considering the xao performance: 
System 1:
Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $372.90
Current portfolio value $120,996.40
Profit $20,996.40
Nb of active positions 20
Nb max position 20
Return since 25/02 21.00%
Annual return so far 22.81%
purchase value per position $6,049.82
Invested percentage 99%
dividends   $            1,387.81
Average per week: 419.928
invested  120,623.50 
We have one buy only on Monday but are fully invested so will pass unless a stop loss get triggered
we are soon reaching one year of system1 live, and quite happy with the results, obviously, none of @Skate or @peter2 stellar results but better by far than my usual underperformance


---------------
System 2 not so brilliant: 
basically break even since august 2019
under-performing the xaoa, and a discretionary SL triggered yesterday
we are paying dearly our ghosts and reset just before the nCorovirus crisis

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $26,440.23
Current portfolio value $100,441.36
Profit -$91.40
Nb of active positions 14
Nb max position 20
Return since 5/08 -0.09%
Annual return so far -0.19%
purchase value per position $5,022.07
Invested percentage 73%
dividends   $            1,065.25 


2 sells 3 buys on Monday


----------



## qldfrog

tightened SL on system1 and 2, moved buys to low ball offer and will manage these manually on monday


----------



## qldfrog

Today a down day but a bit of action:
To close that chapter, system3 based on 20pc flipper was closed last week for a total loss inc brokerage of
$    1,912.10
System1 triggered one conditional sell:
CAT was sold for @1.90 for a total loss of $       296.60
We had one buy recommended on the open but were previously fully allocated, I will put a buy order for that share at the open tomorrow

System 2 triggered one conditional sell: CNU
we so sold CNU, RMC and PSI for a total gain of $1,469.41(note some RMC left to sell)
and bought PPC@1.32, RMD@23.86 and NSR@2.15
we are still at 14 entries out of 20


----------



## qldfrog

System 1 purchased 
SOM  1723 @ $3.25 for a total of $ 5609.75 to replace the Stop Loss triggered on CAT yesterday But stop loss triggered the sale of BKW  298 sold@ $19.490 for a profit of $424.02(and an extra $113 of dividends)
We are now back at 19 parcels only: 94%invested

System2 also had a SL sale of PGH@2.6 for a loss of $424.64
So down to 13 parcels 67% invested
No action planned until next Monday unless SL triggers


----------



## qldfrog

Both systems are still active but I moved strongly protective to balance the virus effects on our economy which I think are well underestimated here in Australia.

The results so far from my realistic but not gloomy reaction to facts:
Sold both rio and fmg warrants for a profit of:$1242
bought extra PMGold break even;
Added 7.5k of BBOZ: $200 paper profit;
Added 9.7k of ANN: minimal paper profit balancing  a similar loss on IVC and PFP purchased yesterday;
Supers (Sunsuper and QSuper) moved fully to capital guaranteed/bonds/etc last week
Tighten and created SL on the 2 systems 
Bring it on; 
Ohh and received today the surgical masks today ordered last week
Stay safe, preserve capital


----------



## willoneau

I have an opinion on were I think the market is going, *but* my system isn't discretionary so I just follow the signals and my position sizing.


----------



## qldfrog

willoneau said:


> I have an opinion on were I think the market is going, *but* my system isn't discretionary so I just follow the signals and my position sizing.



So should be mine, i only added a SL that i was feeling was missing for months and felt the urgency with the current virus  hit on the economy.
Thankfully the complacency and lets name it ignorance of the market as to China made the fall far less drastic than could have been.

I bought the system buy signal for Monday on Tuesday after a forced SL exit.trying to compensate my own interaction
We have had few such black swan event on the Australian economy, others and were more global in impact
 there is no way my backtests could have prepared for what is ahead, but if the fall is slow, the index linked parameters should play and reduce exposure/save gains( as per backtested previous down periods)
Even 2007/2008 was not that fast, a lot of people bought the dip...
You mention position sizing: do you vary your position sizes based on indexes or other parameters?


----------



## willoneau

My position sizing is based on capital available and positions available similar to Skate.
My thought was/ is that we needed bad news to shake people out before the next run up.


----------



## qldfrog

willoneau said:


> My position sizing is based on capital available and positions available similar to Skate.
> My thought was/ is that we needed bad news to shake people out before the next run up.



Ok position size unchanged here as well but that could be an option to consider..risking less on volatility..maybe not with a CAM based system
I am still positive overall, it could be much worse as the virus is not that deadly, so i am not too scared to die
But i see China stopped, as noone has any even idea here, and China is our big brother economy, if they stop or slow we freeze.so next 6 months will be either bad if we contain the epidemy, or dramatic if the virus spreads worldwide.


----------



## willoneau

Ray Dalio predicts market collapse in 2020 in one of his youtube vids , very interesting.


----------



## qldfrog

willoneau said:


> Ray Dalio predicts market collapse in 2020 in one of his youtube vids , very interesting.



To be honest, even without virus, there are plenty of reasons for the bubble to bust.
 I thought Trump would be able to push the can till past the election and his re-election but that virus could change it all.
Anyway.i will look for the video.thanks for the hint and your input. another SL triggered today


----------



## willoneau

qldfrog said:


> Anyway.i will look for the video.thanks for the hint and your input. another SL triggered today



Weekly system only triggers SL at end of week?


----------



## qldfrog

willoneau said:


> Weekly system only triggers SL at end of week?



That was my dilemma, I already had a SL equivalent at the end of the week which was part of the exit conditions: stale, SL etc but when market falls sharply, it can be up to a week before my systems react.

So I added specifically after the virus growth and Chinese impact: a SL triggered intraday by the broker system: if XXX below $yy sell all XXX at  $zzz
This should reduce overall returns, based on back-test and might trigger on flash crashes but gives a kind of peace of mind and reduces portfolio heat drastically.
Today 
FWD in system1 purchased at $2.15 on the 20/01 has been sold at 1.95, a nearly 10% or $540 loss
looking at the graph, not much to regret


----------



## willoneau

I have come unstuck were I have gotten out during the week only to see it close the week above my stop and continue up.
Also by doing that not following system the back test results are then useless.


----------



## willoneau

It is something I have struggled with, discretionary adjusting and fiddling with my system.


----------



## qldfrog

I understand and share the pain.
Not having a stop loss can obviously be a problem when market goes free fall, especially in a weekly system where the usual small bounce back can be missed.
We have up to 7 days of inaction after an event in a weekly system.this is a lot..
Let's see how it goes here.i record my SL triggered sales.
in a few weeks, it will be easy to conclude this is a good or bad idea as i  check if the system would have benefited or not.
Maybe something i need to go thru to boost confidence and so part of education


----------



## willoneau

My system closes position on Monday if position closes below my SL on Friday. If I change that the system  back testing is void. I can see Friday close well below SL but I also see a bounce off my SL too which are all part of the back testing.
I guess any changes outside the system designed and tested has to be re-tested and weighed up if better or worse before changes are made to the system when live trading.


----------



## qldfrog

OK, an interesting week: ASX still in lala land:
System 1 lost 1.3k and down to 16 positions (85% invested) after 4 stop loss triggers.
today DHG was sols at purchase price (-20$ of brokerage)
It is amazing I was still in as it was purchased in November .
I will get back to this and SL  in a separate post
System2 gained $320


----------



## qldfrog

---
system 1
Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $16,318.92
Current portfolio value $119,678.80
Profit $19,678.80
Nb of active positions 16
Nb max position 20
Return since 25/02 19.68%
Annual return so far 21.00%
purchase value per position $5,983.94
Invested percentage 85%
dividends   $            1,387.81
Average per week: 385.8588235


no buy or sell on monday
---
system 2
Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $31,863.70
Current portfolio value $100,766.10
Profit $233.35
Nb of active positions 13
Nb max position 20
Return since 5/08 0.23%
Annual return so far 0.47%
purchase value per position $5,038.31
Invested percentage 67%
dividends   $            1,065.25
Average per week: 8.33375 




3 sells, 9 buys on Monday a bit suspicious


----------



## qldfrog

Stop losses this week
4 SL were triggered resulting in a total loss of $433
All finished the week higher than the SL
Had these not been used, I would have ended $1035 higher....yeap..so is there a lesson there?
Easier in hindsight obviously


----------



## willoneau

I have to put my hand up too as I sold a position in last 10 minutes one cent above my stop. If next week close is above my stop I will re-enter a conditional order at my original entry and remove it if weekly price closes below the stop before being executed.
I do this because the stock could turn around and become a winner I don't know but will be following my strategy.


----------



## qldfrog

I understand you; on system 2 one Sl exit would have been exited on Monday so a small win there

But should I reenter my system 1 SL exited positions? I could, got the cash.It is hard indeed
I think I would feel better if a daily SL was embedded in my weekly system, backtested etc
I tried one where I was selling at sellprice=SL if Low was below SL; but not sure it was backtested very well.
I should probably pursue that idea so that my system design..[and optimised SL] would really remove any urge to meddle with psyche weak urges.
I expect a backtest result hit: all sims I have done so far say: do not use a SL...but this is always obviously tested in benign falls


----------



## willoneau

I can understand your feeling as I hate to see price go below the SL and possibly closing below by quite a bit at times. But I also see price quite often trade below the stop only to close the week above and continue the trend up.


----------



## Newt

Market has been a rollercoaster on Mon and Tue last 2 weeks.  World is end on Mon, then some stocks rocketing up Tue.  Challenging times - there's always something new to experience in the markets.....


----------



## willoneau

A weekly system avoids that rollercoaster, also told not to look at the market during the week until Friday's close.


----------



## peter2

@qldfrog _Gidday, mon ami_. 
I don't like seeing you fiddle with a weekly system or any system that's working as it should (eg. System 1). System 2 needs a bit more work, but again, not while it's working live. 

I do like, that you're investigating your own risk tolerance and psychological biases. It's very likely that a system's maxDD doesn't suit the manager that's running the system. If this is the case here, then you'll fiddle with the system and sabotage its performance in order to "feel" more comfortable running it. 

I know that proper back testing is supposed to sort this out, but the maxDD of -20% doesn't look that big on the back testing report but is huge when your account is down 20%. 

We can do almost anything with the fin markets. You could run system 1 as it should be managed with it's maxDD (-20%) with only 50% of your capital. This will limit the DD to 10% of your account when the system goes through it's maxDD in the future. The other 50% could be in cash, TDs, bonds or a market ETF that can be exited quickly when you get bearish. 

There's an optimum solution for you out there.


----------



## qldfrog

@peter2 , @willoneau 
You are right 
should use this as a lesson,
Remove my SL and maybe reenter exited positions for system1 on the next down day
In term of investment, these 2 systems are not even the majority of my shares invested ones and the remaining ones are ultra bear
Gold bond warrants bboz so i can afford the risk overall
You are right, even adding a daily SL is messing with the system.
And i should focus more on why a share bought in November with basically no price gain today in february has not been eliminated by my stale exit


----------



## qldfrog

All SL removed.will try to reenter  SL positions in the coming week


----------



## qldfrog

Morning news:
System 1:
reentered DHG at $3.8, FWD @$1.95 and BKW @$19.98
My exercise costed me:$60 of brokerage and $574 of differential cost between my SL sell price and the reenter price;
An idiot tax I must admit;
Even if I had been justified and had made a profit, this then fully disconnect my system from any backtest/rerun and so make any comparison much harder.
System2 sold LIC dor a loss of $63 and ZIM for a gain of $128
System bough: AFG, CCP, CNI, ELD, NCK, PSI, OCL and QMS;
I have a deja vu feeling as these same codes keeps popping in and out


----------



## willoneau

Hi qldfrog, so now what wait until close Friday ?


----------



## qldfrog

willoneau said:


> Hi qldfrog, so now what wait until close Friday ?



Just following system as designed without adding SL , and if exit based on friday data, i sell on Monday at open as per the whole of last year


----------



## qldfrog

qldfrog said:


> Just following system as designed without adding SL , and if exit based on friday data, i sell on Monday at open as per the whole of last year



And to be clear, i have always had a SL embedded among the causes for exit, but it is only checked at the EOW so the not so bright idea to try to merge an intraday SL during the week.
Not a good idea


----------



## qldfrog

So so week
System1 $366 gain
Of the 3 shares bought back on Monday to reverse the manual SL of last week:
DHG a bit below BKW a bit higher..both within 1 %
and FWD a gain of $224
the interesting bit : this system will be 1y old in a fortnight and we are nearly breakeven with the XAOA
Two ways to see that: 
one is you would be better investing in an ETF...
or 
You matched the index, covered the losses of your various mistakes and got the same results as the index with lower exposure along the year
I take the later

System2 $233 gain

---
Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $8.81
Current portfolio value $120,045.05
Profit $20,045.05
Nb of active positions 19
Nb max position 20
Return since 25/02 20.05%
Annual return so far 20.96%
purchase value per position $6,002.25
Invested percentage 99%
dividends   $            1,387.81
Average per week: 385.4817308
invested  120,036.24


3 buys proposed, no free cash available to take the opportunities
---
system 2

Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $1,992.27
Current portfolio value $100,989.63
Profit $456.87
Nb of active positions 19
Nb max position 20
Return since 5/08 0.45%
Annual return so far 0.88%
purchase value per position $5,049.48
Invested percentage 97%
dividends   $            1,065.25
Average per week: 15.75413793



5 sells, 6 buys on Monday


----------



## qldfrog

System2 sold AFG, NCK, NEU, OCL, PPC for a total loss inc brokerage of $775
and bought ECX, MIN,MNY, MP1, SCP, WAF with 2 lots undersize as I was missing cash


----------



## qldfrog

System1 loss of $44 (nearly $1k today)
System2 gain of $1931
Important week:
we now have a calendar year of System1
The yearly end result:20.0% and we have had 1.5k of dividends so a bit of franking credit to add;
Not as good as Skate and the other big players but quite happy with my first year return matching the xaoa and with less capital at risk along the way and quite a few human errors/mistakes which will not occur again hopefully
.
I do not take into account any cash interest gained:
Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $8.81
Current portfolio value $120,000.67
Profit $20,000.67
Nb of active positions 19
Nb max position 20
Return since 25/02 20.00%
Annual return so far 20.51%
purchase value per position $6,000.03
Invested percentage 99%
dividends   $            1,575.27
Average per week: 377.3710377
invested  119,991.86



One buy, one sell on Monday

System 2:
Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $5,011.17
Current portfolio value $102,921.58
Profit $2,388.82
Nb of active positions 19
Nb max position 20
Return since 5/08 2.38%
Annual return so far 4.42%
purchase value per position $5,146.08
Invested percentage 94%
dividends   $            1,118.10
Average per week: 79.62733333 

we have some 5k of cash locked with the QMS  shares bought back so might have to wait before being able to reinvest that cash for the last position



One buy, one sell on Monday


----------



## qldfrog

Thinking along and welcoming your inputs:
I currently have 2 systems live: 1 & 2 with #1 first anniversary tomorrow to the day
I am happy with the decent performance of system1 and the learning process and discipline gathered along;
System2 is a system1 improved version under certain market behaviours so not always better but sometime 
I do not have extra cash available for play at the moment:

I am playing with 2 others systems on paper, both better in backtests than these 2  (and this does not include the zigzag grail)
What would you do?
Close slowly one of your running system (slowly, just not investing anymore to let winners go as it took long enough to get these selected, but not investing anymore) and ramp up system 3 or 4?
Have you met such dilemma?
Up to you


----------



## qldfrog

today:
System1 
sold LIC @8.8 for a loss of $93 after brokerage 
and purchased 2620 PSQ @2.036 ( a bit of slippage) for a total of 5345.6
System2
sold PSI @3.1 for a loss of $173.8 after brokerage
and bought 2096 CWY@2.28


----------



## qldfrog

Just a note for historic reason: the note about potential close of a system was done before the big fall today so was not influenced by market conditions as that money would get reinvested anyway

system1  yearly profit went from 20% to 16.5% after today's fall, since Thursday night nearly a quarter of profit evaporated  while system 2 loat 2/3rd of its profits....
:-(

I spent today and the week end reviewing systems and backtesting checking MC etc
A separate hint I want to share:
be aware of this fct:  *LastValue* 
it will trigger a future looking alert if you run the *Tools/Code check and Profile* in amibroker
I use this for various display tricks so think about commenting the function if looking for code future leaks


----------



## qldfrog

a question for AB users:
I was going thru Skate Bolinger bands results and noticed average # bar helds on winners and losers were very small compared to mine, then realised weird figures  on my weekly backtest results
, a share purchased 01/09/18 and sold 01/04/19 was quoted as being held more than 200 bars...actually realised in my results: 1 bar is day whereas Skate bar is as expected a week bar
Has anyone faced that issue, I obviously would like 1 bar= 1 weekly
I use amibroker 6.30.0


----------



## Habakkuk

qldfrog said:


> a question for AB users:
> I was going thru Skate Bolinger bands results and noticed average # bar helds on winners and losers were very small compared to mine, then realised weird figures  on my weekly backtest results
> , a share purchased 01/09/18 and sold 01/04/19 was quoted as being held more than 200 bars...actually realised in my results: 1 bar is day whereas Skate bar is as expected a week bar
> Has anyone faced that issue, I obviously would like 1 bar= 1 weekly
> I use amibroker 6.30.0




I've noticed that too and meant to ask but as I have no experience coding daily systems, it slipped my mind. When I set Periodicity to weekly and look at the backtest results it shows daily bars, e.g. 21 bars = 3 weeks. I'm still on Version 6.20 but I don't think that is it. There may be a setting somewhere.
 Talking of settings, where do you select the day that shows on the weekly chart as Monday or Friday? It was mentioned here not long ago.


----------



## Warr87

I haven't noticed this problem. Are you forcing things into weekly or using the settings set to weekly?


----------



## qldfrog

Warr87 said:


> I haven't noticed this problem. Are you forcing things into weekly or using the settings set to weekly?



both in code:


TimeFrameSet( inWeekly );

and in setting weekly


----------



## qldfrog

Habakkuk said:


> I've noticed that too and meant to ask but as I have no experience coding daily systems, it slipped my mind. When I set Periodicity to weekly and look at the backtest results it shows daily bars, e.g. 21 bars = 3 weeks. I'm still on Version 6.20 but I don't think that is it. There may be a setting somewhere.
> Talking of settings, where do you select the day that shows on the weekly chart as Monday or Friday? It was mentioned here not long ago.


----------



## Warr87

qldfrog said:


> both in code:
> 
> 
> TimeFrameSet( inWeekly );
> 
> and in setting weekly



my initial guess would be if you are forcing sections of the code to be weekly then the report will give you bars based on the settings. but if you have the settings also in weekly then I'm not too sure.

Sorry I'm not much help with this one.


----------



## qldfrog

I can try removing the weekly forced in the code..


----------



## Nina4

qldfrog said:


> I can try removing the weekly forced in the code..




Have you got "Pad and Align all data to reference signal $XAO" Ticked?
Toggling this on/off changes bar numbers in my weekly backtest report.


----------



## qldfrog

Nina4 said:


> Have you got "Pad and Align all data to reference signal $XAO" Ticked?
> Toggling this on/off changes bar numbers in my weekly backtest report.



Interesting, will check!!!


----------



## qldfrog

Nina4 said:


> Have you got "Pad and Align all data to reference signal $XAO" Ticked?
> Toggling this on/off changes bar numbers in my weekly backtest report.



Did not work,, a 6 months holding is listed as 119 bars (roughly the number of open days)


----------



## qldfrog

As this week is quite bad and I do expect more sell than buy on my live systems, I will slowly wind down system2 and start my BBand one on Monday if I have enough liquidity
I will then have 2 different algorithms, not just 2 variations of the same.We will see what happens


----------



## Nina4

qldfrog said:


> Did not work,, a 6 months holding is listed as 119 bars (roughly the number of open days)




Strange. I have Periodicity set to Weekly and nothing in my code other than

if( Interval() != inWeekly )

{
    Title = EncodeColor( colorRed ) + " Weekly Only";
}

if( Interval() == inWeekly )
{
My code.

just as a visual reminder that this is a weekly system.


----------



## qldfrog

Nina4 said:


> Strange. I have Periodicity set to Weekly and nothing in my code other than
> 
> if( Interval() != inWeekly )
> 
> {
> Title = EncodeColor( colorRed ) + " Weekly Only";
> }
> 
> if( Interval() == inWeekly )
> {
> My code.
> 
> just as a visual reminder that this is a weekly system.
> 
> View attachment 100769
> View attachment 100770



Is your second screen shot supposed to be daily?
I have the first settings ,i added the xao reference etc but still show me bars for days and not weeks


----------



## Nina4

qldfrog said:


> Did not work,, a 6 months holding is listed as 119 bars (roughly the number of open days)






qldfrog said:


> Is your second screen shot supposed to be daily?
> I have the first settings ,i added the xao reference etc but still show me bars for days and not weeks




No. This is a weekly only system.
Only showing difference when toggling "Pad" setting.
Ticked = Weekly Bars.
No Tick =  Daily Bars.
ALL other results identical.


----------



## qldfrog

Ohhh my mistake i missed the check box.will try that conf asap once back on the computer


----------



## qldfrog

Nina4 said:


> No. This is a weekly only system.
> Only showing difference when toggling "Pad" setting.
> Ticked = Weekly Bars.
> No Tick =  Daily Bars.
> ALL other results identical.



this work: I assume this is a bug:
if I check the pad and add the xao reference:


but if I remove the Pad option, get the # bars as days not week..does not makesense but it works.


Thanks a lot @Nina4 
I owe you one


----------



## Nina4

qldfrog said:


> this work: I assume this is a bug:
> if I check the pad and add the xao reference:
> View attachment 100800
> 
> but if I remove the Pad option, get the # bars as days not week..does not makesense but it works.
> View attachment 100801
> 
> Thanks a lot @Nina4
> I owe you one




Glad it worked for you.
I haven't delved too deeply into it but I'd guess it's because of data holes.
I don't know who your data supplier is but with Norgate the All Ords index is $XAO
not XAO as you have but as I say I'm not sure who you use.


----------



## qldfrog

Nina4 said:


> Glad it worked for you.
> I haven't delved too deeply into it but I'd guess it's because of data holes.
> I don't know who your data supplier is but with Norgate the All Ords index is $XAO
> not XAO as you have but as I say I'm not sure who you use.





Nina4 said:


> Glad it worked for you.
> I haven't delved too deeply into it but I'd guess it's because of data holes.
> I don't know who your data supplier is but with Norgate the All Ords index is $XAO
> not XAO as you have but as I say I'm not sure who you use.



I use Premium data and it seems to work with XAO
the trouble is that once "Pad" checked, I get significant differences in back-test results, my understanding is that padding will fill gaps in data with existing nearby data which then change the trigger results.
And if I do not, for whatever reason, the # tags is wrong and reflected in days not weeks


----------



## qldfrog

OK, let's look at the scary figures:
System1 loss of $11923 around 10%
fared worse than the xaoa this week:

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $21.21
Current portfolio value $108,077.23
Profit $8,077.23
Nb of active positions 19
Nb max position 20
Return since 25/02 8.08%
Annual return so far 8.12%
purchase value per position $5,403.86
Invested percentage 99%
dividends   $            1,575.27
Average per week: 149.5783333



System 2:
loss of 15k or 15%
Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $5,030.79
Current portfolio value $94,060.44
Profit -$6,472.32
Nb of active positions 19
Nb max position 20
Return since 5/08 -6.44%
Annual return so far -11.58%
purchase value per position $4,703.02
Invested percentage 93%
dividends   $            1,118.10
Average per week: -208.7843548 





What a bloodbath....between the 2 systems I am hardly positive after a year  let's see what the system tell me for next week, as discussed previously I will wind down system2 and ramp up a new system 3 based on tweak on bollinger bands


----------



## qldfrog

On Monday:

system1: no buy, 5 sells only on next open.

system2: 4 buys that I will not act on as I wind down that system:

8 sells on open.

System 3: one buy only


----------



## qldfrog

Blood on the dance floor.
Had to chase down sells do not like it.
Most completed.one pending.and my one and only buy for system3 start completed
On the discretionary side
 Sold a few bboz and bought gor and etpmag for my non system portfolio


----------



## willoneau

qldfrog said:


> Blood on the dance floor.
> Had to chase down sells do not like it.
> Most completed.one pending.and my one and only buy for system3 start completed
> On the discretionary side
> Sold a few bboz and bought gor and etpmag for my non system portfolio



I don't like chasing sell order too, being a weekly system I decided to leave sell orders alone and see were my positions are before close on Friday if still not closed will manually close my positions before end of day. Any thoughts as I am aware can be lower by Friday but am aware Monday can be extreme.


----------



## qldfrog

willoneau said:


> I don't like chasing sell order too, being a weekly system I decided to leave sell orders alone and see were my positions are before close on Friday if still not closed will manually close my positions before end of day. Any thoughts as I am aware can be lower by Friday but am aware Monday can be extreme.



I am of 2 minds, you sell you sell but as you say, there are most chances we will see a rebound which could reach the original sell price.as system 2 is winding down, i have been a bit more aggressive
I am fully aware that couple of hundreds are lost on each parcels that way..
No one can predict the future.if it is the Big crash, then will be happy to only loose 20pc on these, if not i have to forget it quickly


----------



## qldfrog

With this in mind, i will try to report the difference between open and actual sell tonight


----------



## willoneau

I think choosing Monday for weekly system to open or close positions might not be the best as the US markets haven't opened. But I am unable to back test different days that I know of anyway.


----------



## qldfrog

willoneau said:


> I think choosing Monday for weekly system to open or close positions might not be the best as the US markets haven't opened. But I am unable to back test different days that I know of anyway.



You can in amibroker
I try to compare results in the past of a same system with weekly based on all day of week start..
I could not see any difference.
So monday is easier as whole weekend to get ready.
There was no edge i could find changing the week start day


----------



## willoneau

Thanx qildfrog, I will have to go look again .


----------



## qldfrog

willoneau said:


> Thanx qildfrog, I will have to go look again .



In the settings you can decide where to decide to start the week compression.as i said, would be interested if you find any consistent edge


----------



## qldfrog

I will add the screen shot when back on the computer


----------



## Warr87

willoneau said:


> I don't like chasing sell order too, being a weekly system I decided to leave sell orders alone and see were my positions are before close on Friday if still not closed will manually close my positions before end of day. Any thoughts as I am aware can be lower by Friday but am aware Monday can be extreme.




I left my orders as 'good til canceled'. I will review during the week, but I would be surprised if at some point my price wasn't hit. I noticed a lot of orders sitting at Friday's close price. This will likely add some resistance to the price movement and I can only hope there is someone will to absorb these parcels.


----------



## qldfrog

OK, let's start please find here the list of sells for system 1 and 2, the open and close as well as I initial sell limit and the final sell (after chasing)
Chasing was not catastrophic, I managed some ok results still negative but not that bad some of the sell at open did not go thru even if my limit should have been ok..rounding, bad luck and timing




and before going into more details:
@willoneau 
To choose the day to be used as the *first day* of the *week*, we need to go to File->Database Settings->Intraday Settings and choose the appropriate day in “*First day of week*” field



Hope it helps


----------



## qldfrog

as for @qldfrog  disaster weeks:
a BBand based System 3 starts today and buy AUB: 316@$13.84 

For the rest iit is sell sell sell..
System1 sold:
DHG @ 3.07 for a loss of -1078.5 -19.54%
EML @3.49 for a loss of -1929.18 -34.57%
FWD @ 1.745 for a loss of -553.615 -10.89%
PWH @ 4.2 for a loss of -596.4 -11.96%
UOS @ 0.78 for a loss of -649.2 -11.70%

System2 sold
CCP @32.186 for a loss of -625.744 -12.95% 
CIP @ 3.44 for a loss of -340.4 -6.91% 
CWY @ 2.25 for a loss of -82.88 -1.73% 
DTL @3.88 10 6298.88 1589.74 33.76% 
ECX @ 1.41 for a loss of -996.74 -20.94% 
LYL @ 5 for a loss of -992 -19.71% 
MIN @ 16.08 for a loss of -696.775 -14.65% 
MP1 @9.85 for a loss of -858.5 -18.30% 
RUL @ 0.91 for a loss of -936.02 -19.12% 

At the end of today:
system1 made a profit of $5,849.67since inception (1 y)
and system 2 made a loss of -$9,179.76 since august 2019 I am in the red..thanks god for BBOZ and my gold/bonds


----------



## myrtie100

I feel your pain frog - I crystalised many losses yesterday too on my weekly system - ouch!

But I'm feeling enthusiastic to have plenty of cash now ready for purchasing the next potential winners.


----------



## willoneau

I was able to close the rest of my sell orders as per weekly system today.


----------



## qldfrog

Good for you.Save a few hundredsAs long as past experience is not taken as indicative of future.
Crashes do happen.a Tuesday start week would have been great this time


----------



## myrtie100

qldfrog said:


> Good for you.Save a few hundredsAs long as past experience is not taken as indicative of future.
> Crashes do happen.a Tuesday start week would have been great this time




Yeah!
This time round......
(the Tuesday start bit)


----------



## willoneau

qldfrog said:


> Good for you.Save a few hundredsAs long as past experience is not taken as indicative of future.
> Crashes do happen.a Tuesday start week would have been great this time



I had put my orders in on Monday and left them in until filled today.


----------



## willoneau

Are we going to see more of these sudden moves with automated systems being used a lot more?


----------



## willoneau

I did read the 87 crash was such that price opened way lower and no type of stop would have helped.


----------



## willoneau

Systems automatically use the open when back testing, how do you keep your system close to that if unable to be around at open or if it moves away too quickly to be filled?


----------



## qldfrog

Indeed SL work well in theory but when daily trading i often got bypassed by fast falling prices


----------



## qldfrog

Day trading as daily system..not a great success for me..


----------



## willoneau

Skate uses pre-open and 3% limit, I wonder how he faired?


----------



## willoneau

qldfrog said:


> Day trading as daily system..not a great success for me..



I too have found daily too hard with so much noise.


----------



## qldfrog

willoneau said:


> Systems automatically use the open when back testing, how do you keep your system close to that if unable to be around at open or if it moves away too quickly to be filled?



That's part of the chase or difference between real world and backtest
Not too much of a trouble usually if you give yourself a 2 to 3 pc margin for safety but not good enough for crashes


----------



## willoneau

qldfrog said:


> Indeed SL work well in theory but when daily trading i often got bypassed by fast falling prices



how much of a limit were you using?


----------



## willoneau

qldfrog said:


> That's part of the chase or difference between real world and backtest
> Not too much of a trouble usually if you give yourself a 2 to 3 pc margin for safety but not good enough for crashes



So do you use say a 3% limit on close price ?


----------



## qldfrog

willoneau said:


> So do you use say a 3% limit on close price ?



Yes something like that.but will fails on times like yesterday....
But in usual day to day, pretty reliable


----------



## qldfrog

willoneau said:


> how much of a limit were you using?



Not really relevant , was 8 to 20ish percent from history high so by the time they triggered, they could be far or near open price...i hope i am clear?not confusing you..


----------



## willoneau

Am thinking that using a entry/exit limit of say 3% would theoretically reduce results compaired to backtest of 6%.


----------



## qldfrog

yes


willoneau said:


> Am thinking that using a entry/exit limit of say 3% would theoretically reduce results compaired to backtest of 6%.



, in the real world I do not have 6% slippage vs open, most of times it is open price unless I need to get cash and then order my buys chronologically after my sell;
in any case, not much of an impact vs backtest


----------



## myrtie100

Monday morning was a bit hectic for my manual system - I had 16 sells and 8 buys, but the buys needed to wait for the funds from the sells 

My systems says sell at the opening price, so that is what I intended to do.
I had loaded all my sell orders in on Friday, closing price less 3%.
But realizing that the market would gap on open on Monday - I set the alarm for 6am (I'm in Perth)
and went about monitoring all the indicative prices in alphabetical order and adjusted any I needed to.
It was a bit repetative, but it worked and I got all the opening prices.
For the buys I had them all ready to go in separate windows, so that was just a matter of pressing a button once the sell funds had hit my account.

And of course, in hindsight - I would have been better off leaving the orders alone and waiting for the bounce. Except that the bounce may not have happened.

Not to mention my rules are my rules.....


----------



## qldfrog

I think this is the way to go


----------



## willoneau

Since I have a job I am unable to see the open so I think adding a % to the limit conditional order is the way to go for me. Both on the buy and sell order as I also have conditional buy orders.


----------



## qldfrog

willoneau said:


> Since I have a job I am unable to see the open so I think adding a % to the limit conditional order is the way to go for me. Both on the buy and sell order as I also have conditional buy orders.



Nice solution indeed, some brokers allow time or volume based condition.great way to bypass the issue


----------



## willoneau

I would be interested to know how Skate gets in on pre- open as I have looked on Commsec but am unable to realize how to do it or if it is even possible.


----------



## qldfrog

willoneau said:


> I would be interested to know how Skate gets in on pre- open as I have looked on Commsec but am unable to realize how to do it or if it is even possible.



I am sure @Skate will be happy to help.i only deal with comsec for my us portfolio and a few long term investment so can not help...


----------



## Skate

willoneau said:


> I would be interested to know how Skate gets in on pre- open as I have looked on Commsec but am unable to realize how to do it or if it is even possible.




@willoneau as @qldfrog has said, I’m happy to help .

*Pre-auction*
I place my orders in the pre-auction to secure the opening price. The value weighted average price (vwap) is used to determine the opening price & is displayed for each security in question “well before the opening” of trade. I have made many posts on the subject & I have listed a few hyperlinks below. Please don’t speed read them.

*Have a read here: *
https://www.aussiestockforums.com/posts/1041996/ & here https://www.aussiestockforums.com/posts/1029737/ & here https://www.aussiestockforums.com/posts/1041230/ & here https://www.aussiestockforums.com/posts/1041166/ & here https://www.aussiestockforums.com/posts/1030873/ will give you an idea how I enter & exit a position using the 3% premium/discount rule.

@myrtie100 also gave you a great suggestion how to enter a fading price “when a 3% discount won’t cut it”. Under difficult trading periods you have to be competitive in the opening auction as proven from the experience of this week.

Skate.


----------



## lusk

Bit harder to do with so many positions to exit at once.
My method might be similar to skates.

I wait till less than 5 minutes before open, look at estimate open price and volume ahead and insert
your sell order just lower than the estimated open price, you should be able to get the opening price.
Once you decide your out the first price is the best price.


----------



## willoneau

Skate said:


> I place my orders in the pre-auction to secure the opening price.



I remember you saying you use Commsec but I am unable to find were to place my orders in the pre-auction?


----------



## qldfrog

lusk said:


> Once you decide your out the first price is the best price



Just to emphasise: there is both a mental and a system benefit there.
Worth the few hundreds you may win if your gamble is successful in my opinion


----------



## Skate

willoneau said:


> I remember you saying you use Commsec but I am unable to find were to place my orders in the pre-auction?




*Place your orders as normal*
Just place your buy/sell orders as normal but place the orders outside of the normal trading hours. Place your trades before the opening of the next trading period & after the closing period of the current day (Place orders between 4:15pm (after the market closes) & before 9:45am before the markets open)

*Price Limit*
Place your "PRICE LIMIT" +/- 3% of the last closing price (for me, this calculation is done via the .afl code & displayed in the Exploration analysis below) meaning, there is no reaching for the calculator to work out the buy or sell offer in the pre-auction, the report even displays the quantity of shares to purchase at that price.









Hope this helps..

Skate.


----------



## willoneau

thanx Skate.


----------



## willoneau

I used to watch the pre-open trading on the SPI to determine opening price and thought you actually were filled before the open.


----------



## qldfrog

Helping to compare code results to benchmark:
As I am now into fine tuning etc of code and with the whole set of comparisons now available, it was taking me* far too much time* to backtest against each period of interest after manually entering the start/end date
So I created a java script using template apx files for each period of interest and able to run 7 backtests (more if you want) for a given code
If you are interested, PM me and I will send you the script.It could probably be improved more sophisticated but it works


----------



## qldfrog

another volatile week while the virus moves closer to home and is now IMHOwell uncontrolled here.
Economic effects starting to show.
as for my systems: sadly the system 2 I am trying to close fared much better than the one I want to keep...Maybe system 2 was just starting to show its benefit anyway BBand system 3 is started and showed a modest 22$ loss
System 1 lost a massive $       4,769.90while system2 gained  $4,550.24..not too bad overall unless I did mess up in my spreadsheet:
System 1:
Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $21,936.27
Current portfolio value $103,307.33
Profit $3,307.33
Nb of active positions 14
Nb max position 20
Return since 25/02 3.31%
Annual return so far 3.25%
purchase value per position $5,165.37
Invested percentage 77%
dividends   $            1,575.27



System 2:
Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $44,477.45
Current portfolio value $92,461.80
Profit -$8,070.96
Nb of active positions 10
Nb max position 20
Return since 5/08 -8.03%
Annual return so far -13.89%
purchase value per position $4,623.09
Invested percentage 51%
dividends   $            1,118.10 



Actions on Monday:
system 1;
1 sell
maybe more as I refine my system based on this week work..will see;
System 2:
One sell, 2 buys I do not activate as I am winding down the system 2
maybe more as I refine my system based on this week work..will see;


----------



## qldfrog

what a bloodbath: 
never seen anything like this even my gold miners got decimated today

System1 sold:
AFG @2.19 for a loss of $    1,395.98 (25% loss)
BKW @16.04 for a loss of $    1,142.90 (20% loss)
System 1 ends in negative after a year: a loss $2K  (nearly 5.5k lost today)
imagine the money I would have saved keeping my out of system SL.... luckily I removed them but moved ultra conservative and short with other assets

System2: sold
PRU @$1.100 for a gain of 538.36
MNY  @$2.140 for a loss of 1017.5 
system2 which is winding down has a loss of nearly 10k inc 2k lost today

System 3 BBand is just starting and has bought CNU today and just has a loss of $172 by tonight so not too bad for start now...


----------



## willoneau

I feel the pain watching my portfolio go negative as i keep closing positions as per system. No buys this week and will close any positions that I need to at Fridays close.


----------



## qldfrog

ok another terrible week, I will work on the exit code this week end so that this does not happen again 
The only plus: I beat the XAOA so I assume I would beat any linked ETF
:-{
System 1: loss of 9.2%: $       9,586.11 
at a loss since start of system

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $30,731.89
Current portfolio value $93,721.22
Profit -$6,278.78
Nb of active positions 12
Nb max position 20
Return since 25/02 -6.28%
Annual return so far -6.06%
purchase value per position $4,686.06
Invested percentage 66%
dividends   $            1,575.27


I expect many out on Monday but will refine

System 2 unwinding: loss of 3.7%
-$            3,444.98 
Start 5/08/2019
Total invested   $        100,532.76
Cash remaining $54,832.27
Current portfolio value $89,016.82
Profit -$11,515.94
Nb of active positions 8
Nb max position 20
Return since 5/08 -11.45%
Annual return so far -19.18%
purchase value per position $4,450.84
Invested percentage 37%
dividends   $            1,118.10


System 3:
ramping up :
Start 2/03/2020
Total invested   $          90,000.00
Cash remaining  $          81,280.81
Current portfolio value  $          89,238.18
Profit -$761.82
Nb of active positions 2
Nb max position 20
Return since 2/3 -0.85%
Annual return so far -28.09%
purchase value per position $4,461.91
Invested percentage 9%
dividends   $     
Beating xaoa flat    just a timing issue.....             


no buy, 1 sell


----------



## qldfrog

By monday if all goes to plan, i will have closed my system 2, have just one parcel in my new system, and system one will be very lean.
I worked today and obviously added our recent collapse period among my backtest suite.
My cam system1 is very sub optimal vs the improved Cam i played with lately and i will switch system1 code to ensure a transition to that improved code.
The drawback is that comparison will be hard to do with what will be a bastardy position in the first months
 With few positions left, it is the opportunity to switch
The obvious drawback is that it will start with lower capital than a year ago


----------



## qldfrog

Sold most of what was left, what a bloodbath
one sell I can not do ..if I set the limit to asking price, my order is refused, even at market does not go..WTF
so unable to sell whatever I do 
SOM asking 2.15  and BD can not let me sell it at that price...weird..only one like that
I will take a few days drive tour in the outback to resource and will do the assessment when back mid week or so.
Need a break before roads get blocked


----------



## qldfrog

from BD:
Please be advised that your amendment on order 7078009 to Sell 1723 SOM @ Limit $2.150 has been rejected by our trading operations team for the following reason: ASX will not allow price to be amended down to $2.15.


----------



## myrtie100

Selfwealth jammed up too frog.  Massive delay in amending orders and no way of changing or cancelling either - I just had to wait until the thing changed!
I guess, an event like this will bring out the faults in all the different brokers.


----------



## qldfrog

Why prevent a fall from 2.31..last trade to 2.15..not exactly the end of the world...
And not sure we have access to the formula allowed/algo used
I can go down to 2.18..
Bd Bd hand ok this morning, dlower but was able to chase s lot of sell order down.will see if it was a good idea..a sense of relief any way.sky is blue..on the road again


----------



## qldfrog

Back in the cockpit, the road trip was great..and now counting the losses:
System 2:
On monday system2 was completely closed as per the system requests..finally 
Holding the last week costed me 9k
Final tally is pathetic:

Start * 5/08/2019 *
Total invested   $        100,532.76
Cash remaining $45,351.34
final portfolio value $79,523.21
Profit *-$21,009.55*
Nb of active positions 0
Nb max position 20
Return since 5/08 *-20.90% *
Annual return so far -34.05%
closed *16/03/2020* 



a loss of 21%...The hard $costs of learning..and unlucky start..
System 2 will stop and will be merged with system1 code into a single CAM system ready to go now 
System1 analysis in next post


----------



## qldfrog

System1 , my more mature one:
lost -$ 3,365.48 before being fully in cash except for SOM which is in trading halt so can not be sold...
once this is liquidated, we will be over and rebirth system1 as my newCAM system;
this exercise has been costly but was a bit more lucky with its start date; a 1/1/19 start would have been in profit..

Start 25/02/2019
Total invested   $        100,000.00
Cash remaining $84,682.11
Current portfolio value $90,355.74
Profit -$9,644.26
Nb of active positions 1
Nb max position 20
Return since 25/02 -9.64%
Annual return so far -9.17%
purchase value per position $4,517.79
Invested percentage 5%
dividends   $            1,575.27
Average per week: -172.2189286
invested  5,673.63 


So we end up with a 9.6k loss quite good considering the circumstance and this was my first system;
Hopefully more successful with the phoenix version, I will name my CAM rebirth...the phoenix 
My new BBand system sold AUB for a loss of $635


----------



## qldfrog

Ok
Hard to do trending in such a market indeed
Phoenix restarts..will carry on the SOM loss making legacy until I can exit it;
*Phoenix*: 
Start 20/03/2020
Total invested   $          90,000.00
Cash remaining  $          84,393.50
Current portfolio value $87,837.50
Profit -$2,162.50
Nb of active positions 1
Nb max position 20
Return since 20/03/2020 -2.40%
Annual return so far 
purchase value per position $4,391.88
Invested percentage 4%




One buy on Monday...

*BBand*: 
no action on Monday
Start 2/03/2020
Total invested   $          90,000.00
Cash remaining  $          85,028.57
Current portfolio value  $          88,737.22
Profit -$            1,262.78
Nb of active positions 1
Nb max position 20
Return since 2/3 -1.40%
Annual return so far -28.45%
purchase value per position $4,436.86
Invested percentage 4%


----------



## qldfrog

Spent weekend reviewing "adding daily SL to my weekly systems".
.that does not beat agood exit so we are starting again with 2 weekly systems:
BBand 
and Phoenix (CAM inspired)
One buy for the Phoenix system this morning: MTS at $3.12 added to the still under trading halt SOM;
BBand still with 1 parcel CNU
Is it worthwhile to carry on these weekly reports?I am obviously keeping a weekly journal but are people interesting about starting 2 new systems in this tumultuous period?


----------



## qldfrog

SOM sold at 1.1 this week and got rights at the 80ish per share CR...
Anyway, can now really start Phoenix
Worked on the Zero Lag indicators and trying to improve my systems with a version I got from AB implementations.more work
This week was a good week systems wise:
gain $772 on BBand
Start 2/03/2020
Total invested  $90,675.42
Cash remaining $85,703.99
Current portfolio value  $          89,509.44
Profit -$            1,165.98
Nb of active positions 1
Nb max position 20
Return since 2/3 -1.29%
Annual return so far -18.77%
purchase value per position $4,475.47
Invested percentage 4%
dividends   $                     -   
Average per week: -233.196


no action on Monday
and 
gain $1406 on Phoenix
Start 20/03/2020
Total invested   $          89,267.72
Cash remaining  $          85,036.28
Current portfolio value  $          89,244.11
Profit -$23.61
Nb of active positions 2
Nb max position 20
Return since 20/03/2020 -0.03%
Annual return so far -1.38%
purchase value per position $4,462.21
Invested percentage 5%
dividends   $                     -   
Average per week: -23.61
invested  4,207.83


no buy one sell


----------



## Newt

GOLD.au is the only ticker in the entire ASX universe my system is showing any interest in right now. Going to take a while for things to bottom, settle, start to trend etc before any decent signals.  
Plenty of time to catch up on hobbies and around the house though...!


----------



## qldfrog

probably not a bad idea @Newt if you do not hold some already


----------



## qldfrog

This morning sold MTS at open @3.10 a loss of $47
BBand  only with CNU
No buy today for either system


----------



## qldfrog

Mo action monday:
Phoenix cam fully cash  now;
I removed the effect of the SOM from previous CAM system, started anew on the 20/03
Phoenix
Start 20/03/2020
Total invested   $          89,267.72
Cash remaining  $          89,222.64
Current portfolio value  $          89,222.64
Profit -$45.08
Nb of active positions 2
Nb max position 20
Return since 20/03/2020 -0.05%
Annual return so far -1.42%
purchase value per position $4,461.13
Invested percentage 0%
dividends   $                     -  
Average per week: -11.27
invested  0.00

More interesting
BBand
gain of $235 for CNU
Start 2/03/2020
Total invested  $91,498.02
Cash remaining $86,475.20
Current portfolio value $90,516.60
Profit -$               981.42
Nb of active positions 1
Nb max position 20
Return since 2/3 -1.07%
Annual return so far -12.63%
purchase value per position $4,525.83
Invested percentage 4%
dividends   $                     -  
Average per week: -163.5701667
curve was wrong due to excel spreadsheet error before


----------



## Newt

Are you investing real money QF, or paper trading these 2 currently?


----------



## qldfrog

Real dollars but currently only $4.5k in CNU with 200$ paper loss on that packet
In backtests, i do not see convincing argument on either system to be completely out  based on index trend so while not adding lately, no exit yet


Newt said:


> Are you investing real money QF, or paper trading these 2 currently?



A


----------



## qldfrog

Happy Easter everyone;
plenty of good quality time available with the self isolation we have chosen to be;
So worked on my system: Phoenix v2 is quite impressive in backtests.
Still no purchase this week;so fully cash

BBand:I worked a lot on Zero Lag (well nearly  ) code and the resulting code is both better overall than my BBand one, much more dynamic (but still weekly) and as BBand has only one entry I will replace it by my new  ZLextrav2 system..I will absorb the CNU purchase from BBand as it is selected as well;
I still have a bit of a code issue as the Explore buy/sell does not match the graphic display so will sort that before passing orders


----------



## qldfrog

yesterday's activity on open:
Phoenix:
Buy NXT and EVN:I had to chase EVN not good as it jumped above my buy price at the open..do not like that but..
NXT was a trigger last week with this latest better version of Phoenix, I thought what the hell however rotten that company might be..
ZLextra:
sold CNU at loss of $500, bought DDR,MTS and SLR..had to chase SLR to get it as well;
it seems the open yesterday was strong on gold and silver plays
Both ended higher by end of day but small consolation

There was a lot of talk about @ducati916 different approach in @Skate Dump it thread and with the free time allowed, I worked on this yesterday. Looked promising.This might lead to another system one day..early work so far
Will keep you posted....


----------



## qldfrog

End of week
Phoenix:
loss of $171 this week from EVN that I had to chase to enter
Start 20/03/2020
Total invested   $          89,267.72
Cash remaining  $          80,223.19
Current portfolio value  $          88,978.08
Profit -$               289.64
Nb of active positions 2
Nb max position 20
Return since 20/03/2020 -0.32%
Annual return so far -4.39%
purchase value per position $4,448.90
Invested percentage 10%


One buy on Monday

ZLextra:
gain of $445

Start 2/03/2020 restart on 20/03 but taking initial BBand system losses started 2/03
Total invested  $91,498.02
Cash remaining $76,966.41
Current portfolio value $90,816.99
Profit -$               681.03
Nb of active positions 3
Nb max position 20
Return since 2/3 -0.74%
Annual return so far -10.06%
purchase value per position $4,540.85
Invested percentage 15%
dividends   $                59.06
Average per week: -170.2575


9 buys on Monday...


----------



## qldfrog

Today Phoenix bought A2M @ 18.91, 
ZLextra bought:
AHY @1.075
AQG @6.8
CNU @6.7
COL @16.43
JLG @2.5
JMS @0.25
NST @ 12.29
WAF @ 0.525
WGX @2


----------



## qldfrog

a warning to all amibroker users:
I was using an index (XAO) to determine system indicators and conditionally exit, reduce risks, etc
I just discovered my code was actually failing, seemlessly failing and so using the index computation on the shares, giving me a king of OK but wrong behaviour;
not faulty enough to be easily noticed (as major index fall/rises are mostly represented in individual shares) but definitively not right nor what I intended to do

This works:
  //we want to exit quickly on quick xao market down
indicative values only
*SetForeign( "XAO" );*
    GTFO=((H-L)/H)>0.05;
*RestorePriceArrays();
*
This does *NOT* work:
_SetForeign( "^XAO" );
GTFO=   ((H-L)/H)>0.05;
RestorePriceArrays( True );_

Hope it helps, now back to the code to refine the parameters for index and not actually for the ticket...


----------



## Skate

qldfrog said:


> a warning to all amibroker users: I was using an index (XAO) to determine system indicators and conditionally exit, reduce risks, etc
> I just discovered my code was giving me wrong behaviour; not faulty enough to be easily noticed




*Addendum for Norgate Data users*
Heads Up - about 18 months ago Norgate made the .AU suffix mandatory for all new subscribers of Australian data to avoid support issues. Older subscribers don't have a suffix & changing subscriptions can also raise an issue without you noticing the change in data format. 

1. Old Subscribers to NDU = $XAO (old data feed format)
2. New Subscribers to NDU  = $XAO.au (new data feed format)

*Pad & Align*
Make sure the correct data format matches

Skate.


----------



## qldfrog

Skate said:


> *Addendum for Norgate Data users*
> Heads Up - about 18 months ago Norgate made the .AU suffix mandatory for all new subscribers of Australian data to avoid support issues. Older subscribers don't have a suffix & changing subscriptions can also raise an issue without you noticing the change in data format.
> 
> 1. Old Subscribers to NDU = $XAO (old data feed format)
> 2. New Subscribers to NDU  = $XAO.au (new data feed format)
> 
> *Pad & Align*
> Make sure the correct data format matches
> 
> Skate.



Are you sure about the $XAO???
in my list of tickers, I have XAO, not $XAO
I used this $XAO forever 
then noticed that if I was to  replace $XAO by utter garbage $XAISSSS:there was no change in a backtest!!!
BUT there was a significant difference if replacing by XAO (no $ and this is a ticker I can display)
Just in case you have been using wrong $ as I did for a while in the past.
I use Premium Data 3.10.3


----------



## Skate

qldfrog said:


> Are you sure about the $XAO??? I use Premium Data 3.10.3




*You are correct  *
@qldfrog as you are using Premium Data, "Norgate's old legacy format" (MetaStock format) you are using the correct format for the All Ordinaries "XAO".

*Correction*
I was referring to "Norgate Data Users" not "Premium Data Users"
*


Skate said:



			Addendum for Norgate Data users
		
Click to expand...


The problem with a bit of history*
If you subscribed to (NDU) both Australian + US stocks originally you would have had a .AU suffix. If you were an Australian-only subscriber then there would be no .AU suffix. This optional suffix arrangement resulted in causing an issue, especially when a AU+US subscriber dropped a US subscription then all of their Australian stocks lost their suffix. It broke various watchlists that had been created, it also broke the formulas that were relying on a suffix being present. So to overcome this problem about 18 months ago Norgate made the .AU suffix mandatory for all new subscribers of Australian data to avoid the confusion.

*Using Norgate Data (NDU) instead of Premium Data *
With AmiBroker significantly-enhanced capabilities Norgate Data (NDU) capitalises on this by adding additional features well beyond those in Premium Data, so it pays to migrate over.

*There is a catch *(with regards to historical data)
There is one very important difference, with my original Premium Data I purchased historical data separately. NDU works as a subscription-only model and historical data cannot be purchased separately. The historical data is in the old legacy format (MetaStock format) meaning, they are not compatible.

Skate.


----------



## qldfrog

Skate said:


> *You are correct  *
> @qldfrog as you are using Premium Data, "Norgate's old legacy format" (MetaStock format) you are using the correct format for the All Ordinaries "XAO".
> 
> *Correction*
> I was referring to "Norgate Data Users" not "Premium Data Users"
> *
> The problem with a bit of history*
> If you subscribed to (NDU) both Australian + US stocks originally you would have had a .AU suffix. If you were an Australian-only subscriber then there would be no .AU suffix. This optional suffix arrangement resulted in causing an issue, especially when a AU+US subscriber dropped a US subscription then all of their Australian stocks lost their suffix. It broke various watchlists that had been created, it also broke the formulas that were relying on a suffix being present. So to overcome this problem about 18 months ago Norgate made the .AU suffix mandatory for all new subscribers of Australian data to avoid the confusion.
> 
> *Using Norgate Data (NDU) instead of Premium Data *
> With AmiBroker significantly-enhanced capabilities Norgate Data (NDU) capitalises on this by adding additional features well beyond those in Premium Data, so it pays to migrate over.
> 
> *There is a catch *(with regards to historical data)
> There is one very important difference, with my original Premium Data I purchased historical data separately. NDU works as a subscription-only model and historical data cannot be purchased separately. The historical data is in the old legacy format (MetaStock format) meaning, they are not compatible.
> 
> Skate.



Thanks for the precision as my subscription renewal time approaches and I am using the data much more, I might bite the bullet and upgrade? to NDU


----------



## jjbinks

qldfrog said:


> Thanks for the precision as my subscription renewal time approaches and I am using the data much more, I might bite the bullet and upgrade? to NDU



You will still have access to your old premium data.
Maybe back up the most recent premium data updater before u switch


----------



## qldfrog

jjbinks said:


> You will still have access to your old premium data.
> Maybe back up the most recent premium data updater before u switch



@jjbinks : is it worthwhile in your opinion, I understand the access to historical data but any other advantages?


----------



## jjbinks

For me main advantage was historical data.
Also norgate data can be linked witn Python. Still a work in progress for me with python


----------



## qldfrog

I completed major system rework yesterday, refining GTFO test of a pretty decent Duc inspired 3rd systems etc;
The result was that the 2 existing reworked system where still out after the crash.
If I want to follow a system, better follow it, and this work has definitively improved the current systems.
I decided to reset and sold all shares purchased under the older systems in the last 2/3 weeks
Phoenix is reset with a $70 loss inc brokerage;
While ZLextra is in profit of $1031 after brokerage.
This gives me an extra 2 days to make sure my current code is robust, and having it double checked as well;
Thanks you know who!!!;
So we are back to fully cash portfolios:
Phoenix @$89k
ZLextra: @$91.2k
As a timely reminder, were at 100 and 100.5 in February when we started last year so we lost a raw  20k (10%)  from our capital in that crash ;
Not too bad even if we actually lost some of our paper profits as well.
Disclaimer, these are not my only investment but I think it is worthwhile putting things in perspective


----------



## qldfrog

May here we are, the month when we should just stay put.
System wise, I have 3 systems: 
a QFDuc inspired by some of @ducati916 comments, it has nothing to do with @Skate efforts, I have had no insider knowledge or even bibliographic , theory etc base
was just triggered into trying to leverage *volatility , volume and price* into a system;
It is relatively highly responsive and has results quite divergents from my other systems, can be profitable when other are not etc.
ZL extra based on Ehler ZeroLag plus own sauce:interesting
And Phoenix, the grandson of @Skate Cam based idea after many generations and tweak
The trusted old truck with less than stellar performance
I had a talk with Mrs QldFrog and compared various behaviours as seen in backtest, and we reached a consensus:
I will only run 2 weekly systems and I have eliminated phoenix.
Exciting road ahead as I will run from now on both ZLextra and QFDuc
I am sure the code will be updated as time goes but these are the new seeds
Both starting from 90k portfolio and started 01/05/2020


----------



## Warr87

good luck mate. i'll be watching intently.


----------



## qldfrog

what's on Monday?
QFDuc has 4 buys
ZLextra 3 buys
For info Phoenix has 7 buy: one shared with ZL, 2 with ZL
I do not feel especially good with the market so will check these buys against a daily system just to get a better feel


----------



## qldfrog

QFDuc purchased:
FPH 167 @$26.26
GSW 5844 @$0.76
SAR 1050 @$4.19
TNE 466 @$9.51 

ZLextra bought:
AHY 4347 @$1.04
DHG  1724 @ $2.52
DMP  79 @ $55.05 
nice surge on GSW after the purchase, a good start
my daily toddler system did not engage yet
Have a great week


----------



## qldfrog

End of a week which was OK:
Both overtaken  by XAOA but these are just starting to be invested


ZLExtra started 1/05/2020
Total invested  $90,000.00
Cash remaining $76,777.43
Current portfolio value $90,653.01
Profit  $               653.01
Nb of active positions 3
Nb max position 20
Return since start 0.73%
Annual return so far 37.83%
purchase value per position $4,532.65
Invested percentage 15%
On Monday-> buy 9
and 
QFDuc started 1/05/2020
Total invested   $          90,009.85
Cash remaining  $          72,311.83
Current portfolio value  $          91,108.93
Profit  $            1,099.08
Nb of active positions 4
Nb max position 20
Return since start 1.22%
Annual return so far 63.67%
purchase value per position $4,555.45
Invested percentage 21%
dividends   $                     -   
Average per week: 549.54
invested  18,797.10
On Monday-> sell 2, buy 12


----------



## qldfrog

now I want to put a small story about my daily system, 
which has been a fail and back to the draw-board.
Luckily not a major  financial hit but nevertheless a fail:
I worked for a while on the idea that in times like now, weekly systems are too slow to react to volatile conditions.
SO with time on my side, let's go daily;

I design, back-test, confirm an edge, then here I go:

this week: first trades for Buy on Tuesday, 
Wednesday hum weird, that explore list does not seem to match yesterday one, 
Thursday, yeap it is confirmed there is "repainting"
running replays in the past does not give the same signal than initially received..a sure sign of future looking code
Nothing wrong in itself, but uncheckable-> no backtest is meaningful
I did the code check before going live, have the shift by one day for buy/sell  but definitively not right
today was the great unwinding:
6 positions still active, paper loss of $700 on these at market close and profit of $200 for liquidated positions, [including brokerage] so not a disaster but still a disappointment
I hopefully will find the flaw this week end to restart anew on Monday


----------



## qldfrog

today: 20 trades for @Skate's experiment
Then my systems:
QFDuc:
we sold 
SAR@ $4.46: profit of $283
FPH@ $27.89profit of $272

Buy:
APT 109 @ $39.90
APX 145 @ $30.49
CDV 10344 @$0.43
ELD 474 @$9.28
FMG 362 @$12.30
KGN  502 @$8.70
MP1 309 @ $14.50
PNV 1717 @ $2.59
PPH 722 @$6.08 
We end up with10 positions and 54% invested

ZLextra system:
no sell
we buy:
FPH 156 @ $27.89
PFP 1451@ $3.09
PRU 4128 @ $1.06
RMD  179@ $24.88


----------



## ducati916

qldfrog said:


> now I want to put a small story about my daily system,
> which has been a fail and back to the draw-board.
> Luckily not a major  financial hit but nevertheless a fail:
> I worked for a while on the idea that in times like now, weekly systems are too slow to react to volatile conditions.
> SO with time on my side, let's go daily;
> 
> I design, back-test, confirm an edge, then here I go:
> 
> this week: first trades for Buy on Tuesday,
> Wednesday hum weird, that explore list does not seem to match yesterday one,
> Thursday, yeap it is confirmed there is "repainting"
> running replays in the past does not give the same signal than initially received..a sure sign of future looking code
> Nothing wrong in itself, but uncheckable-> no backtest is meaningful
> I did the code check before going live, have the shift by one day for buy/sell  but definitively not right
> today was the great unwinding:
> 6 positions still active, paper loss of $700 on these at market close and profit of $200 for liquidated positions, [including brokerage] so not a disaster but still a disappointment
> I hopefully will find the flaw this week end to restart anew on Monday




Mr Frog,

Possibly consider moving away from 'all systems at all times' to a more nuanced position of: appropriate system for market conditions.

So system (a) is daily; and system (b) is weekly. In high volatility environments, system (a) would (should) have better results with lower risk: faster entries/exits, constantly re-evaluating environment. 

When the market returns to a trending environment, system (b) can take advantage.

Now it doesn't have to be either or (100% (a) or (b)), you might go 75%/25% and morph back/forward with the systems. That way, the system provides objective feedback in dollars, what the market conditions actually are, rather than a more subjective assessment that you might make through personal observation.

jog on
duc


----------



## qldfrog

ducati916 said:


> Mr Frog,
> 
> Possibly consider moving away from 'all systems at all times' to a more nuanced position of: appropriate system for market conditions.
> 
> So system (a) is daily; and system (b) is weekly. In high volatility environments, system (a) would (should) have better results with lower risk: faster entries/exits, constantly re-evaluating environment.
> 
> When the market returns to a trending environment, system (b) can take advantage.
> 
> Now it doesn't have to be either or (100% (a) or (b)), you might go 75%/25% and morph back/forward with the systems. That way, the system provides objective feedback in dollars, what the market conditions actually are, rather than a more subjective assessment that you might make through personal observation.
> 
> jog on
> duc



Spot on, so my desire to start the daily ASAP, but I was a bit too eager last week as there was an uncovered technical glitch and most probably a future looking code..my only explanation to what I saw, i rechecked the code with slight modification and am paper checking the daily system to ensure this is not happening again, and hopefully start next week.
I trust figures and code more than my own instincts in investing
I have to say that the timing of system entry  is critical as I and many other have found and this is adding resistance in me taking on Mr Skate experiment: with already 2 weekly systems, mostly trend based in the month, adding 20k is not the wisest..
Then I could be lucky but let's not be fooled , this is dreadful risk management, on the other end, 20k is just 10% of the now 3 systems, is not that humongous and my own systems take time to ramp up so I jumped in....
Still keen to start the daily system venture ASAP


mostly


----------



## qldfrog

ducati916 said:


> Mr Frog,
> 
> Possibly consider moving away from 'all systems at all times' to a more nuanced position of: appropriate system for market conditions.
> 
> So system (a) is daily; and system (b) is weekly. In high volatility environments, system (a) would (should) have better results with lower risk: faster entries/exits, constantly re-evaluating environment.
> 
> When the market returns to a trending environment, system (b) can take advantage.
> 
> Now it doesn't have to be either or (100% (a) or (b)), you might go 75%/25% and morph back/forward with the systems. That way, the system provides objective feedback in dollars, what the market conditions actually are, rather than a more subjective assessment that you might make through personal observation.
> 
> jog on
> duc



And to be clear, by starting multiple systems (both weekly and different codes), I expect the $ returns to tell me quickly which kind is better for a given condition;
An interesting point would be: do you re-balance them, how and when (assuming systems are only at most loosely correlated)
System A gains 20% after a year,
System B gain 120% after a year,
System C loses 30% after a year,
What now? reduce A and B to re-float C?
=> what do you do? re-balance funds at a third after a year?
interesting point.Not there yet but will reach that stage..and when to act? yearly ? a smoother more continuous approach?
I will keep busy in the next 20y!!!


----------



## Warr87

ducati916 said:


> Mr Frog,
> 
> Possibly consider moving away from 'all systems at all times' to a more nuanced position of: appropriate system for market conditions.
> 
> So system (a) is daily; and system (b) is weekly. In high volatility environments, system (a) would (should) have better results with lower risk: faster entries/exits, constantly re-evaluating environment.
> 
> When the market returns to a trending environment, system (b) can take advantage.
> 
> Now it doesn't have to be either or (100% (a) or (b)), you might go 75%/25% and morph back/forward with the systems. That way, the system provides objective feedback in dollars, what the market conditions actually are, rather than a more subjective assessment that you might make through personal observation.
> 
> jog on
> duc




This would be portfolio optimisation. Something I wish was possible in AB.

I would suspect you would alter the weights on the systems based on a filter. This would reduce position size during a down-market or alter the allocation to each system (the 75/25 split).

Not sure how we do this but I am very interested to know.


----------



## Lone Wolf

qldfrog said:


> And to be clear, by starting multiple systems (both weekly and different codes), I expect the $ returns to tell me quickly which kind is better for a given condition;
> An interesting point would be: do you re-balance them, how and when (assuming systems are only at most loosely correlated)
> System A gains 20% after a year,
> System B gain 120% after a year,
> System C loses 30% after a year,
> What now? reduce A and B to re-float C?
> => what do you do? re-balance funds at a third after a year?
> interesting point.Not there yet but will reach that stage..and when to act? yearly ? a smoother more continuous approach?
> I will keep busy in the next 20y!!!




One of the issues with directing funds towards the system that's currently performing better is that you don't know which system will perform better next. It's a bit like an index filter. It takes time to confirm the index is falling and switch the system off. Then it takes time to confirm the up trend has resumed. This can actually hurt system performance as sometimes you ride most of the way down and miss out on much of the recovery. Not saying it's a bad idea, just not easy.

There has been talk of using the equity curve as a filter. You might have a couple systems, you focus your capital on the system with the strongest equity curve. (you run both systems in sim mode in parallel to your real trading account so as not to affect their equity curves) The idea being, what's the best indicator to tell you whether market conditions are right for your system? The equity curve. However, the same issue remains. By the time you determine the conditions are not right for the system, conditions could change.


----------



## Lone Wolf

It's getting too late. My point was going to be that what you've discussed about altering capital allocation does go some way towards fixing the issue with the lag. I like what Peter2 does with changing position sizes based on market conditions rather than a hard on/off switch. The equity curve idea was first presented to me an an "equity curve switch" to be used on a single system. In that format I'm not sure it would do better than any other index filter.


----------



## qldfrog

Lone Wolf said:


> It's getting too late. My point was going to be that what you've discussed about altering capital allocation does go some way towards fixing the issue with the lag. I like what Peter2 does with changing position sizes based on market conditions rather than a hard on/off switch. The equity curve idea was first presented to me an an "equity curve switch" to be used on a single system. In that format I'm not sure it would do better than any other index filter.



No worries, if there was an easy solution, outside the crystal ball, we would not even discuss it;
In a nutshell, to sort that issue, we have:
#capital reallocation between systems
[
and should this be encourage the winner or the looser?
Both choice could be a sensible choice in the absence of a crystal ball if we assume that all systems are not faulty just not optimum on the same market]
#position size changed based on a parameter such as market index, volatility, volume etc;
# using each system equity curve to guide one of the two choices above
Or a mix/mess of the above.
Mr Skate, as I understand him,  is in the belief that a robust system will not get obsolete.I would tend to respectfully disagree , at the very least in term of efficiency/optimum return;
As mentioned already somewhere, some of my systems under development were systemically offering consistent out performance against other in a way closely  matching test period age:
See backtest figures belowjust for actual $ figures after different start year of 100k, DD and annual returns similar .


Sadly and realistically, I think we can only detect an obsolete system too late, and might even close it just as it becomes relevant again.
Knowing our limits, should we base our benchmark on professional funds returns maybe...
This discussion much appreciated


----------



## qldfrog

Today was special in that i did my first system override: one
of my weekly buy AQG (alacer gold miner).
There was a trading halt and a merge proposal with a Canadian firm.i got burnt last year in such a similar issue and do not want to see my shares locked for weeks or worse listed in Canada i did exit.. with a profit..today


----------



## qldfrog

Back to systems hard numbers:
only losses

Mr Skate experiment: hit quite hard:-$428 in first week (I did chase Myer as I wanted to stick to the system for compliance, unless the code is mandating purchase price can not be above 3% of last week close, which I do not believe is the case
Weekly QFDuc:-$706 but still positive on its 3rd week:

QFDuc started 1/05/2020
Total invested   $          90,009.85
Cash remaining  $          33,166.71
Current portfolio value  $          90,402.45
Profit  $               392.60
Nb of active positions 13
Nb max position 20
Return since start 0.44%
Annual return so far 11.37%
purchase value per position $4,520.12
Invested percentage 63% 

Weekly ZLextra lost $244 but still positive 
ZLExtra started 1/05/2020
Total invested  $90,000.00
Cash remaining $59,073.80
Current portfolio value $90,408.21
Profit  $               408.21
Nb of active positions 7
Nb max position 20
Return since start 0.45%
Annual return so far 11.83%
purchase value per position $4,520.41
Invested percentage 35%

Paper traded daily behaving correctly so might start on monday
I will check tomorrow for next week action


----------



## qldfrog

here come the solution for a problem which was bothering me:
when we have a sell/by on open, we give a marging 2%, 3% from the last close, what if at open we are outside the margin, then the order will never pass yet our backtests we assume execution did happen and we purchased sold at open
Please find 2 piece of code to solve that:
1) computation of an actionable ASX rule compliant price:

_//return the price as can be used on the asx for sell/buy based on asx increment rules
function GetASXPrice( rawPrice )
{
    roundValue = round( rawPrice * 100 ) * 10;
    leftOver = rawPrice * 1000 - roundValue ;//get tenth of cents value


    res = IIf( rawPrice <= 0.1 , ( round( rawPrice * 1000 ) ), //0.1c increment
               IIf( rawPrice >= 2 , ( round( rawPrice * 100 ) * 10 ), //1c increment
                    //otherwise 0.5c increment
                    Iif( leftover <= 2 , roundValue,
                         IIf( leftover > 7 , roundValue + 10, roundValue + 5 )
                       )
                  )
             );
    return res / 1000;
}_
This is the result as displayed for explanation purpose in an explore result:



using a 3% buy sell margin:
AddColumn( IIf( Buy, GetASXPrice( ceil( C * 1030 ) / 1000), IIf( Sell, GetASXPrice( ceil( C * 970 ) / 1000 ), 0 ) ), "Offer ASX price ", 1.3, colorDefault , colorDefault , 80 );

:


----------



## qldfrog

And you should then ensure your backtests sell/buy will be executed..
let's add future looking code here so that we will get a match between backtest and our execution:


/_/check that in the next session day, 
//the low will be lower or equal than our buy limit
//this is forward looking and used in backtests to ensure our real world order would be able to be executed
Buy =Buy AND (Ref(L, 1)<GetASXPrice(C*1.03));
_
and similar for the sell against the H of the day:_

Sell = Sell AND (Ref(H, 1)>GetASXPrice(C*0.97));
Hope it helps

_


----------



## qldfrog

qldfrog said:


> And you should then ensure your backtests sell/buy will be executed..
> let's add future looking code here so that we will get a match between backtest and our execution:
> 
> 
> /_/check that in the next session day,
> //the low will be lower or equal than our buy limit
> //this is forward looking and used in backtests to ensure our real world order would be able to be executed
> Buy =Buy AND (Ref(L, 1)<GetASXPrice(C*1.03));
> _
> and similar for the sell against the H of the day:
> _
> Sell = Sell AND (Ref(H, 1)>GetASXPrice(C*0.97));
> Hope it helps
> _



Finally, this is not the ultimate solution: we pass an order for $2k for example but if the price is lower on open than at the close plus 3%, we will get less shares
By execution, we buy more shares going down than shares going up; not that great for a trend following system.....

ideally we should reverse engineer the broker code:
we do not buy $2k, we buy n shares with n*(C*1.03)=$2000; n stays constant, Open price on Monday just a guess (but can not be higher than C*1.03 to be considered in backtest)
Anyway, just not that critical at this stage


----------



## qldfrog

Also need to say I am going to start my daily system on Monday
52k start on the last 5y bactest:


Smoother than many of my weekly work and I like the behaviour in 2018, mid 2019 and recent crash.
Will not post daily nor even give regular weekly status but will keep you informed


----------



## qldfrog

I do not want to clutter DumpIt thread but I have some challenging data for @Skate (Mr Skate) and @Lone Wolf  as well as hope many of the other followers
If a system tells you to jump in or out how important is it to follow the instructions when the Monday open is too high too low and you miss the auction open price
Well well many surprises:
Last week, following Mr Skate strategy trial, I chased Myer price my mistake, against the rules as below:


I then thought about this and used the code posted earlier with unexpected results:

*An interesting point about the buy sell at open and 3% margin adopted:*
I  include that code in the 5y backtest of a daily strategy .it is scary:

First line:
without open margin check: we buy sell at open regardless of price






second line we only sell if within limit..well worse but not that bad, a sell at all cost is NOT that critical

third line: we ONLY buy within the 3% range: serious decrease 

*So, at least for that strategy, a buy at all cost on open is statistically VERY important, in that daily system nearly doubling the return on 5y whereas for the sell...*

Food for thoughts as I was thinking intuitively the opposite: important to sell, not so much the buy..*WRONG*


----------



## Lone Wolf

In the dump it here thread I posted the logic I'd use to ensure amibroker bought at the same price we do.

Entry price for the purpose of determining the Qty of shares to buy = Close rounded up to 2 decimal places + 3%.
Qty shares to buy = your desired position size / Entry price as calculated above.

I think that part is pretty straightforward unless I've overlooked something. Not sure about the sell since you need to chase it if not filled at open. I appreciate your code, but don't understand it just yet as it uses functions I'm not familiar with. I'll have to look into it more.



qldfrog said:


> First line:
> without open margin check: we buy sell at open regardless of price
> 
> second line we only sell if within limit..well worse but not that bad, a sell at all cost is NOT that critical
> 
> third line: we ONLY buy within the 3% range: serious decrease




Depending on what your system looks for, possibly the best trades are the ones that gap up and never look back? That seems to be what your results are suggesting.

The problem is that we simply can't buy at open price if it gaps our limit order (except for the cases where they come back). So the question becomes how far can you afford to chase price before you become less profitable than line 3?


----------



## qldfrog

Lone Wolf said:


> In the dump it here thread I posted the logic I'd use to ensure amibroker bought at the same price we do.
> 
> Entry price for the purpose of determining the Qty of shares to buy = Close rounded up to 2 decimal places + 3%.
> Qty shares to buy = your desired position size / Entry price as calculated above.
> 
> I think that part is pretty straightforward unless I've overlooked something. Not sure about the sell since you need to chase it if not filled at open. I appreciate your code, but don't understand it just yet as it uses functions I'm not familiar with. I'll have to look into it more.
> 
> 
> 
> Depending on what your system looks for, possibly the best trades are the ones that gap up and never look back? That seems to be what your results are suggesting.
> 
> The problem is that we simply can't buy at open price if it gaps our limit order (except for the cases where they come back). So the question becomes how far can you afford to chase price before you become less profitable than line 3?



The initial function code i givetgive you what price you can use to get that 3% extra as asx has rules for increments
0.1c under 10c
0.5c until 2$
1c after

So this part is required and yes, we could compute the number of shares based on $ amount, brokerage and max price allowed based on the function.result 
It is doable.


----------



## Lone Wolf

Cool, thanks.

I like what you did. While we were discussing whether it's important that the backtest matches, you tested to see how much difference it makes to your own system.


----------



## qldfrog

I want to stress that this difference  istoward the extreme as these numbers are based on a daily, relatively high frequency system, a weekly trend system would probably not be that conclusive.i will check


----------



## Warr87

I've done some dumb coding before and just made every buy/sell +3%. I had worse results but still within my own tolerances. As an even dumber coding move I actually over inflate my comissions which is probably why my live results are usually better than backtests.

I really like what you have done though. Good work.


----------



## qldfrog

busy day, I chased a few Gold miner purchases for my systems, made one mistake and will have to sell a ticker I bought twice....
Done 12 entries on the new daily system(fully invested).
Bought Mr Skate experiment  packet; for the weekly:
QFDuc purchases 7 packets:
ANN 
	

	
	
		
		

		
			





133 @$33.62
BKY 
	

	
	
		
		

		
		
	


	




14062 @$0.31
DTL 
	

	
	
		
		

		
		
	


	




969 @$4.64
OCL 
	

	
	
		
		

		
		
	


	




619 @$7.10
RMS 
	

	
	
		
		

		
		
	


	




2500 @$1.69
RRL 
	

	
	
		
		

		
		
	


	




800 @$5.53
SAR 
	

	
	
		
		

		
		
	


	




800 @$5.52 
Gold heavy...
Sold 
APT@$39.900
PNV$2.590(loss)
TNE$9.510 
For a total profit of $223 on the sales
18 out of 20 positions are filled
ZLextra:
quieter: bought NEW 41@28 $1.07 
and sold AHY at $0.97 for a LOSS of $303
only 7 out of 20 entries

That is it for today's journal


----------



## qldfrog

qldfrog said:


> The initial function code i givetgive you what price you can use to get that 3% extra as asx has rules for increments
> 0.1c under 10c
> 0.5c until 2$
> 1c after
> 
> So this part is required and yes, we could compute the number of shares based on $ amount, brokerage and max price allowed based on the function.result
> It is doable.



For info noticed a bug in my code to determine nearest asx price, will fix and post tonight.i misunderstood the AB round() function


----------



## Skate

qldfrog said:


> For info noticed a bug in my code to determine nearest asx price, will fix and post tonight.i misunderstood the AB round() function




@qldfrog rounding is a bitch & lacks precision, personally I use the "ceil & floor' functions in my strategies for such reasons.

http://www.amibroker.com/guide/afl/ceil.html
http://www.amibroker.com/guide/afl/floor.html

Skate.


----------



## qldfrog

Skate said:


> @qldfrog rounding is a bitch & lacks precision, personally I use the "ceil & floor' functions in my strategies for such reasons.
> 
> http://www.amibroker.com/guide/afl/ceil.html
> http://www.amibroker.com/guide/afl/floor.html
> 
> Skate.



My problem was compounded as i was passing such a ceil as an argument, but i would like 0.0439 to be passed as 0.044, 0.0433 as 0.043 
0.1234 as 0.125, 0.1278 as 0.13
not rocket sciences and will share the code when fix completed.
But winter is here and a bon fire to clean up the property is priority this afternoon


----------



## qldfrog

AB corrected code:


//return the price as can be used on the asx for sell/buy based on asx increment rules
function GetASXPrice( rawPrice )
{
    roundValue = int( rawPrice * 1000 ) * 10;
    leftOver = rawPrice * 10000 - roundValue ;//get hundedth of cents value

    resP = IIf( rawPrice <= 0.1 ,  Iif( leftover <= 5 , roundValue, roundValue + 10 ), //0.1c increment
                IIf( rawPrice >= 2 , ( Round( rawPrice * 100 ) * 100 ), //1c increment
                     //otherwise 0.5c increment
                     IIf( ( rawPrice * 10000 - int( rawPrice * 100 ) * 100 ) < 25, int( rawPrice * 100 ) * 100,
                          IIf( ( rawPrice * 10000 - int( rawPrice * 100 ) * 100 ) > 75, ( int( rawPrice * 100 ) + 1 ) * 100, int( rawPrice * 100 ) * 100 + 50 ) ) ) );
    resP = resP / 10000;
    return resP;
}

There is always a decision made as to whether you want to round up, down but at least you are in control
enter a price with as many decimal as required..could be a C*0.97 or C*1.03
and you will get back the ASX precision compliant price 


Hope it helps


----------



## Skate

qldfrog said:


> There is always a decision made as to whether you want to round up, down but at least you are in control




@qldfrog for simplicity without looping I use the array "ceil function" & the "floor function" because I'm after rounding up to the max when it comes to a buy offer & the reverse when I place a sell offer in the pre-auction.

*An example of rounding*
I'll use Woolworths as an example to buy one "chupa chup" lolly with cash.
Normal price $1.03 (buy this with cash & the price rounds down to $1.00)
On "SPECIAL" buy price is $0.97 (buy this with cash & the price rounds up to $1.00)
# The stupidity of rounding - the cash price for one "chupa chup" lolly costs exactly the same at its normal price or the advertised special price which is $1.00

*Amibroker logic*
BuyOffer = I use the "ceil function" to round prices up to the max
SellOffer = I use the "floor function" to round prices down to the lowest value

*Why do I use the "ceil function" to round prices up*
Because I want the Buy Offer to add the "full +3% premium" to the last closing price rounded up to 2 decimal places (rounding to 3 decimal places serves no purpose) = ceil function rounds 0.011 up to 0.02 
(the standard mathematical rounding function of 0.011 rounds to 0.01)  

*Why do I use the "floor function" to round prices down*
Because I want the Sell Offer to add the "full -3% premium" to the last closing price rounded down to 2 decimal places (rounding to 3 decimal places serves no purpose) = floor function rounds 0.029 down to 0.02 (the standard mathematical rounding functions of 0.029 rounds to 0.03)

Skate.


----------



## qldfrog

Skate said:


> @qldfrog for simplicity without looping I use the array "ceil function" & the "floor function" because I'm after rounding up to the max when it comes to a buy offer & the reverse when I place a sell offer in the pre-auction.
> 
> *An example of rounding*
> I'll use Woolworths as an example to buy one "chupa chup" lolly with cash.
> Normal price $1.03 (buy this with cash & the price rounds down to $1.00)
> On "SPECIAL" buy price is $0.97 (buy this with cash & the price rounds up to $1.00)
> # The stupidity of rounding - the cash price for one "chupa chup" lolly costs exactly the same at its normal price or the advertised special price which is $1.00
> 
> *Amibroker logic*
> BuyOffer = I use the "ceil function" to round prices up to the max
> SellOffer = I use the "floor function" to round prices down to the lowest value
> 
> *Why do I use the "ceil function" to round prices up*
> Because I want the Buy Offer to add the "full +3% premium" to the last closing price rounded up to 2 decimal places (rounding to 3 decimal places serves no purpose) = ceil function rounds 0.011 up to 0.02
> (the standard mathematical rounding function of 0.011 rounds to 0.01)
> 
> *Why do I use the "floor function" to round prices down*
> Because I want the Sell Offer to add the "full -3% premium" to the last closing price rounded down to 2 decimal places (rounding to 3 decimal places serves no purpose) = floor function rounds 0.029 down to 0.02 (the standard mathematical rounding functions of 0.029 rounds to 0.03)
> 
> Skate.



I understand the cell and floor but neither take into account the fact that shares below 10 cents can have increments in 0.1 cent
You do not want to go from 4 to 5c, a 20pc jump if you have the choice.
Then for shares between 10c and $2, i  think it is useful to use the 0.5c increments
From 10c to 11c is a 10pc jump, whereas to 10.5c is a more reasonable 5c
Obviously is you only buy shares above $2, the problem is not there and not too bad if you have shares above 30c where a 1c increase is the 3pc you look for
So any share price above 30c is not negatively affected by the use of cell/floor.
Share price below: use my function or a custom version


----------



## Sir Burr

qldfrog said:


> I understand the cell and floor but neither take into account the fact that shares below 10 cents can have increments in 0.1 cent




function RoundTickBuy( Price )
{
    return
        IIf( Price < 0.1, ceil( Price * 1000 ) / 1000,
             IIf( Price < 2, ceil( Price * 200 ) / 200,
                  ceil( Price * 100 ) / 100 ) );
}
function RoundTickSell( Price )
{
    return
        IIf( Price < 0.1, floor( Price * 1000 ) / 1000,
             IIf( Price < 2, floor( Price * 200 ) / 200,
                  floor( Price * 100 ) / 100 ) );
}


----------



## qldfrog

Sir Burr said:


> function RoundTickBuy( Price )
> {
> return
> IIf( Price < 0.1, ceil( Price * 1000 ) / 1000,
> IIf( Price < 2, ceil( Price * 200 ) / 200,
> ceil( Price * 100 ) / 100 ) );
> }
> function RoundTickSell( Price )
> {
> return
> IIf( Price < 0.1, floor( Price * 1000 ) / 1000,
> IIf( Price < 2, floor( Price * 200 ) / 200,
> floor( Price * 100 ) / 100 ) );
> }



more elegant than my code indeed if this works to your preferences


----------



## qldfrog

moving into daily systems causes a few starting pains:
I use overseas indexes and just realise that when the US market closes, it is still too early to download Premium Data, Mexico and a few others are still live for one hour;
Premium Data world indices are only ready after 7AM Qld Time.That explains some "repainting" I saw yesterday..
probably explains what I saw as code bug last week:
no repainting, just not fully updated data.
If this can help more beginners


----------



## qldfrog

qldfrog said:


> more elegant than my code indeed if this works to your preferences



let's have fun, based on @Sir Burr improvements, an all in one version:
_//get proper Asx Tick Price
//rounding up if up is true, rounded down otherwise
function AsxTick( price, up )
{
    factor =
        IIf( price < 0.1, 1000,
             IIf( price < 2,  200, 100 ) );

    return IIf( up,ceil( Price * factor ) / factor  ,
           floor( Price * factor ) / factor );
}_


----------



## qldfrog

End of the week, some positive, some less so;
My daily system started on monday:50k now nearly fully invested: 
by the end of week: profit of $1542 or 3.09% which is basically XAOA

QFDuc not so lucky and lost 1k just on today :
and turned red: not good:

QFDuc started 1/05/2020
Total invested   $          90,009.85
Cash remaining  $          15,619.62
Current portfolio value  $          89,799.72
Profit -$             210.13
Nb of active positions 17
Nb max position 20
Return since start -0.23%
Annual return so far -4.06%
purchase value per position $4,489.99
Invested percentage 83%


	

		
			
		

		
	
 On monday, 8 out of 17 positions are for sale and 11 more will be purchased, tell me about dynamic...
--ZL extra:
better $770 profit for the week but is beaton flat by the XAOA
yet it is only 35% invested and it will take time to ramp up, I am aware of this

ZLExtra started 1/05/2020
Total invested  $90,000.00
Cash remaining $58,874.07
Current portfolio value $91,177.20
Profit  $            1,177.19
Nb of active positions 7
Nb max position 20
Return since start 1.31%
Annual return so far 22.73%
purchase value per position $4,558.86
Invested percentage 35%


On monday, 3 buys only
overall? impressed by my daily beginner, not so by what should be the bread and butter
Luckily, Mr Skate saved the week with a very nice 1.1k profit for the week  overall 711$ in 2 weeks from 20k investment, very promising.
Summary for my system plays this week:
1.1-0.6+0.77+1.5 or around $2.7k ....or above 1% return...not bad


----------



## qldfrog

Sorry for the delay, busy time with 2 daily systems initiated, Skate following and my 2 weekly still getting incremental improvements while life..



yesterday at open ZL extra purchased :

FAR 281250 @ $0.0200

JLG 1786 @$2.5000

TPM 559 @ $8.0400



QFDuc sold:

ANN 133@$34.63

APX 145@$30.40

AST 2334@$1.81

BKY 14062@$0.26

CDV 10344@$0.42

DTL 969@$4.52

HTA 29032@$0.15

RMS 2603@$1.71

RRL 800@$5.27

for a loss of $1496, the dynamic side does not seem to pay in the current market

and purchased :



ALK 5113@$0.87

AQZ 1577@$2.79

BRN 73333@$0.06

CGC 1419@$3.22

JLG 1800@$2.49

OGC 1371@$3.28

PNR 23684@$0.18

PNV1685 @$2.67

PRU 3543@$1.26

RBL3474@$1.27



to date so midweek today, QFDuc is 94% invested:

should be 100% but I did order twice the same packet by error and add to sell back one of the 2, for a small profit , i will catch up next week but Back tests will differ a lot

and we have a 2.7pc profit  since 4/05 in what is a booming market so QFDuc not that great

ZL extra similar return but 50% invested so better risk return ratio by far, nearly double

Daily system going well: up 8% from a 18/05 start, fully invested let's see how all this firms up when the inevitable pull back arrives


----------



## qldfrog

another great wek:
Daily:
second daily system engaged 2 days ago, fully invested:+1.7%($330);
main daily system 85% invested, +4.67%(+$2.4k)
Skate system saw one parcel sold by error, good week:+5.5% (+$1.4)

Weekly QFDuc:19 out of 20 positions , +3.12% or +2.8k this week;
trailing the xaoa still:
QFDuc started 1/05/2020
Total invested   $          90,009.85
Cash remaining  $            5,223.26
Current portfolio value  $          92,607.92
Profit  $          2,598.07
Nb of active positions 19
Nb max positions 20
Return since start 2.89%
Annual return so far 37.63%




Lastly:
ZL extra: half invested+0.8% or  $700
not that great well behind the xaoa but this is a strategy which is not supposed to parallel the other so fair;
low risk 9we hope so,and more stable
Time will tell


ZLExtra started 1/05/2020
Total invested  $90,000.00
Cash remaining $45,384.71
Current portfolio value $91,886.21
Profit  $            1,886.21
Nb of active positions 10
Nb max positions 20
Return since start 2.10%
Annual return so far 27.32%


----------



## qldfrog

nice experience installing my system on aws;
Get an aws account, create an EC2 window server instance and run it;
then install my data provider (Premium data) but you might need to allow IE download enabled as it is off by default;
so download installers, install then on AB site, get your AB installed and the plug in setup;
When this is done, you are basically cruising, was much easier actually than i thought,
next stage: automatically update data, then run my various explore in a batch, sending the results in an email for action


----------



## InsvestoBoy

qldfrog said:


> nice experience installing my system on aws;
> Get an aws account, create an EC2 window server instance and run it;
> then install my data provider (Premium data) but you might need to allow IE download enabled as it is off by default;
> so download installers, install then on AB site, get your AB installed and the plug in setup;
> When this is done, you are basically cruising, was much easier actually than i thought,
> next stage: automatically update data, then run my various explore in a batch, sending the results in an email for action




Why pay for an EC2 for just a single VM?

Expensive bandwidth, core pricing, etc.

Check out AWS LightSail, can get a much cheaper single VM with much cheaper bandwidth.


----------



## qldfrog

All what i need is free for a year


----------



## qldfrog

got a workable setup for an overnight stay at the beach tomorrow:
whole aws server running, updating Premium data running AB and my systems all good.
Nice to have especially when borders reopen and Caribbean beaches are a destination again , for the time being staying in Qld..
.
	

		
			
		

		
	






quite happy...
need to add a bit of automatic update and explore results exports


Back to the hard yaka: 
had a look at the overall performance of systems over the past week, including exposed capital etc, I lost against the XAO which is not that good
It is always worthwhile looking at the big picture and not focusing on a few numbers;
Since inception:
daily eft beat index..(just started last week so not really meaningful)
daily generic beating index 7.9% to 5.7%..(started 18/05)
weekly qfduc beaten flat by index 10.35% to 2.9%..(started 01/05)
weekly ZLextra beaten flat by index 10.35% to 2.1%..(started 01/05) but with low participation(<50% invested)  so far so overall better performance than QFDuc

ZLextra has seen major code changes since inception which will take effect from tomorrow to increase participation and nearly double returns with low extra DD based on backtests
Time will tell


----------



## Warr87

nice setup! the AWS's look a bit expensive depending on the context. Are you just paying for 'on demand'? I've never used them so not entirely sure how it works. Good setup though.

As for your systems. Is it possible your systems are 'out of sync' with the market? Not surprising as it is chaotic. A mixture of bulls and bears, and enough speculation to confuse anyone. Things certainly don't seem 'normal' right now. Over the long run I'm sure you will outperform the index. (I certainly understand your annoyance though.)


----------



## qldfrog

All the above aws aws is fully within the free tier limits, it costs 0, fully free on the first year and i expect it to remain so based on past experiences with other test platforms..not share trading..i did before


----------



## qldfrog

System wise, i tried to implement 2 systems with different behaviours.
Not great results for the weekly but nothing to be ashamed of especially after zlextra work in the last few weeks which should improve overall results


----------



## qldfrog

A great week and I should have my fuses ready for my weekly system on Monday.
I changed my index comparison to XNT as XAOA is sometimes slow to be released on friday night
the week that was..
Daily #1:+6.27% overall this week, overtaking the XNT since inception 15/05;
Daily #2: +7.62% overall this week, overtaking the XNT since inception 22/05;

SKate system: I made another mistake when one parcel was sold as it was sharing the brokerage account of another of my system: 
overall lost 6.7% this week (Gold miners?), but could be due to my own management mistakes as i am now only 19 positions invested;
QFDuc +1.41% , still below XNT performances
ZLExtra +2% , still below XNT performances
overall all systems:+2.4% as I am heavily overweight weekly system (nearly 1 to 2)


----------



## qldfrog

adding fuses to weekly systems;
With ever increasing speed in the market changes, I was feeling uneasy with the concept of being fully passive during the week  whatever happened and only react on the next Monday open;
the principle:
at the end of the week as I determine buy sell, I also update SL which can be activated anytime  automatically during the week based on various criteria;
If any of these is activated during the week so be it and we will buy again on the next Monday.
While not that easy to backtest , and acknowledging some of these SL sales will fail, it seems to drastically increase the results of at least one of the system, and create minor improvements for the second.
There is also definitively a Peace of mind advantage.
Will prepare all that this weekend and enter the conditional orders for the next week


----------



## qldfrog

qldfrog said:


> SKate system: I made another mistake when one parcel was sold as it was sharing the brokerage account of another of my system:
> overall lost 6.7% this week (Gold miners?), but could be due to my own management mistakes as i am now only 19 positions invested;



_Errare humanum est : Mr @Skate , the loss this week was just -2.49% so not really worse than the system, I had the wrong SP for SLR
My apologies for the previous mistake, the Action system is going reasonably well_


----------



## Warr87

qldfrog said:


> A great week and I should have my fuses ready for my weekly system on Monday.
> I changed my index comparison to XNT as XAOA is sometimes slow to be released on friday night
> the week that was..
> Daily #1:+6.27% overall this week, overtaking the XNT since inception 15/05;
> Daily #2: +7.62% overall this week, overtaking the XNT since inception 22/05;
> 
> SKate system: I made another mistake when one parcel was sold as it was sharing the brokerage account of another of my system:
> overall lost 6.7% this week (Gold miners?), but could be due to my own management mistakes as i am now only 19 positions invested;
> QFDuc +1.41% , still below XNT performances
> ZLExtra +2% , still below XNT performances
> overall all systems:+2.4% as I am heavily overweight weekly system (nearly 1 to 2)





I saw my system hit new highs by wednesday and then evaporate on Thursday (losing last weeks profits too). Will do a proper update tomorrow but I think a few people lost some open profits this week ....


----------



## Trav.

qldfrog said:


> With ever increasing speed in the market changes, I was feeling uneasy with the concept of being fully passive during the week whatever happened and only react on the next Monday open;




@qldfrog I have been thinking about your post and possible options but have been unable to come up with anything to help with the feeling of unease whilst trading a weekly system.

Then I thought why are you even in the market when you have these feelings. So may I suggest 

1 - Leave the code as it is and stop tinkering
2 - Park the weekly system for a a bit and concentrate on the daily systems that you 
- Maybe test / use closing out all you positions on Thursday and re buy on Monday if a still valid buy.​
Anyway just my thoughts which I hope you don't mind me posting.

Cheers

Trav


----------



## qldfrog

Trav. said:


> @qldfrog I have been thinking about your post and possible options but have been unable to come up with anything to help with the feeling of unease whilst trading a weekly system.
> 
> Then I thought why are you even in the market when you have these feelings. So may I suggest
> 
> 1 - Leave the code as it is and stop tinkering
> 2 - Park the weekly system for a a bit and concentrate on the daily systems that you
> - Maybe test / use closing out all you positions on Thursday and re buy on Monday if a still valid buy.​
> Anyway just my thoughts which I hope you don't mind me posting.
> 
> Cheers
> 
> Trav



@trav, all feedback welcome 
The solution I mentioned solves my problem:
a combination of intraday stop loss , with trigger based on weekly read index/indicator triggers 
Similar towhat I do in a normal weekly system but activated intra day;
To be even more precise, the SL trigger only changes weekly so no major extra work: just set/adjust SL once a week on portfolio packets

If you remember, I tried to do SL just before the crash then removed them; I so went from +20k or so to -20k just after the february fall.With a current GTFO , I would have lessen the losses, with this in place , I would have left a winner
If it helps:
2 backtests showing the smoothing and better performance:
QFDuc without the intraday SL:


with the intraday SL


as Mr Skate says, BT are bull****, but when the change is actually allowing you to sleep better, why even bother trying without, there is slippage factored in the SL and the above graphs are the more dramatic but ZLextra benefit as well
Happy with the daily systems which are going gangbusters and managed to detect IFN, BRN, AYS etc
Only problem is that I get left behind at the open for some buy, but can not enter my orders high enough in the previous evening
Have all a great weekend


----------



## qldfrog

just need to add: I have plenty of time right now as pending sale of my PPOR, I am in stand buy and unsure if I want to restart my company and how/in which field while international travel is a no go.
I ended losing a total of $18k with my systems by end of march. a learning fee
To date, the new or updated ones are up 18.2k, I broke even this week systems wise and I will try to preserve this gain.


----------



## Trav.

All good mate as long as you are happy with where you are at.

On a side note I read this today which is *relevant to me* and could be thought provoking for you as well.

_Quantitative Trading Systems - Howard B. Bandy_


----------



## qldfrog

100% true but when do you reach a point when you say: that system is right, it supports shaking  properly?

as you have more time available you try to improve whatever that means for you:
it could be adding more control on the minimum price or volume: playing with penny stocks is not for the faint hearts, I know my position score is far too basic: there must be a proper way to select between 2 buys better than my current way, I expect to see change in the months ahead, 
If people like me who basically draw their first serious system less than 12 months ago were just waiting and see the results , I would find this pitiful: so much I learnt in the last 12months.
To avoid going everywhere, I try to add new separate systems giving a chance to existing ones to prove themselves.
currently 2 daily systems very very different and 2 weekly both very different too;
It has some issues: I may get 3 buys on the same shares..awful in term of risk management but so it is.
ultimately I hope to reach an hybrid stage leveraging all the positives and still allowing me to play with ideas concepts..all systems will perform differently on different markets, multiplicity will be interesting mentally AND should provide some smoothing of overall results


----------



## Trav.

All good points and I agree that you will never stop tweaking a system, and I do like the idea that you have multiple systems in play so at least that does spread your risk a bit.

It is fascinating watching the progress of the forum members and it definitely isn't easy, so I suppose that is why the majority of people aren't successful in the markets.

Thanks for sharing and keep the updates coming.

Cheers


----------



## qldfrog

Look at it that way, i played with shares for more than 10y, got amibroker and read nick radge book ages ago but had to wait to stop daily work to get serious and be triggered by @Skate thread.
That is end 2018.i started live end february 2019 with a system derived from Skate's cam .
Made mistakes, tried other concepts flipper, 123/abc, zero lag, volume, volatility, and all the in between
And i consider myself novice after quite a considerable amount of hours work.
I also started from a mathematical it/programming background so AB is not an issue nor are the maths involved
Not easy...


----------



## lindsayf

Nice work Qldfrog. My process might be similar.
My project with pure system trading will also need to wait until I have more time..still 9- 5 ing and have many time committments.
But in a year or 3 I hope that changes.  Then, my maths b/g, some ancient coding experience, and my trading experience will be able to be applied to the systems project....inspired by Mr Skate, Peter2 and others like yourself.


----------



## qldfrog

Learning is living


----------



## qldfrog

crazy day today, highest daily gain of my trading "career"
Today was the day where I was switching version of both weekly systems;
as a result I had to exit an unusual high number of positions and reenter a similarly impressive number of buys;
It did not go smoothly;
As I had to wait for a sale to get the credit allowing me to perform a buy, at 10AM, I was on the keyboard multiple screens preset;
The bell direct site got hammered, by 10:30, I had managed to enter 3 more buys only, one activated but not displayed untill 11Am, a second one associated with the wrong account that I had to sell and redo;
I thought I was back in 1980s as I could have a cuppa between a click in a field and being able to enter something.
And no, I was in 4G, pretty fast on other sites I tried
end result:
ZL extrav9:  9 sales, 9 buys, 2 buy failing to be entered in time and jumping too high after the open..
QFDucv13:14 sales 3 buys  and 3 misses
unusual market, specific time for version switch..was not great


----------



## frugal.rock

For the first half hour or so of trade today, the exchanges were swamped.
Again, it screwed with my system... (brain). Sold Tyro on open 4.18, and tried to buy again flying by the seat of my pants with only SP and depth being current data. Like a racehorse with blinkers, narrow sights... chased the price from 4.08 to 4.15... turned out I had actually purchased at 4.13 unknowingly due to data delays and chop.
However, the fact that the exchanges were swamped was a great indicator in itself. Risk on!


----------



## qldfrog

ola, what a week!!
highest paper gain (09/06)and highest paper loss today of my "trading/investing" career...
where are we?
Daily small loss but overall still good:
-$1,588.48 -2.77% over the week


Start 18/05/2020
Total invested   $  50,000.00
Cash remaining  $  13,555.69
Current portfolio value $55,745.86
Profit $5,745.86
Nb of active positions 8
Nb max positions 12
Return since 18/05 11.49%
Annual return so far 175%
purchase value per position $4,645.49
Invested percentage 76%
-------
Binary daily on market direction:
 $2,554.02 11.67% this week;


Start 25/05/2020
Total invested   $  20,000.00
Cash remaining  $      784.45
Current portfolio value $24,434.02
Profit $4,434.02
Nb of active positions 1
Nb max positions 1
Return since 25/05 22%
Annual return so far 476%
Invested percentage 97% 

=========================
weekly:
Skatewill differ slightly from @Skate proper system due to my implementations and errors I will have done): -1.46% -$          310.31 


Skate system 11/05/2020
Total invested   $          20,000.00
Cash remaining  $            1,083.46
Current portfolio value  $          21,002.46
Profit  $            1,002.46
Nb of active positions 19
Nb max positions 20
Return since start 5.01%
purchase value per position $1,050.12
Invested percentage 95%

and for my own:
QFDuc: gain of 1.5060%  $      1,414.37 
started 1/05/2020
Total invested   $          90,009.85
Cash remaining  $          43,947.94
Current portfolio value  $          95,331.78
Profit  $            5,321.93
Nb of active positions 10
Nb max positions 20
Return since start 6%
Annual return so far 53%
purchase value per position 4400
Invested percentage 54% 

and lastly my laggard:
ZLextra:-5.7236% -$       5,364.80 


ZLExtra started 1/05/2020
Total invested  $90,000.00
Cash remaining $6,386.25
Current portfolio value $88,366.48
Profit -$            1,633.52
Nb of active positions 18
Nb max positions 20
Return since start -1.82%
Annual return so far -16.16%
purchase value per position $4,418.32
Invested percentage 93%


----------



## qldfrog

overall this week:-1.6+2.6-0.3+1.4-5.4=-$3300
not great but just -1.2% of invested capital, just hoping that this is just a short expected pause and not a crash back to -30%..
None of my indicators are in panic mode.
Have all a great week end


----------



## qldfrog

Little note for my fan club ;-)
Off for a road trip in our state so with current volatility, i van not really afford to follow and act daily, yet enjoy the break; i so liquidated my 2 daily system.will give you the final figure tonight.great returns..
I am also convinced my zlextra weekly has some issues as there is unexpected repainting happenings
I have no time to investigate so have offloaded some of my most recent buys, the 2 other weekly are untouched.
With AWS setup, i can now process all this properly but moving from dual screens, printer to my fearless Huawei smartphone screen is not exactly comfortable
I will bite the bullet and spend one hour on the week end
Wishing all a great week, i have never experienced such a tumultuous time in the market,and so many opportunities.


----------



## qldfrog

ok: 2 daily systems:
system 1: still 3.7k not sold today, will liquidate tomorrow
13.32% return since 18/05 start..not bad for a month return...

system 2:market trend play, fully back in cash:25% return since 25/05 (just above 3 weeks) 

the returns are amazing and should ensure I end up even or positive for my systems this year.
Sadly a bit more work and not compatible with road trip and holiday;
Skate  system plus 2 weekly systems left running 
my 2 weekly are currently 30% and 40% cash
peace of mind for a holiday


----------



## MovingAverage

Hi Frog,
Have been incommunicado for the past few months so just catching up on this thread to see how your system is tracking. My weekly system awoke from its slumber about 6 weeks ago. It has been a busy month for my weekly system since it awoke--it's current 90% invested and going to 100% next week. Over the past month the unit price has put on 3.81% but there has been some reasonable volatility in that gain during the same period. Of the system's current open positions around 61% of them are in the green. While the system is currently heading in the right direction having put on 3.81% in the past month it still has some way to go to make up the market down turn that hit us in Feb/March. Since the beginning of the year the system is down 9.04%. 
Stay classy


----------



## qldfrog

I will try to use my aws setup this arvo evening and carry on trading bot skate system and my qfduc weekly.
For an accurate status we will have to wait next friday when i will be back on the computer and will update the spreadsheets


----------



## qldfrog

An interesting experience last week
One system was putting a sell, another a buy on the same code
At the end of the day both buy and sell were unfilled..why???
Well the asx has a rule that the same beneficiary can not sell shares to himself
So i can not have one system selling shares to another system of mine...
Hum.. with high liquidity, it is ok but it can cause issues as i experienced
So either limit to one ticker packet for all systems, or live with it...


----------



## Warr87

Would having each system trade with a different broker also help with that? E.g. one with Commsec and the other with IB?

If its a difference in systems with time, it may not be much of an issue? That is, trigger the buy/sell with the daily system and delay the buy/sell with the weekly?


----------



## MovingAverage

Warr87 said:


> Would having each system trade with a different broker also help with that? E.g. one with Commsec and the other with IB?
> 
> If its a difference in systems with time, it may not be much of an issue? That is, trigger the buy/sell with the daily system and delay the buy/sell with the weekly?




I think the issue here is HIN's--if you can trade with different HIN's then trades will execute. I do this by having separate trading companies, they're different legal entities and thus hold different HINs


----------



## qldfrog

Warr87 said:


> Would having each system trade with a different broker also help with that? E.g. one with Commsec and the other with IB?
> 
> If its a difference in systems with time, it may not be much of an issue? That is, trigger the buy/sell with the daily system and delay the buy/sell with the weekly?



Could try either . different broker would probably go against the dpirit of the laws but how would they know?
Not like I'm trying to distord price or whatever.
On the other hand  taking a step back why buy and sell on the same day..but if the system says do it, i do...


----------



## Warr87

With a company like IB you don't have chess holdings. Isn't the model that they hold it in their name? or something to that effect. In that way I can't see why you wouldn't be able to do it that way.


----------



## MovingAverage

Warr87 said:


> With a company like IB you don't have chess holdings. Isn't the model that they hold it in their name? or something to that effect. In that way I can't see why you wouldn't be able to do it that way.




https://ibkr.info/article/739#:~:text=IB does not accept or,the books of the issuer.


----------



## qldfrog

It is as well a reason i dondo want to use IB...


----------



## qldfrog

Just a quick check my qfduc system went from 95k to 97.5k yesterday night, it had only 12 out of 20 positions so basically 60pc invested
Reading @over9k  posts in the last weeks, i thought the market was crashing but it seems there is still money to be made and the trend was intact last week. Will be interesting to get back on the computer and screens next Friday


----------



## over9k

Nah frog remember how I said it was 2-3 weeks away, about the end of the month as it takes 2-3 weeks for infection spread to actually hit the data?

Lots of ugly virus data over the weekend so far and another day to go yet. Employment/jobs data is due on the 3rd of july too and apparently the last batch was miscalculated/overestimated by about four percentage points, so if that's true, then the data on the 3rd is going to be significantly worse.

We'll get chop for a bit now as the bad virus data vs better economic data fight with each other, but the virus data's then going to get worse, and worse, and worse...

The hard part is predicting fed stimulus, as they've already told us we're going to get another batch, just not when we'll get it. Hell, there might even be an additional round.


----------



## qldfrog

Of course there will be another round of Fed money.
But while i would be very reluctant to invest..looking years ahead, 
we should resist the temptation not to trade.
Get out of news feed, just analyse numbers is my view.
I hold no truth, am often wrong but far less often now than when i was younger.i also never assume anymore that i am right or lock myself in a position.
Only idiots never change position, or politicians..the dreaded back down..or wisdom
But risk management is key we all agree..just different views on what's involved


----------



## over9k

This is my fundamental disagreement with ducati - he thinks virus data news is not relevant. We've seen three large and fast slumps straight after three infection spikes. 

It is my opinion that people are ignoring this to their peril.


----------



## MovingAverage

over9k said:


> This is my fundamental disagreement with ducati - he thinks virus data news is not relevant. We've seen three large and fast slumps straight after three infection spikes.
> 
> It is my opinion that people are ignoring this to their peril.




I think you raise a good point, but I do wonder whether the market is getting a little numb and used to the Corona news given we have been bombard with it 24/7 since Feb. No doubt the market will react to news of new outbreaks but I wonder whether those reactions will be as dramatic as that which we experienced in Feb/March. Who knows, time will tell I guess.


----------



## over9k

Sure - but we're already seeing the reimposition of lockdowns (beijing, some parts of usa, victoria, all in response to jumps in infections), just as predicted. 

Even if you ignore the data per se, the lockdowns which come as a result of it are all bad for markets. However, we're now seeing BOTH.


----------



## qldfrog

Look at money flow in November,
The virus is a pretext, the black swan revealing the issues.
That is done, the rest is non relevant


----------



## MovingAverage

must admit i was a little surprised how the market responded to the unemployment numbers during the week. the market had a reasonable rebound at 11.30 when the numbers were released. makes me wonder whether the market is already factoring in more bad news. must admit, when it comes to trying to rationalise the market at the moment i do favour the TINE theory...There Is Nothing Else to invest in at the moment so maybe that's why the money keeps flowing in.


----------



## over9k

Well there *was* supposed to be an economic boom and there's certainly a lot of pent up demand now. Everyone are trying to make sure they don't miss the boat, but the boat keeps getting delayed.


----------



## qldfrog

Do not always focus on your own experience country
I can tell you for sure than France Italy Spain...so we are talking 100000 deaths..not 100, and well aware of the dangers ,restarting  and people are actually fed up with the never ending scare tactics.was justified 3 m ago, not now
Too many while tgey have witnessed deaths have mostly witnesses getting sick and back healthy
You do not destroy a nation for a 1pc death rate.
I believe your feeling and the way we in Australia are presented the issue is only possible due to the absence of knowledge.
That absence of knowledge was general 4 months ago, and extreme measures justified.
This is not the case for who wants to know today.
After we have political games at play..
The economic impact is and will be severe even with a restart but if people are ready to buy qantas, flt or cruise company now, it will only improve with the future


----------



## over9k

I own QAN, WEB, AIA.


----------



## qldfrog

over9k said:


> I own QAN, WEB, AIA.



As i said...


----------



## Chronos-Plutus

over9k said:


> I own QAN, WEB, AIA.



There is no fundamental justification to own QAN, WEB or AIA; that I can see.


----------



## ducati916

MovingAverage said:


> must admit i was a little surprised how the market responded to the unemployment numbers during the week. the market had a reasonable rebound at 11.30 when the numbers were released. makes me wonder whether the market is already factoring in more bad news. must admit, when it comes to trying to rationalise the market at the moment i do favour the TINE theory...There Is Nothing Else to invest in at the moment so maybe that's why the money keeps flowing in.





The market is more interested in BRAIN (Biotechnology, Robotics, AI and Nanotechnology). So plenty to invest in.

jog on
duc


----------



## over9k

Chronos-Plutus said:


> There is no fundamental justification to own QAN, WEB or AIA; that I can see.



AU air travel will pick up (has picked up) on account of AU actually containing the virus and the sheer size of this country. It won't be anywhere near it was, but it'll be there. 

I bought QAN @ 3.40 for example.


----------



## MovingAverage

over9k said:


> AU air travel will pick up (has picked up) on account of AU actually containing the virus and the sheer size of this country. It won't be anywhere near it was, but it'll be there.
> 
> I bought QAN @ 3.40 for example.




It will pick up--no doubt about that. The question is when? QAN recently announced no international flights until at least Oct and domestic flights have ground to a hault. The thing I wonder is just how long QAN can hang in there until things genuinely start to improve--they must be really burning through cash at the moment.


----------



## Warr87

MovingAverage said:


> It will pick up--no doubt about that. The question is when? QAN recently announced no international flights until at least Oct and domestic flights have ground to a hault. The thing I wonder is just how long QAN can hang in there until things genuinely start to improve.




I think if you are going to buy and hold on it then maybe. I personally would rather move my money in and out of what is working now.

Good be a good value buy for a long term investor but too long term for me tbh.


----------



## over9k

They're fine as long(er) positions. There's going to be a hell of a lot of chop for a while yet - all good opportunities to buy.

New mask factories online in august - once the supply of masks is overwhelming/in no doubt, then we'll all be able to wear masks like putting shoes on, and virus spread will drop massively. Until then, things are just going to be choppy AF as the reopening stuff plays tug of war with virus data. 

I absolutely agree that they are not short positions though - I'm buying in the dips for long positions, and they're only going to be about 15% of my portfolio, so I'm certainly not betting the farm on it.

Boeing is the big travel related one I'm hanging out to buy back into, and that's got plenty of melt to go yet. I bought at 125 & 180, sold at 190. In the meantime, everything's parked in the stay at home stocks - zoom, paypal, ebay, cisco, amazon, skyworks, nvidia, facbeook, crowdstrike, and a couple of others I can't remember.

Additionally, I'm waiting to buy into pharmaceuticals like pfizer (which still has plenty to drop yet) as well as THO & WGO, and also expecting a further drop in the mining companies as I'm expecting more virus breakouts in china so that'll be another great dip to buy into long too.

Simple demographics of the baby boomers dictates a big spike in healthcare and caravans once the boomers are actually able to leave the house properly. Same actually goes with all the travel stuff, but I can't see cruise ships getting filled until there's a vaccine - very different thing to driving around in your own personal atmosphere in a motorhome or what have you. 

I wouldn't touch the U.S based airlines and travel stocks with a bargepole, but aus has actually contained the virus and its sheer size necessitates a certain amount of air travel, so things are a little different here.


----------



## qldfrog

OK weekly vs daily:
this is a real figures real money investment for 2 comparable systems, obviously with differently tuned parameters but working on the same concepts; both include volatily
(so the Duc reference in the name as Duc posts triggered my use of this indicator)

weekly 01/05 to 19/06
QFDuc started 1/05/2020
Total invested   $          90,009.85
end portfolio value  $          97,482.09
Profit  $            7,472.24
Nb max positions 20
Return since start 8%
Annual return so far 56%
Average per week: 934.02975



Daily equivalent
18/05 to 19/06 (note the fortnight delay paper checking etc so started a fortnight later)
Total invested   $  50,000.00
Current portfolio value $56,314.02
Profit $6,314.02
Nb max positions 12
Return since 18/05 12.63%
Annual return so far 125%
Average per week: $1262

so basically: *daily with just above half the invested capital is returning nearly 50% more*
There is a lot more work stress involved; I will only carry on this to leverage the high volatility period


My daily system purely using volatility and not much else is even better, much smaller bet as i would not bet the house on it:

Start 25/05/2020, end 16/06/2020
Total invested   $  20,000.00
End portfolio value $25,071.96
Profit $5,071.96
Return since 25/05 25%
Annual return so far 309%
I will restart the daily systems slowly today if I can most probably tomorrow as I just cam eback yesterday
There is a bit of juggling to do with order pre market open, updating past data etc
Daily is not for the faint hearted *even if daily for me is just a once a day update and check before entering orders.*
There is no way I woud spend my day/night in front of a scrreen, this becomes a job and no thanks at this stage of my life


----------



## qldfrog

forgot to add:
daily QFDuc vs XNT: notice the better than index return


none of the weekly including Skate's Action are able to beat the XNT index on these periods
see below


Food for thoughts....


----------



## qldfrog

to match Skate's comparison
Backtests 1/07/2019 to 24/06, notice the daily lower DD and better CAR/DD on this period which includes the crash
Hope this helps; it is not a clear cut case..but what is ever...


----------



## MovingAverage

My weekly has had a good few weeks putting on some nice gains, but suspect it's going to be giving up some of its gains today and possibly tomorrow--the US market was pretty ugly overnight.


----------



## qldfrog

Yes will see if i can get back today
If i learnt any lesson in the last few months, it is it is going to be a great buy today in the ASX


----------



## martyjames

Interesting qldfrog, thanks for posting. Now i'll have to read through your thread in detail!My system is daily and as well as the performance (at least on backtests, i am trading it live now), it suits my personality in that the DD is relatively low, gets in and out of positions offten to achieve this, and thats ok with me.
Why do say "it is going to be a great buy today in the ASX"?


----------



## qldfrog

martyjames said:


> Interesting qldfrog, thanks for posting. Now i'll have to read through your thread in detail!My system is daily and as well as the performance (at least on backtests, i am trading it live now), it suits my personality in that the DD is relatively low, gets in and out of positions offten to achieve this, and thats ok with me.
> Why do say "it is going to be a great buy today in the ASX"?



a bit of a tease with specific other traders who have called for an apocalypse due to that quite benign virus for the last 2 months
Tease aside, I restarted my pure volatility daily today, as for the daily QFDuc system mentioned above, there was no buy as I restarted today...will see what tomorrow brings
I share your view about limied DD, this was the trigger for me to start the whole daily process, it is much more more work intensive but with faster reaction and we all know how fast the market is becoming...


----------



## martyjames

Yes, it is to a large extent about designing a system you can 'live with'. Im considering adding a SPI short system (or warrants over XJO) to complement my long stock system, rsults are looking pretty good so far but still some more refining required


----------



## over9k

Tomorrow will be even worse IMO - standard friday jittery selloff but on steroids.


----------



## qldfrog

All good, let it fall, one system did not reenter, one handling well, the volatility one should be gaining well from its morning start
And I do not have QAN;-)


----------



## over9k

I will tomorrow 

Most of the country is already scheduled to reopen some time in july, and the mask factories are online in august. Only melbourne is the laggard, and we'll just see an "excluding vic" type arrangement at worst.

Everyone are going to **** themselves, but it'll be totally overblown.


----------



## MovingAverage

here you go frog...my weekly lost some ground on Thursday but managed to recover some today.


----------



## qldfrog

Both daily systems 100% cash with the pure volatility adding a $70 profit for an in out action
Start 25/05/2020
Total invested   $  20,000.00
Cash remaining  $  25,143.96
Current portfolio value  $  25,143.96
Profit $5,143.96
Nb of active positions 1
Nb max positions 1
Return since 25/05 26%
Annual return so far 303%


Weekly:
only QFDuc is live and 58% invested;
a minimal profit of 613$ this week or 0.63%
:
QFDuc started 1/05/2020
Total invested   $          90,009.85
Cash remaining  $          41,004.94
Current portfolio value  $          98,095.35
Profit  $            8,085.50
Nb of active positions 12
Nb max positions 20
Return since start 9%
Annual return so far 60%
Invested percentage 58%


----------



## MovingAverage

qldfrog said:


> Both daily systems 100% cash with the pure volatility adding a $70 profit for an in out action
> View attachment 105272




Out of interest, your daily system--what is it based on? Don't want details just curious as to what indicators etc it's based on.


----------



## qldfrog

MovingAverage said:


> Out of interest, your daily system--what is it based on? Don't want details just curious as to what indicators etc it's based on.



pure volatility is looking at the $Vix , the other daily use the Vix among others


----------



## MovingAverage

qldfrog said:


> pure volatility is looking at the $Vix , the other daily use the Vix among others




So if you're using VIX, how do you determine what specific stocks to take?


----------



## Warr87

MovingAverage said:


> here you go frog...my weekly lost some ground on Thursday but managed to recover some today.
> 
> 
> 
> 
> 
> 
> 
> 
> 
> View attachment 105270



i lost *a lot* on thursday lol.


----------



## MovingAverage

Warr87 said:


> i lost *a lot* on thursday lol.



Thursday gave me around a 3% DD and I think XAO was down 2.2%


----------



## Warr87

I lost around 3-4% on thursday (which was pretty much the weeks gains lol).

The market giveth, and the market takith. lol


----------



## qldfrog

MovingAverage said:


> So if you're using VIX, how do you determine what specific stocks to take?



Sorry , will not share that for the pure volatility, too sensitive and that portfolio is only 25k to give you an idea


for qfduc and dlqfduc, volatility is used to allow or not entering in stocks chosen thru another strategy, a layer on top of an already decent system as far as I can see


----------



## qldfrog

Not a full answer, sorry
Note that  my use of volatility is just a search triggered by Skate /Duc discussion but code/idea is self built so probably faulty.this is not the Ducati skate system, or if it is, pure coincidence


----------



## MovingAverage

qldfrog said:


> Sorry , will not share that for the pure volatility, too sensitive and that portfolio is only 25k to give you an idea
> 
> 
> for qfduc and dlqfduc, volatility is used to allow or not entering in stocks chosen thru another strategy, a layer on top of an already decent system as far as I can see




All good. You answered my question anyway—you’re using VIX in combo with another strategy. That’s all I was curious about. Thanks


----------



## over9k

My portfolio of stay-at-home tech hasn't had a red day for weeks. 

ASX has been choppy AF, but my U.S hasn't.


----------



## Warr87

over9k said:


> My portfolio of stay-at-home tech hasn't had a red day for weeks.
> 
> ASX has been choppy AF, but my U.S hasn't.




you must be very proud.


----------



## over9k

Considering the absolute fisting I received after betting quite a bit on a bounce in the oil companies when everyone were expecting the reopen back in may that then got delayed just long enough for the saudi's to fill basically every storage tank everywhere and thus tank 3/4 of my whole portfolio it's more of a relief than anything. I'm still up quite a bit now, but not nearly as much as I should be. 

I've made a post in the "trading the bounce" and "trading the trend" threads about why I think stay-at-home tech has plenty of legs yet - both threads are well worth a read of the last ~5 pages.


----------



## MovingAverage

over9k said:


> My portfolio of stay-at-home tech hasn't had a red day for weeks.




stay humble grasshopper for the red days will come


----------



## over9k

Sorry, didn't mean for it to come across as a brag.

I should have said that I think that stay-at-home tech still has plenty of legs yet and would be well worth a buy even now as the conditions (virus data) driving its gains over the past few weeks are only getting worse. Didn't mean to come off as douchey.


----------



## MovingAverage

over9k said:


> Sorry, didn't mean for it to come across as a brag.
> 
> I should have said that I think that stay-at-home tech still has plenty of legs yet and would be well worth a buy even now as the conditions (virus data) driving its gains over the past few weeks are only getting worse. Didn't mean to come off as douchey.




im just messing with you. Hey man, you’ve got to celebrate the wins so good for you. Your “stay at home tech” is interesting and I’ll check out your thread tomorrow—I tend to agree with you, cant see us rushing back to the old offices like we used to any time soon.


----------



## over9k

Well, I might have finally jinxed myself with that post!

The nasdaq closed down 2.59% (2.84% for djia), and I'm down slightly for the night, but half my portfolio's in extended trading so we'll see my final number soon. The major standout was ebay, bouncing over 3%. I suspected it was something to do with the data, released today, for consumer discretionary spending in may being far higher than expected, but amazon is way down, so it's something else (and I haven't looked into it).

Edit: ended up down 0.45%. I'm over the moon considering the bloodbath everything else was.


----------



## qldfrog

this morning, Daily volatilty engaged, qfduc saw some big activity with 7 sells and 9 buys+ one buy lapsing as being too high from open


----------



## over9k

You fire any lasers today frog?


----------



## qldfrog

over9k said:


> You fire any lasers today frog?



Relatively yes, Skate system fully in, daily volatility fully in,and weekly fully in, the daily qfduc still 100pc cash.
These are systems and do not care what i or you think, and can make money in either direction unless panic sets in
Fwiw, and not to be taken as a personal attack but you display a cockiness which is more similar to a Lotto winner than experienced expert.the market and life usually manage to leverage that 
There is no karma nevertheless if you did make good money in your gamble/ investment, i would recommend you set some aside.
I hope i do not breach the rules of the forum here.
DYOR
Not sure how old you were during the dot com bubble but i can remember some similarities.
If i roughly make it even after a FY tomorrow between my systems and asx exposures bonds and US market : i will be very happy
Real estate returns a limited loss so far
This specific thread is a public journal on a systemic trading attempt: the mistakes the win,the losses, the journey.
I aim to help others to discover the beauty of removing personal emotions when putting hard earned money into a seemingly irrational market without going in the angst of choosing to invest in a zoom meeting company making no money or a QAN losing billions


----------



## over9k

It's just a lingo thing man. I've been trading since the gfc - not old enough for the .com bubble.

You should see I've made quite a few very serious posts in several other threads and have even been calling the timing of a 2nd virus wave etc for quite a while now. I've even gotten its timing pretty much bang on when I said it was going to be the end of this month.


----------



## qldfrog

over9k said:


> It's just a lingo thing man. I've been trading since the gfc - not old enough for the .com bubble.
> 
> You should see I've made quite a few very serious posts in several other threads and have even been calling the timing of a 2nd virus wave etc for quite a while now. I've even gotten its timing pretty much bang on when I said it was going to be the end of this month.



I do not doubt your seriousness,you have a few very valid points and are presenting thoughts worth debating and agreeing/disagreeing  
No problem there but in your last few days posts, there was a tone i found maybe wrongly as a bit cocky for lack of a better word.
No big deal and not feeling attacked or whatever.


----------



## over9k

I don't think I've mentioned that I'm english - we take the piss out of everything/joke about the most serious of things. It's a cultural thing. 

You know, it's just a flesh wound


----------



## qldfrog

English and French, what can go wrong....


----------



## frugal.rock

Mon'Amie and Geezer !
All I can say is that I wish the accents came through. 
More fun, init.
Ce sont de sacrés bleu sur vos poings là, Frog.


----------



## over9k

If there's one thing that'll unite us, it'll be the germans.


----------



## qldfrog

over9k said:


> If there's one thing that'll unite us, it'll be the germans.



yes British and Prussians together forever...until WWI...;-)
Let's get back to the systems now! Will try to give an EOFY results of systems experiences in the coming days


----------



## over9k

Do you only trade on the ASX frog?


----------



## qldfrog

over9k said:


> Do you only trade on the ASX frog?



ASXand US, but more discretionary/investor on the US market
basically I can usually spend weeks on the US portfolio not even looking at the SP, looking daily on the ASX now
ASX 95% systems, not discretionary..I bought a few PMGold lately but that's basically it


----------



## qldfrog

OK: EOFY results drums rolling well, nothing to be proud of, nor ashamed
8 systems were run with money in play:
flipper and zlextra were both started and stopped not due to crash but due to repainting, mistakes detected  and underperforming in refined BT: loss $5.5k 

System 1 and 2 ended back in cash after the crash with some losses:-$27k;(so roughly -11% each)
They did not have any GTFO, got hammered by the  crash and it would be stupid to carry them on;
This allowed me the opportunity to work on new systems, GTFO options etc; 
I now have 4 systems:
daily volatility, DLQFDuc, QFDuc and Skate systems
They total 20k profit  (inc 3k from Skate test run)
overall -12.8k this financial year ..I was hoping to be even but nope, a few bad results this week and had forgotten about my initial mistakes costing me 5.5k..

Percentage wise:around 4.2% fall in the overall FY.
Considering they started life respectively in:end feb19,August and December 19, just ready to be hammered in February without gaining much traction in the last months before the crash 
then for the new versions to only start in May 20

I am actually not too disappointed
Benchmarks: xnt: -10.5% or VAS: -12.5%

These results include brokerage costs etc, but not a few hundred/thousands of franked dividends etc

I think this could be interesting for other beginners


----------



## Warr87

It's a loss but in the context of what went on, I think you faired better than some professionals, I'm sure.

Well done mate!


----------



## qldfrog

Warr87 said:


> It's a loss but in the context of what went on, I think you faired better than some professionals, I'm sure.
> 
> Well done mate!



if you look back in historical posts here you will see me placing daily SL on my weekly system, then removing them as they reduce performance overall.usually....
Putting these in ,in January was a great idea, removing them costed me around 20k  :-( .
I have reinstated these maybe with a too low threshold but at least they are back...
The rest of my investment were quite conservative so hopefully should not be too bad overall..will see
Real estate returns where more affected,,holiday unit, warehouse empty...
such is life.
Much is praised about diversification, but that mean you have neither catastrophic years ..nor wonderful ones


----------



## over9k

When exactly did you start frog?


----------



## qldfrog

over9k said:


> When exactly did you start frog?



End 2018 when i started seriously, buying AB,  reading N Radge "unholy grail" and pushed/helped by Skate thread.some real effort then learning
First system ready  in January a bit of paper trading and first dollars in in February 2019.
By the tine my flawn initial system was fully invested,, we were in August 2019 and i had missed the bonanza first half of 2019 
Did not go badly for second half to crash but new systems ramp up just made them ready for the slaughter:-(
So lost gain and more by march end
Caught up a bit but ramp up took its tool.
With trend systems, there is a lag between start and keeping winners, dumping loosers.
My experience demonstrated this effect clearly..a win rate of 50pc is very good for me, add few entries only a week and you can miss bounces on a weekly
Note this only applies to systems investment.
I have been invested in the market for ages starting 2000 or so, but going nowhere really with discretionary: too emotive and always too early, never with the Gremlins.
I have also been burnt heavily by the QE/Fed when a big short , 60k or so win got annihilated in a week when i was offline in Thailand.
Plenty of lessons...so now systems, figures, facts, no emotions or being right.


----------



## qldfrog

evening folks not a good week , especially a bad day today for both daily and weekly QFDuc witha few heavy falls so overall:
2 daily systems now up and running
weekly returns:

pure volatility daily: -1.3% (-327),
 daily qfduc: -2.1% (-1195),
Skate:+1.1% (+257)
weekly qfduc:+0.86 (+843)
so a -422 loss..not good but nothing to change looking at details today saw a loss of 1.5k on 3 stocks or so

in detailswe have to remember these portfolio were liquidated then restarting after a week break so basically a 2 week gap
I will post some of the planned action for Monday during the week end
--------------------------------------------------
Pure Volatility daily:
Start 25/05/2020
Total invested   $  20,000.00
Cash remaining -$   1,304.52
Current portfolio value  $  24,816.32
Profit $4,816.32
Return since 25/05 24%
Annual return so far 231% 



----------------
-daily trend qfduc:
Start 18/05/2020
Total invested   $  50,000.00
Cash remaining  $  30,572.94
Current portfolio value $55,119.25
Profit $5,119.25
Nb of active positions 6
Nb max positions 12
Return since 18/05 10.24%
Annual return so far 83%


we lost this week our advantage over XNT
-----------------

Skate:
Skate system 11/05/2020
Total invested   $          20,000.00
Cash remaining  $            3,028.74
Current portfolio value  $          23,662.55
Profit  $            3,662.55
Nb of active positions 19
Nb max positions 20
Return since start 18.31% 
Annual return so far 129%


---

lastly my remaining weekly QFDuc:
still trailing XNT

QFDuc started 1/05/2020
Total invested   $          90,009.85
Cash remaining  $          27,003.71
Current portfolio value  $          98,939.20
Profit  $            8,929.35
Nb of active positions 14
Nb max positions 20
Return since start 10%
Annual return so far 58%


----------



## qldfrog

OK: not a great day but:
@Skate's system: I keep Monsieur Skate in check ;-):
we sold 12 packets for an overall gain of $487 after costs
And total $3394 profit since start of the system, matching Mr Skate  Dump it results: Dump it is the true thing!!!

I did not doubt that so now for my own side:
QFDuc bought 4 packets this morning APT, BRN, NEA and PPG, all commonly traded shares in my system;
And sold CDV and RMS for a gain of $857 after costs.We are 80% invested
Daily pure volatily saw a small fall today...can not win everyday but no buy sell
DailyQFDuc:no buy sell


----------



## qldfrog

tonight:
week results are overall negative:around -$1036
daily +1.98% (+$1093), daily pure volatility: -4.28% (-$1062), Skate Action system:+0.42 ($99) and lastly weekly qfduc:-1.18% (-1166)
actually better than index which is good; variability has been very high, I lost 2 k between midday and closure, yesterday 2.5k between 12 and 4PM and today ended a loss;
which gives us:

1)
Daily qfduc: beating xnt again

Start 18/05/2020
Total invested   $  50,000.00
Cash remaining  $   9,184.16
Current portfolio value $56,212.58
Profit $6,212.58
Nb of active positions 10
Nb max positions 12
Return since 18/05 12.43%
Annual return so far 87% 



2) daily volatility was bad this week:
Start 25/05/2020
Total invested   $  20,000.00
Cash remaining -$   1,304.52
Current portfolio value  $  23,753.68
Profit $3,753.68
Nb of active positions 1
Nb max positions 1
Return since 25/05 19%
Annual return so far 152% 


3)Skate implementation
Skate system 11/05/2020
Total invested   $          20,000.00
Cash remaining  $          12,490.25
Current portfolio value  $          23,761.39
Profit  $            3,761.39
Nb of active positions 8
Nb max positions 20
Return since start 18.81%
Annual return so far 116% 


and lastly my weekly:
QFDuc started 1/05/2020
Total invested   $          90,009.85
Cash remaining  $          23,476.43
Current portfolio value  $          97,773.15
Profit  $            7,763.30
Nb of active positions 16
Nb max positions 20
Return since start 9%
Annual return so far 46% 



Note that the weekly is the only one returning below XNT but losing less.


----------



## Warr87

returns are looking good mate!


----------



## qldfrog

yeap not too bad..need to beat the index is the first step;
with lower exposure and DD
on Monday9 sells on QFDuc weekly and try to get 10 buys but could be tricky as I need to sell before 
ordering...
daily volatility unchanged, DLQFDuc has 3 sells.


----------



## qldfrog

This morning: what a day
Daily QFDuc
3 sells for a loss of1045$ no buy

Skate system 5 buys
Weekly QFDuc:
8 sells
1 sell was not executed I liquidate tomorrow
AMI BRN MAQ NEA PNR PPG PPH RBL
for a total profit of $3374.88 after costs
10 buys:FBR FLN KGN MNS PLS PPS RMS TTM WAF Z1P


----------



## qldfrog

a really bad week:
not a single positive system this week:
Daily QFDuc: -2.28% (-$1281)
Daily Volatility: -5.27% (-$1252)
Weekly Skate : -0.55% (-$131)
Weekly QFDuc: -2.58% (-$2520)
so a loss of more than 5K overall..outchyet XNT went up;
I actually had a terrible day on 14th, happy Bastille day Qldfrog with a loss of $7.3k
Hard to even pin point a specific area, system or share, just a very bad day overall whereas the ASX was kind of OK, remaining days slowly reducing the losses...
**** does happen :-(
overall:

*Daily QFDuc:*
Start 18/05/2020
Total invested   $  50,000.00
Cash remaining  $      217.69
Current portfolio value $54,931.05
Profit $4,931.05
Nb of active positions 12
Nb max positions 12
Return since 18/05 9.86%
Annual return so far 61%


*Daily volatility: *
not invested
Start 25/05/2020
Total invested   $  20,000.00
Cash remaining  $  22,501.49
Current portfolio value  $  22,501.49
Profit $2,501.49


*Weekly Skate :*
Skate system 11/05/2020
Total invested   $          20,000.00
Cash remaining  $            7,468.22
Current portfolio value  $          23,630.30
Profit  $            3,630.30
Nb of active positions 8
Nb max positions 20
Return since start 18.15%



*Weekly QFDuc:*
QFDuc started 1/05/2020
Total invested   $          90,009.85
Cash remaining  $          12,854.80
Current portfolio value  $          95,252.43
Profit  $            5,242.58
Nb of active positions 17
Nb max positions 20
Return since start 6%
Annual return so far 28%


----------



## qldfrog

*Alert:*
I prepared today the open orders for Monday:
Skates 4 buys,
no buy/sell for both daily systems
but I detected a _serious _issue on the weekly;
For the first time since the 07/06 when I last updated my code, I got *MAJOR *repainting:
out of the 10 buys from last Monday only 2 appears this week  and not on last week, but for this week..
That may go a long way to explain the abysmal results of last Tuesday;
I have to go back to the drawing board and see where the problem is..am I future looking??
Anyway, my problem...Will keep you posted.. Confidence seems a variable value;
reluctant to order on Monday with that system at this stage 
So far no issue in any of the daily. All good there
Have all a great week end


----------



## martyjames

are you using zig zag function? if so that could be this issue


----------



## qldfrog

martyjames said:


> are you using zig zag function? if so that could be this issue



Used to, and was aware of it for my zlextra up to a couple of months ago but not on that system
This should not happen.human error i presume.i can do a replay and see it happen between last week and this week.
Reproducing the error in debugging is half the win so i should be able to sort it out hopefully by Monday otherwise next week
Thanks for the idea


----------



## qldfrog

simple stupid reason;
to check the backtests properly and realistically, I had a condition on Buy/Sell looking at the ref(,+1) voluntarily enforcing that my buy sell margin was big enough to buy...ok for backtest but in explore was actually removing the ones where I would miss at open (fair) AND replacing them by the next in line in term of score..which is not what I wanted...
I cleaned that:
the whole portfolio of QFDuc has to go and I will reinvest ..after the open sadly and buy what the corrected version tell me to, as long as it is within the given limits
Not ideal but I pay the price of my mistake...
was easier to spot than expected


----------



## qldfrog

A typical negative trait that I suspect most of us have:  starting to blame the huge fall last Tuesday on this, be honest qldfrog, this issue is not to be blamed for that.
Will restart clean and new with mostly the same algo on Monday.
Sell all, 4 buys
I just tweaked a variable a bit differently..but still weekly qfduc system
Walk on..i stopped jogging years ago


----------



## qldfrog

Just want to add that I only detected this based on my explore results differences check spreadsheet:
as i was checking yesterday's explore results since may,the check detected  differences 
Without this spreadsheet, I would have been blind-fully ..and probably happily ...unaware, and potentially some big impacts on a weekly where it can take ages to detect issues

Yes it is unsophisticated, yes I might have been able to detect it earlier during development but incremental changes, "improvements" tend to creep on you.
=>Keep a trace of your previous explore results, compare them over time, the cost is minimal, the benefits significant.
Enjoy the weekend


----------



## martyjames

"Keep a trace of your previous explore results, compare them over time, the cost is minimal, the benefits significant"

i can totally endorse this. I had a DAILY system that ended up with the same issues you now have. Previous explore results are what alerted me also to the problems with the system.


----------



## qldfrog

so we have a total sale of the weekly share at the open, crystallizing a $550 loss for the lot, not bad actually as I enjoyed the open higher prices; I also bought 4 parcels
ARV@.082  (lost 12% today outch)
BRN @0.105,
HUB@13.14
and NWL @11.95;
all of today's purchases lower at close today.
no change on either daily systems, 
Skate's Action orders completed but I sold BGL for a gain of $665 and will repurchase the shares as part of the SPP @$1;
time will tell if it is a good move


----------



## over9k

How much have you been stung over the last week frog? 

I'm holding.


----------



## qldfrog

over9k said:


> How much have you been stung over the last week frog?
> 
> I'm holding.



Systems figures were provided on #611

does not include US or other ASX discretionary plays: 
I do not hide anything:
between 13/07 close and tonight, before Monday US:
(14th of July was my killer with 7.5k going in smoke overall shares, bonds here and O/S; special Bastille day treatment

-100$ on US currency, +$3.4k on bonds and US shares, -4.6k on ASX shares
so just 1.2k loss in a week [roughly -0.15% loss for that bad week].
Not going too bad considering I have no ZOOM or ebay ;-)
slowly catching up (+$900 today)
It is a marathon and a number games


----------



## over9k

Yeah everyone have the jitters waiting for the next stimulus package.


----------



## qldfrog

Great week for my systems:
daily volatility: was bad:loss of $810
but others were flying:
dailyQFDuc:+7.6k(+13.8%)
and weekly:
my Skate Action implementation: +1.2k (+5.7%)
and
QfDuc:+1.4k (+1.44%) not bad with only 4 positions invested

so a weekly gain of 9.4k on a flat week compensating my horror week last week
These systems must have something in them 
-----
details and graphs:
Daily volatility:

Start 25/05/2020
Total invested   $  20,000.00
Cash remaining  $      414.07
Current portfolio value  $  21,690.55
Profit $1,690.55
Nb of active positions 1
Nb max positions 1
Return since 25/05 8%
Annual return so far 52%


---
Daily QFDuc:
Start 18/05/2020
Total invested   $  50,000.00
Cash remaining  $   4,515.93
Current portfolio value $62,499.90
Profit $12,499.90
Nb of active positions 11
Nb max positions 12
Return since 18/05 25.00%
Annual return so far 138%



---
weekly:
Skate implementation of Action:
Skate system 11/05/2020
Total invested   $          20,000.00
Cash remaining  $            5,192.86
Current portfolio value  $          24,852.05
Profit  $            4,852.05
Nb of active positions 16
Nb max positions 20
Return since start 24.26%
Annual return so far 121%


and QFDuc: restarted after fixing the detected issue last weekend

QFDuc started 1/05/2020
Total invested   $          90,009.85
Cash remaining  $          76,611.17
Current portfolio value  $          96,625.12
Profit  $            6,615.27
Nb of active positions 4
Nb max positions 20
Return since start 7%
Annual return so far 32%


----------



## Warr87

Last week was a weird one. I saw everyone have similar results with loses compared to the market. And like you my system this week did pretty well despite a flat week!

I'm hoping these results carry through for you mate. It's looking good.


----------



## qldfrog

I ha


Warr87 said:


> Last week was a weird one. I saw everyone have similar results with loses compared to the market. And like you my system this week did pretty well despite a flat week!
> 
> I'm hoping these results carry through for you mate. It's looking good.



d a few outstanding winners last week: MNS +95% in a week; YOJ +46% in a few days and BRN 25% in a week..that helps


----------



## qldfrog

Tax time question for the followers: I am filling my own personal tax return using the ATO online tool
I definitively qualify for  ATO definition of
_share trading as business;_
the ATO specifies that dividends are included in assessable income, fair so I have to remove them from where they are  automatically prefilled but what happens with the franking credits?
And how do you enter these gain/losses and dividends franking credits in the online app?

I can not be the only one filling what should be a pretty straighforward reports for tax.Any help wanted, please PM me directly as I do not want this to be considered advice, even taxation advice and put Joe in trouble.


----------



## qldfrog

A good day systems wise:
weekly QFDuc purchased parcels in YOJ, CDV and SLR, 
and Sold ARV for a loss of $305.71
my daily sold FLN for a loss of 238, no buy, and Skate's 3 buys were implemented as expected


----------



## qldfrog

end of week on a sour note and a bad week overall:
Daily qf duc lost 6.8% or 4.2k
Daily volatility lost 3.6% or $800 , the bad part is that it is the 5th negative week after 5 consecutive positive week
nearly back to start;
my Skate action implementation did well: flat
and the weekly QFDuc a minor 0.6% increase or $500
in summary:
daily QFDUC
Start 18/05/2020
Total invested   $  50,000.00
Cash remaining  $      776.04
Current portfolio value $58,270.81
Profit $8,270.81
Nb of active positions 12
Nb max positions 12
Return since 18/05 16.54%
Annual return so far 83%
Average per week: 1654.1622 


Daily volatility
Start 25/05/2020
Total invested   $  20,000.00
Cash remaining  $      414.07
Current portfolio value  $  20,909.11
Profit $909.11
Return since 25/05 5%
Annual return so far 25%
Invested percentage 98%



Weekly QFDuc:
QFDuc started 1/05/2020
Total invested   $          90,009.85
Cash remaining  $          66,955.94
Current portfolio value  $          97,162.04
Profit  $            7,152.19
Nb of active positions 6
Nb max positions 20
Return since start 8%
Annual return so far 32%
Average per week: 715.2185


Not every week is sugar and lollypops ;-)


----------



## Warr87

Are you having trouble managing 3 systems?


----------



## qldfrog

Warr87 said:


> Are you having trouble managing 3 systems?



Not really.
Weekly.no trouble..plenty of time
Daily
The daily volatility has had no change for weeks just slowly losing....
And daily qfduc is a little bit of work
Only 12 positions but a change or 2 a day
I look at os market so need to wait past 8:30 am before loading premium data, then ab, one click for opening the system file
Another explore
Select all and copy in spreadsheet where i confirm no repaint then any buy or sell entered
Around 15 to 20 minute a day
Could not do that if working. But as i i  not work anymore all good
Hope it helps
This week was bad with huge day variation but **** happens
More worried going from 25k to 20k on the trial daily volatility
Working as a rocket first 4 weeks..slowly dying
Well there is a reason i only put 20k
Others quite happy


----------



## Warr87

good point on the time. not too bad but depending on your job could be difficult.

i'm sure your system will come back. it won't always be in sync. overall your systems are producing very good annual returns.


----------



## qldfrog

Warr87 said:


> good point on the time. not too bad but depending on your job could be difficult.
> 
> i'm sure your system will come back. it won't always be in sync. overall your systems are producing very good annual returns.



So did they last year and February saw the profits go in smoke, i will rework on my zl extra after fixing it
Good potential, different concept and unsync with others but still a bug there


----------



## qldfrog

On Monday DL volatility unchanged;
DL QFDuc: 3 sells, 1 buy 10 out of 12 positions..I might soon increase my number of positions as we are soon reaching 20% profit and I could add positions and reduce risks per trade per for the time being I stick to 12 max
weekly QFDuc 4 sells, 3 buys: I will end up with 5 out of 20 positions only: quite light weight


----------



## Warr87

20%? nice work mate! have an idea of where you will stop the max positions?


----------



## qldfrog

Warr87 said:


> 20%? nice work mate! have an idea of where you will stop the max positions?



20 @$5: i think after that, i will start a new system altogether


----------



## Warr87

any ideas on what? You could diversify and try commodities/futures?


----------



## qldfrog

Warr87 said:


> any ideas on what? You could diversify and try commodities/futures?



ideally my ZLextra a zigzag tweaked  as long as I can ensure no repaint


----------



## qldfrog

before I forget, today was weekly action day not much to see:
weekly QFDuc sold CDV HUB NWL SLR at open for a total loss of $418
and bought BKY @ 0.52, GSW @ 0.83 and RBL @ 2.66 all losing relatively heavily today (nearly 900$ loss from buy to EOD for 3 stocks)
Daily bought GXY and sold CDD.CLQ and SRG for a total loss of $763
On a day like this, discretionary stocks  in PMGOLD, USD, BONDS and CSL/Silver helped a lot to finish the day positive but the systems were hurting


----------



## qldfrog

a stellar week compensating for last week bad results:
daily: pure volatility: +3.11% or $650
        QFDuc: +5.5% or $3.2k
weekly:
Skate:+6.6% or 1.6k
 QFDuc +1.7% or 1.7k
so 7K added to the silver gold plays which are going well..a great week
=========================
in details

Daily QFDuc:
Start 18/05/2020
Total invested   $  50,000.00
Cash remaining -$      211.84
Current portfolio value $61,484.61
Profit $11,484.61
Nb of active positions 12
Nb max positions 12
Return since 18/05 22.97%
Annual return so far 106%


--------------------------------------------------------------
Daily volatility:
Start 25/05/2020
Total invested   $  20,000.00
Cash remaining  $      414.07
Current portfolio value  $  21,560.31
Profit $1,560.31
Return since 25/05 8%
Annual return so far 40% 


---------------------------------------------------------------
my Skate action implementation:
I sold GOR by mistake as i was liquidating my own investor position there ah well
Skate system 11/05/2020
Total invested   $          20,000.00
Cash remaining  $            4,389.85
Current portfolio value  $          26,486.94
Profit  $            6,486.94
Nb of active positions 18
Nb max positions 20
Return since start 32.43%
Annual return so far 138% 


---------------------------------------------------------------
QFDuc started 1/05/2020
Total invested   $          90,009.85
Cash remaining  $          71,431.14
Current portfolio value  $          98,821.14
Profit  $            8,811.29
Nb of active positions 5
Nb max positions 20
Return since start 10%
Annual return so far 37%


----------



## qldfrog

I hope these real world results are enticing people to have a go;
my weekly QFDUC is under performing still decent return but I would be better in an ETF
the obvious issue is that I have currently only 5 positions out of 20 invested: most of the money is just waiting there idling;
great if we have a crash tomorrow but if i multiply the profits by 4  (if aka putting all money in) i would be returning 130% annualized instead of 37%;
So slow entry & quick exit has its drawback, but being in a weekly system, it leaves you exposed risk vs return the essential trade off


----------



## Newt

Great going.  Funny week - Lots of small red down moves but some stocks powered ahead - always nice when have a few of those.  Similar nice jump up this week for me too QF.


----------



## Warr87

looking good mate. i know it must be frustrating that you're not fully invested. what do you backtests show with being invested at different times? may be frustrating but if it matches up with the backtest then all is as it should be.


----------



## qldfrog

M


Warr87 said:


> looking good mate. i know it must be frustrating that you're not fully invested. what do you backtests show with being invested at different times? may be frustrating but if it matches up with the backtest then all is as it should be.



matching backtests, i will focus my quick-in design in my next system, too busy to tinker with current systems.


----------



## Warr87

well its good that it all matches.


----------



## qldfrog

moves of the day
GOR for Skate system: I had sold my Action system GOR parcelwith the rest of my portfolio so bought it again today at open at 1.84 (I sold at 1.87 so actually make a 9$ profit 

daily pure volatility no change
daily QFDuc one buy one sell
weekly QFDuc sell BKYfor a loss of 273
Bought:
ACQ CAT IRI LYC MSB NCK 
another good day today


----------



## qldfrog

what a week again, never boring;
One of my biggest losing day on the asx on the 12th due to PM fall;
recovered but not a great week systems wise either especially considering the XNT went up by nearly 2pc

daily qfduc :-2.75% or -1.7k

daily volatility (ASX):+2.84% or 0.6k

a new kid on the block traded on the ASX but focusing on US indexes:
started yesterday:
daily volatility (US):+0.23% or $60 ;-)

weekly:
Skate system:-2.77% or -0.7k
and my own QFDuc -0.36% or -0.35k

Overall: -$2.1k not good
Daily QfDuc
Start 18/05/2020
Total invested   $  50,000.00
Cash remaining  $   2,168.97
Current portfolio value $59,794.42
Profit $9,794.42
Nb of active positions 11
Nb max positions 12
Return since 18/05 19.59%
Annual return so far 83%
Invested percentage 96%



Pure volatility ASX:
Start 25/05/2020
Total invested   $  20,000.00
Cash remaining  $  22,171.92
Current portfolio value  $  22,171.92
Profit $2,171.92
Return since 25/05 11%
Annual return so far 50%


Pure volatility US:
not really relevant yet :


Weekly:
Skate's Action:
Skate system 11/05/2020
Total invested   $          20,000.00
Cash remaining  $            3,209.61
Current portfolio value  $          25,753.86
Profit  $            5,753.86
Nb of active positions 19
Nb max positions 20
Return since start 28.77%
Annual return so far 113%
Invested percentage 87%



Weekly 
QFDuc started 1/05/2020
Total invested   $          90,009.85
Cash remaining  $          50,282.94
Current portfolio value  $          98,469.24
Profit  $            8,459.39
Nb of active positions 9
Nb max positions 20
Return since start 9%
Annual return so far 33%
Invested percentage 49%


Hope it helps
Will post what are the planned actions this week end


----------



## qldfrog

Systems run: 5 sell, 7 buys on weekly Qfduc looking for a better week next week.


----------



## Warr87

looks like you had similar issues to me again with gains/losses.

you got quiet the collection of systems now.


----------



## qldfrog

Warr87 said:


> looks like you had similar issues to me again with gains/losses.
> 
> you got quiet the collection of systems now.



MSV fall was extreme and triggered SL, ended reversing due to good announcement: that costed 700$ and the mini gold crash affected miners so fair enough.

Number of systems:
Long trend following is  great when markets are bull but do at best nothing when markets fall.
Market can go up, down or nowhere..

I try to have a system suited to each phase more that a monster one switching to different modes.
So far i have 2 systems which can profit from bear each 20k or so so minimal risk
Daily reduces automatic intra day SL which i distruss
One daily / one weekly trending ones based on a trend concept
And Mr Skate implementation which i use as a reference and check:
On top of it, it is actually profitable

Ultimately and if proven, the 2 daily able to profit from bear would be joined and more capital entered

As long as i can have the time to manage them, i expect to keep the daily/weekly trend.potentially exiting/reentering the daily one if i become too busy , travelling.. LOL or getting sick whatever

Action strategy will stop whenever Mr Skate decides to

That leaves room for one more system ideally suited to going nowhere market, preferably weekly if possible and with different strategy
I spent the afternoon yesterday on this but ultimately results were not as good as expected so back to the drawing board
I still need to look at the zlextra issue and work i did in the past for 123-45 implementation.
There's something there
That's the plan and i have the luxury of time availability


----------



## qldfrog

restarted updated ZLextra weekly:bought BFG ISD SIG SLC and RUL
Weekly QFDuc sold AQZ CAT GSW YOJfor a loss of 1k
and bought ADH, CL1,KGN,PNI RUL AND TBR


----------



## qldfrog

For personal reasons the coming months are going to be very busy and I may be less present here
Many will be happy ;-)


----------



## barney

qldfrog said:


> I may be less present here Many will be happy




Untrue Frog ... Many will be Un-happy if that be the case


----------



## qldfrog

barney said:


> Untrue Frog ... Many will be Un-happy if that be the case



you are too kind.Nothing dramatic, good news actually [to be confirmed] , and no, too old to be a dad ;-)


----------



## barney

qldfrog said:


> and no, too old to be a dad ;-)




Lol When I first read that, I thought your had said never too old to be a Dad and was about to crack a bottle of sparkly on your behalf (any excuse is fine with me)

Then I realised it was not the case 

So I cracked a bottle anyway to celebrate my lack of reading skills

Whatever the news, Good luck Frog


----------



## qldfrog

Friday night again folks:
how was the week?
mixed: good results for weekly QF duc:+3.73% or +3.68k
ZLextra rebirth lost $60 but is now24% invested
my implementation of Mr Skate Action  had a 1.9% gain or $492
The daily system were not so good
Volatility US lost %2 or $520
Volatility ASX gained 0.4% or $93
but my daily QFDuc lost 2.2% or 1.3k
overall: 2.38k gain; not too bad roughly a 0.8% gain on the total .
let's keep rolling


----------



## qldfrog

BAAAAD week?
weekly QF duc:+1.4% or $1.4k
ZLextra rebirth -2.28% or -$842
my implementation of Mr Skate Action had a 1.5% loss or - $400
The daily system were not good
Volatility US lost %5.5 or -$1.36k
Volatility ASX gained 1.9% or $420
but my daily QFDuc lost 2.45% or -1.4k
overall: 2.2k loss; roughly a 0.7% loss on the total .
let's keep rolling


----------



## qldfrog

So today:
volatility US/ASX and Skate implementation unchanged
ZLextra sold ISD for a $382 loss; bought ADA AHY BSE EHE RMC SPL WGN and now 80% invested
QFDuc sold at open ADH ARB FID KGN NCK RBL RUL for a total gain of $1352
and bought APT BSE BWX FWD IEL NEA RMC SPL Z1Pand is now 80% invested
Good day today ..let's roll


----------



## qldfrog

Great week!!
I know, let's not rub it in after today but thanks to BRN and my volatility systems great returns:
daily systems:
daily qfduc:-0.49% or $378 loss
pure volatility US:+2.43% or $560 gain
pure volatility ASX:+5.23% or $1187 gain
weekly:
Mr Skate implementation:+1% or $260 gain
ZLExtra :-0.88% or $319 loss
and the star due to BRN:
QfDuc +4.66% or $4830 gain

overall $6140 gain or around 2% gain for money invested;
please note that, as of today: Daily qfduc is only 17% invested, both volatility are 100% invested, ZL extra 80% invested and QFduc 90%..I suspect far less by monday night
Will provide graphs etc if i get a sec.in the process of moving....
Have all a great week end


----------



## barney

qldfrog said:


> Great week!! I know, let's not rub it in after today




Frog , if you are having a good week, even if I personally am not having a good week, I am still happy on your behalf! (Its the Zen factor)

If I'm in the minority, I'd be surprised, but I suspect most other ASF punters would also be cheering you on

May your tadpoles all turn into Frogs


----------



## qldfrog

And today:
liquidated Mr Skate action portfolio:
back in cash at  $  25,546.81 
so a profit of $            5,546.81, well done Mr Skate:27.7% since 1/05 (so 4 months or so)
Many thanks
ZL extra system:
sold CCV RUL SIG SLC for a combined loss of $845
and bought CDV FMS MHJ RKN =>67% invested
QFDuc: sold APT BBN CAT CL1 FWD IEL NEA RMC Z1Pfor a loss of 4k
and bought 
AYS CDV FMS and PSQ->70% invested


----------



## qldfrog

in the middle of a move, satellite internet disconnected in a few days, one laptop on the remaining kitchen table and chair so will not go into much details:
a great week 
for the first time I think, all 5 systems are beating the XNT since inception:
daily: QFDUc -$100 or -0.2%
pure volatility ASX: $  565.20 or 2.37%
pure volatility US: $1,238.16 or 5.21% 
weekly:
zlextra 0.4145%  or $148.31 
QFDuc 5.4658%  or $5,924.93 
over all systems: +7.7k on 254k portfolio values so 3% this week
note that on friday BRN fall took 5k off profit from QFDuc weekly
Will check during the weekend what's in line on monday


----------



## frugal.rock

All the best wishes for your move Frog.

Would give you a hand in the Aussie tradition but your premier has a bad attitude. 
I think we should return to the old days, when the whole of eastern Australia seaboard was NSW....
dispose of all 3 horrid premiers whilst at it.


----------



## qldfrog

first stage of move completed, PPOR sold and settled, 2 containers in storage, staying in temp accommodation before completing purchase of new place, so not ideal working/trading  conditions
And a very bad week:
Daily:
pure volatility ASX:-$1.07k (-4.4%)
pure volatility US:-$250 (-1%)
daily qFDuc -$185 (-0.33%)
Weekly:
ZLExtra:-$440 (-1.2%)
 qFDuc -$10.8k (-9.45%) single handed due to fall of BRN 

overall: -$12.5k out of 242k or so 5% loss arrrrrrgh
Hopefully I did not mess up my figures...


----------



## qldfrog

another horrendous week past:
daily systems:
 qfduc -$2k or -3.56%....now below XNT :-(
volatility ASX -$364 or -1.56%
volatility US -$4.6k or -18.6%now well below XNT
weekly systems:
ZL extra: -$492 or -1.39%
QFDuc -$1.78k or -1.67% now well below XNT
overall lost 9.2k outch again or 4%

lost nearly 10% in the last 2 weeks, 
my systems are definitively not liking the yoyo market


----------



## Warr87

that's tough mate! i still have faith that your systems will trend upwards soon.


----------



## qldfrog

Warr87 said:


> that's tough mate! i still have faith that your systems will trend upwards soon.



hope so, these are the same systems which were doing great 2 weeks ago  or were all above XNT last week....


----------



## Warr87

few weeks is small potateos even if you run it for a year. let's hope it rebounds just as quick as it dropped .


----------



## qldfrog

here we go again week number 3 of very bad results
Daily:
volatility US

-$ 459.93-2.28%
I can live with that but it does not get back the 5k lost last week;
is now at a net loss of 20% since inception.And well below XNT

volatility ASX:

-$1,448.54-6.30%
outch again
still in profit but not by that much and just above XNT

my darling  DLQFDuc:

-$3,782.59-6.95%
Has lost 12k or 24% since mid july, nearly back to no profit since inception and this week underperformed XNT for the first time

Weekly handling better:
ZL extra

-0.6567%-$ 229.81
more or less even with XNT
QFDuc:

0.7326%$ 745.71
small gain and keeping ahead of XNT
overall:
-$5175 out of 230k so a solid 2.25% loss ..
and today lost 4k on MSB outside systems..not a great week


----------



## over9k

Jees frog, I feel for you man. Have you tried chasing any dividend stocks?


----------



## qldfrog

over9k said:


> Jees frog, I feel for you man. Have you tried chasing any dividend stocks?



Not really my thing:
I am not good at judging the psyche of the average trader/ quant: scared too early,bull too early.systems are no doubt the way to go for me.i am also pretty good at following them.see how long it took me to blacklist msb..
I have some investment in usd, minor euro and a portfolio of aus bonds.
But for growth systems are the way.
In term of DD,nothing alarmist yet,just was not expecting this bad in the last 3 weeks.
On the other end, comparison with xnt on the similar period is kind of matching
Sadly,in the last few months, the move and associated activities has been the focus and it will be quite a few weeks before i can spend quality time for analysis.
So the relative advantage of systemic trading even now for me


----------



## qldfrog

a bit of activity this morning on my dailies which are moving bearish;

for the weekly systems:
ZL extra sold :

A2BCDVMHJSPL
all positives for a total profit of: $527 or 7.44% return average
not too bad; no buy this week;

for weekly QFDuc:
sold ALK for a loss of $445 (-8.7%) not good and bought nearly $5k of MAQ at $48.49


----------



## qldfrog

New property settled last week,moving into the new PPOR.
Mobile data only for a few days?
Too busy and already missed a switch from bear to bull as i messed up friday orders on dailies.somewhat extreme conditions...i got excuses but the mistakes remains.
From a quick look, positive week but Friday's mistakes will cost me
Another week of mayhem and i could have a chair table and connection 😁


----------



## Roller_1

gday frog, did you end up getting a VPS? if so i believe it was you who was thinking about AWS, did you go with them?

Cheers


----------



## qldfrog

Roller_1 said:


> gday frog, did you end up getting a VPS? if so i believe it was you who was thinking about AWS, did you go with them?
> 
> Cheers



I have one set up aws and working..that is the way i have been able to roughly carry on my daily system but running update then AB on a phone screen  while comparing your portfolio on another tab is not easy.the mistake i made was just forgetting to update my data in time while finishing unloading first container..yesterday i pluged the printer and hotspotted but still using boxes for chairs


----------



## Roller_1

qldfrog said:


> I have one set up aws and working..that is the way i have been able to roughly carry on my daily system but running update then AB on a phone screen  while comparing your portfolio on another tab is not easy.the mistake i made was just forgetting to update my data in time while finishing unloading first container..yesterday i pluged the printer and hotspotted but still using boxes for chairs




haha good job. i'm using another hosting company and they're crap. Are you using AWS Lightsail? are you using the US$40 payment structure


----------



## qldfrog

Roller_1 said:


> haha good job. i'm using another hosting company and they're crap. Are you using AWS Lightsail? are you using the US$40 payment structure



No just a very basic aws ec
Got the mostly free ec win server, installed ab and premium data, and just run, not very fast but as good as my home connection, does work.from time to time i have to reboot the virtual server as the web access disappears: needed for the premium data update, but a reboot is enough.cost me 1 to 2 dollar a month on excess data but basically free


----------



## Roller_1

sorry mate, can you please post a link to the web page, i'm totally confused for some reason


----------



## qldfrog

Roller_1 said:


> sorry mate, can you please post a link to the web page, i'm totally confused for some reason



Ok will do give me a couple of days


----------



## qldfrog

Amazon EC2 Pricing - Amazon Web Services
					

Pay only for what you use. Compare pricing options and select the EC2 instance family that works best for your needs.




					aws.amazon.com


----------



## qldfrog

qldfrog said:


> Amazon EC2 Pricing - Amazon Web Services
> 
> 
> Pay only for what you use. Compare pricing options and select the EC2 instance family that works best for your needs.
> 
> 
> 
> 
> aws.amazon.com



Free first year very very low costs after and good enough for my needs


----------



## Roller_1

qldfrog said:


> Free first year very very low costs after and good enough for my needs




cheers thanks, i might need some more RAM  for tws+API


----------



## qldfrog

got a chair and a piece of desk  small victories are the sweetests.
Back to last week results:
Daily systems:
qfduc: +$2.2k or 4%, still below xnt
volatility US:-$730 or -3.7% (the missing orders hit discussed before)
volatility ASX:+790 or 3.6%

weekly: zl extra flat (not great...)
QFDuc $830 or 1% but only 11% invested
Skate happy cat strategy implementation 1.3k or 1.3%
overall $4.4k gain for 330k in systems..not all invested
so +1.3% for the week overall

got some buy sell yesterday but a bit short in time /hotspot data to detail
have all a great week


----------



## qldfrog

So how was this week:
well, got connected to the internet wo 4G this morning, victories via small step;
systems wise:
daily:
DLqfduc: +$468 or 0.9% still below NT

pure volatility ASX +$835 or 3.75% now above XNT

pure volatility US -$242  or -1.28% well below  XNT and still deeply negative overall
weekly:
ZL extra..hum not that great -30$ only 6% invested
my implementation of Mr Skate happy cat was not happy this week: -$613 or -0.61% below XNT
and lastly qfduc lost $270 or -0.26%

overall: $148 gain..we were flat...


----------



## qldfrog

Good morning all,
well not much change last week : my systems have really moved to cash:
Daily ones:
DLQFDuc +$400 only 36% invested +0.75%
volatily ASX:+$88 or +0.38%
volatility US:+$332 or 1.77%
weekly: 
cash is the rule:
ZL extra -$220 or -0.63% but only 5% invested (1 out of 20 positions)
QFDuc +493 or 0.48% but only 5%  invested (1 out of 20 positions)
luckily, Mr Skate happy cat is more invested(90% in)  and my implementation has gained: $705 or 0.7%
so around 1.7k gain..well, not that bad considering the low risk


----------



## qldfrog

before I forget:
Got a few buys on thismonday..talk about timing :-(

daily:
 one sell on daily qfduc  locking good gain of 22% on ALG in 2 weeks..nearly sad to let it go; 
volatility daily systems unchanged..and bear oriented which I am now very happy..

weekly: not so happy
ZL extra: 
sold RMC for a $13.5 loss..stale exit
bought A2B,BFG,EZL and TTM

QFDuc:
sold ARV at 0.165 for a gain of $2937 or 57% 
and bought
AKP
BSL
DDR
KAR
PLS
PME
PPG
PPS
SDG
by this morning, I already got a cumulative loss of $2.7k on these purchases..outch
this is life


----------



## qldfrog

well, what a bad week: thanksfully moderated by my volatility systems:
Daily systems:
QFDuc: -$788 or -1.46% and ending week only 9% invested
Volatility ASX: +$2053 or 8.82%
Volatility US: +$2368 or 12.44%
but the weekly systems did hurt:
ZL extra: well not too bad -$451 or -1.3%
Mr skate happy cat implementation not a happy feline : -$4761 or -4.93% =>system is in red
QFDuc :-$2996 or -2.89%

So overall:-$4575 or -1.38% for the systems as a whole


----------



## barney

qldfrog said:


> well, what a bad week: thanksfully moderated by my volatility systems:




Don't feel bad Frog ..... I'm down a solid 5 figure sum today alone .... all part of the game unfortunately. 

I'm sure many are seeing drawdowns recently.   Keep playing the long game


----------



## qldfrog

So this morning: ZLExtra got rid of 3 out of the 4 parcels purchased last week:

A2BBFGTTM
for a total loss of $400..waste but manageable 7% loss
That system purchased 1752 IFN at .94
Weekly QFDuc sold 8 of the 9 parcels bought last week, for a total loss of $3220
burning 30% of our profit..
Yeap
That system bought 405 CCL at 12.44..CCL is under some takeover  purchase talk...but I pressed the buy trigger nevertheless


----------



## qldfrog

not a great week, capitalized losses and exited..my systems are hardly invested and the volatility ones had a lag which lost some of last week wins
Mr Skate happy cat redeemed itself and balanced positively some of the losses:

Daily systems:
DLQFDuc: no change just got the ajm on paper 5k , in real world 5k lost, still in black

Volatility ASX: -$967 or -3.8%, still in black
Volatility US: -1914 or -8.9% deep in red (-22% since inception)
both above systems only switched bull 2 days ago...

ZL extra: +$30 only 10% invested, in red
Mr skate happy cat implementation  : +$2568 or 2.6%=>system still in red
QFDuc :-$232 or -0.23%still well in black but only 10% invested

So overall:-$515 or -0.14% for the systems as a whole


----------



## qldfrog

so today was a buy day..not surprising
weekly
 qfduc sold CCL for a profit of $52..why not
and purchased:
 CIA @$3.94 and DDR @$10.49
zlextra bought:
 AYS @$.73, NMT@$.21, OML@$1.41 and RMC@$1.61


----------



## qldfrog

Reading @Skate Dump it yesterday reminded me of win rate win loss ratio etc.
While these were critical in my backtest studies, i had not included them in my system dashboard.
You need a bit of past sales to have meaningfull result, but this was overdue
Ok for most of my systems but this highlighted how bad
Zlextra is
16% win rate: not a typo .pathetic results in other fields.
Working on different principals, it can happen but a check with a backtest run on the period since going live gave very different result
Backtest loss of $500 , real system nearly $5k..what the hell?
Dig a bit deeper and discovered looking at the trade lists that many prices in the backtest trades do NOT match the price live yet i buy at open. And open is open..
So either my open price is different, my timing wrong or for any reason i chased unfilled order.
Some work ahead..
Both qfduc weekly and daily system were ok, and the volatility systems decent but volatility US is still at a loss and does not leverage as well
Probably better off ending it and reallocating the funds in volatility ASX.
Will investigate


----------



## qldfrog

End of a good week, real world outside trading interfering with my systems as I had no time yet to check the issues with ZL extra;
anyway, as everyone good week overall:
Dailies:
DLQFDUC:+$1987 or 3.75%, went from 10% invested to 94% invested this week;
volatility ASX: +$1993 or +8.19%
volatility US: +$767 or +3.94%
weekly systems:
ZLextra..the laggard:+743 or 2.18% with 30% invested;
Slate happy cat implementation: +4179 or 4.04 with 96% invested
QFDuc static with only 15% invested

overall:
+$9669 or 2.8% which is quite good considering the % invested is far from 100%
If this helps, I found something interesting:
my best annualised return is teh daily volatility ASX with an annualised 70% return so far 
yet

Win %50%​Win Loss Ratio (average win/avg loss)1.76​Profit ratio (gross profit/gross loss)1.76​

whereas for example
weekly QFDuc with an annualised return of 22% (since may) has 

Win %38%​Win Loss Ratio (average win/avg loss)2.11​Profit ratio (gross profit/gross loss)1.31​

Have all a great weekend


----------



## qldfrog

ZLextra underperformance vs backtest not having been worked on yet, I will pause any new purchase on that system


----------



## qldfrog

and another week passing by at hyperspeed:
a good week here, same as many I assume:
the daily systems:
DLQFDuc  +$3674 or 6.69%
volatility US +$418 or 2%
volatility ASX +$1532 or 5.82% I double the capital invested  this week as it was only 20k initially
the weekly:
Mr Skate Happy cat wn implementation +4780 or 4.42%
the laggard ZL extra, I stopped investing but did not want to force exits: maybe I should, managed to lose$30 this week...
and QFDuc: +2158 or 2.17% but moved from 15 to 51% invested:
this is a slow long latency system by design for entries
so overall:+$12532 or 3.36% overall return with 25% in cash


----------



## Warr87

some positive numbers mate! good to see.


----------



## qldfrog

Warr87 said:


> some positive numbers mate! good to see.



yes more thn 6% in 2 weeks with far from full exposure is pretty good.. but I took notice of Mr Duc @ducati916 hint: 
playing volatility may seem easy but can burn you, and 2 of my systems are based on volatility: they represent around 20% of capital invested in systems so even a dramatic collapse would not be the end of the world and they do bring regular weekly win lately
Have all a great week


----------



## qldfrog

And another week I have not seen gone past, today a bit of a setback but overall another great week:
daily systems:
DLQFDuc: +$1.8k or 3.05% and now fully invested
Volatility US:+$0.8k or 3.95%
Volatility ASX :+$1.06k or 2.21%

weekly:
my implementation of Mr Skate @Skate  Happy cat is purring along
+$4.5k or 4%
and lastly weekly QFDuc:
+$3.95k or 3.86%
overall: $12.11k or +3.5%
How long will these good figures go before the next backlash??


----------



## Warr87

qldfrog said:


> *How long will these good figures go before the next backlash??*




I was thinking the same thing. With such a good run lately I have been wondering how long until it pulls back. Not sure if that makes me overly pessimistic. lol


----------



## qldfrog

I have been a bit slack and forgot to list the trades of monday (and last week too)
my apologies:
last Monday the weekly QFDUC did the following:
bought the following at the given price

AVZ$0.09AX1$2.16CCP$24.70CTD$20.88FWD$2.17HAS$0.16HFR$0.70KAR$1.04MIN$32.30
and sold
AFG
ALG
APE
BSE
CIA
IEL
NZM
RMC
VRT
for a total gain of $80


----------



## qldfrog

so so week
but still going past at Mach 4
Daily system:
DLQFDuc -$2.1k or -3.48% did not see it coming just slow losses or reduced gains here and there
volatility US:+$690 or +3.2%
volatility ASX:+$574 or +1.2%
weekly:
cat needs to avoid Fido:+$508 or+0.45%
and weekly QFDuc even: lost $33 -0.03%
overall lost $330 or -0.09%


----------



## qldfrog

today's action:
usual daily moves on DLQFDuc and for the weekly QfDuc:
I sold today:

AVZCCPCTDFBUFWDGXYHASKAROML
for a total gain of $730, and bought

CVWMLDOZLRBLREXSRGWGNWPP
But 2 buy orders expired as it went past my limit either at the open or when i got some available cash from today's sale


----------



## qldfrog

qldfrog said:


> today's action:
> usual daily moves on DLQFDuc and for the weekly QfDuc:
> I sold today:
> 
> AVZCCPCTDFBUFWDGXYHASKAROML
> for a total gain of $730, and bought
> 
> CVWMLDOZLRBLREXSRGWGNWPP
> But 2 buy orders expired as it went past my limit either at the open or when i got some available cash from today's sale



Just want to add which shares i missed CIA and FMG..my system was going mining...


----------



## qldfrog

weeks passing by faster and faster
A shame i have not much time  for my systems right now as we have interesting time now and ahead
OK  week:
the dailies:
DLQFDuc +$2.07k or 3.55%
Volatility US: -$0.92k or -4.13% volatily saw a few buy sell and in out with many cuts along the way..not that great
Volatility ASX: +$2.16k or 4.35%

weekly:
Mr Skate Happy Cat own implementation:-$0.86k or -0.76%
QFDuc: +$0.42k or +0.4%
overall:+$2.87k or +0.81%
There was also a manipulation error : trying to handle daily system entries while having a dentist appointment at the same time
This costed QFDuc $500 so QFDuc should be better.
But this is life and real world system trading as opposed to backtests
Even so, I would happily settle for a $3k weekly gain


----------



## qldfrog

today's action:
for the weekly QfDuc:
I sold today:

ADAAX1CVWHFRINRIPDLYCMIN

for a total gain of $2082 after brokerage, and bought

AHYBHPIGOHT1MGXMTSPNVRIOSGM
As discussed in other thread, I quickly built a daily Guppy based trend system, added a few tweaks but kept it simple and started a $47k, 12 position system [which got filled but for one position overshooting] this morning.
Will keep you posted. And by the way, all credits to @Skate for the seed of this new system


----------



## qldfrog

Another week flying by...And a good one:
my volatility system took a hit as they are bear but not enough to spoil the party
Daily:
DLQFDuc: only 55% invested now but a gain of $4.14k or 6.86% this week
My new DL Guppy started on Monday and was on a good starting block: a gain of $2k or 4.25%;Currently 76% invested
Volatility US: -$659 or -3.1%
Volatility ASX: -$672 or -1.3%
Weekly:
Mr Skate Cat has see the weather up here in qldr and so staid home: +$120 or 0.12%
QFDuc stagnating as well: +$13 or 0.01% and is 82% invested

Overall +5.19k or +1.2%
Keep cruising


----------



## qldfrog

So what happened today: both volatility ASX?US turned bull; 
guppy sold 1 parcel but did not reinvest,
But the weekly QFDuc saw big moves:
sold BHP,MLD,MTS,OZL,RIO,SGM,SRG,WGN for a total loss of 440 after brokerage-> break even;
and bought: ADA,BKY,MOC,PSQ,SPL
a good day by the close and expected good news with the US stimulus


----------



## qldfrog

With Christmas, I will fill the end of week result later on probably this week end.
Wishing all my followers a Merry Christmas bringing gifts of great health, learnings, spirit and joy.
	

		
			
		

		
	



(Image thanks to 123RF.com)


----------



## qldfrog

Hoping you all had a great Christmas, probably too much to eat and drink but also great time with friends and family;
Last week was not that cheerful on my systems:
The dailies:
DLQFDuc: -$1.26k or -1.95%  now 52% invested
DLGuppy: -$0.81k or -1.66%  now 28% invested
Volatility ASX: -$0.07k or -0.14%  now fully cash
Volatility US: -$0.69k or -3.36%  fully invested
The weekly systems:
 Mr Skate cat purring along and saving the day:+$0.45k or +0.4%  fully invested
QFDuc:-$0.41k or -0.39%  71% invested
So all of my own  systems negative and a final result of:
-2.79k or -0.7% overall
Was worst earlier in that short week.
Don't forget to have fun


----------



## qldfrog

lots of action today on my volatility systems, my weekly qfduc sold:
ADA
BKY
HT1
MGX
MOC
PNV
RBL
REX
SPL
SPL
WPP for a total loss inc brokerage of $391 and that system bought parcels of

APTBFGCCPHAS and MHJ,
An AVZ buy order was missed as it overshot at open
As i have already several packets of this spec in my other systems, is probably not a bad think in term of risk (unmanaged)
Have all a great short trading week


----------



## qldfrog

morning all, Happy New Year 
May 2021 this bring happiness, new learnings, enough wealth, a sensible dose of rationality and BS detection and health (do not forget vitamin D helped by Zinc supplement and just some vit C, aspirin if feeling flu-ey..that will give you and your near ones a better headstart than any "vaccine" against the coming covid season.
Well, last short week was not good
The dailies:
DLQFDuc fully invested

$1,498.862.37%
DL Guppy 28% invested stable at +$28
Volatility ASX

-$ 1,698.79-3.33%
Volatility US

-$ 528.84-2.66%

the weekly systems:
Mr Skate Happy cat ( i believe I corrected a reporting error so I was maybe under reporting performance last weeks)

$ 6,856.045.72%
This is saving the bacon this week..
QFDuc -$903 or -0.85%


Overall:+$5250 or +1.2% only thanks to Mr @Skate performance this week
Let's have a look at results since 01/07 in the next post


----------



## qldfrog

So let's start:
the system results since start of the FY (01/07/2020)
Daily QFDuc: +8453 or 15%


DL guppy started 14/12 only so +3% in a fortnight..not really representative of anything

Volatility US:
started 13/08
-$5626 or -22% not good


Do I bother carrying on, do I tweak....

Volatility ASX
+5391 or 12%
Weekly
Mr Skate happy cat: started 5/10
+19821 or +19.8%
	

		
			
		

		
	



Stellar....

QFDuc +8942 or 9%


For the later , please note that it has been on average invested at only 50% since 01/07 so I have no issue with the relative underperformance
Now, we also closed 2 systems:
One on Mr Skate educational system thread:
in this FY, that system generated an extra $1979 profit.
I also had to close a failure , the ZLExtra started in mid august /closed in November as it was not matching its own backtests so there was an issue
That system lost $2.2k

overall these daily and weekly system generated around 38k profit out of a fluctuating capital of around 250k to 400k in that half year with an exposure relatively low as most systems are not fully invested at a given time
That is good, what is less good is that half of these gains are from mr Skate system so not directly related to my own efforts, on the other ends, mr Skate happy cat is the highest capital per system so it makes sense in a way.Thanks Mr Skate, and that money will not go wasted.
This is now my only income
I am happy to get some input from more experience system traders, I am not showing off and try to be very open and so learn from both success and failures as i wish i had access to this type of data a couple of years ago.
happy trading


----------



## qldfrog

start again of the market with proper volume etc:
Today weekly QFDuc  did sell:

AHYAPTHASIGOMHJPLS
for a total gain of $3834.11 after brokerage and bought

NMTPNI
Notice an aberration on Gear which was down 1% when the asx was up 1%: quickly bought at $22.23 and a quick sell at $22.5  to pay for a few cappucinos with the lady.But not a grange bottle..
All going well so far


----------



## qldfrog

Good evening Everyone,
This week:
The daily systems:

Great week for DLQFDuc:
+$6.498k or 10% thanks to mlx (sold) and AVZ BLY
Back above the XNT , has been a relatively  consistent performer returning 67% pa since May inception.Let's roll on

Not so good, actually bad: 
volatility US: 
always too late and really smashed again lost $1.7k or nearly -8.95%
lost 29% since its august start: I have to confirm real world results vs backtest.
Tis system has been too consistent in its loss  vs my initial design tests
TODO this week end...

volatility ASX 
based on quite similar concept is a different story thanksfully:
Gain of $193 or 0.39% but was mostly cash .That domestic version has a 38% pa return since inception in May

DLGuppy:
90% cash...This is what it is
 lost $291 or -0.6%

the weekly systems:

My version of Happy cat cruising along:+$5.4k or 4.3% thanks here mostly to AVZ and PLS
lastly
QFDuc: only 50$ invested +0.9k or +0.86%

Overall:+$11k or +2.6% on the week..with 29% cash position. Not to be spit at even if xnt went up 2.6% too.with a 3rd in cash, we overperform


----------



## qldfrog

The great check:
real vs backtest since inception...always worthwhile:
DLGuppy: big difference but due to a single trade missed: ERA, was noted at the time, well halves the result on this relatively short period and low investment
Volatility US is actually behaving as expected, a slow grinding unless until volatility ges mad; wait and see, it is a kind of fuse protection and is actually playing its role; i might try to see if i can retune it to reduce a bit the grinding while preserving the key behaviour , but overall as expected;
volatility ASX: all good

DLQFDuc matching its backtest and expectations
QFDuc kind of ok, saw a few retuning along the last 7 months


----------



## dpong

Great thread!  Very educational.


----------



## qldfrog

what an ugly day: my systems down, bonds down, silver and gold down and even BTC.
I lost a huge amount on paper today, put a dentist visit on top and this is a day i would prefer forgetting

I really do not like that universality of direction, not at all; 
And just as my volatility systems were going bull again;
Anyway, on my weekly QFDuc , I bought parcels of

AGYARVBRNCENEZLGXYMINMLDPANPLSfor a paper loss of 1.3k by this afternoon..yeap
I also sold with that system ,at open, BFG,CCP,PNI,PSQ for a total loss of $185


----------



## Warr87

I just checked my CFD account. I got stopped out of 2 consecutive AUDUSD trades, an ETHUSD, a CORN, and my BTC trade.  Was an interesting day for a lot of trading it seems. As you say, some universality in that ...


----------



## qldfrog

Warr87 said:


> I just checked my CFD account. I got stopped out of 2 consecutive AUDUSD trades, an ETHUSD, a CORN, and my BTC trade.  Was an interesting day for a lot of trading it seems. As you say, some universality in that ...



just hope it is not the rumbling of the coming storm


----------



## Warr87

qldfrog said:


> just hope it is not the rumbling of the coming storm




Agreed. Always worrying when commodities and stocks go down together lol.

i'm not worry yet though, its the slow bleeds down that scare me more than sudden drops.


----------



## qldfrog

another bad day, worse as I had to do my daily trade remotely , via my AWS server..
Being on a phone, the screen is small and I believed I messed up my data update and so entered a few orders not mean to and did not implement 3 I was supposed to do (system code (afl) being the same..
I lost an extra few hundreds on top of my already not negligible losses today;
Between systems and own investment, the overall fall in both shares, gold and bonds, USD is not gentle on my portfolio;
lost nearly a third of my gains for this financial year in 2 days..hum...


----------



## Warr87

how'd you go today mate?


----------



## qldfrog

was down 23k from peak on Tuesday night  now only down 10k..slowly catching back with systems while silver and gold cost me


----------



## Warr87

a change of 13k in the right direction. not too bad .

what have you got going with gold and silver right now?


----------



## qldfrog

Warr87 said:


> a change of 13k in the right direction. not too bad .
> 
> what have you got going with gold and silver right now?



I think  gold might go down a bit  and silver as well
But on bull on a longuer period so i keep
started offloading some oz  bonds today
Return of capital is first priority


----------



## Warr87

it looks to be at least consolidating on a longer term. on my shorter timeframe I don't think I'll be buying gold any time soon.


----------



## qldfrog

Warr87 said:


> shorter timeframe I don't think I'll be buying gold any time soon



Fully agree, but it doesn't hurt imho to have a percentage of your wealth in pm
Silver at this stage of the cycle is probably a better bet


----------



## dpong

I’m expecting big things for silver this year. At least in US dollar terms.  This year and maybe next. I’m positioned.


----------



## qldfrog

Another week which started badly, but kind of recovered a bit, overall portfolio actually caught up and ended up higher than last week.
But for systems:
Daily:
DLQFDuc: +$1.06k or +1.49% fully invested
DLGuppy:+$965 or +2.01% now fully invested too
Volatility US:-$346 or -1.96%
Volatility ASX:-$792 or -1.6% fully cash

Weekly Mr Skate implementation:
+$2.8k or 2.2%
QFDuc
-$728 or -0.68%

Overall: +$2.96k or +0.7%.
Considering our position last tuesday night...very good, even without Mr Skate's system bonus, we were positive on a week where XNT lost 0.6% so happy with the results considering the hits discussed in previous posts
Have all a great weekend


----------



## qldfrog

@Skate  there was indeed a spreadsheet error
Mr Skate Happy Cat system just had a $196 gain or 0.16% which brings last week systems' total result down by 2.6k ;
overall gain of around $400 or just 0.1%
The positive side is that my overall portfolios were still higher and not due to the systems so gold silver bonds did had a nice catch up.


----------



## qldfrog

Yesterday was a big day: I liquidated Mr @Skate's Happy Cat and now  Xmas hat system;
It was an interesting and very beneficial experience: gaining over 25% between the 5/10/20 and 18/01/21
I did not want to impose on Mr Skate nor overstay my welcome;The teaching is over..but the learning just started

This has been a substantial share of my systems and the funds will be reallocated in the coming weeks, probably increasing the amounts in my daily QFDuc which has a decent return but low capital and DL Guppy which is in a similar situation 
The weekly QFDuc is above $100k and is now  a 20 positions system so will remain unaffected
If I find time, I will try to implement a breakout system, i tried several time but all my works were below par when compared to my other systems
So a public thank you to Mr Skate!


----------



## Warr87

qldfrog said:


> Yesterday was a big day: I liquidated Mr @Skate's Happy Cat and now  Xmas hat system;
> It was an interesting and very beneficial experience: gaining over 25% between the 5/10/20 and 18/01/21
> I did not want to impose on Mr Skate nor overstay my welcome;The teaching is over..but the learning just started
> 
> This has been a substantial share of my systems and the funds will be reallocated in the coming weeks, probably increasing the amounts in my daily QFDuc which has a decent return but low capital and DL Guppy which is in a similar situation
> The weekly QFDuc is above $100k and is now  a 20 positions system so will remain unaffected
> If I find time, I will try to implement a breakout system, i tried several time but all my works were below par when compared to my other systems
> So a public thank you to Mr Skate!




You somehow doubled the happycat return I have (I have around 12%). Funny how a few missed trades make a huge difference.

for a breakout system, tinker with skates posted donchian system. i got that out recently and was playing around with it. i may even papertrade it soon.


----------



## Newt

qldfrog said:


> Yesterday was a big day: I liquidated Mr @Skate's Happy Cat and now  Xmas hat system;
> It was an interesting and very beneficial experience: gaining over 25% between the 5/10/20 and 18/01/21
> I did not want to impose on Mr Skate nor overstay my welcome;The teaching is over..but the learning just started
> 
> This has been a substantial share of my systems and the funds will be reallocated in the coming weeks, probably increasing the amounts in my daily QFDuc which has a decent return but low capital and DL Guppy which is in a similar situation
> The weekly QFDuc is above $100k and is now  a 20 positions system so will remain unaffected
> If I find time, I will try to implement a breakout system, i tried several time but all my works were below par when compared to my other systems
> So a public thank you to Mr Skate!




Also very thankful to have trading alongside Happy Cat's initial live months, and will understand if the shared data is pulled as/when you see fit Skate.  Has certainly been an interesting exercise - would have liked to see how some strong winner exits were handled, but as above, agree with QF don't want to overstay welcome either when time comes.


----------



## qldfrog

Good evening all, 
This week: Happy cat was closed, and Guppy saw its funding increased by $16.5k and DL QFDUc by $40k
daily QFDuc now a $110k system, DLGuppy a $67k system; others unaffected
Today saw a bit of a loss with the added investment not timed that great  ..anyway, that happens
Over the week:
daily:
DLQFDuc -$1.9k or -2.65% (one k of these losses just on the 2 purchases today..arrrggg
DLGuppy +$2.2k or 4.54% (note that a new version of the Guppy code has been running from this week with a few extra tweak returning relatively consistent better results in backtests)
volatility US:+62$..  stable
volatility ASX: $0 fully in cash
weekly QFDuc:+$2.9k or +2.74%
overall:
+$3.2k or +0.9% with a 72% invested portfolio 
XNT went up 1.25% last week so not that great a result but 0.9% with 72% invested ends up to the same:1.25%
Anyway, let's see how it will develop.I should not be unhappy to see a $3k a week wealth increase


----------



## qldfrog

so the Monday trades: I will probably stop listing these as we have had enough history to prove the figures quoted are real;
today the weekly QFDuc offloaded for $900 loss:
BRN
CLQ
PAN
STO
SXY

and purchased 10 new positions:
APT        afterpay   
BIN        bingo industries   
HAS        hasting tech  
HUB        hub24   
INR        ioneer   
LYC        lynas   
LYL        lycopodium    
MLX        metals X    
NGI        navigator global   
RBL        redbubble   
becoming 75% invested
quite a few buy sell on my dailies.Also worked on a basic breakout system so far promising based on backtests.
Just my own tweak based on the way I look at charts
Might start this this week on next after the basic checks are completed


----------



## qldfrog

a week with bad results as for many here I have no doubts:
The daily systems:
DLQFDuc: -$3.7k or -3.4%
DLGuppy: -$2.7k or -4.1%
Volatility US:+$1.3k or +7.6%
Volatility ASX:+$1.7k or +3.5%
and my weekly looking passively at the loses growing:
QFDuc:-$6.9k or -6.3%
can not find a clearer example on why I prefer daily systems if I have the time to manage these

Overall:*-$10.3k or -3.2%*
XNT :-2.9% 
verdict: not good!!!!
Current systems exposure tonight:65% [with 35% cash]


----------



## qldfrog

Not the type of day I like, overall $7+k profit due to my exposure to silver but my systems did not have a great day:
the QFDuc sold 13 positions for a $7.8k loss ouch : the $24k profit of early September on that system is now down to $8.8k and this is my long well tested system.That systems also purchased 4 parcels and is tonight 30% invested
Luckily, the daily systems are behaving much better with  the DLQFDuc only 15% invested and both volatility systems fully invested and able to gain from both bear/bull market.

Let's see how tomorrow will pan. I did sold of some of my silver assets freezing gains.


----------



## qldfrog

so, not a great week and as noted above started as bad as could be with my weekly selling on monday at the worst possible time and capitalizing all these losses arrgg
Anyway, this is what it is:
Dailies:
DLQFDuc: +$621 or +.58%;now back up to 69% invested with several buy missed at open in last few days
DLGuppy: +$505 or +.78%;now fully invested

Volatility US: +$750 or 4%

Volatility ASX: -$2.85k or -5.66% we lost all the paper profit we had last week plus more outch

weekly: well as expected a bad week slightly better as the asx went up but still -$2.57k or -2.52%
overall:
-$3.55k or -1%
by close today:71% invested/29% cash

Sadly 2 weeks ago, 3 out of these 5 systems were beating the XNT, now none does 
Thanksfully the silver surge made it a breakeven week overall...


----------



## ducati916

qldfrog said:


> so, not a great week and as noted above started as bad as could be with my weekly selling on monday at the worst possible time and capitalizing all these losses arrgg
> Anyway, this is what it is:
> Dailies:
> DLQFDuc: +$621 or +.58%;now back up to 69% invested with several buy missed at open in last few days
> DLGuppy: +$505 or +.78%;now fully invested
> 
> Volatility US: +$750 or 4%
> 
> Volatility ASX: -$2.85k or -5.66% we lost all the paper profit we had last week plus more outch
> 
> weekly: well as expected a bad week slightly better as the asx went up but still -$2.57k or -2.52%
> overall:
> -$3.55k or -1%
> by close today:71% invested/29% cash
> 
> Sadly 2 weeks ago, 3 out of these 5 systems were beating the XNT, now none does
> Thanksfully the silver surge made it a breakeven week overall...





Here is an idea that you can backtest: in bull markets (US) market tops (generally) do not go down without a bounce. There are exceptions, 1987 for one.

So, if the stocks are going down because the market as a whole is going down, sell (close out positions) on the market bounce, rather than the move (market) lower.

This is (sort of ) the idea behind a weekly v daily system, but with greater flexibility than selling on a calendar basis.

jog on
duc


----------



## qldfrog

ducati916 said:


> Here is an idea that you can backtest: in bull markets (US) market tops (generally) do not go down without a bounce. There are exceptions, 1987 for one.
> 
> So, if the stocks are going down because the market as a whole is going down, sell (close out positions) on the market bounce, rather than the move (market) lower.
> 
> This is (sort of ) the idea behind a weekly v daily system, but with greater flexibility than selling on a calendar basis.
> 
> jog on
> duc



Thanks,
So basically,when market based indice trigerred sell,sell not at next open, but within the week at potentially higher.rebound.
 Nice concept,fly in the face of what mr Skate recommends.
For weekly,i initially tested different action day.
I could not see any edge doing any weekly system on Tuesday, Wednesday etc and so Monday has the convenience of the weekend to prep orders.
But as we reach a top and narrative based market moves, we all noticed that in the last few months we have had selloffs at the end of the week just in case something pops up in the weekend.
It could be worthwhile retesting the weekly system start date in the last year or so and see if there is an edge there.
Got the feeling the speed of moves is accelerating too and so systems should adapt too.
But always remembering 2 negative weeks in a row can happen too


----------



## ducati916

qldfrog said:


> Thanks,
> So basically,when market based indice trigerred sell,sell not at next open, but within the week at potentially higher.rebound.
> Nice concept,fly in the face of what mr Skate recommends.
> For weekly,i initially tested different action day.
> I could not see any edge doing any weekly system on Tuesday, Wednesday etc and so Monday has the convenience of the weekend to prep orders.
> But as we reach a top and narrative based market moves, we all noticed that in the last few months we have had selloffs at the end of the week just in case something pops up in the weekend.
> It could be worthwhile retesting the weekly system start date in the last year or so and see if there is an edge there.
> Got the feeling the speed of moves is accelerating too and so systems should adapt too.
> But always remembering 2 negative weeks in a row can happen too





You are trading a daily system and a weekly.

On the daily system you will have a trigger to sell individual stocks (a) when the overall market rises and (b) when the overall market falls.

Test whether selling individual stocks in  scenario (b) improves if you wait for a general market bounce.

The rules would be something along the lines of:

(a) market at or near highs;
(b) bull market only;
(c) first pullback in bull trend for X bars

Then, sell individual names on the bounce.

Bull markets very rarely go straight down. Two that did, 1987, 2020 (pretty much).

jog on
duc


----------



## qldfrog

ducati916 said:


> You are trading a daily system and a weekly.
> 
> On the daily system you will have a trigger to sell individual stocks (a) when the overall market rises and (b) when the overall market falls.
> 
> Test whether selling individual stocks in  scenario (b) improves if you wait for a general market bounce.
> 
> The rules would be something along the lines of:
> 
> (a) market at or near highs;
> (b) bull market only;
> (c) first pullback in bull trend for X bars
> 
> Then, sell individual names on the bounce.
> 
> Bull markets very rarely go straight down. Two that did, 1987, 2020 (pretty much).
> 
> jog on
> duc



Hum, had not the daily in mind.worth trialling.thanks
The weeklys are the ones(sp?) i bleed most in reversing market


----------



## ducati916

qldfrog said:


> Hum, had not the daily in mind.worth trialling.thanks
> The weeklys are the ones(sp?) i bleed most in reversing market





If it is the weekly, consider this: Mr @Skate very usefully puts up a chart of profits:




So, if you were to draw a trendline from the lows to the 24 Dec. and onwards, the profit line would break the trendline +/- 23 Jan 2021 and +/- $26K. That is now one of your weekly exit triggers, based on open profits of the system itself.

Other exit triggers can remain as you have them.

Having observed Mr @Skate profit graphs for some period of time, across a few systems, they all seem to display the characteristic of slowing profit prior to a drawdown of open profits. This warrants further investigation, especially as an exit tigger in-of-itself, of which the above is one way that you could play it.

jog on
duc


----------



## qldfrog

ducati916 said:


> If it is the weekly, consider this: Mr @Skate very usefully puts up a chart of profits:
> 
> View attachment 119645
> 
> 
> So, if you were to draw a trendline from the lows to the 24 Dec. and onwards, the profit line would break the trendline +/- 23 Jan 2021 and +/- $26K. That is now one of your weekly exit triggers, based on open profits of the system itself.
> 
> Other exit triggers can remain as you have them.
> 
> Having observed Mr @Skate profit graphs for some period of time, across a few systems, they all seem to display the characteristic of slowing profit prior to a drawdown of open profits. This warrants further investigation, especially as an exit tigger in-of-itself, of which the above is one way that you could play it.
> 
> jog on
> duc



The cat is an interesting exercise, after the covid crash, it was pretty obvious that my system were too slow to react.i so review these and: moved to daily, added faster reaction to my weeklies
so purposedl, my systems are now very fast to react..within their timeframe.
Comparing to the cat is hard as mr skate has a recipe for getting in good shares that i am nowherenear finding even if he states that all the info is there in the dump it posts
But the cat strategy does not get in out as often as mine.
When i have a sec.coukd be days,vi will try a whatif scenario and basically keep the stocks i sold last monday and check if i would have been significantly better off.
I know my volatility US and ASX are very fast to respond, US even more than the domestic one.
It is very costly when the market has no clear trend.so i accept that.
I am a bit more disappointed with thw weekly qfduc after it go a clear nice run but now slowly eating into its profit.it coukd be it is not suited to no clear trend markets.will try investigating your leads


----------



## peter2

I've always liked the idea of using your system's equity curve as a management tool. When the curve bends at the top it's a warning that the portfolio has run out of momentum. Whether it's a GFTO exit signal or a tighten all stops signal would rely on the market index chart. 

If your systems respond quickly to save losing open profits then you've got to accept that it will get out prematurely some times. This is why you're running two time frames. One system exits quickly to save open profits, one system stays longer in case the market dip is insignificant. 

The entry strategy of the Happy Cat is very similar to many of @Skate's systems. They're all momentum based, ie price has started to move higher. Your systems should be trading many of the same stocks that skate's systems select.


----------



## Newt

It took me years of messing with entries, exits and index filters to realise prolonged dips in the equity curve were often largely due to the combined losses of open profits in a few large winners.  (must be a slow learner   ).  Will have a better idean in 10 years if improving knowlege = profits.

Tuning exits, stalestops, trailing stops etc for the preferred timeframe to optimize medium to long term profit/winners without losing too much open profit seems to be something Skate is particularly skilled at (and we see Peter2 do it all the time in tough times - they both make it look easy, when it obviously ain't!).  This is a fascinating aspect of system design and optimization - making multi-parameter filters work in harmony without nasty surprises.  Probably why people like Ehler with an electronics engineering background tuning digital circuits, filters and amplifiers contribute useful ideas to trading.

Avoid drawdown isn't as easy as killing all open profit in downturns.  Some strong stocks will only trend sideways in strong downtrends, and if possible you don't want to be tipped out of those - the best will tend to rise early and strongly after the market pull back.

There was a classic post by someone few years ago - would have to go back digging - exit strategy largely controls profits distribution (shape of equity curve).


----------



## peter2

The aim of using a batch of systems is to reduce drawdowns and smooth the equity curve. I would hope that your (@qldfrog ) systems are designed to profit in different market conditions and across several timeframes. The system names indicate that they are different but your concern expressed in the weekly updates indicate that they may not be providing the performance you like. 

This is not as easy as it seems when we're restricted to long only equity systems in the one exchange (eg. ASX). 

The easiest diversification is across time frames (daily, weekly, monthly). 
We can diversify throughout the exchange (micro/small/mid/large cap sectors). 
We can diversify the entry strategies (break-outs, pull-backs, reversals). These will provide different results in different market conditions. I don't start many reversal trades in bullish markets but after the Covid selloff reversals were all that were available. 

In a strong bull everything works. In a slow bull, break-out trading gives frustrating results and pull-back entries do better (in my experience).


----------



## qldfrog

peter2 said:


> The aim of using a batch of systems is to reduce drawdowns and smooth the equity curve. I would hope that your (@qldfrog ) systems are designed to profit in different market conditions and across several timeframes. The system names indicate that they are different but your concern expressed in the weekly updates indicate that they may not be providing the performance you like.
> 
> This is not as easy as it seems when we're restricted to long only equity systems in the one exchange (eg. ASX).
> 
> The easiest diversification is across time frames (daily, weekly, monthly).
> We can diversify throughout the exchange (micro/small/mid/large cap sectors).
> We can diversify the entry strategies (break-outs, pull-backs, reversals). These will provide different results in different market conditions. I don't start many reversal trades in bullish markets but after the Covid selloff reversals were all that were available.
> 
> In a strong bull everything works. In a slow bull, break-out trading gives frustrating results and pull-back entries do better (in my experience).



Yes that is the spirit, my volatility should give me performance in volatile falling markets, and trend system during rising market
dailies should deal with fast response

Frustration is the below expected results overall during zigzag times.
I worked on a breakout system but not mature enough for deployment.
But they do not have anywhere near the same allocation in $ which sometimes screws the overall results
anyway need to spend more time, that i do not have, on these
a big thank you to the many inputs.
I am in no way disillusioned, but disappointed that i did not manage to recover this week, but how could i when i liquidated most stocks at monday open in the worst timing possible...
So will try to fix that.learning from mistakes.i also hope my failings are useful to others.this is real life trading😊


----------



## qldfrog

" whatif scenario basically keep the stocks i sold last Monday and check if i would have been significantly better off."
For the weekly: I sold on Monday at the open 13 stocks (out of 20 max) purchased for $67k and received $61.3k->10% loss
Had I kept these they would have been valued at $65.8k last Friday closer 2% loss...yeap and most of these stocks went higher during the week, some even on Monday arvo.
not trying to rewrite the world with whatif, that would not be good but here  toying with Mr Ducati notion of a general index rebound after initial crash so potentially, having a sell still but at a higher level after a GTFO signal
A bit counter intuitive but worthwhile investigating
The bad experience of Covid crash and seeing my profit slowly eaten in the crash made me create a very responsive system, i might have gone overboard  I knew I was trading potential profit for safety of mind but...


----------



## qldfrog

ok, so let's carry on this work with you: so my current system in backtest:
and in red what I do not like, I swallowed the first drop but that last one is too much ..


This actually matches my real world equity curve




Now what if I could get that curve instead ( code twist I developed already and hesitated to implement due to extra work required on a daily basis:


yeap, do we agree? simply adding some daily stop losses to the mix, no magic
SO will implement these. @peter2 might remember an exchange we had just before covid crash about daily SL in a weekly system, I am more and more convinced this is required and jumping in today.


----------



## qldfrog

I hope these open screen reflexions are useful, have all a great week, need to add some orders now!!!


----------



## qldfrog

a rare midweek entry:
I was able to spend some more time on my BO system;
Inspired by @peter2 , the make sense precepts of @tech/a recent posts, and dozen of posts seen here, I have designed VERY BASIC break out system , as simple as possible (a lot of small twists but the key principles are very basic).
completed it well past 2AM this morning so probably not very good decision making by then, but I will go ahead from today.
I have some left over capital from the happy cat experiment and I will start today a daily, 13 positions max, $5k packet new system to add to the portfolio
It will be named DLBO
Long life to DLBO  I will not post much details but will keep a weekly score of gains and losses
Have all a great day


----------



## qldfrog

Am I the only one with a very bad day today on my systems 
the ASX fall was quite negligible, but paper lost of over $3.5k on 5 packets, some of these great winners so far
Have small caps fallen today?


----------



## Skate

qldfrog said:


> Am I the only one with a very bad day today on my systems



I'm guessing today was a struggle for most but in the scheme of things, the rest of the week has been great.

Skate.


----------



## qldfrog

Skate said:


> I'm guessing today was a struggle for most but in the scheme of things, the rest of the week has been great.
> 
> Skate.



agree, EWC lost 17% or 1k today and ended at 12c whereas I bought it at 9c 6 days ago..can not really complain 
same AGY fall etc
but surprised by my evening check: lost roughly 2% today when market was only down 0.1%
That does not change anything for the moment, could be a sector issue, just random luck/absence of..
and not great for my starting BO system which is in the red but can not judge on a couple of days


----------



## Warr87

I just checked mine. I'm down quiet a bit. I remember it being good Monday/Tuesday. HappyCat and my monthly system are fine though, its just the MAP strat that is at a big loss.


----------



## Newt

I'm just not sure you can draw too much from day to day QF with these systems.  There are regularly days  where my own "late momentem" system heads strongly in the opposite direction of Happy Cat -  which fascinates me.  With 20 odd positions there is still quite a lot of noise and luck in day and day and even weekly of course.

Can totally relate to the frustration.  When you, Warr87 and/or Skate have great days or weeks and I'm down strongly find it incredibly frustrating, and even though know it shouldn't affect me so much.  Then other times I'm a super hero and can do no wrong.

Personally still down about 7% from January highs post-Corona.  After the continual strong run since May last year, more concerned about defence than shooting the lights out currently.


----------



## frugal.rock

I'm down around 2.3% today taking around 35% of yesterday's gain...

Most watchlists tonight showing an approx ratio of
RED:FLAT:GREEN
65:25:10

Fintechs more mixed as were miners.
Some Goldie's were green.

Not to many standouts today.

Edit: just added a few more potash stocks as the 3 I had were green, most green, a couple flat. 
Ooooh, GXY does lithium and potash?!...red today.


----------



## Newt

Oh, and was up to 0.5% today, so currently.....

I am invincible!!


----------



## qldfrog

Very very good article from Nick Radge
https://trading-psychology.com.au/e/sbV/hVm2/rRf/zNuIpzUzMJ


----------



## qldfrog

End of the week which saw some pretty scary losses: AGY in the thousands this week highlighting a potential issue :
3 of my systems got a parcel of AGY so I get heavily hit when this happens after a fall
And then a black swan:
VTG bought at $1.6 on the 10/02 and sold at 80c less than 48h later..yeap $2k in smoke in a day (VTG lost key contract with telstra..) 
but Shxt happens.
Thanks for BTC to help feeling good at the end of the week 


So my systems:
Dailies
DLQFDuc: as discussed bad week:-2.37% or -$2.5k; 70% invested

The new kid in the block my break out system:
DLBO:-$1.2k or -1.94% now 30% invested
DLGuppy:+$1.5k or 2.32% now back above XNT since inception;
Volatility US:+$0.2 or +1% , fully invested
Volatility ASX:-$0.5k or -1%, fully invested
Weekly:
QFDuc +$1.2k or +1.2% and 72% invested

overall -$1.3k or -0.3%


----------



## qldfrog

noticed housekeeping  errors:
DLQFDuc: :-2.5% or -$2.7k; 80% invested
DLGuppy:+$1.65k or 2.51% fully invested;
same overall results note the systems loss this week of 0.3% is better than the xnt  loss of 0.48%...comfort where you can find it


----------



## qldfrog

and not as good a day today:
2 packets of CII falling25% today outch and one EWC falling 20%, none having obvious reason: no announcement I could find
arrrg,


----------



## qldfrog

a few tweaking: adding better volume traded filter and a better DLBO filter.
today was a red day ahhh well


----------



## qldfrog

Small essay on the emotional yoyo when a week is testing your cool:
 flat market, lost 1.5k why? then a quick look: entered MOC this morning @1.63 finished day at 1.36 here goes 700$, AGI this morning entry at 84c ending at 78c another 600$ on 2 packets
I notice that after index falls which basically empty my systems, the ramping up is always painful: either slow and losing opportunities like during covid crash recovery, or when I ramp up faster, this means I load in packets with score less than optimum...and get some big backlashes like AGI,MOC EWC or CII, within a day or 2 of entry..that's 4k in smoke which have to be recovered by the other entries
I actually find this more painful emotionally than losing money during crash .
In the scheme of things, numbers are lower, and other investments are OK so not the end of the world but we have days like that:
 what did I do to the Great God above


----------



## ducati916

qldfrog said:


> Small essay on the emotional yoyo when a week is testing your cool:
> flat market, lost 1.5k why? then a quick look: entered MOC this morning @1.63 finished day at 1.36 here goes 700$, AGI this morning entry at 84c ending at 78c another 600$ on 2 packets
> I notice that after index falls which basically empty my systems, the ramping up is always painful: either slow and losing opportunities like during covid crash recovery, or when I ramp up faster, this means I load in packets with score less than optimum...and get some big backlashes like AGI,MOC EWC or CII, within a day or 2 of entry..that's 4k in smoke which have to be recovered by the other entries
> I actually find this more painful emotionally than losing money during crash .
> In the scheme of things, numbers are lower, and other investments are OK so not the end of the world but we have days like that:
> what did I do to the Great God above





Some market truisms:

(i) Unless a stock has news attached (earnings/whatever) it will trade with the market; and
(ii) News will be overwhelmed if there is a shock to the overall market and its falling hard.

New entries have to (mostly) align with the market direction.

In the US (last few days) it would not have been a good time for new long entries. Market has been toppy.

There will always be stocks that trade against the flow of the overall market:







I guess finding them is the trick.

At this point I disagree with Mr @Skate: entries are everything. As a reformed daytrader, entries are what you live and die by. Our example above is an example of news:




When I worked as a Prop. we used to scan for news in the post and pre-markets and try to take positions pre-market. Retail have caught on to pre-market trading, so not quite the advantage it used to be.

As you are not daytrading, not a major: however, your scans should be run through some basic form of news check before buying. Some really obvious (good and bad) stuff will stand out.

jog on
duc


----------



## qldfrog

ducati916 said:


> Some market truisms:
> 
> (i) Unless a stock has news attached (earnings/whatever) it will trade with the market; and
> (ii) News will be overwhelmed if there is a shock to the overall market and its falling hard.
> 
> New entries have to (mostly) align with the market direction.
> 
> In the US (last few days) it would not have been a good time for new long entries. Market has been toppy.
> 
> There will always be stocks that trade against the flow of the overall market:
> 
> View attachment 120309
> 
> 
> View attachment 120310
> 
> 
> I guess finding them is the trick.
> 
> At this point I disagree with Mr @Skate: entries are everything. As a reformed daytrader, entries are what you live and die by. Our example above is an example of news:
> 
> View attachment 120311
> 
> 
> When I worked as a Prop. we used to scan for news in the post and pre-markets and try to take positions pre-market. Retail have caught on to pre-market trading, so not quite the advantage it used to be.
> 
> As you are not daytrading, not a major: however, your scans should be run through some basic form of news check before buying. Some really obvious (good and bad) stuff will stand out.
> 
> jog on
> duc



Thanks for the advice, as a principle,i very rarely goes against the system.this happens but very rarely.
Maybe a mistake.
With a fair amount of trades now executed, even blind Freddy would notice a few repetitive scenarios
1) i have a few specific stocks which keep getting in out and always with a loss.
they yoyo in a range with false starts/buys.i should probably remove them from the realm.not by custom fitting the code but just out of  my xao universe.
A few pet hates are HTA, HAS for example.
Then 
2) News
I try to have a quick look but and it is a mistake, i kind of enter my trades in a batch when there are many and so can let many miss thru.
Not that all would be caught: EWC or CII had no news i could see when i bought and were hit the day of purchase.
for clarification, i only talk about 20-25% fall on the day of purchase.
Obviously, as daily systems, I have far more entries than on weeky systems so more probabilities to be hit.. let's rephrase that ..more occurrences
So weekly are maybe easier for the stress level.. except during crash
I will try to always do a pre market news check before entry,as a rule, not as a side.
And allow myself Power of veto.
On the development path, i believe i am reaching an interesting point.in term of self control vs trading but also experiences and potential improvement as a result.
The high trading daily are marginally profitable so a few in out in a day losing $1k are actually impacting results.since December, my weekly has lost some of its gains, and my overall investment but for BTC are going nowhere. Volatility systems ok as expected, guppy and daily qfduc slow but consistent .new breakout system at a loss but consistent with ramping Up.


----------



## qldfrog

So yesterday lost 1.5k  on a flat market, and gained 2k+ today on a falling market;
at the end of the week:
dailies
DLQFDuc: +$1.2k or 1.14% 80% invested
DLBO: +$0.3k or 0.5% 30% invested
DLGuppy:-$2k or -3% fully invested

volatility ASX +$2.1k or +4.4%
volatility US: +$0.6k or +3.1%
both above fully invested
weekly 
QFDuc: -$1.7k or -1.7% 60% invested
please note 2 Stop loss got triggered and exited this week.

Overall :500$ gain or 0.1% stable


----------



## qldfrog

I have a big parcel of AJM now going in smoke..4.9k vaporised:
not really news but I already looked and there were not many warning signs:
this is the SP chart until suspended:


I wanted to catch the rebound...and SL was irrelevant...


----------



## qldfrog

Just a note: i tend to focus lately on the negative points: a packet delisted, multiple packets of a share falling 25% on the day you buy at open,etc
But we have to put this into context: 
Today on a flat market,my systems were having a 5k gain.could be gone tomorrow, some gain probably will, but we are still making more money than losing.


----------



## qldfrog

Yesterday:
 on a day with the market going up, my system lost 3.8k ..yep...let's just look at the 5k-3.8k figure

and then  today arrived: 
overall loss of $500 among systems..not ideal but manageable with 1.2k lost on one parcel of BNO
In weeks like this, the weekly system is definitively killing me, will wait Friday but do not expect better by then

A black week  so far for my finances as I played relatively big on a USD rise vs the AUD and lost so far.So the high AUD is really killing me, smashing my US portfolio results and crashing the non system USD exposure
we are now in heavy DD territory vs end of November.Add a BTC crash and lucky I took some profit on BTC last week


----------



## Craton

Thanks for posting this up qldfrog.
Good to read about the good, the bad and the ugly from others like yourself, makes one feel almost normal within the machinations of the market.

Wishing you all the best with the "system/s" and do keep the dialog running.


----------



## qldfrog

Craton said:


> Thanks for posting this up qldfrog.
> Good to read about the good, the bad and the ugly from others like yourself, makes one feel almost normal within the machinations of the market.
> 
> Wishing you all the best with the "system/s" and do keep the dialog running.



yeap not really an incentive to work for your money: 
today another nightmare: BKY back on marketand once again I had 3 packets and each down 19%, the sell order I had was  canned by the share suspension;
I do believe this is the only code I had shared among multiple systems ..my luck.. so heavily hit
Only way to avoid these is preventing having the same code in multiple systems or reduce the number of systems;
Not ideal as comparing with Backtest does not work anymore then arrrrgg
Anyway not my week, everything which could go wrong did, btc, gold, usd, and individual packets


----------



## qldfrog

To be clear i manage 2 tallies: my systems and my systems plus the rest of traded investments which includes gold usd bonds here on the asx and in the nyse.
When the total is loosing hard in a benign environment, it can be hard to stomach.a mood issue probably
This does not question the systems which are overall performing better than i expected, and where lessons from losses are learnt and applied
So SL on weekly, limiting the exposure to a single stock between systems.
I checked the risk management per system, this is not enough
But in a nutshell i am significantly poorer overall than in November with no market crash to blame  and this is not good.and cash is not the solution with inflation definitively here in my day to day expenses.bringing forward big expenses for that reason.
Hope it is not too personal.this is my journey..


----------



## peter2

I feel your frustration. It worries me to read your updates. 

The last three months on the ASX have been a slow grind higher. 



To be gaining value over the last three months, ASX portfolios needed to be well diversified, *lucky* or carry a large portfolio heat. It's very hard to hold with tight trailing stops. Those market dips would have triggered tight exit stops. 

I'm pleased to see that your confidence in your systems is growing. I understand that you'll modify them and adapt them to your personal risk tolerance. I hope they're only minor mods, as altering systems on the run is a no no. I worry that this is what you're doing. 

The trading activity outside your ASX systems seems to be a drag on overall performance. I don't like to see this. I hope the downside exposure of all your trading or investment activity is balanced. The probability that all activities have a drawdown at the same time should be low. When it does happen the DD should be manageable. We diversify our trading activity to reduce DDs. 

I can't be more specific. I just hope that you have a couple of good weeks soon because I can't hold my breathe much longer.


----------



## qldfrog

peter2 said:


> I feel your frustration. It worries me to read your updates.
> 
> The last three months on the ASX have been a slow grind higher.
> View attachment 120590
> 
> 
> To be gaining value over the last three months, ASX portfolios needed to be well diversified, *lucky* or carry a large portfolio heat. It's very hard to hold with tight trailing stops. Those market dips would have triggered tight exit stops.
> 
> I'm pleased to see that your confidence in your systems is growing. I understand that you'll modify them and adapt them to your personal risk tolerance. I hope they're only minor mods, as altering systems on the run is a no no. I worry that this is what you're doing.
> 
> The trading activity outside your ASX systems seems to be a drag on overall performance. I don't like to see this. I hope the downside exposure of all your trading or investment activity is balanced. The probability that all activities have a drawdown at the same time should be low. When it does happen the DD should be manageable. We diversify our trading activity to reduce DDs.
> 
> I can't be more specific. I just hope that you have a couple of good weeks soon because I can't hold my breathe much longer.



Thanks a lot for your concern Peter
Changes in systems has been very limited.no risk there
In the last few monthsa
a brand new BO system..going fine until a packet of bky came by...
on the weekly,i have reinstated SL. A bit of work but so far no negative effect as it is quite wide..nearly 30pc not to go into details
And just a few tinkling on ema period etc on the other systems.
Systems are going overall fine..even with the successive hits mentionned but i have even more in supposedly stable investment.the reason i am able to usually stomack system yoyo
Newcrest,rrl,pmgold just reinvested recently yet crashing, USD ETF and usd currency NYSE portfolio,agl,australian bonds and a few plays like RTF, BTC, S32.no winners even rtf was long in red after purchase
That supposedly conservative part is losing money by the shovel,
 it was not long ago that AUD was at 62c USD, now we are at 80c thats 25pc hit
That and its side effect on POG in AUD is a nuclear bomb.not the protection it was supposed to bring
Thanks to our federal banks, we have no place to play safe haven, and inflation is coming to get cash.


----------



## qldfrog

what a week, thankfully, the mini crash today raised the USD and I am nearly better today than yesterday:
Systems handled the fall quite well considering the context except for the volatility US which went bullish at the wrong time and blew 2k :-(
So the dailies:
DLQFDuc +$1k or +0.96% 30% invested
DLBO -$1k or -1.6% 47% invested
DLGuppy took a hit  -$2.6k or -4%
volatility ASX +$0.2k or +0.5%
volatility US -$1.5k or -7.33% (small amount invested (now <20k) so the figures

Weekly saw a lot of SL triggered this week;
-$0.45k or -0.45% and 50% invested

overall:-$4.35k or -1%
better than XNT and current cash is 41%.bring the crash but quick


----------



## qldfrog

Worst situation yoyo.
So delay/gap ensuring maximum loss, going bear on bull day and bull on bear day,rince and repeat
It took courage/stupidity to follow my systems and buy bull this morning .
Small consolation, i cashed up most if not all other non system shares last week.the asx bull was already over byvmidday and not acting would have saved me 3k or so...so far, add cost of brokerage and this is becoming a lose lose game😁


----------



## qldfrog

and expected bloodshed is here..1k loss on volatility US and 3k on volatility ASX in a day -(
And in place to double these tomorrow :-(


----------



## qldfrog

_edited as I did a mistake during EOW price update;
no real big difference but for the sake of precision:_
eow: the carnage did happen:
one system even managed to sell on open on rising day and buy on open on falling day: rinse and repeat nearly everyday
Others just down anyway: horrendous:
So daily systems:
DLQFduc:-$1,416.75     -1.33%
DLBreak Out:-$1,596.46     -2.53%
DLGuppy:-$4.3k     -6.9%
volatility ASX -$4.2k or -8.5%
volatility US:-$1.4k or -7.5%
weekly QFDuc -$2.3k or-2.35%
total damage:-$15k my worst experience so far adding to an horrible previous week;
any positive light? my overall losses this week were -$12k so I managed to gain $3k from my other exposures discretionary/currency/bonds and PM;
Note: I do not take crypto into account as i find hard to call these investments;
Tonight, these 6 systems are 65% cash,with only Guppy fully invested,
and sadly the volatility systems failed me heavily and are now in the red if seen as one-> failing in their crash control role as we had no real crash...
And overall we have lost half of the gains i had early January.
looking for a better week on Monday: even manage to get a flat tyre today, Karma is a B tch?


----------



## frugal.rock

qldfrog said:


> Tonight, these 6 systems are 65% cash,with only Guppy fully invested,
> and sadly the volatility systems failed me heavily and are now in the red if seen as one-> failing in their crash control role as we had no real crash...



I'm wondering if you have too many systems, or rather, too many factors that systems need to be able to cope with that are getting tested at the moment ?
The whole USD to AUD thing scares me, as it seemingly can get out of hand at a respectable pace at times.

One thing that scares me about systems, is, it would need to be a bloody good system for me to stick to it blindly.
The equity curve is the equity curve. It's honest. Its unbiased. Ideally, It should also fall within system expectancy parameters/ ranges.
One has to love those outlier blowups that push the curve above ranges, but also expect the reverse outliers.
If a system is consistently falling below expectancy, is there something in the rules to deal with it?

Got any charts of your systems growth Frog? If so, do they fall within your expected results ranges?



qldfrog said:


> And overall we have lost half of the gains i had early January.



Giving back gains is not nice, especially when their hard won.
I feel for you there.

Chart below is self explanatory, and is my "loose" systematic discretionary portfolio based on Skate, Peter2 & Tech/a techniques & methods.
There are clearly periods of time (mostly last year) where i wasn't actively managing the portfolio as well as I could of.
Was preoccupied with family, work, a death etc etc etc, but to me,  they (each PITA event) clearly show up in the chart.
I didn't have my mind in the game, wasn't following the flow. Not locking in profits etc.  The bloody market nearly caught up!
Portfolio was started middle of August 2020, around 30 weeks.




Hopefully once this wave of rising bond yields gets sorted, we have some normalcy return, whatever that is these days.
The whole bigger picture of bonds, interest rates, yields, inflation etc etc confounds me, as I haven't managed to get my head around how it all works.
It really needs a big flow chart with all the affecting variables/ interconnecting links. It seems like the more I learn, the less i know....
Cheers, and have a good weekend Mr Frog.


----------



## over9k

Here's your reason. Everyone are losing their minds over inflation fears. I've made several big posts over in the coronavirus thread explaining how it's a supply-side issue and what's causing it. 

I guarantee you that in a few months from now when everyone can get back to work and supply can come online again and bring inflation down everyone are going to be going "what was that all about?". 

Happy to help out where I can if you're stuck with something @frugal.rock


----------



## qldfrog

frugal.rock said:


> I'm wondering if you have too many systems, or rather, too many factors that systems need to be able to cope with that are getting tested at the moment ?
> The whole USD to AUD thing scares me, as it seemingly can get out of hand at a respectable pace at times.
> 
> One thing that scares me about systems, is, it would need to be a bloody good system for me to stick to it blindly.
> The equity curve is the equity curve. It's honest. Its unbiased. Ideally, It should also fall within system expectancy parameters/ ranges.
> One has to love those outlier blowups that push the curve above ranges, but also expect the reverse outliers.
> If a system is consistently falling below expectancy, is there something in the rules to deal with it?
> 
> Got any charts of your systems growth Frog? If so, do they fall within your expected results ranges?
> 
> 
> Giving back gains is not nice, especially when their hard won.
> I feel for you there.
> 
> Chart below is self explanatory, and is my "loose" systematic discretionary portfolio based on Skate, Peter2 & Tech/a techniques & methods.
> There are clearly periods of time (mostly last year) where i wasn't actively managing the portfolio as well as I could of.
> Was preoccupied with family, work, a death etc etc etc, but to me,  they (each PITA event) clearly show up in the chart.
> I didn't have my mind in the game, wasn't following the flow. Not locking in profits etc.  The bloody market nearly caught up!
> Portfolio was started middle of August 2020, around 30 weeks.
> 
> View attachment 120969
> 
> 
> Hopefully once this wave of rising bond yields gets sorted, we have some normalcy return, whatever that is these days.
> The whole bigger picture of bonds, interest rates, yields, inflation etc etc confounds me, as I haven't managed to get my head around how it all works.
> It really needs a big flow chart with all the affecting variables/ interconnecting links. It seems like the more I learn, the less i know....
> Cheers, and have a good weekend Mr Frog.



Will try to post the graph,i have them per system, and i do have some closed systems inc mr Skate happy cat etc which brought profit in the mix
I see no point putting closed ones in,limited point in adding even actived ones together as it would hide looser but might smooth the curve😁


----------



## qldfrog

frugal.rock said:


> I'm wondering if you have too many systems, or rather, too many factors that systems need to be able to cope with that are getting tested at the moment ?
> The whole USD to AUD thing scares me, as it seemingly can get out of hand at a respectable pace at times.
> 
> One thing that scares me about systems, is, it would need to be a bloody good system for me to stick to it blindly.
> The equity curve is the equity curve. It's honest. Its unbiased. Ideally, It should also fall within system expectancy parameters/ ranges.
> One has to love those outlier blowups that push the curve above ranges, but also expect the reverse outliers.
> If a system is consistently falling below expectancy, is there something in the rules to deal with it?
> 
> Got any charts of your systems growth Frog? If so, do they fall within your expected results ranges?
> 
> 
> Giving back gains is not nice, especially when their hard won.
> I feel for you there.
> 
> Chart below is self explanatory, and is my "loose" systematic discretionary portfolio based on Skate, Peter2 & Tech/a techniques & methods.
> There are clearly periods of time (mostly last year) where i wasn't actively managing the portfolio as well as I could of.
> Was preoccupied with family, work, a death etc etc etc, but to me,  they (each PITA event) clearly show up in the chart.
> I didn't have my mind in the game, wasn't following the flow. Not locking in profits etc.  The bloody market nearly caught up!
> Portfolio was started middle of August 2020, around 30 weeks.
> 
> View attachment 120969
> 
> 
> Hopefully once this wave of rising bond yields gets sorted, we have some normalcy return, whatever that is these days.
> The whole bigger picture of bonds, interest rates, yields, inflation etc etc confounds me, as I haven't managed to get my head around how it all works.
> It really needs a big flow chart with all the affecting variables/ interconnecting links. It seems like the more I learn, the less i know....
> Cheers, and have a good weekend Mr Frog.



Quick question @frugal.rock ,what do you use as Market? I use xnt to include div etc


----------



## frugal.rock

qldfrog said:


> Quick question @frugal.rock ,what do you use as Market? I use xnt to include div etc



XAO or XKO (or individual sector for individual stock)
I hadn't heard of XNT, probably a better job lot to use. Thanks.


----------



## qldfrog

frugal.rock said:


> XAO or XKO (or individual sector for individual stock)
> I hadn't heard of XNT, probably a better job lot to use. Thanks.



Will try to do an equity curve for lot,( a bit of work due to cash injections) so that it does not twist the charts


----------



## qldfrog

OK, here it is heart warming actually:
equity curve starting 15/05/2020 brought back to 100 at start for both XNT and equity of systems (9 , 6 still live, 5 started during that period, 3 stopped during that period)
There was capital added so to smooth the line, these additions and withdrawals are substracted from the sum 
->  so the 30% return or so on the graph is not the actual representation of the gains as the money available to the systems has been multiplied by 2.5
you will note the heavy fall since 19/02




About currencies
I mentioned USD play:in July  I had a portfolio of around100k USD or 150k AUD
yesterday these  had a 19% increase in USD, I am happy enough with that
but in AUD,  7% only far less positive.
Hopefully this should reverse and boost my returns instead of starving them


----------



## qldfrog

tonight, I will check the remaining systems and see if I detect any fundamental  issues; 
the BO system has not had a long live yet so might be worth adjusting taking into account these last 2 months  of shaky market
But the main ones will remain unchanged 
DLQFDuc has enough history and will remain as is:



-----------------------------
On the weekly, I have already set the stop loss and while harder to backtest, I am quite happy with the current setup even if this implies a bit of extra work to set these SL
So far these have triggered 8 times in the last 3 weeks;
of these 8 occurrences, if I had carried on till the monday and sold at open then: only 3 would have been better off for a total of $343
on the other hand, 4 cases were better off, by a total of $1212..not really statistically valid but no need to discard these SLSo unchanged and we keep the SL
But I will recheck the nb of maximum entries as I am artificially slow to enter and also not using the position score I was expecting
More on Break out system later


----------



## qldfrog

guppy has just been slightly tweaked for its max number of position.not fundamental
BO unchanged but I guess plenty of room for improvement.But I will not rush into quick changes.a recipe for drama


----------



## qldfrog

ok, now looking at volatility systems, which should have made a killing but failed lamely: pretty easy to see how it is going wrong, so let's try to fix this , in a simple way, and without destroying the part which went relatively well from may 2020 till nov 2020


----------



## qldfrog

qldfrog said:


> ok, now looking at volatility systems, which should have made a killing but failed lamely: pretty easy to see how it is going wrong, so let's try to fix this , in a simple way, and without destroying the part which went relatively well from may 2020 till nov 2020



Got somewhere for the volatility ASX after a very late night  not the best condition to engage the new version with blurry eyes and foggy brain.will confirm tonigh.
So in summary: small improvement on daily and weekly qfduc live, no major changes: part of expected DD in yoyo market.
Daily Guppy relatively new system has seen tweaks part of expected improvement.we carry on.
Daily breakout needs more work.
Volatility US remains to be investigated.
And live goes on


----------



## qldfrog

Both volatility systems updated, we will still experience some DD but should behave better.good progress on Guppy which really needed work, BO still to go..


----------



## qldfrog

So, had a good review on the systems, serious changes in volatility based ones, minor changes on others, but for Guppy which should see better results relatively soon;
Guppy still has too many entries with a low win rate so I need to check that:
is low win rates just along specific periods or a constant;and if along specific periods, maybe get out then

The daily breakout BO system needs more work too;
I will work on these in the coming days time permitting:
So a week where we start flexing the curve and soon going back to profitbut not yet)
the dailies
DLQFDuc +$0.2k or +0.22% flat, but now 40% invested..just had one packet last week
DLBO: -$0.1k or -0.15%, flat 16% invested
Guppy -$0.3k or -0.5% fully invested

Volatility US:-$0.3k or -1.8%
Volatility ASX:-$1.2k, -2.8%
Weekly QFDuc +$1.2k or +1.24%
overall -$0.5k or -0.13%; the systems are 38% cash today


----------



## qldfrog

Another eventful week, ramping up the % invested:

DLQFDuc -50$ or  flat, but now 76% invested..
DLBO: -$2.4k or -3.9%, fully invested
Guppy -$0.6k or -1% fully invested

Volatility US:-$0.2k or -1.3%
Volatility ASX:-$0.7k, -1.6%
Weekly QFDuc +$3.2k or +3.31%
overall -$0.7k or -0.18%;


----------



## qldfrog

ok,  bite the bullet: the BO system is crap: not only with results..that can happen DD, etc
but checking entries after entries, it is not right, enter too late usually after the actual BO, and just getting the redraw..and exiting: a loss making factory.I can not see visually what it is supposed to achieve based on initial concept design
I will stop all entries there and slowly wind it up..a costly mistake...
so back to 2 volatility, one weekly & one daily trend qfduc and one guppy.
Back to the drawing board


----------



## Wilham

qldfrog said:


> ok,  bite the bullet: the BO system is crap: not only with results..that can happen DD, etc
> but checking entries after entries, it is not right, enter too late usually after the actual BO, and just getting the redraw..and exiting: a loss making factory.I can not see visually what it is supposed to achieve based on initial concept design
> I will stop all entries there and slowly wind it up..a costly mistake...
> so back to 2 volatility, one weekly & one daily trend qfduc and one guppy.
> Back to the drawing board



If you don't mind sharing what was the process to get to this point? Sounds like it might have been profitable in the back test but didn't necessarily 'make sense' of why it made profit?


----------



## ducati916

qldfrog said:


> ok,  bite the bullet: the BO system is crap: not only with results..that can happen DD, etc
> but checking entries after entries, it is not right, enter too late usually after the actual BO, and just getting the redraw..and exiting: a loss making factory.I can not see visually what it is supposed to achieve based on initial concept design
> I will stop all entries there and slowly wind it up..a costly mistake...
> so back to 2 volatility, one weekly & one daily trend qfduc and one guppy.
> Back to the drawing board





I suspect that it is the wrong market environment for a BO system. A BO system is a real bull market system. The current market has moved from Bull to neutral, or even possibly a very early Bear. We won't really know until a little further down the track, but either way, now is time to play defence.

jog on
duc


----------



## qldfrog

Wilham said:


> If you don't mind sharing what was the process to get to this point? Sounds like it might have been profitable in the back test but didn't necessarily 'make sense' of why it made profit?



I suspect i am partly responsible:
1 initial development was tested properly and never too flash but profit making enough
I was keen to enter a..any..non trend system.
Then i tweaked it using probably non compatible exits ranking.and delayed the full review too long.
It was my last system pending review after the fall i got a month ago.
I could rerun the backtests again with my final system but basically not doing what it was supposed to do when checking signal on charts


----------



## qldfrog

qldfrog said:


> I suspect i am partly responsible:
> 1 initial development was tested properly and never too flash but profit making enough
> I was keen to enter a..any..non trend system.
> Then i tweaked it using probably non compatible exits ranking.and delayed the full review too long.
> It was my last system pending review after the fall i got a month ago.
> I could rerun the backtests again with my final system but basically not doing what it was supposed to do when checking signal on charts



very quick forensic, as is the BO system should be profitable on the long term, but higher dd and in any case well below the performance of my other trend systems, while actually faring worse during these yoyo time.Sure it was a nice idea, but why should I even bother if there is no either diversification or performance advantage. My search for de-correlation/system diversification blinded me on this obvious fact.
And with no clear trend break out are very susceptible to lash back;
This very morning one of my packets FLN was a nice proof of the yoyo behaviour


huge paper gain at opening ending up in a lame loss
Anyway, this BO system is probably not worse even considering in other times
I will discard it and slowly sell the remaining packets


----------



## Wilham

ducati916 said:


> I suspect that it is the wrong market environment for a BO system. A BO system is a real bull market system. The current market has moved from Bull to neutral, or even possibly a very early Bear. We won't really know until a little further down the track, but either way, now is time to play defence.
> 
> jog on
> duc






qldfrog said:


> very quick forensic, as is the BO system should be profitable on the long term, but higher dd and in any case well below the performance of my other trend systems, while actually faring worse during these yoyo time.Sure it was a nice idea, but why should I even bother if there is no either diversification or performance advantage. My search for de-correlation/system diversification blinded me on this obvious fact.
> And with no clear trend break out are very susceptible to lash back;
> This very morning one of my packets FLN was a nice proof of the yoyo behaviour
> View attachment 121868
> 
> huge paper gain at opening ending up in a lame loss
> Anyway, this BO system is probably not worse even considering in other times
> I will discard it and slowly sell the remaining packets



Just a bit of friendly challenge. I don't know your system Mr frog, but over 1000 trades is the system broken or just the recent chop we are experiencing?

If it is the wrong market type, maybe the solution is a system filter or retaining it in your basket of systems but not _necessarily_ that the system is broken. 

Not saying either of you are wrong, but a different perspective.


----------



## over9k

@Wilham It's using mathematics and systems in atypical market conditions. I'm hopefully going to get my basic chart analysis/reading thread up tonight and I've gone to painstaking lengths to explain why you shouldn't be relying on number crunching in a market environment like this one.


----------



## qldfrog

Wilham said:


> Just a bit of friendly challenge. I don't know your system Mr frog, but over 1000 trades is the system broken or just the recent chop we are experiencing?
> 
> If it is the wrong market type, maybe the solution is a system filter or retaining it in your basket of systems but not _necessarily_ that the system is broken.
> 
> Not saying either of you are wrong, but a different perspective.



I had a look rerunning the 2007-now, the 1/1/2019 to now and a few more specific period:
the results were 1/3 of my other trend systems so not up to scratch
and the curve were similar so not outperforming in lean time for my other systems so no need...
backtest 2007 to now vs dlqfduc:


and in graph:


just worse...in all factors.
I forgot the big picture so once initial backtest, I enhanced, improved that BO code but only comparing it to itself, without stepping back and considering the first question: is it worthwhile for either $ or diversification..and the answer is a clear cut NO


----------



## Newt

All is not lost QF.  Sometime you don't realise you've learned something until later.  Could be better ways to develop, to screen and test.  An element in the entry, exit, or parameters might be a useful part of the jig saw for a future system.  

Even if it seems a dead-end currently, effort invested trying something is never truely wasted


----------



## qldfrog

Newt said:


> All is not lost QF.  Sometime you don't realise you've learned something until later.  Could be better ways to develop, to screen and test.  An element in the entry, exit, or parameters might be a useful part of the jig saw for a future system.
> 
> Even if it seems a dead-end currently, effort invested trying something is never truely wasted



the idea behind BO is that even in falling market, there are always some diamond shing, so the idea was supposedly to run along trend but still find the gems during down or yoyo periods..failed :-(


----------



## Wilham

qldfrog said:


> I had a look rerunning the 2007-now, the 1/1/2019 to now and a few more specific period:
> the results were 1/3 of my other trend systems so not up to scratch
> and the curve were similar so not outperforming in lean time for my other systems so no need...
> backtest 2007 to now vs dlqfduc:
> View attachment 121871
> 
> and in graph:
> View attachment 121872
> 
> just worse...in all factors.
> I forgot the big picture so once initial backtest, I enhanced, improved that BO code but only comparing it to itself, without stepping back and considering the first question: is it worthwhile for either $ or diversification..and the answer is a clear cut NO



Thanks for taking the time to give some context. Like I said, wasn't trying to call out your decision, given the external context just wanted to probe a bit more. Looks like you have it covered!


----------



## ducati916

qldfrog said:


> the idea behind BO is that even in falling market, there are always some diamond shing, so the idea was supposedly to run along trend but still find the gems during down or yoyo periods..failed :-(





In a bear market or churning market, BO trades still work, but only in the time frame of 1 or 2 days. They become 'bounce' plays, not 'new trend' plays (although some do trend). They are normally oversold and returning to some EMA.

You can probably build a system around that, but you probably need an exit of take profit of X, not a SL exit.

jog on
duc


----------



## qldfrog

ducati916 said:


> In a bear market or churning market, BO trades still work, but only in the time frame of 1 or 2 days. They become 'bounce' plays, not 'new trend' plays (although some do trend). They are normally oversold and returning to some EMA.
> 
> You can probably build a system around that, but you probably need an exit of take profit of X, not a SL exit.
> 
> jog on
> duc



Yes that was obvious when i did my very short forensic analysis on randomly selected trades for this BO system:
Time after time, a jump then pull back and my usual exits then locking the loss. ..
Learning...


----------



## Cam019

qldfrog said:


> the idea behind BO is that even in falling market, there are always some diamond shing, so the idea was supposedly to run along trend but still find the gems during down or yoyo periods..failed :-(




Not sure if this is a weekly or daily system - I would be opting for a weekly breakout system. i.e. breakout and close above x-week high.

Trying to trade a daily breakout system in choppy or down trending markets is unlikely to work well. A weekly close has a better chance of sorting the wheat from the chaff in less than ideal market conditions.


----------



## qldfrog

Cam019 said:


> Not sure if this is a weekly or daily system - I would be opting for a weekly breakout system. i.e. breakout and close above x-week high.
> 
> Trying to trade a daily breakout system in choppy or down trending markets is unlikely to work well. A weekly close has a better chance of sorting the wheat from the chaff in less than ideal market conditions.



Yes it was daily.. honestly,it had no chance in the current environment.
I will close this BO chapter left a bad smell 😊,doubt i will try again as in better conditions i have better proven systems.
The workload on my daily systems with 5 to manage was also getting higher,and generated a few manual mistakes.my next on the workbench system will be weekly


----------



## frugal.rock

Glad to see you are now on top of it all Monsieur Frog. ✌️

I am now glad I poked you about your equity curves...despite all the late nights and sleep you no doubt lost... for a while after commenting I thought maybe I was out of place.

However, I figured you'd had enough time settling into your new property and it was time to "retour au travail".
All's well that ends well.

Au revoir et bonne chance.


----------



## qldfrog

frugal.rock said:


> Glad to see you are now on top of it all Monsieur Frog. ✌️
> 
> I am now glad I poked you about your equity curves...despite all the late nights and sleep you no doubt lost... for a while after commenting I thought maybe I was out of place.
> 
> However, I figured you'd had enough time settling into your new property and it was time to "retour au travail".
> All's well that ends well.
> 
> Au revoir et bonne chance.



Thanks, no problem.the settling in is far from over, a farmlet neglected in the last 3y,  and i am not spending as much time as i d like on my systems but this is life: never boring.i have now a business project added so yes systems are hard to find time for


----------



## Newt

ducati916 said:


> In a bear market or churning market, BO trades still work, but only in the time frame of 1 or 2 days. They become 'bounce' plays, not 'new trend' plays (although some do trend). They are normally oversold and returning to some EMA.
> 
> You can probably build a system around that, but you probably need an exit of take profit of X, not a SL exit.
> 
> jog on
> duc




Hmmm - a modified entry (and/or exit) off a market filter......  😎😕


----------



## qldfrog

Sorry for the delay:
last week: not great again: my systems went Bear (and the DJ jumped on friday night..)
dailies:
DLQFDuc +$6..flat but went from 76% to 53% invested
BO strategy winding down as per previous posts -$100 or -0.2% still 48% invested
Guppy not good at all last week:-$3.5k or -6.1%
volatility: 
ASX +1.2k or 2.8%
US-164% or -1%
and for the weekly -1.1k or -1.1%
overall -3.7k or -1%
note that my systems are now 50% cash


----------



## qldfrog

more bloodshed for both my discretionary investment and systems today with 25% of my annual remaining profits going in smoke.

 I closed the BO system at open wo further losses  for that one so it could have been worse
look at this BO nightmare:


13% win rate a loss making machine


----------



## Skate

qldfrog said:


> more bloodshed for both my discretionary investment and systems today with 25% of my annual remaining profits going in smoke.
> 
> I closed the BO system at open wo further losses  for that one so it could have been worse
> look at this BO nightmare:
> View attachment 122145
> 
> 13% win rate a loss making machine




*The recent choppy trading conditions*
@qldfrog, this is the very reason why I made a few post recently about trading different systems when the going gets tough (horses for courses). Strategy changes on the fly disguised as improvements can undo the best of strategies.

*Investment strategy*
Having an investment strategy in combination with a range of trading systems can smooth an equity curve (making trading less stressful).

*When trading is not going well*
When systems start to perform poorly - you have the option to take a break (to re-evaluate the current situation). Strategy rotation during a difficult trading period can sometimes help. (Well it helps me)

Skate.


----------



## qldfrog

Skate said:


> *The recent choppy trading conditions*
> @qldfrog, this is the very reason why I made a few post recently about trading different systems when the going gets tough (horses for courses). Strategy changes on the fly disguised as improvements can undo the best of strategies.
> 
> *Investment strategy*
> Having an investment strategy in combination with a range of trading systems can smooth an equity curve (making trading less stressful).
> 
> *When trading is not going well*
> When systems start to perform poorly - you have the option to take a break (to re-evaluate the current situation). Strategy rotation during a difficult trading periods can sometimes help. (Well it helps me)
> 
> Skate.



The only significant change in strategy is the removal of the BO system, others are really same:
the trouble on a day like today is my investment (especially the supposedly conservative) got hit as well:
Below is the snapshot of one of my long term conservative ASX investment portfolio;
every single stock significantly down: USD (yank), Gold & Silver, oil, even finance and utilities. 
In a separate Aus bond portfolio, I have a similar 1% fall on bonds. 
When all sectors are falling inc bonds and PM, it is not a good sign and I am talking wider than my systems here.Time will tell if this was an alarm light switching on.The easiest way  to handle this is either to be able to stomach it or just not reading intra week status 

todays loss in %AGL-3.54​BPT-0.85​ETPMAG-1.3​MFG-0.82​NCM-1.28​PMGOLD-1.37​RRL-3.28​SVL-2.33​YANK-0.41​


----------



## Newt

Definitely a lot of small and mid cap volatility at the moment.
Think I was up 2% Mon, down 2'ish% Tue, up 1.5% today.


----------



## qldfrog

Newt said:


> Definitely a lot of small and mid cap volatility at the moment.
> Think I was up 2% Mon, down 2'ish% Tue, up 1.5% today.



Guppy has been tweaked a bit more following some readings on the Aroon indicator.Google it , some nice potential to *consistently *improve (slightly) my system.


----------



## qldfrog

So another not so brilliant week but with a good recovery in last few days:

Daily: 
DLQFDuc good 1.55% increase or $1.6k but only 45% invested
Guppy not so great at all:-$2.5k or -4.75%.I found was to consistently improve the system and it has been added but still not good.
We should not go down 5% and be fully invested in down or flat weeks,worse I actually made a mistake and ended up with too many parcels ...duh..
volatility: 
both caught up after heavy losses early this week so relatively happy:
volatility US:+$25 flat
volatility ASX:-0.5k or -1.08%

my old trusted weekly did not go so well: -$0.9 k or -0.9% and only 48% invested

overall -$2.2k or -0.7% with 48.5% cash tonight
Guppy has been the laggard by far.See below:


.probably worth investigating further


----------



## qldfrog

US market broker offering options?
What would be your recommendation?
I currently use Commsec/Pershing but on top of supercharged fees, they do not offer option trading.
I really need to change, especially if i start taking a more active view on my portfolio there


----------



## qldfrog

Note about nb position vs win rate:https://forum.amibroker.com/t/maxopenpositions-impact-on-win/23662


----------



## qldfrog

_*Are we not all geniuses???*_

Just kidding:
when the sea rises, all boats rise even the Titanic...
anyway, let's enjoy a good week and after nearly a week of rain, the sun is back here on the sunny coast giving us glorious sunrises sunsets and balmy dry days

Daily systems
DLQFDuc+$4.3k or 4%, 78% invested  but fully positioned as I change the value per position and keep nb of positions restrained
DL Guppy +$1.1k or +2.1% now fully invested
volatility US:+$1.1k or +6.4%
volatility ASX:+$2.3k or +5.2%

weekly 
qfduc more disappointing as its conservative code see it only 22% invested 
and so only made $0.3k or 0.31%

overall +$9.1k or 2.8% with 47% cash
better US , bonds and Gold not to shabby this week so the frog will enjoy a pizza tonight!!!


----------



## Skate

qldfrog said:


> _*Are we not all geniuses???*_
> overall +$9.1k or 2.8% with 47% cash




@qldfrog, what a great result, well done.

Skate.


----------



## qldfrog

OK, so heading toward opening an IB family management account to be able to open accounts for both myself, wife, joint and trust , and manage them from a single login.
Sadly the IB create account site is under maintenance so will have to wait a few more hours, any feedback-advice welcome
@Linus van Pelt ,@DaveDaGr8  if I may ask: is that the proper start? you have been thru this recently..


----------



## qldfrog

Another great week..after all DD are supposed to then recover otherwise they are not DD but failing systems 
Dailies:
DLQFDuc: +2.9k or +2.61%
DLGuppy: +1.7k or +3.35%
vol ASX: +0.9k or +1.96%
vol US: +0.6k or +3.3%
and the weekly:
30% invested: +3.2k or +3.26%

overall:+9.3k or +2.8% with cash level at 43%;
During that time the XNT has increased by roughly 1% so a great week.Not really comfortable yet with my risk management, nb of positions and open profits..will see if we can fix that this week end ready for monday open


----------



## qldfrog

Well not so great a week here, much worse than it felt as I thought all was going well: taking profit, exiting nicely, going to cash, etc
But I guess I lost a lot of open profit
Dailies:
DLQFDuc: -4.15k or -3.63%
DLGuppy: +1k or +1.86%
vol ASX: -2.2k or -4.7%
vol US: -0.3k or -1.75%
and the weekly:
30% invested: -3.8k or -3.75%

overall:-9.4k or -2.9% with cash level at 43%; so basically back to where I was 2 weeks ago


----------



## qldfrog

one bad last week , and a good week ending today
, got hit with a 25% fall in BPT in my investor portfolio so no french champagne tonight at the frog;
but the systems did very well:
dailies:
DLQFDuc: +$8.9k or +8.11%

DLGuppy: +$2k or +3.7%
both volatility systems unchanged and fully cash
Weekly:
QFDuc +0.8k or +0.8%
overall
+$11.7k or +3.5% with cash level at 57% so very conservative.
a great week
and for the month: April was a great month: +$20.7k or +6.1% for the sum of the systems


----------



## qldfrog

not a great start for May:..not a surprised
this week:
dailies:
DLQFDuc:-$5.8k or -4.8% after last week great performance( I could have made a mistake as well): 35% cash
DL Guppy:-0.7k or -1.2% 16% invested
volatility ASX:+$70 stable, back fully cash
volatility US:-$0.3k or -1.7%, back fully cash
weekly: -$1.1k or 1.1%
overall:
 -$7.9k or -2.4% for the week 
my systems are now 83% cash


----------



## qldfrog

ok bad week, or more exactly a few bad days, with today seeing the frog losing 4k..hum weird..but this is what it is;
I did a mistake and forgot (or deleted) 2 packets from the daily qfduc, only triggering  the sell well after the open and lost a good .5k by this mistake ..sxxt happens but a lot of self cursing
The daily systems:
DLQFDuc: -$1.6k or -1.41%   46% invested
DLGuppy -$2k or -3.54%      9% invested
volatility ASX: unchanged 100% cash
volatility US: invested: -$0.6k or -3.3%

weekly:-$0.3k or -0.35%; only 10% invested

overall: -$4.5k or -1.4%


----------



## qldfrog

qldfrog said:


> ok bad week, or more exactly a few bad days, with today seeing the frog losing 4k..hum weird..but this is what it is;
> I did a mistake and forgot (or deleted) 2 packets from the daily qfduc, only triggering  the sell well after the open and lost a good .5k by this mistake ..sxxt happens but a lot of self cursing
> The daily systems:
> DLQFDuc: -$1.6k or -1.41%   46% invested
> DLGuppy -$2k or -3.54%      9% invested
> volatility ASX: unchanged 100% cash
> volatility US: invested: -$0.6k or -3.3%
> 
> weekly:-$0.3k or -0.35%; only 10% invested
> 
> overall: -$4.5k or -1.4%



And wall street bouncing back so my systems will have locked the losses.
Wonder if i will be positive by eofy if things carry on that way


----------



## qldfrog

Really like that articlehttps://www.elderresearch.com/blog/top-mistakes-when-backtesting-investment-strategies/


----------



## qldfrog

Newsflash:
For info and after discussions on backtest bias, etc DLGuppy is starting a new v13 today 
DLQFDuc is paused: I take the sell, not the buy
while I sort out some related issues


----------



## qldfrog

ok liquidated DLQFDuc


----------



## qldfrog

DLQFDuc closed after the first opportunities in months to actually work seriously on bias etc.I will restart a new Daily system there
the amazing thing is that DLQFDuc was started nearly exactly a year ago, on the 18/05/2020
on the 20/01/21, the portfolio cash was increased by 80%
ultimately, that system returned a 26% increase beating the XNT


a dark point we still own a AJM parcel which I consider most probably worthless
after that correction we end up not that great but still decent especially considering the extra cash injection less than 4 month ago:


I repeat nearly half of the fund only invested since january..
Overall

Win %34%​Win Loss Ratio (average win/avg loss)2.56​Profit ratio (gross profit/gross loss)1.32​
Hopefully the replacement will do better.I would sign for this against term deposit or bonds returns anyday


----------



## qldfrog

Found a name for my next daily system, just have one issue to sort/understand and ready to go:
the flying bat system.
But considering the market today, i might delay the start


----------



## Skate

@qldfrog tell us more about the signal generator of "The Flying Bat Strategy" & why have you decided to make it a daily system?

Skate.


----------



## qldfrog

Skate said:


> View attachment 124576
> 
> 
> @qldfrog tell us more about the signal generator of "The Flying Bat Strategy" & why have you decided to make it a daily system?
> 
> Skate.



Sure
Flying bat coming from vol which means flight (flying) in french
My working name for the system is volvol or volatility/volume
I do not follow any specific indicator (that i know of) but tried a system looking at both the volatility and volume and then using standard momentum, roc etc
will check details again but has been stored for 8months or so

On paper/backtest


Skate said:


> View attachment 124576



looking good/very good but weird behaviour in backtest results might extends on this tonight if i can find a sec.
Great artwork Mr Skate😊


----------



## Skate

qldfrog said:


> a system looking at both the volatility and volume and then using standard momentum, roc etc




*I'll be watching with interest*
I'm sure you won't go too far wrong with this strategy as "volatility & volume" are the drivers of the markets. My new "Simple Strategy" does something similar of buying into the "strength of a trend". It's a simple idea of making sure the (ADX) is greater than each of the previous 3 periods. I don't know how you will harness the "Volume" but I'm making sure that the volume increases over a "Set-Period". I incorporate the (ROC) filter in three different ways & the PositionScore is entirely dependent on it.

*Posting ongoing results*
I was also wondering if you will be posting your daily trading results?

Skate.


----------



## qldfrog

Skate said:


> *I'll be watching with interest*
> I'm sure you won't go too far wrong with this strategy as "volatility & volume" are the drivers of the markets. My new "Simple Strategy" does something similar of buying into the "strength of a trend". It's a simple idea of making sure the (ADX) is greater than each of the previous 3 periods. I don't know how you will harness the "Volume" but I'm making sure that the volume increases over a "Set-Period". I incorporate the (ROC) filter in three different ways & the PositionScore is entirely dependent on it.
> 
> *Posting ongoing results*
> I was also wondering if you will be posting your daily trading results?
> 
> Skate.



I could if you are interested : usually checked every day
Flying bat  not started yet and by now, my systems are only 12% invested( after dlqfduc liquidation and both volatility systems back in cash,) just a few left over parcels in the weekly and the new guppy 
I will probably paper run the bat till monday just to be sure there is not an obvious issue


----------



## qldfrog

Flying bat: no buy sell today;


----------



## qldfrog

A word of warning, the flying bat is not for the faint hearted, being statistically right will still see drastic falls.i just hope my heart..somewhat link to my wallet will be able to handle it.to be 100pc honest, not sure myself
Explore will be run every morning and orders prepared before asx open
I will give an end of day status.
Expecting some buy action today,will confirm but do i stay paper or start live?...my dilemma


----------



## qldfrog

qldfrog said:


> A word of warning, the flying bat is not for the faint hearted, being statistically right will still see drastic falls.i just hope my heart..somewhat link to my wallet will be able to handle it.to be 100pc honest, not sure myself
> Explore will be run every morning and orders prepared before asx open
> I will give an end of day status.
> Expecting some buy action today,will confirm but do i stay paper or start live?...my dilemma



no dilemma: flying bat stay roosting in its tree: no buy action today


----------



## Skate

qldfrog said:


> do i stay paper or start live?...my dilemma




@qldfrog, paper trade would be the way I would go until an edge has been proven with out of sample data. Posting the signals before or after the market opens makes no difference but displaying the signals would allow me to follow more closely.

Skate.


----------



## qldfrog

it is actually a bit scary to start something not based on a known indicator, i am no genius so it is probably a mistake..


----------



## Skate

Skate said:


> @qldfrog, paper trade would be the way I would go *until an edge has been proven* with out of sample data.





qldfrog said:


> it is actually a bit scary to start something not based on a known indicator,* i am no genius so it is probably a mistake..*




*Dot the "i's" & cross the "t's"*
Attention to the details when coding a new strategy is of the utmost importance. Mistakes in this game cost money. The trait of having a go needs to be acknowledged but I've noticed confidence & positivity are not your strongest suits.

Skate.


----------



## qldfrog

Skate said:


> *Dot the "i's" & cross the "t's"*
> Attention to the details when coding a new strategy is of the utmost importance. Mistakes in this game cost money. The trait of having a go needs to be acknowledged but I've noticed confidence & positivity are not your strongest suits.
> 
> Skate.



Positivity definitively not, confidence hum :not absence of,  just realism.


----------



## qldfrog

OK so week 4 or so of the disaster series:
another month like that and even TD will be a better option for this FY :-(

So daily
DLQFDuc closed on the 19/05 with a gain of $1.3k or 1.3%..I am closing my winner
DLGuppy: new version implemented and now fully invested with $3.1k loss or 5.8% 
[a full $1.8k loss due to ARV..hate that as my sell order was canned by the trading halt and then crashed..hum, BTP ,AJM, and now ARV..I seem to like these multi loosers]
volatility: 
out just before they jump and in before they crash..by 1 day...
volatility US stable
volatility ASX -$0.6k or -1.6%

weekly:10% invested only
-$0.6k or -0.57%
Overall in red:
-3k or around -1%


----------



## qldfrog

a diversion this morning trigerred by Mr @peter2 posts

Ranking by alphabetical order?
That looks crazy but i noticed that on my daily systems,i often go into a kind of cycle:
Today is buy of the M day, then tomorrow buy of the P days 
Looking like the market conditions triggering my purchase follow a kind of alphabetical order.
And no i do not limit the explore ourput numbers,just ranking
Can be a feeling, or we could have a real factor here.
Just throwing ideas: analysts could for example look at a set of investment candidates and split their work for the week  in 5 packets based on alphabetical order.
That could make sense,then after they buy their shares, my trend systems would pick this up and flag these codes as buy? 
Should I stop the Shiraz?


----------



## Skate

qldfrog said:


> Should I stop the Shiraz?




*YES - stop drinking

Amibroker Ranking is called - PositionScore*
@peter2 acknowledges there are always more candidates than the available money & most times more signals than required to fill a portfolio. From my research alphabet ranking doesn't produce "bang-for-buck" neither does Radge's "Bang-for-buck" PositionScore. 

*A Gem from Nick Radge's Bang-For-Buck article*
_"You will therefore find that capital usage in higher-priced stocks is inefficient compared with lower-priced stocks" _Nick is suggesting that efficiencies can be garnered by taking the "lowest-priced stock" first.

*With PositionScore it's horses for courses *
It's about dancing to the music being played, meaning one PositionScore doesn't fit all strategies (they need to be in tune with the strategy). The PositionScore can be one of the deciding factors of the overall profitability of any strategy. At all costs, you need to get the ranking correct or you might just throw away a good strategy or trading idea.



Skate said:


> The Simple Strategy "PositionScore" is entirely dependent on the "ROC".




*PositionScore*
The PositionScore decides which trades should be entered if there are more entry signals than the maximum allowable number of open positions or available funds by ranking them in numerical order. In such a case, AmiBroker will use the absolute value of PositionScore to decide which trades are preferred. 



peter2 said:


> How can I reduce the number of opportunities to a manageable level?
> (i) *Prioritise the stocks with the lowest price* (like @Skate)




*For the record*
I use a variety of ranking methods as the ranking (positionscore) needs to be in tune with the objective. Using the lowest price first has its advantages when dealing with defined indexes. Trading lower price positions can springboard the returns due to the power of percentages.

*Backtesting alleviates the need to guess*
"PositionScore" affects only the backtest & optimization, this is the reason we need to add a filter, without an additional filter it wouldn't display the ranking in the Exploration Analysis. The "PositionScore" is important when it comes to the profitability of any strategy.

Skate.


----------



## qldfrog

Off for a coffee break but will reply tonight i was actually refining position score this morning.. coincidence.
It is an area i do not feel i am confident having found the grail yet


----------



## qldfrog

ranking:
the obvious one is of the form 100-C so giving a preference to lower penny stocks, and you benefit from the huge in % increments..but it usually adds volatility;
another issue is that on generous selection you end up with dozen of 4c stocks or similar; so kind of random selection?
Lastly you basically cycle with a very small set of stocks, the smallest ones
yes it gives good backtest but not that happy with it;

ROC as Skate noted is worth a look;I used it in conjunction

you can try Nick Radge or variation:
PositionScore =((10000/Close)*ATR(period)); decent but never the best in all my trials

and then you can use the specific of your system:
if you wait for A>B to buy, is the Abs(A-B ) value meaningful and dictating preferences?
and all variation of these including TSI indicator values etc etc
Sadly I have never yet found a position score i am happy with.
This is probably my missing link


----------



## peter2

I agree with skate on the issue of forward testing with paper or miniscule amounts of money until you're absolutely certain the system has a consistent edge. 

Have you seen the flying bats that get caught in the overhead power lines?  Not a pretty sight.


----------



## qldfrog

peter2 said:


> I agree with skate on the issue of forward testing with paper or miniscule amounts of money until you're absolutely certain the system has a consistent edge.
> 
> Have you seen the flying bats that get caught in the overhead power lines?  Not a pretty sight.
> 
> View attachment 124738



thanks Peter, there is a reason I did not name my system the soaring eagle...


----------



## qldfrog

Good evening all, and May is coming to an end;
Good end of week today for the frog:
daily:
Guppy: +1.2k or +2.34%;
volatility ASX: +2.3k or +5.2%
volatility US: +0.5k or +2.9%
weekly qfduc: -0.6k or -0.6%
disappointing as after a great start till december or so beating or matching XNT, just eroding gains weeks after weeks...
Will need to check if any change has been costly or system unsuitable for choppy waters
and the joker:
starting Flying Bat with slow entries (restricting entries to 4 a day): 
now nearly 90% invested and at a $1.7k loss or -2.08%

overall:1.7k profit or +0.6% 80% invested by today.
Have all a great week end


----------



## qldfrog

Good evening all, and a relatively great week until today where my small caps got crashed..
so lost $1750 in a day where the asx was going higher


daily:
Guppy: +$3.9k or +7.5%;
Flying bar  in its leaving the tree mode:
-$3k or -3.8%
volatility ASX: +$1.7k or +3.6%
volatility US: -$0.15k or -0.9%
weekly
 qfduc: +$0.6k or 0.6%

overall: $3.05k profit or +1.02% 95% invested 
give me 52 weeks like that 
Have all a great week end






Quote Reply 

Report


----------



## Sir Burr

qldfrog said:


> you can try Nick Radge or variation:
> PositionScore =((10000/Close)*ATR(period)); decent but never the best in all my trials



Maybe try this against random too...

Turnover = C*V;
Rank = ROC( Turnover, 1 );
PositionScore = Ref( 100 + Rank, -1 );
//PositionScore = Random();


----------



## qldfrog

Good evening all, and a really bad week


daily:
Guppy: -$3.3k or -5.9%; disappointing
Flying bat
-$2.6k or -3.5% but we start having some good winners on older purchases
volatility ASX: +$0.25k or +0.5%
volatility US: +$0.2k or +1.2%
weekly
qfduc: -$0.4k or -0.4%

overall: -5.8k loss or -2% 94% invested with a lot of movement this week
I wonder the impact of trying to reduce exposure to specific stock:
If an explore asks me to purchase a specific stock for a system, but that stock is already present in  system 2 or 3, I bypass it and purchase the next one.
in a so so market, it probably means I take far too many not optimal stocks.
as i have 3 systems, most days, I bypass quite a few then get sub optimal choices that my dailies discard on the next day with a 4 or 5% loss
anyway, luckily, renovations are ending and I should be able to spend a bit more time on the systems


----------



## qldfrog

Note.my current systems are heavily invested in small caps..aka in australia junior miners and exploration companies which is not sustainable long term as I delay my planned new systems due to time constraints
so I need to get cracking to add stability by numbers


----------



## qldfrog

Today see the start of my last systems:
I have two volatility daily systems (US/ASX) stable and unchanged
2 other dailies 
DLGuppy: relatively robust proven methodologies, in red with quite  high volatility 
The current version is now quite mature but even in backtests is in draw down since April.let's be patient
DLFB: Flying bat very green and own mix, will be loosing money in the first few weeks, hopefully should stabilise this week is the market is clement. Current version is in red both backtest/real.

weekly:
QFDuc: very disappointing lately:lost 3% today..yeap, and is in 10% DD from end January

lastly just started QFSec slightly influenced by sectors..as much as i can do that here on the ASX ; and otherwise a classic trend following system using Momentum, AAron, TSI
Hopefully will decouple a bit from my other systems;
Last week I lost heaps due to my avoiding more than one packet of the same stock among strategies: I removed this..at the very least , I can now check vs backtests.
.but it has a risk management consequence: more exposure to single stock crash, etc 
short night the day the darling of the market collapses...
This is also a good time in the fiscal year for me to start the systems as the ramp up is expected to be in the red, and i can offset these loses..but not so sure it is good timing in term of markets...
I also add today some thought about long term investments: see my ammonia thread


----------



## qldfrog

more blood on the floor of my system...(-1.7% on all systems but as systems are overall only 60% invested, it is a pretty bad result..)


----------



## qldfrog

OK, the end of the bloodbath week at last: The red wedding......
My systems generally target lower priced stocks, with higher volatility..that is the way you can beat an index, so fair;
In Australia, these are small caps : exploration shares or junior minors overwhelmingly; and when resources get smashed, these get double or triple smashed, including the safe haven gold and PM.
So an horrendous week and a VERY BAD timing to start my last weekly on tuesday....
Thankfully, i decided to only enter 10 stocks and not 20 as a timing mitigation risk..that probably saved me an extra 2%

The carnage got mitigated by a $3k rebound today for the few shares remaining hold :
a good argument to mix daily and weekly system: daily to react fast in big crash (this was not a crash IMHO), and weekly to smooth days like the ones we saw
The dailies: 
Flying bat:-5.8k or -8%; 93% cash
Guppy -1.3k or -2.4%; 88% cash

volatility ASX +0.9k or 1.92% now fully cash

volatility US $-155 or -0.9% now fully cash

Weekly:
the new kid on the block:
QFSec -1.8k or -2.3% still trying to improve its Sector leverage, obviously this week was just a sea of red
QFDuc -0.4k or -0.4%

overall -$8.6k or -2.4%
It does hurt (a lot) but I dare say it is not especially bad vs similarly exposed stocks
Poor Mr ATO, I might barely break even this FY with my shares between bonds, USD and investments/systems..will do a full report in july
Enjoy the week end


----------



## qldfrog

a note:
my volatility US is performing nowhere near as good as my volatility ASX:
ASX: last code version backtest on the period 25/05/20 to now


Return since 25/05/2020    24%
Annual return so far    23%
Invested percentage    0%
dividends     0
Win %    53%
Win Loss Ratio (average win/avg loss)    1.50
Profit ratio (gross profit/gross loss)    1.73

So some healthy profit (even in bear markets)
vs
US: different capital so just look at curves


Annual return so far    -36%
Invested percentage    0%
dividends     0
Win %    36%
Win Loss Ratio (average win/avg loss)    1.06
Profit ratio (gross profit/gross loss)    0.60
 it seems clear that volatility US should be reviewedr canned, and its cash moved to volatility ASX

Might be implemented from next week as both volatility systems are now 100% cash

Hope it helps


----------



## yc1

qldfrog said:


> a note:
> my volatility US is performing nowhere near as good as my volatility ASX:
> ASX: last code version backtest on the period 25/05/20 to now
> View attachment 126305
> 
> Return since 25/05/2020    24%
> Annual return so far    23%
> Invested percentage    0%
> dividends     0
> Win %    53%
> Win Loss Ratio (average win/avg loss)    1.50
> Profit ratio (gross profit/gross loss)    1.73
> 
> So some healthy profit (even in bear markets)
> vs
> US: different capital so just look at curves
> View attachment 126306
> 
> Annual return so far    -36%
> Invested percentage    0%
> dividends     0
> Win %    36%
> Win Loss Ratio (average win/avg loss)    1.06
> Profit ratio (gross profit/gross loss)    0.60
> it seems clear that volatility US should be reviewedr canned, and its cash moved to volatility ASX
> 
> Might be implemented from next week as both volatility systems are now 100% cash
> 
> Hope it helps



Hi qldfrog,

Could you please explain (in whatever detail you see fit) what your ASX and US Volatility systems are? Thanks


----------



## qldfrog

yc1 said:


> Hi qldfrog,
> 
> Could you please explain (in whatever detail you see fit) what your ASX and US Volatility systems are? Thanks



my own sauce so will not go into much details but these 2 try to leverage, on a daily basis the correlation between market volatility and general market trend (up or down)
Lower volatilty ->market going up
higher volatility-> market going down.
The idea being that we can still make money in crashes whereas our trend following system do not.
Will not go in much more details than that. My US market implementation not really good, the asx one reasonable earner.but nowhere like the other pros on this forum.i am  and remain a novice


----------



## yc1

qldfrog said:


> my own sauce so will not go into much details but these 2 try to leverage, on a daily basis the correlation between market volatility and general market trend (up or down)
> Lower volatilty ->market going up
> higher volatility-> market going down.
> The idea being that we can still make money in crashes whereas our trend following system do not.
> Will not go in much more details than that. My US market implementation not really good, the asx one reasonable earner.but nowhere like the other pros on this forum.i am  and remain a novice



Thanks for the above. Do you calculate volatility yourself or use AXVI/VIX?


----------



## Warr87

qldfrog said:


> a note:
> my volatility US is performing nowhere near as good as my volatility ASX:
> ASX: last code version backtest on the period 25/05/20 to now
> View attachment 126305
> 
> Return since 25/05/2020    24%
> Annual return so far    23%
> Invested percentage    0%
> dividends     0
> Win %    53%
> Win Loss Ratio (average win/avg loss)    1.50
> Profit ratio (gross profit/gross loss)    1.73




I like the equity line on the ASX volatility!


----------



## qldfrog

yc1 said:


> Thanks for the above. Do you calculate volatility yourself or use AXVI/VIX?



I use vix, etc


----------



## qldfrog

Warr87 said:


> I like the equity line on the ASX volatility!



A precision, the graph is from backtest, but the win rate, % returns and ratios etc are from actual systems, with code and capital  changes along the way


----------



## Warr87

qldfrog said:


> A precision, the graph is from backtest, but the win rate, % returns and ratios etc are from actual systems, with code and capital  changes along the way



i did suspect that as the difference from starting equity and finish equity looked to be different numbers then you presented, but either way a 24% return should be something you are happy with .


----------



## qldfrog

Warr87 said:


> i did suspect that as the difference from starting equity and finish equity looked to be different numbers then you presented, but either way a 24% return should be something you are happy with .



I am .a steady trusted system


----------



## qldfrog

Had some free time to work on my systems lately.
Code/strategy wise, happy with current status for QFSec and QFDuc (weekly), happy with both volatility and DLGuppy.
DLFB (the bat needs more work and this is happening, expected perf 50% below others so far so should be improved
Being happy with code does not guarantee success, and reentry timing after the last move to cash (system directed) will be critical to either win or lose coins...Still highly dependent on existing/absent trends and especially small caps with high bias on resources via juniors and explorers


----------



## qldfrog

End of a big week, with huge system portfolio value changes, not only daily but also intraday with changes intraday well above 1% either ways.
Overall: more or less in line with expectancy as we went from mostly cash last Friday to quite invested so a usually poor performing period as we ramp up again, hopefully not for a false start:
both volatility systems all cash, not invested no change this week
dailies:
The bat : the edgy system: now 94% invested , -$2.4k, -3.6%
Guppy: -$1.5k or -2.9%
weeklies:
QFSec (new weekly) 75% invested; -$0.7k or -0.9%
QFDuc :+$4.6k or +4.9%

overall: 29% cash, no change over the week so better than XNT.


----------



## qldfrog

another heart attack day....plenty of buy sell today, from -400 to finish -3.5k in a couple of hours..going down as market was redressing.
Sadly I had to check as I was entering updated orders positions past the open.
Today even saw some open sold reverted by my broker at 5:30PM??? Explanation requested...
Can I please get that functionality too???? :-(


----------



## qldfrog

ok, cross order explained the reverted orders,
 buggers as I ended selling nearly 10% below the open 3 days after..so here goes 500$
another week and disappointed actually especially after today
Was going reasonably well and the last 1.5h saw the portfolios lose $3k..
anyway, this is what it is but incredibly volatile:
now back in the market and exposed: 9% cash only, we are all in..for the systems

Dailies:
Flying bat still crashing but lowest weekly loss at -$1.5k or -2.3%
Guppy  -$2.8k or -5.7% outch, unexpected
Volatility systems went ex div, and dividends not yet in ;
so lower results that reality but i will stick to the raw figures:
volatility ASX: -$0.8k or -1.55%
volatility US: +$54 or +0.3%;
probably $1k pending

weeklies performing better:
QFSec +$0.7k or +0.9%
QFDuc +$1.7k or+1%

overall:-$2.7k or -0.75%


----------



## qldfrog

another volatile weekwith various mixed result but followed the lower trend:


Dailies:
Flying Bat was getting better and only  -$80 or -0.1% but now only 64% invested
Guppy surprising: $0.9k or +1.86% , unexpected
Volatility systems not good and some exit at loss today:;
volatility ASX: -$1.7k or -3.4%
volatility US: -$0.3k or -1.9%;


weeklies performing very differently but feeling the pain of not acting this week:
QFSec +$0.3k or +0.3%..surprised..good..
QFDuc hammered today -$3.4k or -3.5%

overall:-$4.2k or -1.2%
so in short, my best performers performed poorly: volatility ASX and QFDuc steeply down;
while my laggards out performed:
the Bat and QFSec...
not sure what to make of this.
I also had 4 stocks into fund raising...


----------



## qldfrog

more bloodshed, was a really bad idea to start new systems in June:
I will go on this later on, but now the raw data:
daily systems:
Flying bat scorched on the high voltage lines:
-$4.6k or -7.3%, only 2 parcels left
Guppy: 
100% cash -$1.3k or -2.8%
volatility ASX:
100% cash +$1.1k or +2.3%
volatility US:
100% cash +$0.5k or +3.1%

weekly systems: 
QFSec 94% invested -$0.7 or -0.9%
QFDuc 95% invested -$1.4 or -1.4%

so a dreaded week: my systems definitively not liking the trendless up down of small caps
especially the daily systems jumping in out and loosing $6k in a week
overall:
-$6.4k or -1.9%
and this will not recover as all dailies are in cash but 2 parcels
I analyse the big losses on the Flying Bat:
all the paper gains went, plus more until my do not buy triggered and systems slowly offloaded even the winners
All the losses were much higher due to the small cap/ high volatility of the realm I use;
I do not know when the current market style will end so will restrict the realm for FB next week to a slighly less volatile domain
For the other systems, well actually kind of OK based on how they should react
So one more rule for the Frog:
Do not start a system in the statistically bad months of may/june, reduce potential win and go for stability in small cap realm for daily


----------



## qldfrog

qldfrog said:


> more bloodshed, was a really bad idea to start new systems in June:
> I will go on this later on, but now the raw data:
> daily systems:
> Flying bat scorched on the high voltage lines:
> -$4.6k or -7.3%, only 2 parcels left
> Guppy:
> 100% cash -$1.3k or -2.8%
> volatility ASX:
> 100% cash +$1.1k or +2.3%
> volatility US:
> 100% cash +$0.5k or +3.1%
> 
> weekly systems:
> QFSec 94% invested -$0.7 or -0.9%
> QFDuc 95% invested -$1.4 or -1.4%
> 
> so a dreaded week: my systems definitively not liking the trendless up down of small caps
> especially the daily systems jumping in out and loosing $6k in a week
> overall:
> -$6.4k or -1.9%
> and this will not recover as all dailies are in cash but 2 parcels
> I analyse the big losses on the Flying Bat:
> all the paper gains went, plus more until my do not buy triggered and systems slowly offloaded even the winners
> All the losses were much higher due to the small cap/ high volatility of the realm I use;
> I do not know when the current market style will end so will restrict the realm for FB next week to a slighly less volatile domain
> For the other systems, well actually kind of OK based on how they should react
> So one more rule for the Frog:
> Do not start a system in the statistically bad months of may/june, reduce potential win and go for stability in small cap realm for daily



I actually keep quite cool as these losses were compensated nearly to the $ by serious gains in the investment portfolio which did very well this week..weird world


----------



## Warr87

hope your systems were alright today. All of mine took a beating.


----------



## qldfrog

Warr87 said:


> hope your systems were alright today. All of mine took a beating.



I took a beating, 
systems: out of the 6, 4 were all cash by friday,thanks God or more exactly the backtests... one sold only today but no more buy,and last staying invested
Out of these 2: lost 3k for roughly 250k so in line with market

Then add 3k+ of losses for the investment portfolio...
I turned negative for july...
The blue chip went down and dilver took a hit...
So lost 6.5k on a day..yep, can not go like that for too long..
Hope it cheers you up


----------



## Warr87

qldfrog said:


> I took a beating,
> systems: out of the 6, 4 were all cash by friday,thanks God or more exactly the backtests... one sold only today but no more buy,and last staying invested
> Out of these 2: lost 3k for roughly 250k so in line with market
> 
> Then add 3k+ of losses for the investment portfolio...
> I turned negative for july...
> The blue chip went down and dilver took a hit...
> So lost 6.5k on a day..yep, can not go like that for too long..
> Hope it cheers you up




my losses weren't too bad, but around 1-3% for each of my accounts. I can only hope that the losses don't continue all week so my weekly and month don't take too much of a dive. they've been a little flat the past 2 weeks. was surprised to see the red across the board though, lol.


----------



## qldfrog

as I am preparing my tax return data:
in FY20-21, my systems ended evenretty pathetic actually:
Some good return in the first 6 month  in line with the great rebound of the market July till October/November
and then Guppy and the Bat blew 31k on H2 while the others were average at best; overall (before div and after fees)-700$ so basically flat in the meantime, my broker got more than $27k yes $27k
I know who I am working for.
Will obviously have to act on this


----------



## Warr87

qldfrog said:


> as I am preparing my tax return data:
> in FY20-21, my systems ended evenretty pathetic actually:
> Some good return in the first 6 month  in line with the great rebound of the market July till October/November
> and then Guppy and the Bat blew 31k on H2 while the others were average at best; overall (before div and after fees)-700$ so basically flat in the meantime, my broker got more than $27k yes $27k
> I know who I am working for.
> Will obviously have to act on this



I was thinking of starting on my taxes this weekend. I'm interested to see how I actually went this financial. I dont think I performed as well as others here but it was an interesting year.


----------



## qldfrog

another eventful week:
overall the frog is actually ahead but that is a mix of currencies, investment portfolios and systems:
Systems are still very bear:
Daily systems:
 fully cash for both volatility systems (unchanged),
the Flying Bat: -$0.5k or -0.85% , fully cash as it offloaded its last winners this week below their tops;
Only Guppy just reentered today to 92% invested for a gain of $61 or .13%...

The weekly systems are a bit depressed:
QFSec is 64% invested +$0.4k or 0.5%
QFDuc is 80% invested +$2.6k or 2.75%

overall systems: 51% cash with a week gain of +$2.5k or 0.73%
not unhappy for such a week.


----------



## Warr87

my systems recovered over the last 2 days. was a bit of a rollercoaster really. hit hard mon-tues, but back in full force for the rest of the week.


----------



## qldfrog

Following some current and past discussion with @MovingAverage on the Dump it thread, I realised that the MC figures in AB are not to be trusted;And so followed MA suggestion. Thanks MA
I randomised part of the buy condition only following 80% of these, and replaying backtest a thousand time:
on the period 1/1/2019 to now, the current code for FlyingBat did the following:


Satisfied, we had well above 3000 trades; so quite OK statistically

For the Guppy system, same all good,


So no bad surprised; I extended the period to 01/01/2016 to current, and all was ok too.
Thanks Mr MA


----------



## qldfrog

Flabbergasted..
Market up 0.5%
My systems down 4.5% today, out of the blue.no typo
You might think a few stocks in crisis, nope, everywhere $400 $500 loss here anfd then.incredible, was +2k ahaed around 11am...
Did something happen with miners juniors,?


----------



## qldfrog

50 parcels , out of these, the big falls are in quarterly release or presentations;
AMI, ARN, PDI, DTR, FTZ and multiple packets of theses based on different systems.
does not augur well for the results period...
Anyway, this is what it is.life goes on, but now negative for the year


----------



## Warr87

qldfrog said:


> Flabbergasted..
> Market up 0.5%
> My systems down 4.5% today, out of the blue.no typo
> You might think a few stocks in crisis, nope, everywhere $400 $500 loss here anfd then.incredible, was +2k ahaed around 11am...
> Did something happen with miners juniors,?



same as me mate! logged on and saw the market overall was slightly up, and yet i was negative. though my loses almost entirely came from FLN. it's always interesting when you see that divergent behaviour.


----------



## qldfrog

Warr87 said:


> same as me mate! logged on and saw the market overall was slightly up, and yet i was negative. though my loses almost entirely came from FLN. it's always interesting when you see that divergent behaviour.



Basically4 or 5 stocks at -10 to -15%, and a few laggards in the -5% -6%

7 green out of 50....


----------



## divs4ever

my big risers today were ASH ( 15% ) OZL ( 6% ) RD1 ( 6% ) GNE ( 5% ) VMT ( 5%) and ZIM ( 4% )

 all up,  about half of what the market rose  ( because there was plenty of red as well )



 i bet not many members hold them shares


----------



## qldfrog

divs4ever said:


> my big risers today were ASH ( 15% ) OZL ( 6% ) RD1 ( 6% ) GNE ( 5% ) VMT ( 5%) and ZIM ( 4% )
> 
> all up,  about half of what the market rose  ( because there was plenty of red as well )
> 
> 
> 
> i bet not many members hold them shares



Lucky you, all invested systems were in red of at least 2pc.... weekly and daily


----------



## divs4ever

am finally in front with ASH ( after years of being underwater ) OZL is a genuine multi-bagger after a couple of stressful years  GNE  has been  OK , RD1  i am W-A-Y down  , VMT is let's call it break-even  , must be a tiny, tiny gain now   and ZIM is doing nicely considering in bought it last month @ $19.90  

 so the daily doesn't always reflect the long term outcomes  ( much like an index fund  , since the stocks in the basket might  be changed in  3 months time , but claim to be directly comparable   )


----------



## Warr87

well i think i did pretty well then considering.

@divs4ever is right as well. daily not really reflective of long term outcomes. my daily was breakeven thankfully! though that one is still young and hasn't found its momentum yet.

it was actually my commodities that did well today. only saving grace.

its only tuesday @qldfrog , plenty of time to rebound!


----------



## qldfrog

Warr87 said:


> well i think i did pretty well then considering.
> 
> @divs4ever is right as well. daily not really reflective of long term outcomes. my daily was breakeven thankfully! though that one is still young and hasn't found its momentum yet.
> 
> it was actually my commodities that did well today. only saving grace.
> 
> its only tuesday @qldfrog , plenty of time to rebound!



True, but biggest such fall in a positive market, by far


----------



## divs4ever

i am tilting towards ( more ) commodities  , after  my efforts at clean energy ( outside of NZ ) have gone sour  , stuff like CCE , ORG , WEC , AEB ( i think it was Affinity Energy when if disappeared  ) RFX , and  some others  that faded into infamy ,

 construction services were the logical sector if governments actually delivered on promises  ( the survivors  heavily embraced mine development while governments dithered ) so now half the heavy machinery is  up on remote mining sites 

 am in this ( investing game ) for the long haul  , prices to me are ( potential buying/ reducing ) opportunities  

 cheers


----------



## divs4ever

qldfrog said:


> True, but biggest such fall in a positive market, by far



 so are you chasing popular shares  .. maybe the fellow traders are stepping back from the action ( waiting for the reports , perhaps ??? )


----------



## qldfrog

divs4ever said:


> am finally in front with ASH ( after years of being underwater ) OZL is a genuine multi-bagger after a couple of stressful years  GNE  has been  OK , RD1  i am W-A-Y down  , VMT is let's call it break-even  , must be a tiny, tiny gain now   and ZIM is doing nicely considering in bought it last month @ $19.90
> 
> so the daily doesn't always reflect the long term outcomes  ( much like an index fund  , since the stocks in the basket might  be changed in  3 months time , but claim to be directly comparable   )



But we are not talking investment there, my investment side was up 2k.
This is nevertheless a scary time to experience this fall, especially as falls shared among a guppy daily, a mixed trend daily, a sector based and a pure trend based weekly.
On the other hand, a Gaus curve always has extremes....well see on friday but not optimistic


----------



## Warr87

divs4ever said:


> i am tilting towards ( more ) commodities  , after  my efforts at clean energy ( outside of NZ ) have gone sour  , stuff like CCE , ORG , WEC , AEB ( i think it was Affinity Energy when if disappeared  ) RFX , and  some others  that faded into infamy ,
> 
> construction services were the logical sector if governments actually delivered on promises  ( the survivors  heavily embraced mine development while governments dithered ) so now half the heavy machinery is  up on remote mining sites
> 
> am in this ( investing game ) for the long haul  , prices to me are ( potential buying/ reducing ) opportunities
> 
> cheers




i remember reading a while ago that green ETFs were doing really well. think it was referencing US ETF's though. i do recommend commodities. i'm just doing it through CFDs as i don't have the account size for futures just yet. if you are a trend trader commodities are pretty appealing.


----------



## qldfrog

divs4ever said:


> so are you chasing popular shares  .. maybe the fellow traders are stepping back from the action ( waiting for the reports , perhaps ??? )



These are pure system based trades.trend, volume and price actions.
I also have some long term investment but usually not discussed in this thread.


----------



## qldfrog

Good evening,
sorry for the delay as yesterday night and this morning, TheFrog and Frogette were trying to enjoy their last hours of freedom before house arrest.
After the disastrous start of teh week, well no surprise it ended up really bad
Here we are both for the week and for the month:
Daily:
Flying bat: the most immature and should be dangerous to trade:
-$0.8k or -1.4% and reengaged fully in on friday morning..ready for a fall on Monday
DL guppy:-$3.7k or -7.8% lost 1k just on the entries on Friday morning......
the biggest weekly loss since december...
Both now fully invested;
Volatility US:-$0.2 or -1% fair as we reentered fully invested;
Volatility ASX:-$0.4k or -0.8% Fair as we reentered fully invested;

The weekly:
QFSec -$5k or -6.5% outch with 3 stocks out of 12 losing more than 20%...
QFDuc -$3.9k or -4% third highest weekly loss since february 2020
So the systems managed to lose $14 k in a week or 4.2%;
luckily for the Frog, we only lost 6.6k so the investment portfolio went up 7.4k which is bloody good
But that bring me to:
the monthly results:
FB -$5.9k; Guppy:-$5.7k; volatility-$1k and nearly 0, QFSec -$3.6kand QFDuc -$5.3k
overall my systems lost 21k  in a month (14k just last week) around -6% 
yet as I only lost 2k overall, it means my investor portfolio gain got up 19k;
So the investments were booming:.4.4% for ASX shares and a few gains on currency/US stocks
so the question is WTF??
Let's try to understand this, especially the last week


----------



## qldfrog

Flying Bat:
not actually too bad:-.8k matching the Backtest results since it engaged that version on the 16/07:


So can be reasonable to carry on;a shame we only used that version lately;
DLGuppy: that version since 14/06
Backtest matching results;


But as you can see a slow trend down since April with far too frequent buy then sell on next day then buy again...and a slow trend down..
Not right, I should try to level that trend down either by getting out all together or changing entry exits.


----------



## qldfrog

More journal like thoughts:
daily volatility systems will be left alone..wait and see

The weekly side:
Our new Sector influenced QFSec:
of the 8 purchases last monday, we lost 13% average during the week, so without opportunity to get out yet
a real disaster as we also lost open profit on top...
It is an issue I have no easy answer as the fall was brutal and BT matches real trade..so what next, on this on, I think I should carry on


I understand BT means sxxt but look at the difference of smothness lately:


here as well down trend since early 21...unsure what to do there, reduce amount per entry until when???

Lastly, QFDuc the old boy running various version since 05/2020, even the current version goes nowhere since2021 and especially since mid april.



I suspect I can improve the results by removing some of the version past "improvements..."
This is really underperforming under the current conditions


----------



## qldfrog

qldfrog said:


> More journal like thoughts:
> daily volatility systems will be left alone..wait and see
> 
> The weekly side:
> Our new Sector influenced QFSec:
> of the 8 purchases last monday, we lost 13% average during the week, so without opportunity to get out yet
> a real disaster as we also lost open profit on top...
> It is an issue I have no easy answer as the fall was brutal and BT matches real trade..so what next, on this on, I think I should carry on
> View attachment 128226
> 
> I understand BT means sxxt but look at the difference of smothness lately:
> View attachment 128227
> 
> here as well down trend since early 21...unsure what to do there, reduce amount per entry until when???
> 
> Lastly, QFDuc the old boy running various version since 05/2020, even the current version goes nowhere since2021 and especially since mid april.
> View attachment 128228
> 
> 
> I suspect I can improve the results by removing some of the version past "improvements..."
> This is really underperforming under the current conditions



And for QFDuc, one tested version was more stable and better on the last period, so still good if we have a rerun of crash boom, but handling current situation;
Let's use it; it is not new and has been tested previously..and still a qfduc
and let's stick with it


----------



## MovingAverage

qldfrog said:


> Good evening,
> sorry for the delay as yesterday night and this morning, TheFrog and Frogette were trying to enjoy their last hours of freedom before house arrest.
> After the disastrous start of teh week, well no surprise it ended up really bad
> Here we are both for the week and for the month:
> Daily:
> Flying bat: the most immature and should be dangerous to trade:
> -$0.8k or -1.4% and reengaged fully in on friday morning..ready for a fall on Monday
> DL guppy:-$3.7k or -7.8% lost 1k just on the entries on Friday morning......
> the biggest weekly loss since december...
> Both now fully invested;
> Volatility US:-$0.2 or -1% fair as we reentered fully invested;
> Volatility ASX:-$0.4k or -0.8% Fair as we reentered fully invested;
> 
> The weekly:
> QFSec -$5k or -6.5% outch with 3 stocks out of 12 losing more than 20%...
> QFDuc -$3.9k or -4% third highest weekly loss since february 2020
> So the systems managed to lose $14 k in a week or 4.2%;
> luckily for the Frog, we only lost 6.6k so the investment portfolio went up 7.4k which is bloody good
> But that bring me to:
> the monthly results:
> FB -$5.9k; Guppy:-$5.7k; volatility-$1k and nearly 0, QFSec -$3.6kand QFDuc -$5.3k
> overall my systems lost 21k  in a month (14k just last week) around -6%
> yet as I only lost 2k overall, it means my investor portfolio gain got up 19k;
> So the investments were booming:.4.4% for ASX shares and a few gains on currency/US stocks
> so the question is WTF??
> Let's try to understand this, especially the last week



Ouch, seems like a tough period for your systems. They all go through that.

You mentioned a Guppy system. Is that one of Daryl Guppy's systems? Haven't heard that name in a very long time. What's he up to these days? For a very long time he was always talking up his "Guppy Indicator"--which was a whole bunch of different period MAs. Are you trading his Guppy Indicator?


----------



## frugal.rock

@MovingAverage 
FYI and there's a few more posts on the subject matter.



Skate said:


> View attachment 116274
> 
> 
> 
> 
> The two quotes by @qldfrog & @Warr87 got me thinking about making a post of a "simple trend trading strategy" - with a twist of course. As trend trading strategies go, using "Guppy's Multiple Moving Averages" would be a suitable choice as it's easy to follow & understand. The relationship between the 12 exponential moving average (EMA) tells the story of long & short term buyers.
> 
> *The Guppy Multiple Moving Average (GMMA) indicator*
> This nifty homegrown lagging indicator provides an exciting approach using 12 (EMA). The Guppy Multiple Moving Averages is a great tool if you are considering building a trend-following system. The (GMMA), is a fine technical indicator that identifies the strength & changes in trends. The changes in the trend are indicated by the GMMA ribbon. The combined (EMA) ribbon times the entry & when to get out of a trade.
> 
> *Multiple Blue & Red Lines* (moving averages)
> The (GMMA) is composed of multiple lines that help traders see the strength or weakness in a trend better than if only using one or two moving averages or (EMAs). Compression to the expansion of the “lines of the ribbon” tells one story whereas the reverse (expansion to compressions) tells another. On the other hand, the "crossing" of the ribbons, is a whole other story in itself.
> 
> *GMMA Ribbon colours*
> The short-term investors are represented by the “Blue Ribbon” & the longer-term investors are represented by the “Red Ribbon”. To keep the post short, those interested can do their own research as to how these lines (of the ribbon) interact. We can use the association of the "GMMA ribbon" (the lines) to our advantage. The downside to (GMMA) - it’s a "lagging indicator" that will never catch the low of the pivot but at times goes very close.
> 
> *Twisting the GMMA*
> I’ve twisted Guppy’s idea. I've taken the average of Guppy's slow & fast-moving (EMA's) then added a smoothing factor. Using the average of the EMA bands (IMHO) sharpens the usefulness of the indicator allowing me to turn the GMMA indicator into a complete trend trading strategy.
> 
> More to follow...
> 
> Skate.


----------



## qldfrog

MovingAverage said:


> Ouch, seems like a tough period for your systems. They all go through that.
> 
> You mentioned a Guppy system. Is that one of Daryl Guppy's systems? Haven't heard that name in a very long time. What's he up to these days? For a very long time he was always talking up his "Guppy Indicator"--which was a whole bunch of different period MAs. Are you trading his Guppy Indicator?



Not exactly his system, got my tweaks etc but the basic idea was provided by Skate post as indicated above by @frugal.rock 🙏🙏
My variation on a daily version But still trend and Guppy concepts so different from other systemsaleays this diversification attempt which did not work obviously last week


----------



## qldfrog

So what were the decision and where do I stand by this morning?
the 2 weekly
QFDuc reverted to version 21 (-5 )which seems more suited to current market, some buy and sell today
QFSec: I will persevere with the current code, going nowhere in 2021 but positive in backtests since 2016..but there was a nasty period early 2016 and the current version if I had played it from start would have been OK
we carry on unchanged.no buy on this week (filter) but sells

The weekly:
Both Guppy and the Flying Bat had proper MC, decent but not flash long term returns on tests we are still going on, but I will reduce the amount invested  while we are in a negative run on DL guppy..DL guppy has been losing in the last 3 months..But I still believe it has potential..but not in that market


----------



## qldfrog

Today was ok, 47 trades so half a grant in brokerage, and ahead.
But another day with more crash following SPPa few last week, and today POSin the investment side, Grange( GRR) trigered my trailing SL with 15% fall in the last few days
So quite a lot of up and down even on good shares


----------



## qldfrog

Today was ok, 47 trades so half a grant in brokerage, and ahead.
But another day with more crash following SPP
a few last week, and today POS
in the investment side, Grange( GRR) trigered my trailing SL with 15% fall in the last few days
So quite a lot of up and down even on good shares


----------



## qldfrog

OK week system wise, not so good with currency loses on the NY portfolio and on my investment side but happy with the systems picking up:
XNT up 1.9% so that is our reference:
Daily:
FB up 0.6 % or 0.3k, now fully invested
Guppy: packet reduced by half until I can see a positive trend after last week disaster
; But this cost $ this week as Guppy was up:
+2.9% or +$1.3k 50% cash due to reduced packets
volatility ASX:
+2.15% or +$1.1k ,full cash tonight
volatility US:
-1.4% or -$0.2k ,full cash tonight

weekly: a bit disappointing
QFSec: -1.5% or -$1.1k only 23% invested
QFDuc:+0.8$ or +$0.7k

overall for the week:
+$2.1k or +0.6% with 50% cash as of tonight
obviously we lost nearly 1.5k by reducing risk on Guppy but I will wait another positive week before reverting to full size packets
I missed a few good entries LKE etc as they went past my buy order so will try to model that in my backtest as this happens often


----------



## MovingAverage

qldfrog said:


> OK week system wise, not so good with currency loses on the NY portfolio and on my investment side but happy with the systems picking up:
> XNT up 1.9% so that is our reference:
> Daily:
> FB up 0.6 % or 0.3k, now fully invested
> Guppy: packet reduced by half until I can see a positive trend after last week disaster
> ; But this cost $ this week as Guppy was up:
> +2.9% or +$1.3k 50% cash due to reduced packets
> volatility ASX:
> +2.15% or +$1.1k ,full cash tonight
> volatility US:
> -1.4% or -$0.2k ,full cash tonight
> 
> weekly: a bit disappointing
> QFSec: -1.5% or -$1.1k only 23% invested
> QFDuc:+0.8$ or +$0.7k
> 
> overall for the week:
> +$2.1k or +0.6% with 50% cash as of tonight
> obviously we lost nearly 1.5k by reducing risk on Guppy but I will wait another positive week before reverting to full size packets
> I missed a few good entries LKE etc as they went past my buy order so will try to model that in my backtest as this happens often



Hi Frog, you've reduced your exposure on guppy--what's your general approach to adjusting your exposure?


----------



## qldfrog

MovingAverage said:


> Hi Frog, you've reduced your exposure on guppy--what's your general approach to adjusting your exposure?



No general approach, *it is a first *and so not exact science
Guppy has had 3 months of ongoing not insignificant losses with the current condition/realm.Both Backtests/real trades confirmed
It is a decent system : was and will be again,especially with this running version;
So I try to stop the bleeding/reduce $ losses;
 if I get 3 weeks (arbitrary) of above xnt perf, i will reinstall full size parcel.
Not real science but the current underperformance is real, and real trade is the only way I can realistically check any condition change;
with 2k parcels, I am down to lower exposure..This week was nearly 3% up, well above XNT
Another 2 over performances and i will revert


----------



## qldfrog

AB help required:
In real life, some shooting start buys are missed as my:
 last close+3% (for example) buy values at open are overshot;
I would like to model that in backtests to ensure backtests are as near real results as possible:
so a Buy if O<ref(C,-1)*1.03
I can do that but in cases like that we want to ensure this buy is missed not just replaced by the next one based on the positionscore
so need to reduce on that day the total number of buys by one
And obviously this should not interfere with explore results;
If someone has already coded this , I would be grateful, otherwise i will do the yard yakka...
And share with you on demand


----------



## qldfrog

inspired by the LKE missed last week which had a 47c to 66c jump in a week and that my backtest will show as taken...which it was sadly not...


----------



## rnr

qldfrog said:


> AB help required:
> In real life, some shooting start buys are missed as my:
> last close+3% (for example) buy values at open are overshot;
> I would like to model that in backtests to ensure backtests are as near real results as possible:
> so a Buy if O<ref(C,-1)*1.03
> I can do that but in cases like that we want to ensure this buy is missed not just replaced by the next one based on the positionscore
> so need to reduce on that day the total number of buys by one
> And obviously this should not interfere with explore results;
> If someone has already coded this , I would be grateful, otherwise i will do the yard yakka...
> And share with you on demand



Hi @qldfrog,

Any code suggested in this post is in general terms only and not specifically AB code.

Firstly your buy code should be along the lines of O<=Ref(C,-1)*1.03 rounded down to comply with the following ASX requirements:-

Up to 10c minimum increment = 0.1c
10c up to $2.00 minimum increment = 0.5c
$2.00 up to $99,999,990.00 minimum increment = 1c.

Unless I am missing something critical, the following should be the case, as there is no "replacement stock" to be considered.

Given that you are using "positionscore" in your code and that you can calculate the number of system positions
available, then only that number of stocks would be allowed to participate in the opening auction for the next trading day.

Cheers, Rob


----------



## qldfrog

rnr said:


> Hi @qldfrog,
> 
> Any code suggested in this post is in general terms only and not specifically AB code.
> 
> Firstly your buy code should be along the lines of O<=Ref(C,-1)*1.03 rounded down to comply with the following ASX requirements:-
> 
> Up to 10c minimum increment = 0.1c
> 10c up to $2.00 minimum increment = 0.5c
> $2.00 up to $99,999,990.00 minimum increment = 1c.
> 
> Unless I am missing something critical, the following should be the case, as there is no "replacement stock" to be considered.
> 
> Given that you are using "positionscore" in your code and that you can calculate the number of system positions
> available, then only that number of stocks would be allowed to participate in the opening auction for the next trading day.
> 
> Cheers, Rob



Thanks Rob, 
Ok with rounding, not a real issue.
Let's say there are 10 free packets to buy on day D
If a packet shots up at open, the condition will remove it from the backtest buy..with future leak obviously but all good
If i do nothing else, another packet will replace that missed one so position score 11 will be selected and added in the backtest, i need to "dynamically" decrease the number of packets purchased but only on that day..
It is an area i do not often code so not so sure...
I could try that with a few tests so not impossible, but not That simple and wanted to leverage any experience in that area.
It is not very simple to google that issue as a bit difficult to phrase the issue...


----------



## tech/a

qldfrog said:


> More journal like thoughts:
> daily volatility systems will be left alone..wait and see
> 
> The weekly side:
> Our new Sector influenced QFSec:
> of the 8 purchases last monday, we lost 13% average during the week, so without opportunity to get out yet
> a real disaster as we also lost open profit on top...
> It is an issue I have no easy answer as the fall was brutal and BT matches real trade..so what next, on this on, I think I should carry on
> View attachment 128226
> 
> I understand BT means sxxt but look at the difference of smothness lately:
> View attachment 128227
> 
> here as well down trend since early 21...unsure what to do there, reduce amount per entry until when???
> 
> Lastly, QFDuc the old boy running various version since 05/2020, even the current version goes nowhere since2021 and especially since mid april.
> View attachment 128228
> 
> 
> I suspect I can improve the results by removing some of the version past "improvements..."
> This is really underperforming under the current conditions




*Just saw this.

One interesting method I have used a while ago is to trade the equity curve.

(1) Shut down or adjust your positions as you wish
(2) In the background paper trade full positions as you would normally. Plot your curve.
(3) Revert to normal trading when the Curve exhibits bullish-ness has returned.

There is a number of ways of determining a change of sentiment with the curve.*


----------



## qldfrog

tech/a said:


> *Just saw this.
> 
> One interesting method I have used a while ago is to trade the equity curve.
> 
> (1) Shut down or adjust your positions as you wish
> (2) In the background paper trade full positions as you would normally. Plot your curve.
> (3) Revert to normal trading when the Curve exhibits bullish-ness has returned.
> 
> There is a number of ways of determining a change of sentiment with the curve.*



Thanks Tech/a, actually doing that the lazy way by looking at the backtest run using normal size position vs actual.
Obviously, it then becomes important that backtest match real world so, human error excepted, that should do the trick.
This triggered one of the following posts on how to have BT matching real world better to take into account the , not that infrequent cases where i miss entries as open shot up past my buy...
.There is still a lot of human intervention when deciding that conditions are back bullish for a system but i can decide something arbitrary.
Thanks for your input.and might definitively use it.


----------



## tech/a

not that infrequent cases where i miss entries as open shot up past my buy...

Proper Montecarlo Testing should help the curve.


----------



## qldfrog

tech/a said:


> not that infrequent cases where i miss entries as open shot up past my buy...
> 
> Proper Montecarlo Testing should help the curve.



true and MC actually done on the actual system under reduced sails if I remember well, not AB MC but real not taking 20% of of Buy using fake optimised on 1000 runs.
And true I could MC on the latest shorter period.Thanks for the alternate thinking..always hard when on your screen alone to take the step back


----------



## elbee

qldfrog said:


> f a packet shots up at open, the condition will remove it from the backtest buy..with future leak obviously but all good
> If i do nothing else, another packet will replace that missed one so position score 11 will be selected and added in the backtest, i need to "dynamically" decrease the number of packets purchased but only on that day..



I have recently switched from Amibroker to Realtest, partly because of the problem you have pointed out.
Realtest allows you to specify the maximum number of setups that can be considered for entry on any one day so if one packet is above the entry limit it will not be replaced by another with a lower position rank.


----------



## qldfrog

elbee said:


> I have recently switched from Amibroker to Realtest, partly because of the problem you have pointed out.
> Realtest allows you to specify the maximum number of setups that can be considered for entry on any one day so if one packet is above the entry limit it will not be replaced by another with a lower position rank.



thanks interesting point.obviously make sense but imagine me suggesting this on AB forum 
This realtest gets more and more interesting; how hard was it to switch AB to RT, and how easy was it to do the equivalent of AB Explore? If I may ask @elbee ?


----------



## elbee

qldfrog said:


> thanks interesting point.obviously make sense but imagine me suggesting this on AB forum
> This realtest gets more and more interesting; how hard was it to switch AB to RT, and how easy was it to do the equivalent of AB Explore? If I may ask @elbee ?



The switch is relatively easy,  RT is well documented and there is a helpful user forum. The developer is very receptive to suggested amendments, a contrast to AB where the developer is openly hostile.
There is a scan facility that works the same as AB's explore as well as the facility to produce a file containing the next day's order in a format that can be loaded straight into an Interactive Broker's basket file.


----------



## qldfrog

Thanks will see if there is a trial version to see how I can manage data update system conversion etc


----------



## rnr

Hi @qldfrog,

As you know, or have guessed, I'm certainly not up to speed with AB code but still have an idea of what you are trying to achieve.

The link below could possibly provide an answer to the problem you've alluded to (good discussion right thru to June 2020).

*


			https://forum.amibroker.com/t/positionscore-ranking-for-trades-taken-next-day-at-limit/6941
		

*


----------



## MovingAverage

qldfrog said:


> AB help required:
> In real life, some shooting start buys are missed as my:
> last close+3% (for example) buy values at open are overshot;
> I would like to model that in backtests to ensure backtests are as near real results as possible:
> so a Buy if O<ref(C,-1)*1.03
> I can do that but in cases like that we want to ensure this buy is missed not just replaced by the next one based on the positionscore
> so need to reduce on that day the total number of buys by one
> And obviously this should not interfere with explore results;
> If someone has already coded this , I would be grateful, otherwise i will do the yard yakka...
> And share with you on demand



Hey Frog,
Not sure if you're chasing the exact AFL code or general approach. Think you have a level of familiarity with AFL so I will describe a general approach you might find helpful. If you want some AFL let me know and will be happy to post up some general code for you to mess with. But here is how I'd do it.

Assuming your system using a fixed number of positions (e.g., 20) the first step is to determine the current number of open positions you have. There's a few ways to do this in AB but personally I do that with the custom backtest. Once you pull the number of open positions I'd define a variable POS_TO_TAKE as initially being your max open position - number of open positions. At this point I would reduce POS_TO_TAKE by 1 when you encounter the condition Open > ref(c,-1)*1.03. I'd use the POS_TO_TAKE in a loop to control the number of buys you take. When POS_TO_TAKE is reduced by 1 it would essentially simulate a missed trade, which what I think you're trying to do. You'll have to run this as an overall loop so POS_TO_TAKE is reset for each day (bar).

Hope this makes sense. Good luck


----------



## qldfrog

MovingAverage said:


> Hey Frog,
> Not sure if you're chasing the exact AFL code or general approach. Think you have a level of familiarity with AFL so I will describe a general approach you might find helpful. If you want some AFL let me know and will be happy to post up some general code for you to mess with. But here is how I'd do it.
> 
> Assuming your system using a fixed number of positions (e.g., 20) the first step is to determine the current number of open positions you have. There's a few ways to do this in AB but personally I do that with the custom backtest. Once you pull the number of open positions I'd define a variable POS_TO_TAKE as initially being your max open position - number of open positions. At this point I would reduce POS_TO_TAKE by 1 when you encounter the condition Open > ref(c,-1)*1.03. I'd use the POS_TO_TAKE in a loop to control the number of buys you take. When POS_TO_TAKE is reduced by 1 it would essentially simulate a missed trade, which what I think you're trying to do. You'll have to run this as an overall loop so POS_TO_TAKE is reset for each day (bar).
> 
> Hope this makes sense. Good luck



yes exactly what I have in mind, but this is virgin territory as I have never done dynamic check of open positions, etc and not sure of backtest engine behaviour


----------



## qldfrog

qldfrog said:


> yes exactly what I have in mind, but this is virgin territory as I have never done dynamic check of open positions, etc and not sure of backtest engine behaviour



just need to be able to focus, between sorting some components for arduino, testing AB, checing RealTest and doing the daily explore and system homework/Tax return...
And mind focused on how the hell I am going to be able to get out of Aus and keep my assets while closing trusts and company,  ASAP seeing the general public response here vs what is happening
Should probably close all the daily system while I sort my personal emergency exit and stop loss


----------



## MovingAverage

qldfrog said:


> yes exactly what I have in mind, but this is virgin territory as I have never done dynamic check of open positions, etc and not sure of backtest engine behaviour



It’s pretty straightforward—dynamically determining the number of open positions is a very commonly asked question so search the AB forum (plenty of posts about it there) or just google it.


----------



## peter2

@qldfrog  I'm expecting to see a good week from your systems. Your fingers should be flying across the abacus tonight. 

Forget "the Reset", the conspiracies and allow yourself to revel in the satisfaction that market success brings. We have to take every opportunity to revel because the market doesn't give us too many. Don't disappoint me.


----------



## frugal.rock

Is this ok for today  ?


Don't forget to be locking in profits, easy come easy go if not locked in. Learnt the hard way...
Hopefully Mr Frog has been leapfrogging to the upside this eeek?


----------



## qldfrog

peter2 said:


> @qldfrog  I'm expecting to see a good week from your systems. Your fingers should be flying across the abacus tonight.
> 
> Forget "the Reset", the conspiracies and allow yourself to revel in the satisfaction that market success brings. We have to take every opportunity to revel because the market doesn't give us too many. Don't disappoint me.



was actually brilliant indeed for the systems but today was a step back:lost today, VERY good previous 2 sessions I am doing the tally


----------



## Warr87

qldfrog said:


> was actually brilliant indeed for the systems but today was a step back:lost today, VERY good previous 2 sessions I am doing the tally




i'm not as good as frugal. like you, today was a small step back but i thought it was a pretty good week!


----------



## frugal.rock

It gets worse on the 2nd portfolio  @Warr87  🤭
(it's been a grand week despite missing plenty of setups 🧐 , thanks to covid lockdown de ja Vue)
Couldn't get these results without having read and blended @tech/a @peter2 @Skate and @qldfrog threads, much obliged gents for the effort. 👏👍


----------



## qldfrog

peter2 said:


> @qldfrog  I'm expecting to see a good week from your systems. Your fingers should be flying across the abacus tonight.
> 
> Forget "the Reset", the conspiracies and allow yourself to revel in the satisfaction that market success brings. We have to take every opportunity to revel because the market doesn't give us too many. Don't disappoint me.



Jigsaw results:
lost nearly $10k on monday then a few days of good returns and then -$2.7k today!!!
AJX lost 1.3k(-19%)  and BCB one of my stars gave back nearly $1k, add a few CXO AGY losing 7 or 8% or the winners did not make up for the losses.Basically SPP galore CXO, POS, SYA, BCB and that is usually neither a good sign  for the immediate SP, nor is it for the market trend.SPP often at the top of the curve

At the end of the week ; a week where definitively materials and  small caps are back[ which is good for the systems]
the dailies:
Flying Bat:
XAO, fully invested -$2.8k or -4.9% *very bad*, we will go back to that:

Guppy:
+$1.7k or +3.9%
Only.65% invested as I moved to half packets at the end of july after weeks of capital grinding .talk about a bad idea..
We have had 2 good weeks in a row one at 2.9% weekly, one at 3.9% weekly..as I keep a daily eye on Guppy, the last 10 sessions were quite good so will move back to full packets..maybe suited back to conditions.

volatility ASX:fully invested +$1.3k or +2.6%
volatility US:fully invested +$0.3k or +1.7%

Weekly:
QF sec: +$2.1k or +3% sadly only 50% invested

QFDuc: +$0.6k or +0.6% poor returns here 20% loss on PEK, closing gains and big loss on PDI
overall so disappointing after such a great perf last year


overall:+$3.2k or around 1% with 25% cash as we start ramping up again so basically just the XNT after cash is taken into account
following post on Flying Bat


----------



## qldfrog

Checked Flying Fox vs backtests..kind of match.But I found one issue this week: some of my buys disappear on the next day explore..usually a sign of look forward code issue
I will go into half packet there until I find the reason; must be something obvious but a bit busy now 
So FB down to half size,
Restoring Guppy full size for the daily we should have made a bonza....
QFSec starting to gain traction at last and QFDuc disappointing this week but that can happen


----------



## qldfrog

peter2 said:


> @qldfrog  I'm expecting to see a good week from your systems. Your fingers should be flying across the abacus tonight.
> 
> Forget "the Reset", the conspiracies and allow yourself to revel in the satisfaction that market success brings. We have to take every opportunity to revel because the market doesn't give us too many. Don't disappoint me.



I hope I did not disappoint you @peter2 , not stellar results
but on the way back
The Flying Bat is a lame duck in disguise I am afraid...

Sadly , the Reset and its trail will have bigger implications for me/all of us and my finances than making x% on a system today so that does not help to motivate system work:
how can I physically get the F out of this country and keep some of what i built in the last 30y here.
A lot of unwinding and few certitudes.
If I am wrong cost is minimal and I will travel abroad;  if I am right: priceless
I suspect the German Jews who focused too much on the recovery from the 1929 crash paid it dearly in the following decade. 
OK back to the trend systems


----------



## peter2

Argh. Yes, I'm disappointed to read the latest update. I fully support your trading efforts and because their yours, you. I respect all investors and traders who work diligently in this business. It tough emotionally. We learn so much about ourselves as we hit our personal boundaries and fall victim to our personal biases. 

I suspect that there's a few details that have escaped your notice or that you don't understand when back-testing and then implementing your systems. I can't give you an example because I don't know your systems. It's just an impression I get when reading your updates. It's like hearing a 8 cylinder engine running on 6. Something needs a tune up. 

A theoretical example, it could be that your entries are late into the current price swing. This will be disastrous when trading micro cap price rallies in daily charts. I've thought that many of @Skate's entries were a little late into the trend but the weekly charts seem to offer more protection.  Daily charts don't provide the same protection. eg *AJX* an entry higher than 0.073 is too late. With the close at 0.079 your trade should still be profitable. Sure, it's lost some open profit but your system back test should give you the confidence that this is OK and across a larger batch of trades your trade mgt earns more with the current settings. 

Your last post indicates that you've got much larger concerns than your trading business. They may be having a negative impact on the discretionary aspect of your systems. eg turning them on/off, increasing/decreasing position sizes.


----------



## qldfrog

peter2 said:


> Argh. Yes, I'm disappointed to read the latest update. I fully support your trading efforts and because their yours, you. I respect all investors and traders who work diligently in this business. It tough emotionally. We learn so much about ourselves as we hit our personal boundaries and fall victim to our personal biases.
> 
> I suspect that there's a few details that have escaped your notice or that you don't understand when back-testing and then implementing your systems. I can't give you an example because I don't know your systems. It's just an impression I get when reading your updates. It's like hearing a 8 cylinder engine running on 6. Something needs a tune up.
> 
> A theoretical example, it could be that your entries are late into the current price swing. This will be disastrous when trading micro cap price rallies in daily charts. I've thought that many of @Skate's entries were a little late into the trend but the weekly charts seem to offer more protection.  Daily charts don't provide the same protection. eg *AJX* an entry higher than 0.073 is too late. With the close at 0.079 your trade should still be profitable. Sure, it's lost some open profit but your system back test should give you the confidence that this is OK and across a larger batch of trades your trade mgt earns more with the current settings.
> 
> Your last post indicates that you've got much larger concerns than your trading business. They may be having a negative impact on the discretionary aspect of your systems. eg turning them on/off, increasing/decreasing position sizes.



Thanks Peter
I hope this LONG post will not bore people and be instructive..and help me as i write it down..
There are definitively areas in the dailies FB and Guppy which are really failing:
1) price of entries;
I used to assume that the buy at next open is a done deal..not at all;
with these micro caps, even if it opens at 0.086c my buy up to 0.087 entered the night before  might be missed and I then increase a bit or miss the entry
a lot of the buy at open also fails as the price shots well above my 3% margin from last close, and I can not (broker rejected) place higher value,  these are often the ones making a lot of the profit;

the dailies, even in backtests are a game number, sell buy sell buy with a fine margin, even a few missed entries are enough to move the balance into negative.The whole purpose of my dailies is to get out quickly at the next crash but so far has cost money to no advantages

2) Another area I am really NOT happy is the ranking of my selected buys;
Never been happy or found a method i like
So far best I found is a mix of TSIndicator and SP (softened)
 dailies are to be quickly invested and quickly out, so my buy criteria should be loose and they are; I get dozens of buy each days, then rank them..but ranking is a mystery; if you use smaller is better[ which i used to], great in backtest, but you quickly realise you circle between a set of half dozen of penny stocks bleeding to death by multiple cut so not right

About the late  entry potential, not sure:  to take the AJX  example I entered in a weekly on the 2/08 at 0.067 so still a great 18% profit at 7.9c tonight but yesterday it was at 9.7c....
It is more that I exit too soon for these type of stocks..then buy again 2d later higher, and exit again after a small loss; rince and repeat
yet statistically, this is the way to go


Overall the AB backtests match the tradings ..which is good and convenient
Have I been curve fitting? maybe..who knows

There are things for sure I can not understand :

as a general rule, if the ASX is gaining more than 0.3 or 0.4 % , I lose money;
anything stable or down is usually good for my systems; ???

my 11AM portfolio value is usually much higher than my end of day usually nearly 1% portfolio difference , so this is big
to the point I was trying to check if a buy at close, sell at open system would work
Today : sum of systems -$2.7k at close; this morning was +0.5k at 11AM-> here we have again the 1% portfolio variation, always the same way, even on my good days with flat asx, I go from +$4k to $1k 
-> I am wondering is this is not a crude pump and dump daily activity, which would maybe mean big money offloading their shares lately ???
I do not remember experiencing that behaviour 1 y ago

For the better news: 
FB current version is smoother..except for this week, so hopefully just a glitch or effect of the old code still affecting the portfolio
volatility systems  going ok, and giving me some uncorrelated returns
The Bat started in May,
 I give below  the systems backtest charts for the current year
older version:


newer since mid July


So should I persist, probably and resist the gloom you mentioned.
This Reset taking place is definitively influencing my discretionary side, negatively
so let's step back and yes, I carry on with the BAT unchanged maybe i need to give my newer code system a couple months teething and refining...

Guppy: started last December, current version since mid June mehhh just missed the best 2 weeks of the year?



weekly: 
Sector influenced: hum....



QFDuc did well last year but I probably toyed too much with it:
back to a May version since this month so basically a new start

wasbefore last week)



now: and only since this week so in a way a new system



PS: all BT graph from 01/01/21, various initial investment
As a conclusion, I have to let the changed systems take ownership and probably give them more trust
so not playing around with packet sizes
It will take a few ticks to erase the old code effects

PS2, graph since 1/1/21 but yes I test my systems on more than this


----------



## peter2

Great post. I'm sure that post helped you sort through a few concerns that you may have had. You may have made some decisions by thinking through your written words.

(1) I'm not sure the 3% is appropriate for smaller priced stocks where one tick may be 3%.

I can't help you with the problem of your broker not accepting orders that they consider too far away from the last close. I use conditional order to catch breakouts and re-entries and the trigger can be much higher than the close. These orders don't go into the market though and create limit orders when triggered.

Have you considered scanning the market and entering (buying) just before the close instead of the open next day? I scan on the 3pm data that I get at 3:20pm. I've got 40 min to scan and make my decisions before the close.

(2) Can't help you with ranking as I'm not a system trader. I use discretion to select the trades from those available.

You can apply a time stop to minimise the erosion of the penny stock bleeders.

*AJX* = good entry. The only way get the price spike exits is to target them with your trade management. This may or may not earn more profit overall. Your back testing should indicate the best mgt approach for your entries.

If the AB back tests match the trades then your doing your job. Tick.

I've noticed the same thing on many days. The portfolio value is usually higher in the early morning than at the close. Anecdotally I say it seems like 90%. I don't know what it is actually. It's so common that I don't want to know what it is in the morning because i'll be disappointed in the afternoon. I'll check the share prices but don't want to know the summary. LOL

The new Bat looks much better than the old one. Although your comparison periods are short. Compare over a longer period, although you know this.

Guppy. I'm curious as to the underlying tactics you're using in this system. I understand Guppy's work quite well and know his tactics should be a good robust producer. If it's not, that's a concern. There are two aspects to Guppy's trade entry, a setup and an entry trigger (confirmation). Both steps need to be defined for a trade to be valid.

The Duc's volatility entry is similar to my 1stBB entry. I know this produces too many entries. It may work better with a smaller universe based on price or volume traded or market cap or basic FA info. Ideas only.


----------



## Sir Burr

qldfrog said:


> I found one issue this week: some of my buys disappear on the next day explore..usually a sign of look forward code issue



I guess you would know but this is handy to see those sneaky signals Tools>Bar Replay.

About the general stuff above, I excluded those below 10c (too volatile for me) plus it always made sense to me to use turnover as the ranking. Like you, I used 3% on entry but 5% on exit to place the entry on open.


----------



## qldfrog

Sir Burr said:


> I guess you would know but this is handy to see those sneaky signals Tools>Bar Replay.
> 
> About the general stuff above, I excluded those below 10c (too volatile for me) plus it always made sense to me to use turnover as the ranking. Like you, I used 3% on entry but 5% on exit to place the entry on open.



Thanks,sadly the 5% is usually rejected.
But that makes me thinking
Obviously broker allows at least one increment so on penny stocks, i could try to test the allowed margin which will be higher and do a sp value based allowance for my order.not just a roundup
Sadly, rejection level varies and pre open orders are rejected in the period before the open.
I mean  that value changes.i have had preorders rejected which were actually at( or below for buy) open.
I obviously asked Bell Direct the formula they use for setting their rejected thresholds, but they do not want to divulge.understandable but a pain.
I believe each broker is different in that regard.
Anyway, trigered an idea and thanksful


----------



## qldfrog

peter2 said:


> Great post. I'm sure that post helped you sort through a few concerns that you may have had. You may have made some decisions by thinking through your written words.
> 
> (1) I'm not sure the 3% is appropriate for smaller priced stocks where one tick may be 3%.
> 
> I can't help you with the problem of your broker not accepting orders that they consider too far away from the last close. I use conditional order to catch breakouts and re-entries and the trigger can be much higher than the close. These orders don't go into the market though and create limit orders when triggered.
> 
> Have you considered scanning the market and entering (buying) just before the close instead of the open next day? I scan on the 3pm data that I get at 3:20pm. I've got 40 min to scan and make my decisions before the close.
> 
> (2) Can't help you with ranking as I'm not a system trader. I use discretion to select the trades from those available.
> 
> You can apply a time stop to minimise the erosion of the penny stock bleeders.
> 
> *AJX* = good entry. The only way get the price spike exits is to target them with your trade management. This may or may not earn more profit overall. Your back testing should indicate the best mgt approach for your entries.
> 
> If the AB back tests match the trades then your doing your job. Tick.
> 
> I've noticed the same thing on many days. The portfolio value is usually higher in the early morning than at the close. Anecdotally I say it seems like 90%. I don't know what it is actually. It's so common that I don't want to know what it is in the morning because i'll be disappointed in the afternoon. I'll check the share prices but don't want to know the summary. LOL
> 
> The new Bat looks much better than the old one. Although your comparison periods are short. Compare over a longer period, although you know this.
> 
> Guppy. I'm curious as to the underlying tactics you're using in this system. I understand Guppy's work quite well and know his tactics should be a good robust producer. If it's not, that's a concern. There are two aspects to Guppy's trade entry, a setup and an entry trigger (confirmation). Both steps need to be defined for a trade to be valid.
> 
> The Duc's volatility entry is similar to my 1stBB entry. I know this produces too many entries. It may work better with a smaller universe based on price or volume traded or market cap or basic FA info. Ideas only.



Will do a proper reply in the coming days, interesting box of ideas there to test, or initiating reflexion


----------



## Sir Burr

qldfrog said:


> Sadly, rejection level varies and pre open orders are rejected in the period before the open.




That would be annoying!
I had 5% for buy/sell for ages before I tweaked to 3%/5% but was 10c and above. Never had a rejection.
Talking about Interactive Brokers.

BTW not related but I've a spreadsheet to place multiple orders in a few clicks using exported csv from AB.
IB is pretty good for system trading


----------



## Newt

Sir Burr said:


> That would be annoying!
> I had 5% for buy/sell for ages before I tweaked to 3%/5% but was 10c and above. Never had a rejection.
> Talking about Interactive Brokers.
> 
> BTW not related but I've a spreadsheet to place multiple orders in a few clicks using exported csv from AB.
> IB is pretty good for system trading




Would be interested to know how you do the export/inport Sir Burr.  Did you have to do API programming or is there some easy way to import CSV into IB?


----------



## Sir Burr

Newt said:


> Would be interested to know how you do the export/inport Sir Burr.




Can have the spreadsheet if you like but use at own risk 
Easy to cancel trades in TWS if something goes awry but it's setup for sending trades to TWS before the market opens. You do need Excel skills to adjust it to suit or find problems if encountered. It's basically the spreadsheet here modified. There is some setting in TWS you need to set to allow access between TWS and the spreadsheet.

I have the spreadsheet import a CSV file from AB. It also imports your IB account cash balance and calculates position size. Couple of button presses will send multiple trades (buy and sells are separate) to TWS.

In AB run a Batch to do a couple of AA runs and finally Export to File (.CSV). Need to have the AA columns in the AB code setup in the right order.

So you need the exported CSV from AB open, the DDE spreadsheet open plus TWS open for it to work.


----------



## Newt

Many thanks SB, will check it out.  Was on long term To Do list to investigate IB APIs - have heard Nick Radge talk about doing it - but DDE in Excel is something I'd be more comfortable messing with.

I've never loved TWS, and now their web product (WebTrader) is saying it won't be supported later this year so would be nice to have something bit smarter.


----------



## qldfrog

another bloodbath day, worse day ever for my systems...

Since our exchanges last week, I worked and refined 2 of the systems:

DL Guppy with changes which seems to bring consistency and better outcome; overall satisfied on paper
but lost 3% for the day
With 75% of its portfolio bought today and restored full size packet, all at a loss at the end of the session, not as bad as it seems; What a great timing.. it was NOT

The other daily I worked on was the Bat

,FB still not satisfactory but better
Lost 2% today;

The system which really killed me today was the weekly *QFDuc: 5% loss*
This champion managed to get 5 of its 20 positions losing more than 9% each, on top of the smaller losses
Probably urgent that QFDuc get reviewed as it has had bad /meh meh performance since mid january
 6m in a row of under performance
The only potential positive is that, being a weekly, it will not cast these loses until next week so potentially recovering..I can hope
Other systems were losing but within expected range on a down day
and yes at 11AM: my systems flat, at 3PM -5k and at close nearly doubling the losses
Overall losses of 3% so more than3 times the market;
If I match the market on the good day and do 3 time worse on bad days, no real point ...
When back home, I will carry on the back analysis and see if i can improve QFDuc in priority


----------



## Warr87

qldfrog said:


> another bloodbath day, worse day ever for my systems...
> 
> Since our exchanges last week, I worked and refined 2 of the systems:
> 
> DL Guppy with changes which seems to bring consistency and better outcome; overall satisfied on paper
> but lost 3% for the day
> With 75% of its portfolio bought today and restored full size packet, all at a loss at the end of the session, not as bad as it seems; What a great timing.. it was NOT
> 
> The other daily I worked on was the Bat
> 
> ,FB still not satisfactory but better
> Lost 2% today;
> 
> The system which really killed me today was the weekly *QFDuc: 5% loss*
> This champion managed to get 5 of its 20 positions losing more than 9% each, on top of the smaller losses
> Probably urgent that QFDuc get reviewed as it has had bad /meh meh performance since mid january
> 6m in a row of under performance
> The only potential positive is that, being a weekly, it will not cast these loses until next week so potentially recovering..I can hope
> Other systems were losing but within expected range on a down day
> and yes at 11AM: my systems flat, at 3PM -5k and at close nearly doubling the losses
> Overall losses of 3% so more than3 times the market;
> If I match the market on the good day and do 3 time worse on bad days, no real point ...
> When back home, I will carry on the back analysis and see if i can improve QFDuc in priority




for what its worth, my weekly took a massive hit today. I believe most damage was caused by SYD.

My commodities through CFDs are doing good. 

My fingers are crossed that you recover some of those losses as the week goes by! Hopefully a review highlights any potential issues too.


----------



## qldfrog

another hard hit today, once again mostly by QFDuc the old system which lost more than 5%;incredibly bad as I was never suspecting it would be the system letting me down
DL Guppy no loss so very good considering a market falling 1% and a system fully invested so kudo for Guppy..and I hope the work I did this week end 
QFSec  and the bat not too bad with overall trend
Hope my losses cheer you up too if you have been hit


----------



## Warr87

checked my system today, and immediately thought of you mate. our systems are very correlated. what another crappy day. still 3 more days to go though lol.

my commodities remain strong. another reason why i'd love to run a proper futures strategy.


----------



## peter2

Warr87 said:


> for what its worth, my weekly took a massive hit today. I believe most damage was caused by SYD.




Please explain how your weekly system was hit by *SYD* which has hardly moved this week (-0.8%). I don't believe it. If your "system" bought *SYD* after the TO news, then that's unwise, but if it did, then the price hasn't dropped much at all. *SYD* can't have "damaged" your portfolio at all. 

My Combo portfolio (half spec and half midcaps) has lost 2% this week while the XAO index has fallen 1.6%. After four up weeks your portfolios should have gained enough to be able to lose a little when the market falls. If your systems haven't gained in those four up weeks then that's your real concern. 

We run weekly systems to ignore the daily variations. Our positions sizes are smaller because the SLs are further away on the weekly charts. If you don't position size or use SLs then you spread the downside exposure across many positions. 

If you're concerned by the daily variations in P&L then you're using too much risk. Lighten up and enjoy the journey.


----------



## Warr87

peter2 said:


> Please explain how your weekly system was hit by *SYD* which has hardly moved this week (-0.8%). I don't believe it. If your "system" bought *SYD* after the TO news, then that's unwise, but if it did, then the price hasn't dropped much at all. *SYD* can't have "damaged" your portfolio at all.
> 
> My Combo portfolio (half spec and half midcaps) has lost 2% this week while the XAO index has fallen 1.6%. After four up weeks your portfolios should have gained enough to be able to lose a little when the market falls. If your systems haven't gained in those four up weeks then that's your real concern.
> 
> We run weekly systems to ignore the daily variations. Our positions sizes are smaller because the SLs are further away on the weekly charts. If you don't position size or use SLs then you spread the downside exposure across many positions.
> 
> If you're concerned by the daily variations in P&L then you're using too much risk. Lighten up and enjoy the journey.




had to go back and look, I may have mixed it up with SYR? Either way, the majority of losses on that 1 day was from 2 different positions i believe.

my systems have gained over the past 4 weeks. overall its been good for me.

i also dont pay too close attention to daily PL. my checking is usually out of curiosity, or boredom. prob check more often these days as I am now trading a daily so I have to update my spreadsheets daily. but as you say, lighten up .


----------



## qldfrog

spent a bit of time on the QFSec and QFduc last night.was good to start afresh and check the basis etc; I added a few std exits or entry checks etc;
Same overall main ideas just refined
backtests results improving and do not seem to be too curve fitted;
Not that the last few days crash would be smooth..fair and expected but I would have had a better base to start the fall from;
And less reliance on ranking, a more exclusive buy list
I consider that an improvement;
a bit late to act on the weekly but might filter tonight the buy/sell I made with the old systems on Monday and remove /add the different picks without waiting for the Friday close..why wait longer ?
I surprised myself at how cold headed I am considering the number involved: stupidity or maturity..who knows.I do not expect a great day today...


----------



## Warr87

how did you go mate?

It's friday so I'm doing a check, and I'm finding almost all of my open profits gone (all but a few hundred $). Can't always be a win, but this seemed to be particularly brutal in my case. Hope you held up better than myself!


----------



## qldfrog

Warr87 said:


> how did you go mate?
> 
> It's friday so I'm doing a check, and I'm finding almost all of my open profits gone (all but a few hundred $). Can't always be a win, but this seemed to be particularly brutal in my case. Hope you held up better than myself!



absolutely horrendous..XNT down 2% so could never have been great for my systems
here is the tally, no real improvement after the massacres on Monday Tuesday, 
And as expected the weekly are absolute destruction:
Dailies:
Flying bat: -$2.2k or -4% now 23% invested
Guppy:-$2.1k or -4.5%
more disappointing:
volatility US:-$0.5k or -3% ->negative  for this financial year
volatility ASX:-$2.7k or -5.2% back to $0 for this financial year

and the weekly system disasters:
QFSec as a new kid in the block:
-$4.4k or -5.9% with still 70% invested
and keeping the worst for last:
no typos:
QFDuc
-$11.9k or -12.6%; 90% invested

overall:
-$23.8k or -7.5% for all systems with the 2 weekly systemscontributing to 2/3 of losses
I have worked on these 2 last systems this week so can now compare both of these what the loss would have been with the new versions and check the status vs code.
the new version will only start on Monday
As the overall Frog losses (systems plus stock exposure asx/US)  is "only a 20k loss for the week, it means the investment portfolio and currency exposure managed to gain nearly 4k in the last week;
probably the USD vs AUD gain.
 even if stop loss exitsactivated on many of my investor stock and saw me leaving positions in BPT,OZL,S32 and IPL (but at profit);

let's now analyse if the code worked on this week would have done better.
Hope so..


----------



## qldfrog

a quick check on the weekly changes and yes we would have been better off with the new versions..not surprised but good check;
I also had an idea I worked on last night: I have 2 daily based on different strategies, what about a Mother Of All amalgamation of both?
It goes against the simplicity is best mantra but why not try:
the results: MOA FB better than FB, doubling performance on long term with similar drawdawn, and a different equity graph, a better one but it is subjective
DL Guppy is still better but I want to spread risk/behaviour so planning to switch from pure FB to MOA FB; 
FB code still in , but  supercharged with Guppy subsets, not all kept...
These would have increase the profit buffer and so would have kept a profit for this financial year ...
time will tell


----------



## qldfrog

qldfrog said:


> a quick check on the weekly changes and yes we would have been better off with the new versions..not surprised but good check;
> I also had an idea I worked on last night: I have 2 daily based on different strategies, what about a Mother Of All amalgamation of both?
> It goes against the simplicity is best mantra but why not try:
> the results: MOA FB better than FB, doubling performance on long term with similar drawdawn, and a different equity graph, a better one but it is subjective
> DL Guppy is still better but I want to spread risk/behaviour so planning to switch from pure FB to MOA FB;
> FB code still in , but  supercharged with Guppy subsets, not all kept...
> These would have increase the profit buffer and so would have kept a profit for this financial year ...
> time will tell



So tomorrow will see new versions starting for weekly ,moa FB and small tweak only guppy.
After all these exits, it is nearly a start from scratch on monday morning and mainly no buy mode on by now


----------



## martyjames

Hi Frog, are you trading and daily momentum systems? There have been some real flyers in last month (eg Lithium stks etc) - have your systems caught any of these shorter term big moves?

cheers


----------



## qldfrog

martyjames said:


> Hi Frog, are you trading and daily momentum systems? There have been some real flyers in last month (eg Lithium stks etc) - have your systems caught any of these shorter term big moves?
> 
> cheers



Yes weekly and daily, but the losses were bigger than the win ultimately.
Last week losses while very harsh..were kind of ok,can be expected but the underperformance before are the actual worries.
The changes which will start this week should  hopefully help significantly..but if the market goes down, i will go down ...
System like my weekly qfduc became complacent 2nd half of 2020, any dead weight could fly, and so was mine so all happy..but that is when i should have acted.not a year later.
Anyway, as long as i do not repeat the mistake.


----------



## qldfrog

interesting , both @peter2  and i mentionned it but while the market is chaoc, I have found one pretty good prediction:
my portfolio at close will be around 1% below its 2PM value;
was hitting like clockwork last week: small loss stable till lunch  2pm , increasing b closure;
yesterday
+$1.4k profit down to $400 loss roughly 1% of invested funds and today again
$2k to $2.4k profit closing to $500 profit for the day..
should we read something there?: is itsome ramp up for big players exit?
Anyone else experiencing this and what is the lesson to take from this behaviour?

This is with small caps play, my investment side is more stable with more ASX 200 stocks and kept the profits today


----------



## Greynomad99

qldfrog said:


> interesting , both @peter2  and i mentionned it but while the market is chaoc, I have found one pretty good prediction:
> my portfolio at close will be around 1% below its 2PM value;
> was hitting like clockwork last week: small loss stable till lunch  2pm , increasing b closure;
> yesterday
> +$1.4k profit down to $400 loss roughly 1% of invested funds and today again
> $2k to $2.4k profit closing to $500 profit for the day..
> should we read something there?: is itsome ramp up for big players exit?
> Anyone else experiencing this and what is the lesson to take from this behaviour?
> 
> This is with small caps play, my investment side is more stable with more ASX 200 stocks and kept the profits today



Just an observation but having trading patterns for several years and made good money at times, but that system hasn't really worked that well for me since the start of the year. I've put that down to the market being near its top and as such volatile due to investor nervousness - probably not helped by Covid. 
Anyway, last year I set up a hypothetical medium-term trading portfolio of 10 mid/high cap shares diversified over sectors  so that a few people I was helping to understand the market could see in real time the sort of buy, hold or fold and stop loss descisions that have to be made - something theory never really prepares one for. Buys were ideally price coming off a significant low and broken above a technical weekly downtrend  Exit was a break of trend or a percentage fall below a higher weekly trough. While my own trading has been 3 steps forward and 2 back (sometimes 2 forward and 3 back), that portfolio (which only gets reviewed once a week - to make it easily manageable for those without a lot of time) is up over 20% in nine months. I've closed out 11 trades over that time. I've been so impressed by the performance of this system that I have adopted it for my own trading in recent months (although I still can't resist a really strong pattern I stumble over).
For the 2 days of this week that portfolio has put on 1% as against the XAO's 0.6% - which is consistent with its performance since inception.


----------



## qldfrog

Greynomad99 said:


> Just an observation but having trading patterns for several years and made good money at times, but that system hasn't really worked that well for me since the start of the year. I've put that down to the market being near its top and as such volatile due to investor nervousness - probably not helped by Covid.
> Anyway, last year I set up a hypothetical medium-term trading portfolio of 10 mid/high cap shares diversified over sectors  so that a few people I was helping to understand the market could see in real time the sort of buy, hold or fold and stop loss descisions that have to be made - something theory never really prepares one for. Buys were ideally price coming off a significant low and broken above a technical weekly downtrend  Exit was a break of trend or a percentage fall below a higher weekly trough. While my own trading has been 3 steps forward and 2 back (sometimes 2 forward and 3 back), that portfolio (which only gets reviewed once a week - to make it easily manageable for those without a lot of time) is up over 20% in nine months. I've closed out 11 trades over that time. I've been so impressed by the performance of this system that I have adopted it for my own trading in recent months (although I still can't resist a really strong pattern I stumble over).
> For the 2 days of this week that portfolio has put on 1% as against the XAO's 0.6% - which is consistent with its performance since inception.



Yes, was more concerned about this small caps fall intraday,every day now for a while.
I do not subscribe to intraday data but i have ,from anecdotal evidences i agree, the feeling we have an intraday H in first session half ,followed by a low by close.


----------



## Greynomad99

qldfrog said:


> Yes, was more concerned about this small caps fall intraday,every day now for a while.
> I do not subscribe to intraday data but i have ,from anecdotal evidences i agree, the feeling we have an intraday H in first session half ,followed by a low by close.



The moved during the day often mirror the US futures trades which start to come out about midday our time. Small cap stock can be subject to manipulation as well. I never (well hardly ever) trade a stock under $0.10 or one where trade is illiquid (say less than $1M a day). I also do not day trade - too much effort for too little reward. It's OK if you are dealing in big amounts but $10,000 where you see a 2% gain is about $160 after brokerage - ie lose 25% of your profit in brokerage. Invest $100,000 and you only lose .02%. The $160 would be OK if you could do it 200 days of the year - but that never happens.


----------



## Greynomad99

Talking about systems I posted something on another forum a few weeks ago about breaks of downtrends being a strong indicator of higher prices. I also posted a list of shares that had broekn trend. It is interesting to see that most have moved up (some strongly) over this month. KGN is the exception, but no system is perfect. The table on the left of the chart below shows those moves.


----------



## qldfrog

what a week, brutal ups and down, not always linked to asx200 index..today was as good a day as yesterday was bad.
The dailies:
both volatility systems fully cash: they do not know where the market goes....
MOA started:sadly first week at a loss:
$-1.7k or -3.2% ->60% invested
Guppy:
$-0.8k or -1.8% ->73% invested

weekly:
QFSec:
$+3.5k or +5% ->80% invested

QFDuc
$+2.6k or +3.2% ->55% invested

overall:
$+3.6k or +1.1% overall from investment, currently 47% cash
So in a way a good week but as I said yesterday would have been just breakeven,
 a bit disappointed by the dailies but this week  is just  the start for these .


----------



## peter2

Do I detect a slight hint of, surprise, surprise, optimism?  Finally. 

Very pleased that you reported a winning week. I was ready to lock you up but there's been far too much of that lately.


----------



## qldfrog

peter2 said:


> Do I detect a slight hint of, surprise, surprise, optimism?  Finally.
> 
> Very pleased that you reported a winning week. I was ready to lock you up but there's been far too much of that lately.



Am already lockup,in a state now, not even a country..getting worse..we got 1 case in a week in qld so statistically 0.02 death a week or 1 death a year so we can all agree that qld need to close borders for its 5 millions inhabitants .Trading is the escape from madness and dictatorship🥴sad

More seriously, the swing moves are very abrupt, but this is due to the low caps i deal with: 10c to 10.5c is 5% and that is just the minimal step.
I actually missed on a couple hood yrades with the open buys overshooting my limits..this is what it is...


----------



## qldfrog

I like the sea of green in the early morning mist.....no copyright intended...


----------



## qldfrog

a great week:
probably the same for most systematic traders , I saw @peter2 did very well too

daily systems:
MOA: +$5.5k or +10.9% but remember we are starting from a series of bad returns so nothing to gloat about, but a good sign for the resurrected Flying Bat:
 from 
	

		
			
		

		
	



	

		
			
		

		
	
to 
	

		
			
		

		
	



Or so I hope;
DLGuppy: +$1.8 or +4.2% good

volatility:
ASX: +$0.5k or +1.06% fair
NYSE: +$0.2 or +1.32% fair

Weekly systems not as great as they hang onto some laggards:
QFSec +$1.2k or +1.6% fully invested
QFDuc disappointing +$0.3k or +0.3% currently 73% invested


Overall 
mostly invested 7% cash only..
Dangerous in September but this is what it is:
+$9.5k or +2.9% vs XNT of just below1%

I missed quite a few entries in this week which has seen a lot of good days for juniors and small caps, with huge intra days variations 
Give me more like that, my investor conservative portfolio, as usual balanced back the Frog overall score but still nicely positive for the week
but a lot to climb to be back positive for the FY so far


----------



## Warr87

great results mate. i checked mine tonight and i was a little shocked (I hadn't checked it all week). lets hope everyone here did so well!


----------



## qldfrog

EOD check:
EGL yeahhhh
ID8 outch
Nothing refined today,.major win or big losses on the packets


----------



## qldfrog

red day today (-1.7% on the systems), dailies are now mostly cash but weekly systems getting a beating.
all last week profit are gone and the investor portfolio fell as well so huge loss


----------



## qldfrog

qldfrog said:


> red day today (-1.7% on the systems), dailies are now mostly cash but weekly systems getting a beating.
> all last week profit are gone and the investor portfolio fell as well so huge loss



The real bugger is that , as usual at 2pm, i was just down 1/10th of the final loss, with actual positive systems...ah well
Not really a surprise... September and long awaited crash..not that this is the one..i have no crystal ball


----------



## qldfrog

What a week.....
yesterday was my biggest portfolio fall ever while today was my highest gain ever and by much on the systems..above +5% today..waooohh not for the faint hearts
the dailies:
they obviously sold off:
but kept much of the gain of the exceptional previous week:
Mother of All Flying Bat:
-$1.9k or -3.3% 90% cash tonight
Guppy:
-$1.3k or -2.88% 85% cash tonight
volatility dailies did not like it
vol US: -$0.4k or -2.49% back to cash
vol ASX: -$1.6k or -3.26% back to cash

the weekly did VERY well:
QF Sector: +$4.3k or 5.73%, fully invested and nearly gained back all of its initial loss since started in june
QF Duc: +0.6k or +0.7%

overall -$300 this week or -0.1%, now 50% cash
Just 300 to be positive..but CXO share purchase plan which was acquired via the system but that I do not count as part of this was sold today for $474 profit
so a positive week....
@peter2..I am VERY happy...


----------



## Warr87

I think, just like you, I was slightly negative this week for all of my systems. Today wasn't bad, yesterday was bad. but an interesting week. I'm surprised my daily wasn't triggered for a few sells given some of the volatile days.


----------



## Warr87

My crypto/commodities was an interesting one this week. beginning of the week was strong, i've been flat for a while (maybe 1-2 months,can't remember), and then everything had some sudden falls. got whipasawed on a few trades too. a few quick loses with false breakouts. but at least its not hemorrhaging money hahaha. it seems the monthly is the most intune with the market, while everything else is relatively flat.

oh well.still an interesting ride, lol.


----------



## frugal.rock

Good to see a good week for you Mr Frog. 🐸🐸🐸👍
Hopefully it keeps up.
It's harsh when montecarlo odds go against you continously.
I can imagine someone entering the market at the start of your bad run would probably be out of the market with a near blown account by now.

I'm up about 2.5% this week for this portfolio.
Chart shows last month.

Other portfolio is slightly larger value and was generally flattish thanks this week, thanks to yesterday. 
Otherwise, it's been running slightly better than this chart shown portfolio.



I dislike losing profits when it's been hard work attaining it. 
For me,  open profit loss usually occurs when I don't have my eye on the ball as other matters (family mostly) are consuming my attention.
Hope all have a good weekend, in lockdown or not.
Cheers


----------



## qldfrog

frugal.rock said:


> Good to see a good week for you Mr Frog. 🐸🐸🐸👍
> Hopefully it keeps up.
> It's harsh when montecarlo odds go against you continously.
> I can imagine someone entering the market at the start of your bad run would probably be out of the market with a near blown account by now.
> 
> I'm up about 2.5% this week for this portfolio.
> Chart shows last month.
> 
> Other portfolio is slightly larger value and was generally flattish thanks this week, thanks to yesterday.
> Otherwise, it's been running slightly better than this chart shown portfolio.
> 
> View attachment 130158
> 
> I dislike losing profits when it's been hard work attaining it.
> For me,  open profit loss usually occurs when I don't have my eye on the ball as other matters (family mostly) are consuming my attention.
> Hope all have a good weekend, in lockdown or not.
> Cheers



When I did a significant rework on the systems, i purposedly increased dd to favour actual net profit in some of these systems.
More agressive but quicker in/out in backtests .Since, i have been able to actually see the difference in the day to day tracking with volatility and gain.hopefully, will go to plan.
The systems are still at an overall loss since start of FY.
The 2 older  volatility plays are significantly underperforming/losing money since July whereas they were very good stable performer in a more stable environment..the paradox.
They should have thrived on this week. 
Probably time to give them a bit of a check.
As i follow other threads on ASF, the very satisfying thing is that my systems very often are detecting and into the tickers breaking out or making significant move.
the exits not always ideal..
 But good to see reward vs effort.
As we all know here, there is no fairness, reward for work in share trading but it is good when efforts get returns.
Obviously, next week could see me losing 30k and questionning my very existantial being. ....


----------



## qldfrog

Nice progress today, will ensure more buffer for the next fall.let it roll..


----------



## Warr87

I had a weird one today. Monthly and weekly up (weekly also shed a number of positions due to index down filter). Daily down (its own index down filter also on), Crypto/commodities continue to go down. Overall, just a weird time with mix results among the differing timelines. From my own trading, it seems the longer timeframes are in step, while the shorter timeframes are having a much harder time.


----------



## frugal.rock

Warr87 said:


> Overall, just a weird time with mix results among the differing timelines.



Might be something in that, eh?
🤐🤫


----------



## Warr87

frugal.rock said:


> Might be something in that, eh?
> 🤐🤫




Haha. Well there's a give and take with every strategy. A longer term strategy is sometimes going to be more intune. Shorter term strategies can take advantage of quicker wins. I've tried to have a mixture of varying timeframes for a bit of diversification.

I have no doubt that sometime in the future my monthly and/or weekly will be flat/down whereas my daily will be doing well.

That being said, I was a fan of the monthly when I started it last year and I continue to be so!


----------



## qldfrog

Warr87 said:


> Haha. Well there's a give and take with every strategy. A longer term strategy is sometimes going to be more intune. Shorter term strategies can take advantage of quicker wins. I've tried to have a mixture of varying timeframes for a bit of diversification.
> 
> I have no doubt that sometime in the future my monthly and/or weekly will be flat/down whereas my daily will be doing well.
> 
> That being said, I was a fan of the monthly when I started it last year and I continue to be so!



But you do not want to be full in with the monthly when the crash hits..

Unless you are lucky with timing


----------



## frugal.rock

Ah, it's all good Frog, no need to throw a cat amongst the pigeons, yet, as long as we all keep buying Uranium ☢️ 
Chin up! 🙃


----------



## qldfrog

qldfrog said:


> But you do not want to be full in with the monthly when the crash hits..
> 
> Unless you are lucky with timing



@Warr87  not an attack,hope not seen like one;
 I like weekly ease of management and even better monthly but  just believe a bit late to start one now for me when all signs are for a correction within 12 ticks


----------



## Warr87

qldfrog said:


> @Warr87  not an attack,hope not seen like one;
> I like weekly ease of management and even better monthly but  just believe a bit late to start one now for me when all signs are for a correction within 12 ticks




didn't take it as an attack mate. You are definitely correct. And as I've noted in my monthly's journal, this is a big downside to the monthly strat. I wouldn't know how to code in, and backtest, some intra-monthly or death spiral type exit if the market crashed. Radge's original code has an index filter but I found that it took too long to get back into the market once the filter was back on. At least for my tastes. But he would be out of the market when it drifts down. So again, a give and take. Maybe when I eventually move it from AB to RT I can test this emergency type exits. Though I'm not a big fan of such things.


----------



## qldfrog

great milestone, after a very good week so far, it seems I have now caught up and am positive for the FY (this includes paper gains) Considering I started more than $35k down a month ago, I am either very lucky, my changes were worthwhile or both
anyway, give me more days/weeks like that


----------



## qldfrog

ok so you guess great week:
a bit cooler today where the frog lost 8k but only 2k from his systems so what could have been a stunning week will be a very good one:
dailies:
mostly empty by the end of the week:
both volatility ASX and US  100% cash unchanged;
Mother of All Flying Bat: 100% cash now but managed to gain $0.6k or 1.08%
DLGuppy: 80% cash by EOW but managed to gain $2k or 4.6%
The weekly systems did a killing:
QFSec +$5.3k or +6.8%
and the best of all:
QFDuc +8.9k or +10.3%
overall:51% cash, gain of 16.8k or 4.9% overall ;
I am VERY happy and hope it has been the same for my fellow systematic traders;


since 1/07 and after the disastrous initial months, I am happy to be now back positive with systems+ investment ASX..was positive overall with US portfolio until gold and silver got hit today/last night but that is *transitory* isn't it? ;-)


----------



## peter2

Very pleased to read your latest report. Would love to share an Arrogant Frog pinot noir with you on the pad. 

Make sure that you spend the time to congratulate yourself for following your systems. Times were tough. Drawdowns aren't pretty but they're part of the journey. Sticking with your approach and making new equity highs is hugely satisfying. You done it, _mon ami. _I'm very pleased for you.


----------



## peter2

Earning our way out of a drawdown is immensely satisfying. IMO we should take the time to recognise that achievement within ourselves and allow that satisfying feeling to flow into and build our confidence as a trader. Once we've earned our way out of a significant draw down we know that we can do it again. That's experience and confidence we've added to our trading resources. 

I want to mention a possible next step. This is rarely mentioned in the literature. I want to suggest that we use this positive feeling (we are feeling really good, right) and express some gratitude to those closest to us (*).  When times were tough we undoubtedly passed some of the negative energy into those we're close to. Now is the time to make up for it. If we express gratitude effectively then the positive vibe gets spread more widely. 

Expressing gratitude meaningfully has many benefits. I'm no psychologist, just trust me it's good. 

When those close to us see that we're successful traders they become more supportive. We don't need to provide details about the trading business, just tell them we're grateful for them being around. If you do this well then you'll be surprised at how supportive they'll be when you're in the next big draw down. 

_* - I'm not going to tell a Frenchman how to express gratitude to his partner (jewelry?). _


----------



## frugal.rock

peter2 said:


> * - I'm not going to tell a Frenchman how to express gratitude to his partner (jewelry?).



Fine wine and dine perhaps?

Escargot Mademoiselle?🐌🐌🐌


----------



## qldfrog

frugal.rock said:


> Fine wine and dine perhaps?
> 
> Escargot Mademoiselle?🐌🐌🐌




Froglet and I had a good laugh..🙏
I actually brough back a small wood fired..pizza yesterday impromptu...
Same feeling but with the frog aware that the breakeven can still go back in smoke quickly...
Thanks for the input and @peter2 ,keep moral up..as i think you are subject to these Soul and business destroying lockdowns, down south👍


----------



## qldfrog

did not take long, thanksfully the pizza was good : @peter2 and we had a great sunday, 
today's back on the market saw my systems lost all of last week's profits: -$16.5k out of only $200k currently invested so -8% loss today on average..FFS..wahooo
and the investor portfolio did not help : red everywhere inc some bonds and PM
these invested systems are the weekly ones so they may or not recover later on, anyway, i follow my systems...


----------



## qldfrog

Here comes the disaster week to follow the breakeven, Monday lost a bucket and even good day like yestry
both today and yesterday saw a 3k intraday all between systems so we lost all of last week gains plus more
daily systems:
volatility  US & ASX unchanged , fully cash
MOA: -$0.6 or -1.13%
DLGuppy $-2.1k or -4.5%
QF Sec:-$3.6 or -4.3%
and QFDuc -10.7k or -11.3%
So overall -$17k or -5.2%, and 30% cash we wipe out the previous week gains...


----------



## qldfrog

Not sure about fellow trend follower but bleeding and bleeding lately.on asx down I fall , and so do I or just even and day up..not a good week as it unfolds


----------



## KevinBB

qldfrog said:


> Not sure about fellow trend follower but bleeding and bleeding lately.on asx down I fall , and so do I or just even and day up..not a good week as it unfolds




I just so happened to pick this week to implement the ASX Stocks part of an overall trend following strategy. Luckily only a couple of stocks have been purchased as yet. So, feeling a little bit of your pain.

September is rarely a good month. From memory, 3 in the last 4, and 9 in the last 16 Septembers have been down months. I'll update from the other computer once this September finishes. Bring on October to December.

KH


----------



## qldfrog

KevinBB said:


> I just so happened to pick this week to implement the ASX Stocks part of an overall trend following strategy. Luckily only a couple of stocks have been purchased as yet. So, feeling a little bit of your pain.
> 
> September is rarely a good month. From memory, 3 in the last 4, and 9 in the last 16 Septembers have been down months. I'll update from the other computer once this September finishes. Bring on October to December.
> 
> KH



yes, I know I started one system in May, and then as I was nearly back on my feet 2 weeks of smashes..well this is what it is...


----------



## Warr87

Lost a little today on the weekly. The daily triggered a few sells (filter is on so it's not buying), but despite the sells it was break even. what i'm holding there now seems to be rather strong despite wider market. monthly was down, and suffered a little. so a bit of a mixed bag tbh.

I only checked after your post, so it was surprising to see how much the ASX lost today.

hopefully not too much lost for ppl here.


----------



## qldfrog

week 2 of serious down down down:


For the week, XNT was down 2.2%
dailies:
MOA: -$2.4k or -4.46% now fully cash
DLGuppy:still 46% invested: -0.8k or -1.78%
disappointed with volatility who are actually still bull tonight
volatility ASX:-0.3k or -0.5%
volatility US:-1.3k or -7.9% luckily a smallish player as not very successful

Obviously, in such an environment the weekly systems are where the crazy losses are:
QFSec -$7k or -8.8%; 90% invested
QFDuc -$7.3k or -8.6%; 82% invested
Overall -$19.2k or -6.2% currently 30% cash
overall the frog portfolio was down 20.9k so the loss of only $1.7k on the discretionary investment portfolio was actually quite good

need a good shiraz but the mood is up, at long last:
International borders to open in November​they are only mentioning entries while I care more about exiting but I see it hard to stop people leaving if they let them in...
I will probably have to close the dailies when I am out due to internet access and time differences but I have another 4 to 6 months for these boys to catch up.
the systems are now back down to severe loss


----------



## qldfrog

I am really puzzled by this repeating morning to close fall:
for at very least the last months , I see a decrease in my (small cap mostly) portfolio of around 1% between the day start let's say 11Am to close;
on these systems around 2k intraday value fall, day, after day whether the market gain or lose, always around that 1% figure
It is not practical for me to do a sell all at 11Am then buy again all the stocks I want at 3PM...
but seeing a rough potential extra gain of $80k in just September instead of a 40k overall system loss is teasing
anyone doing intra day play maybe with ETF?


----------



## StockyGuy

Much respect to the 🐸 for tellin' it like it is over long time frame - whether good, bad or ugly.  Trading journal type threads often end abruptly once some real drawdown is experienced.


----------



## qldfrog

StockyGuy said:


> Much respect to the 🐸 for tellin' it like it is over long time frame - whether, good or ugly.  Trading journal type threads often end abruptly once some real drawdown is experienced.



With weekly systems, it can take a while for protection to trigger, GTFO to start sell all etc.
Xnt fell 2pc last week
Standard small cap ETFs fell 4pc, and my systems went "just" double.not a surprise. Drawdowns do happen, these are quite aggressive systems and a dd of 20pc is not unexpected.
Obviously, I'd prefer this not to happen, but this is what it is.
I expect to go into losses on weeks like this, the losses earlier this year were an issue, i fixed that,
I just hope this will end soon or that my systems will go cash if this carries on.they should.


----------



## qldfrog

a so so week..a bit disappointing to be honest but spring reloaded and system back in:
the daily:
the intra day volatility experiment: 1d trade only +0.5% or 100$ does not hold on weekend to remove the general trend effect
my normal dailies:
MOA: back fully invested -$0.6k or -1.2% bad
DL guppy :back fully invested flat -0.1% had to pay the brokerage fees
volatility ASX +$0.6k or +1.25%
volatility US +$0.65k or +4.2%

weekly:
QF sectors: flat+0.04%
QFDuc: -$0.8k or -1%
overall systems: 0 flat mehhhh

the discretionary gained $3k which was quite niceand lifted the spirit for the weekend


----------



## qldfrog

another week...And a smiling frog
System ok but ...

xnt up 0.58% this week
my dailies:
intra day volatility experiment: +0.57% or $90 paying the cappuccinos
MOA: good +$1.1k or +2.18%, fully invested
DLGuppy disappointing: -$0.3k or -0.68%, fully invested
volatility asx: +$0.7k or +1.56%, fully invested
volatility US: +$0.6k or +3.55%, fully invested

weekly: 
QFsec mehhh +$0.4k or +0.53%, fully invested
QFDuc bad -$0.8k or -1.06% ,86% invested

so basically back to fully invested
overall for the week:+1.7k or +0.55% so yes, just matching the xnt;
the discretionary did a killing(>10k) with gold and silver plus a few other play so going toward retrieving some of these abysmal losses


----------



## qldfrog

last week up, this week down;
I am back in the scheme: winning around lunchtime and down 1% from that at the end of the session; all that on flat or rising XAO during that time..
Why?? Unsure ...same code, same specs mostly,
As a reference , xnt managed +0.73%.

This week the dailies were NOT GOOD and the weekly system good
intra day volatility experiment:+$180 or +1.2%
MOA  -$1.8k or -3.5%
DLGuppy  -$2.4k or -5.8%
volatility ASX +0.7k or +1.5%
volatility US+0.7k or +4.06%

weekly
QFSec +$0.6k or 0.77%..as last week matching xnt : no more not less
QFDuc good +$2.3k or 3.1%

overall:+$300 for the week, fully invested in all
a week to forget with an overall *loss *[System plus discretionary] of $2.3k; 
Of interest:
Lost $6.5k just today..mostly due to a red only night on the NYSE.
A first for me where every single owned share/etf went down out of my 13 different ones..
volatility, PM, green economy, Russia,China,Blockchain, bear ETF rural..
ahhh well


----------



## qldfrog

a warm welcome back to Mr @Skate who just presented a a few weekly system backtests;
sadly I have no platinum subscription so I might have some bias in my backtests but it has been a while since i have been able to compare some backtesting
For info these are the results for my weekly:
QFDuc v23 active since 28/08
calendar year:23/10/2020 to now:


	

		
			
		

		
	
and for the last 2 years: 23/10/2019 to now


These QFDuc results compare very favorably to both ADX and Platinum backtests so that is a bit of a relief as these results are not tweaked...
But I am sure the Ulcer index of Mr Skate is much more serene than mine..


----------



## qldfrog

now for the QF sector bias weekly:
one calendar year:



and last 2 calendar years:


this version is live since 17/08 and indeed results have recovered with live trading for that weekly system


----------



## qldfrog

I have to say QFDuc has been disappointing:
backtests are stunning but I did not see much better real life results since end of august [when that version became live], very volatile and portfolio down roughly 10% since whereas xnt is basically flat


----------



## Skate

qldfrog said:


> a warm welcome back to Mr @Skate who just presented a a few weekly system backtests;
> sadly I have no platinum subscription so I might have some bias in my backtests but it has been a while since i have been able to compare some backtesting
> 
> These QFDuc results compare very favorably to both ADX and Platinum backtests so that is a bit of a relief as these results are not tweaked...
> But I am sure the Ulcer index of Mr Skate is much more serene than mine..




*I post with the best intentions *
The backtest results of your "QFDuc v23" raise a "Red Flag" for me.

The old adage, "When something seems too good to be true, it probably is" - meaning those figures are excellent but not believable.

Skate.


----------



## qldfrog

Skate said:


> *I post with the best intentions *
> The backtest results of your "QFDuc v23" raise a "Red Flag" for me.
> 
> The old adage, "When something seems too good to be true, it probably is" - meaning those figures are excellent but not believable.
> 
> Skate.



true  but I could not find anything like looking forward ..nor many time when explore results differ from week to week
These periods were not in my development testing so not exactly custom fitted
But volatility is intense:
these are actual results per week

27/08/2021​3.1997%3/09/2021​0.2974%10/09/2021​0.6691%17/09/2021​10.3125%24/09/2021​-11.3284%1/10/2021​-8.6293%8/10/2021​-1.0223%15/10/2021​-1.0558%22/10/2021​3.0996%
Please also note on a different subject:  system QFSec results above start at 80k not 100k so please look at % for comparison


----------



## peter2

I agree with @Skate. There's got to be an error in your system with regards to back testing. The results are unbelievably good. 
450 trades pa. is 9 trades pw. This is doable if your pos size is very small but if your initial positions are small you can't make huge individual profits (max win of 32K ?). If your pos size is large then the system would be unable to do 450 trades pa. Is the back test investing money that is unavailable or already used? 

You mention that the live performance of QFDuc has been disappointing since going live. You wouldn't have any disappointing periods if QFDuc was as good as indicated by the back-test (fast recovery factor, small max DD). This would indicate that there is an error. 

It appears that both back test reports contain the same error. I'm unable to assist you further as I don't use Amibroker.


----------



## qldfrog

peter2 said:


> I agree with @Skate. There's got to be an error in your system with regards to back testing. The results are unbelievably good.
> 450 trades pa. is 9 trades pw. This is doable if your pos size is very small but if your initial positions are small you can't make huge individual profits (max win of 32K ?). If your pos size is large then the system would be unable to do 450 trades pa. Is the back test investing money that is unavailable or already used?
> 
> You mention that the live performance of QFDuc has been disappointing since going live. You wouldn't have any disappointing periods if QFDuc was as good as indicated by the back-test (fast recovery factor, small max DD). This would indicate that there is an error.
> 
> It appears that both back test reports contain the same error. I'm unable to assist you further as I don't use Amibroker.



I will try to deepen the research further , and hope to be able to do that during the week
And will share this here or in my thread


----------



## qldfrog

too good to be true BT on QFDuc v23;
the analysis;
Context
that system uses 20 positions, started with equity of 85k on 28/08 when v23 was switched on, and was 55% invested so we will experience a border effect/legacy effect for a dozen or so earlier packets
in real world, we experienced: 70 buy and sell,  BT on the same period 61 so same same 
out of the 70, we had 4 earlier investment sales
so each week on average we got 8 to 9 sell and matching buy

real trades did lose 10k on these new trades triggered by v23


BT got a win of 24k obviously, that's quite a difference
Backtest equity curve:


so same shape but obviously reduced gain, increased losses;
Are we dealing with the same tickers?
seems so but we have sometimes big differences in the exit prices between backtest and real:
one example is telling:
real trade:

YOJ13/09/2021​30/08/2021​18297​$0.23$10.00$4,218.31$0.195​$ 10.00$ 3,557.92-$ 660.40-15.66%​
and Backtest:

YOJLong3/09/2021​0.23​17/09/2021​0.22​-4.35%​-205.05​-4.82%​
Same dates  BT using  different time but these are the same trades;
I lose $660 vs BT $205
so i sold YOJ at open at 19.5c on the13/09
based on my data on the 13/09 (week of the 17/09) the open was indeed at 19.5c not 22c 
worse:
*YOJ did not reach 22c at open during any following day of the month!!!!*
WTF??


Where is amibroker getting that better value? do I have a code issue with a sell price computation? 
That is the next check in the next post


----------



## qldfrog

yes code error, I had some code trying to enforce the reality that I can not sell at open at a price lower/higher than around 3% of last close (obviously more for smaller cents shares by there is a variable limit imposed by my trader;
obviously code not working;
so i just set sellprice=open
BT profits do halve=> +10k 
I do not expect any different trade


----------



## qldfrog

the new equity curve:


ok now back to do we have the same trades between BT and real:
I have 7 differences out of the 60+ trades:
see graphically below: in yellow the executed ones:


I missed:


yeap 12k gone: why? I just missed the entries as they went past my buy orders and replaced by lower  in ranking packets the next week
, or some ripple effects from the 55% already invested at the start vs a pure empty backtest start run
So
in conclusion:
1) we had a code error,
2) once fixed, BT matches the real trade but for: human errors, and issue with limits on open order
Note I forgot to mention the realm: fully paid ordinary stocks + ETF


----------



## qldfrog

Now if i run the fixed code with the year BT: 


and 2 y BT, wo historical data




So all very good for me but the issue is then:
how can I actually get these open buy and sell price;
AND not miss all stratospheric rises and get a few cents extra cost and less win on most trades which end up killing my returns
I was already worried about this as it was a simple observation done daily on all my systems with rejected trades or missed trades


----------



## qldfrog

Time for a rest


----------



## qldfrog

So now the hard data is here,yes,my attempt at simulating the missed opportunities due to open order restrictions backfired for backtesting.
Now fixed.the system is "solid" but slippage is killing it.
I always dismissed slippage, was wrong .my initial systems were trading less volatile shares and my orders were executed.
not anymore and i pay dearly
So options are:
1)
Ensure orders are first in the queue..but much is out of my control,
2) get more traded tickers. So stricter volume ema etc 
3) being a weekly system,let run the order longer during the week..but then i will probably just catch extra dogs of the selection


----------



## Skate

qldfrog said:


> So now the hard data is here,yes,my attempt at simulating the missed opportunities due to open order restrictions backfired for backtesting.
> Now fixed.the system is "solid" but slippage is killing it.
> I always dismissed slippage, was wrong .my initial systems were trading less volatile shares and my orders were executed.
> not anymore and i pay dearly
> So options are:
> 1)
> Ensure orders are first in the queue..but much is out of my control,
> 2) get more traded tickers. So stricter volume ema etc
> 3) being a weekly system,let run the order longer during the week..but then i will probably just catch extra dogs of the selection




*Adaption is the name of the game*
Different times require different methods. "The Platinum Strategy" hopefully goes somewhat to addressing these concerns. Backtesting & paper trading over the last 6 months have resulted in profitability but as of today, that's going to be tested.

Skate.


----------



## qldfrog

To illustrate the differences between live and BT;
of the 37 trades requested at open this morning:
1 was missed:
I had an order for a parcel 8840 PNN at $0.475
PNN opened at 48c to  close at 56s 
so I missed $700 just on that trade today ;
The BT will capture the win.
Not that it was a bad day : my systems went up1.8% today, but yes we will always have some losses along the way


----------



## Newt

qldfrog said:


> So now the hard data is here,yes,my attempt at simulating the missed opportunities due to open order restrictions backfired for backtesting.
> Now fixed.the system is "solid" but slippage is killing it.
> I always dismissed slippage, was wrong .my initial systems were trading less volatile shares and my orders were executed.
> not anymore and i pay dearly
> So options are:
> 1)
> Ensure orders are first in the queue..but much is out of my control,
> 2) get more traded tickers. So stricter volume ema etc
> 3) being a weekly system,let run the order longer during the week..but then i will probably just catch extra dogs of the selection



Very difficult to model that kind of unpredictable slippage too no doubt QF.....


----------



## rnr

qldfrog said:


> To illustrate the differences between live and BT;
> of the 37 trades requested at open this morning:
> 1 was missed:
> I had an order for a parcel 8840 PNN at $0.475
> PNN opened at 48c to  close at 56s
> so I missed $700 just on that trade today ;
> The BT will capture the win.
> Not that it was a bad day : my systems went up1.8% today, but yes we will always have some losses along the way



Hi @qldfrog,

I may be way off track here, but I don't understand how the BT will capture the above trade as a win based on the following price data:- 
OPEN $0.485 | HIGH $0.58 | LOW $0.48 | CLOSE $0.56 with your order set at $0.475.

Cheers, Rob


----------



## qldfrog

rnr said:


> Hi @qldfrog,
> 
> I may be way off track here, but I don't understand how the BT will capture the above trade as a win based on the following price data:-
> OPEN $0.485 | HIGH $0.58 | LOW $0.48 | CLOSE $0.56 with your order set at $0.475.
> 
> Cheers, Rob



The BT buys on open at open price so will record a buy at 48c and does not check volume either .
In real world i got zero


----------



## rnr

qldfrog said:


> The BT buys on open at open price so will record a buy at 48c and does not check volume either .
> In real world i got zero



Sorry mate, I still don't get it!

How can the BT buy on OPEN at $0.485 when your code sets the max BuyPrice at $0.475. Even if the order was left standing all day, the LOW of the day was higher than your max BuyPrice.

Cheers, Rob


----------



## qldfrog

rnr said:


> Sorry mate, I still don't get it!
> 
> How can the BT buy on OPEN at $0.485 when your code sets the max BuyPrice at $0.475. Even if the order was left standing all day, the LOW of the day was higher than your max BuyPrice.
> 
> Cheers, Rob



My code does not set the max price at 47.5c, my code says..buy at open
Irrespective of price
It is probably possible to put a limit to the buy at open but not easy...
The trial i did to ensure the buy was restricted to my real live 3% from last close failed lamely..so the start of the thread with wonder system
I am a taker to any ab code doing:

Buy at open if open if less than close plus 3pc , but discard and do not replace that buy if that condition is not present.
It can be done..but is it worthwhilethat would give me BT matching the real world..
And the 3pc limit has to vary based on the price range but that's not too difficult to implement.


----------



## qldfrog

Monday was very good and today very bad: systems lost 1.4% today on a flat market..outch
still above last friday close but not by that much anymore..tomorrow is a new day,,,


----------



## qldfrog

to highlight the volatility and erratic market we are facing lately especially on small caps
2 very bad days in a row, thankfully, the buy-stop was on at open and i did not buy any packet today, only offloaded on the daily systems
But lost 7k on the whole of systems or 2.3%...and as usually from half of that in the early afternoon to full scale disaster at the end of the sesssion..while the index actually caught back up during that time ...
Interesting check done:
out of the 11 packets which were not purchased due to the buy-stop trigger, none ended positive and the average loss of these 11 would have been 4.03% yet, a nice addition


----------



## qldfrog

What a week, 1 super day, 2 super losers, and today a pretty good +0.8% increase in an ASX pretty bad day
During the week, XNT..my reference, fell 1.23% hum,, not a good week;
-1.23% here go 10 years of term deposit returns..ahhhh the miracle of compounding..Anyone remember this ? We live in a weird time
but back to systems
the daily:
the intra day volatility experiment: 
-$90 or -0.58% but at risk over the week end as its exit partly failed..not something I want to see again

my normal dailies:
MOA: 27% invested only -$3.2k or -6.2% BAD
DL guppy :13% invested+$0.5k or +1.17% 
volatility ASX +$0.4k or +0.73% fully cash
volatility US +$0.2k or +1.36% fully invested

weekly:
QF sectors: fully invested +0.3k or +0.45%
QFDuc: fully invested +0.7k or +0.94%

overall systems: -$1.19k or -0.39%
notthat great but much better than XNT; really let down by MOA this week but this is a very agile system so volatility is expected

Sadly the discretionary lost $5k but overall still well ahead from an ASX ETF exposure this week


----------



## qldfrog

qldfrog said:


> What a week, 1 super day, 2 super losers, and today a pretty good +0.8% increase in an ASX pretty bad day
> During the week, XNT..my reference, fell 1.23% hum,, not a good week;
> -1.23% here go 10 years of term deposit returns..ahhhh the miracle of compounding..Anyone remember this ? We live in a weird time
> but back to systems
> the daily:
> the intra day volatility experiment:
> -$90 or -0.58% but at risk over the week end as its exit partly failed..not something I want to see again
> 
> my normal dailies:
> MOA: 27% invested only -$3.2k or -6.2% BAD
> DL guppy :13% invested+$0.5k or +1.17%
> volatility ASX +$0.4k or +0.73% fully cash
> volatility US +$0.2k or +1.36% fully invested
> 
> weekly:
> QF sectors: fully invested +0.3k or +0.45%
> QFDuc: fully invested +0.7k or +0.94%
> 
> overall systems: -$1.19k or -0.39%
> notthat great but much better than XNT; really let down by MOA this week but this is a very agile system so volatility is expected
> 
> Sadly the discretionary lost $5k but overall still well ahead from an ASX ETF exposure this week



Note systems tonight are 38% cash


----------



## qldfrog

As mentioned on other posts, the Frog couple is planning to go O/S for a few months .
Some of the places will have no or limited internet and with time difference, it would be too consuming to carry on daily systems.
By chance..actually due to filters...all my dailies are 100% cash tonight!;
As such, it is ideal timing for a switch /pause on daily systems or at least some of them.

While less performing, the daily volatility systems are decoupled from others and able to gain even in crashing market.I will keep them open till the new year, and will probably pause the less performing daily system.

then start moving to weekly ones on Monday:

I developed a new weekly based on breakouts so will add this one plus probably join Mr @Skate Platinum experiment as a different more cautious approach.
Will keep you posted


----------



## qldfrog

MOA will be paused and DLGuppy will carry on as well as the volatility daily systems;
MOA assets and some new funds will be moved for both platinum and a new BO based weekly


----------



## qldfrog

end of the week again
XNT went up 1.9% so good week for trading community, 
overall Frog balance system and discretionary asx nyse did well this week too, but mostly outside the systems

the intra day volatility experiment: 
+$117 or -0.76% fully cash before week end, was hardly played this week

my normal dailies:
MOA: -20$ and closed tonight ; was not a good experience as the bat lost -$15.5k since the start of FY;or 24% 
the last code version was only run since end of august and much better but still lost just below 5k (10%) since end august

DL guppy :95% invested+$1.3k or +3.15% 
volatility ASX fully reinvested +$0.2k or +0.4%
volatility US fully cash +$0.3k or +1.5% 

weekly:
QF sectors: fully invested , one position too much :-( my mistake +0.2k or +0.3%
QFDuc: 95% +1.4k or +1.7%

so not flash as we are 20% cash by close tonight and only went up a bit above 1%


----------



## qldfrog

qldfrog said:


> end of the week again
> XNT went up 1.9% so good week for trading community,
> overall Frog balance system and discretionary asx nyse did well this week too, but mostly outside the systems
> 
> the intra day volatility experiment:
> +$117 or -0.76% fully cash before week end, was hardly played this week
> 
> my normal dailies:
> MOA: -20$ and closed tonight ; was not a good experience as the bat lost -$15.5k since the start of FY;or 24%
> the last code version was only run since end of august and much better but still lost just below 5k (10%) since end august
> 
> DL guppy :95% invested+$1.3k or +3.15%
> volatility ASX fully reinvested +$0.2k or +0.4%
> volatility US fully cash +$0.3k or +1.5%
> 
> weekly:
> QF sectors: fully invested , one position too much :-( my mistake +0.2k or +0.3%
> QFDuc: 95% +1.4k or +1.7%
> 
> so not flash as we are 20% cash by close tonight and only went up a bit above 1%



had to check:=) , if I had been trading MOA this week, I would have gained just below 1k or 2%


----------



## qldfrog

For the people following my learning path:
as explained, I closed  MOA (the old bat) to switch to weekly;
If I can escape our Queensland despot, Frog will go O/S in the new year probably February.
I will need to have no daily at that stage as i will not have daily internet coverage then.
I so took the opportunity to close the fully cashed MOA and will start a new weekly, very basic BO system from Monday.
The coming months should allow me to fine tune and iron out that system before departing O/S
That is the plan.
It is not without risk as i found weekly systems frustrating during crash as you are waiting to the end of the week to offload crashing shares...


----------



## qldfrog

and while in a talkative mood:
daily Guppy had 40000 EUR and a sell order at open this morning;
 sold at 15c the share ended up jumping 42% today closing at 18.5c...arrrrrg 1.4k missed
I made a 43% gain (bought at 10.5c) but could have done so much better
Maybe my exits are too tight...


----------



## KevinBB

qldfrog said:


> It is not without risk as i found weekly systems frustrating during crash as you are waiting to the end of the week to offload crashing shares...



You could always introduce the rule that position entry only happens on a fixed day of the week (say, Monday), but position exit is whenever the selection criteria fails. I don't know your system, but it could be as simple as a MA crossover turning for the worse.
KH


----------



## qldfrog

KevinBB said:


> You could always introduce the rule that position entry only happens on a fixed day of the week (say, Monday), but position exit is whenever the selection criteria fails. I don't know your system, but it could be as simple as a MA crossover turning for the worse.
> KH



Yes, i tried to backtest using a daily SL on a weekly system, just before the 2020 crash.it was not very good as BT result.i disabled it...and the crash came.
Since, i have had very tight exits on weekly systems, and took the aggressive systems to daily


----------



## qldfrog

This morning at open, started the new weekly QFBO:
6 positions purchased but could only get $2k of PNN vs $5k requested..we will carry on this way
It was not a good start as the 6 positions lost 1k on day one with AVZ falling 17%
Pretty eventful
QFsec and Platinum missed TZL which is doing a SPP at 12.5c vs last price of 17.5c..we probably dodge a bullet here
QFDuc missed KRM which went into trading halt
and QFSec missed MQR which jumped 30% today.....
my systems went from +$5k around 11Am to +$400 at close:-( , as per the usual daily grind, except that today it was a 1.5% overall fall between morning and close, not usual 1%
But had a great day on discretionary....so mood is still sunnies and lollipops


----------



## qldfrog

Sharing what I think is valuable experience;
For quite a while, I experienced significant difference between my backtests results and the same code and realm trialed on some other members setup;
I run amibroker and premium data feed with the plugin
we had endless back and forth between the merit of historical data (from Northgate Data) or not (my view being it has limited value as we had a great set of market samples in the last 3 y and a relatively stable set of tickers.
)
I also remember getting slightly different results between systems explore on my main platform and a cloud setup..with the same code..
Anyway, a few in depth tests in the last few days really pointed to deep differences and when narrowed -> showed actual differences in the watchlists used in Amibroker, these preset lists handle the Realm filter: belongs or not to All ord, ASX 200, etc;with my list definitively outdated
After a full reinstallation yes, my list were up to scratch again and my backtests were matching parallel runs  as expected.
When you do an update as i do at least daily, these lists are not updated;
You need to do, in Amibroker, a "Tools->ASX-Premium " script run at least weekly;
yes it is somewhere in the manual
RTFM..so my mistake
but genuinely the first time I amaware of this;
As your realm definition decays, it slowly  as days go, make your testing and exploration/run suboptimal to the point of irrelevance after a 3y old installation.
Pretty nasty IMHO;
That explains why I was getting better outcomes on wider universe..less influenced by this issue..

Worse, in Premium Data there is something called


which I used, thinking it was actually refreshing these lists..well it seems it does NOT.
So lesson learnt now, that has probably cost me the price of a few German cars in the last 2y;
All my systems optimisations and basically code feasibility have been affected;
i have fixed the QFBO version so will run a QFBOv2 from next week.
But I have serious job ahead for QFDuc, QFSec and DLGuppy; both volatility systems remains relatively unaffected


----------



## DaveDaGr8

Is there a reason you are still running Premium data instead of upgrading to NDU ?


----------



## qldfrog

DaveDaGr8 said:


> Is there a reason you are still running Premium data instead of upgrading to NDU ?



is there a reason to use NDU if you have everything set up with Premium Data?
So yes, i will move to NDU, dragged and kicking
Now , if you think that will sort the issues beware;
You expect that historical data means that you will have access to a snapshot from a past time?

Quick question if you work in ASX200 Realm (or other) do you think your system backtest 5y ago will check if your candidates were on asx200 5y ago?
 Are you sure?
With a conviction that old data is useless in backtest within 3-4 y, NDU has no advantage over a bug free and working Premium data setup
Except a more expensive and more network dependent solution.


----------



## Newt

Have to admit I put off changing over to Norgate data for a long time QF, and was initially sceptical on the benefits.  Doing so eventually opened my eyes to a number of nasty backtesting biases that helped me move a smidge further to the right on the Dunning-Kruger curve  

So I'm going to quote you above in 1-2 yrs after on NDU and suggest compare now and then.  Pretty sure you'll find its faster, more robust (less corruptions), has a large coloured notification when you need to refresh your ticker database in bottom right hand corner, runs about 10 times faster, has option for historical data, allows creation of custom stock universes, includes lots of market indicies.  

Heck, I deserve a Norgate T-shirt for marketing efforts after all that!


----------



## qldfrog

you won, yes i will change, 
 
really that list issue was too bad and too transparent/insidious ...costing me too much
There is still some unknown that I will only be certain of after trial...running NDU from cloud etc
 so will try early next week when my weekly order will be in and I can FU without it being too dear if i have issues during the move


----------



## Newt

p.s. I found out the hard way about that b script you have to run for Premiume data too - couldn't figure out why A2M wasn't coming up on my scans during its initial skywards moves   

Damned frustrating, but easy once you know.  Feel  bad a few of us on here hadn't tweaked to it, but as you've noted, not easy to pick up until you really look closely at what is in your stock universes....


----------



## qldfrog

Newt said:


> p.s. I found out the hard way about that b script you have to run for Premiume data too - couldn't figure out why A2M wasn't coming up on my scans during its initial skywards moves
> 
> Damned frustrating, but easy once you know.  Feel  bad a few of us on here hadn't tweaked to it, but as you've noted, not easy to pick up until you really look closely at what is in your stock universes....



The devil is the way it creeps on you.
You install and start wor6.no problem, your lists are accurate then week by week they creep away from their definitions.
So all keeps working seamlessly, except it is pure BS you are working on...
Anyway this is what it is and it is mentioned during the setup


----------



## qldfrog

Great week even better with discretionary
During the week, XNT..my reference, fell 0.2% so flat but the frog was flying
the daily:
the intra day volatility experiment: 
+$62 or 0.4% but hardly played this week

my normal dailies:

DL guppy :32% invested+$1.4k or +3.5% 
volatility ASX -$0.5k or -1.1% fully cash
volatility US -$0.2k or -1.1% fully cash

weekly:
Skate platinum +0.8k or +1.5%
QF Breakout -$88k or -0.18%

QF sectors: fully invested -1.7k or -2.3%
QFDuc: fully invested +2.3k or +2.9%

overall systems: $2.2k or 0.6%
 better than XNT; especially considering that these are the code running on the obsolete data, this will change this week end

overall discretionary and USD gold exposure added more than 20k so all cruising and feeling motivated


----------



## qldfrog

Today was the trading start for all reviewed systems, with an up to date realm definition.
->After discovering I have been working with obsolete XAO, etc definitions since my initial installation years ago..what a bummer
Anyway what is done is done


----------



## qldfrog

This week is not really good so far, but we will have to be patient; 
After discovering I was using and developing based on wrong data sets, all systems are basically new this week..new parameters, new realm etc so it will take a while to flush the crap, keep the gems


----------



## qldfrog

No surprise, a really bad week for the systems:
All started new so flushed existing portfolios and started anew in a down week..not a nice recipe;
During the week, XNT..my reference, fell 0.6% not great but the frog was MUCH worse
the daily:
the intra day volatility experiment:
unplayed this week

my normal dailies:

DL guppy :13% invested only as most positions sold today-$3.8k or -8.8%
volatility ASX +$0.3k or +0.7% fully invested
volatility US $0.1k or 0.6% fully invested

weekly:
Skate platinum +$0.2k or +0.4%
QF Breakout -$0.9k or -1.9%

QF sectors: fully invested -$2.3k or -3.1%
QFDuc: 55% invested -$3.7k or -4.5%
outch
And with some pretty empty portfolios, the losses are real.

overall systems: -$10.1k or -2.8% currently 31% cash
luckily, discretionary was flat last week so overall position is not worse than system losses


----------



## qldfrog

Nice sea of red today with my systems down nearly an exact 1%, not very mood lifting ...just as I work with a new Norgate Data subscription and fix all these systems mismatched due to obsoletePremium data lists;
QFDuc is now "fixed"
5 more to go...


----------



## qldfrog

And I had a quick look at where the bleeding was in the systems;
I think it is needed to have a look from time to time as to were the winners and the laggards are;
Results
both volatility dailies, DL Guppy, and weekly BO are behaving quite well but I have severe losses on QFDuc (now fixed) and QFSec (Todo list)
Sadly with gold silver crashing and USD going up but more moderately, the discretionary portfolio was not balancing the results and worse  pushed my portfolio deep under water on the last 2 days
Hopefully will improve by the end of the week


----------



## qldfrog

Well did not improve by the end of the week.
Talk about bad timing
probably my worst week ever , nearly 20k down the drain between gold and silver fall for discretionary and systems as I liquidated most of entries ..and bad luck..at a serious loss this week;

Got my NDU data subscription up and running on Monday as a test;  then purchased the platinum edition;
There are still definitively fundamental differences I can not explain in between NDU with historical data backtest and the older premium data  even on just a few month old backtests;
Why would a backtest on FPO since july 2021 be fundamentally different between the 2 data set is beyond my understanding
Now that I have switched to NDU, these will remain just that, unknown

Anyway, 4 days of heavy work and i should have now proper new retuned/tested  systems ready for Monday; what a shamble this has been and the losses incurred...


Last week tally:
XNT lost 1.5% so my reference was not great either :-(

the intra day volatility experiment:
-$108 or -0.7% fully invested

my normal dailies:

DL guppy :-$0.4k or -1%, fully cash
volatility ASX +$0.15k or +0.3%,  fully cash
volatility US -$0.16k or -0.9% fully cash

But this is where it hurts: the weekly system:
Skate platinum +$1.5k or -3%
Note :  I sold IMU by mistake as part of the shares sell to move to the new NDU data
QF Breakout -$1.9k or -4% ;  32% invested

QF sectors: 20% invested -$2.9k or -4.2%
QFDuc: 20% invested -$2.9k or -3.7%

Mr ATO will not be happy we are back well in the red now
And these losses are not paper losses

overall systems: -$9.7k or -2.8% currently 76% cash

QFDuc is the only system still needing rework ; all others ready to start a new life version on Monday
I have a few shares left over from old systems to liquidate but now mostly cash
Have all a great week end and looking for a better week  from monday


----------



## qldfrog

qldfrog said:


> Well did not improve by the end of the week.
> Talk about bad timing
> probably my worst week ever , nearly 20k down the drain between gold and silver fall for discretionary and systems as I liquidated most of entries ..and bad luck..at a serious loss this week;
> 
> Got my NDU data subscription up and running on Monday as a test;  then purchased the platinum edition;
> There are still definitively fundamental differences I can not explain in between NDU with historical data backtest and the older premium data  even on just a few month old backtests;
> Why would a backtest on FPO since july 2021 be fundamentally different between the 2 data set is beyond my understanding
> Now that I have switched to NDU, these will remain just that, unknown
> 
> Anyway, 4 days of heavy work and i should have now proper new retuned/tested  systems ready for Monday; what a shamble this has been and the losses incurred...
> 
> 
> Last week tally:
> XNT lost 1.5% so my reference was not great either :-(
> 
> the intra day volatility experiment:
> -$108 or -0.7% fully invested
> 
> my normal dailies:
> 
> DL guppy :-$0.4k or -1%, fully cash
> volatility ASX +$0.15k or +0.3%,  fully cash
> volatility US -$0.16k or -0.9% fully cash
> 
> But this is where it hurts: the weekly system:
> Skate platinum +$1.5k or -3%
> Note :  I sold IMU by mistake as part of the shares sell to move to the new NDU data
> QF Breakout -$1.9k or -4% ;  32% invested
> 
> QF sectors: 20% invested -$2.9k or -4.2%
> QFDuc: 20% invested -$2.9k or -3.7%
> 
> Mr ATO will not be happy we are back well in the red now
> And these losses are not paper losses
> 
> overall systems: -$9.7k or -2.8% currently 76% cash
> 
> QFDuc is the only system still needing rework ; all others ready to start a new life version on Monday
> I have a few shares left over from old systems to liquidate but now mostly cash
> Have all a great week end and looking for a better week  from monday



my apologies for typo: Skate platinum -$1.5k or -3%..yes was negative as well but still 90% invested;
will be interesting to see what the orders are on monday


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## qldfrog

QFSec, both volatility and small cap trial ready for monday;
DL Guppy ready but no action and 100% cash still
QFBO ready;
So far QFDuc new version not ready yet, not robust enough and probably can wait for an extra week so selling 3 out of 4 remaining positions which were a sell on older versions


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## Sean K

Frog, you should put a summary in Excel and paste it up so we can follow it a bit easier.


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## qldfrog

Sean K said:


> Frog, you should put a summary in Excel and paste it up so we can follow it a bit easier.



yes..i could do that ..going thru a brand new start on monday, at an interesting point in market life, could be a journal to oblivion, no guarantee but yes;
-> even a simple graph in percentage gain loss for each systems? I have a spreadsheet managing all that so could build a MOA graph to summarise various progress.
would be easier for me too..


----------



## Sean K

qldfrog said:


> yes..i could do that ..going thru a brand new start on monday, at an interesting point in market life, could be a journal to oblivion, no guarantee but yes;
> -> even a simple graph in percentage gain loss for each systems? I have a spreadsheet managing all that so could build a MOA graph to summarise various progress.
> would be easier for me too..




I used to do something like this in my ASF blog a decade+ ago. I don't think it's on ASF anymore. Would love to see your journey.


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## qldfrog

Sean K said:


> I used to do something like this in my ASF blog a decade+ ago. I don't think it's on ASF anymore. Would love to see your journey.



Thanks Sean, it is both an old and a new journey.
Old because I start having a few years behind in term of the system following /methodology/management of operations/feelings and reactions, new as these are all like new systems after doing a full recast with what I think/  pray is right data and realm.
So a new birth, a bit parallel to own life when i want to use the reset to my advantage and start a new phase for the next 25y
Vamos...


----------



## qldfrog

I completed work on reborn qfduc yesterday.probably too fresh off the oven to run live, especially after friday .will paper run it a little while first


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## qldfrog

Some loses especially with the open sells this morning; but swallow-able the systems managed to end up higher at close than in the morning,
but still a strong loss considering we were 76% cash at open
probably first time in months ;-)
New systems handled pretty well, the paper version of QFDuc would have had a small .3% loss but nothing to be frightened of;
lets see how the week ends; systems actually went in and at end of trade I am only 67% cash
The discretionary side was bad with my oil exposure heavily smashed and in 2 sessions going from one of my happy exposures to red.
Have all a great evening , today's rebound was expected but it will be interesting to see where we will stand by thursday


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## qldfrog

Hum, well we are back to the normal behaviour from November
Not very pleased with that
systems  positive this morning, -$1.8k or -1.3 % at the close...not good...during that time the xao went from 7490 to 7540
No trade today...
should I trade my portfolio as the 2X Inverse XAO? 
and a quick look at my paper trading system; would be down 1k or 3% from paper  invested funds


----------



## qldfrog

interesting week,
 more interesting?
-> how tonight will go on the NYSE..could be a no event trading night but i have the feeling any big move would be an indicator of what is going to happen this month;
Had more losses on the discretionary -$4k or so

As a reference, the XNT fell -0.5% during the week
for the systems:
not too bad:
daily: 
attempt on small cap volatility hit back  -$300 or -2%
volatility ASX:all cash..unsure where to go no change
volatility US:all in, but flat +$25
DL Guppy still 100% cash, unchanged

The weekly:
Mt Skate platinum:-$200 or -0.4% fair
QFBO new version: ramped invested from 32% to 61%
loss of $50 or -0.1%
QFSector new version: ramped invested from 21% to 54%
gain of $450 or 0.6%

QFDuc new version: -$900 or -1.1% for what was left of the old trades;
should be offloaded by monday
 I did not sell the trades which were still taken by the new version..probably a mistake 
For the paper traded part :9 virtual positions (11/13 invested);
not good 
we have a loss of -$1.4k +900=-$2.3k or 3%
We will not go live on monday...

For the week and in real  money (well kind of, AUD) : -$1k or -0.3%
systems are currently 66% cash


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## Sean K

qldfrog said:


> systems are currently 66% cash




Do you have a strategy to deploy the cash when the crash comes?


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## qldfrog

Sean K said:


> Do you have a strategy to deploy the cash when the crash comes?



Just following systems here
 for these, they should move in again based on both market indicators and specific share moves.
That would remove the human side which is not my strong point.


----------



## Sean K

qldfrog said:


> Just following systems here




No discretionary ability to add a zero to the order after a 50% crash? That cash needs to be deployed at some stage doesn't it?


----------



## qldfrog

Sean K said:


> No discretionary ability to add a zero to the order after a 50% crash? That cash needs to be deployed at some stage doesn't it?



Not in the systems.
300k there to play and risk.
Obviously if my systems are all go, i will feel more confident with bumping my discretionary with any leftover cash around


----------



## peter2

Sean K said:


> Do you have a strategy to deploy the cash when the crash comes?





Sean K said:


> No discretionary ability to add a zero to the order after a 50% crash? That cash needs to be deployed at some stage doesn't it?




WTH! There's going to be a crash? Does everyone know about this other than myself?  When's it going to start?


----------



## qldfrog

Small morning post:
Was expecting a wonderfull night for my US portfolio..and  what ? -$2k...
But relief
Initial fright over i have 4k aud dividend coming this week..slight heartrate jump..
These do not appear in my charts


----------



## qldfrog

Another heavy loss week, not so much in the systems it seems but on the discretionary
Depressing it is to see loss after loss 
When today saw the first whole portfolio increase since the 18/11 nearly a month of losses day in day out 
Not always system based, but when the market and systems go up, the NYSE or conservative part falls more , and reverse
That is probably my longest losing streak ever...
We did had our mini crash hinted at last week and then the market recovered:
systems entered the short positions too late, exited them too late as well, add silver down down down and bleeding numbers are the results;
The good thing is that I am using proper data and systems seems to behave within expectations
As a reference, the XNT was up 1.55% during the week
for the systems:
daily: 
attempt on small cap volatility.no change no play no win no loss 0%
volatility ASX:fully invested -$.1k -0.3%
volatility US:all in, but heavy loss -$1.1k -6.2%
DL Guppy started trading and now fully invested -$0.7k or -1.75%

The weekly:
Mt Skate platinum:20% invested -$0.2k or -0.4%
QFBO new version: 91% invested +$1.1k or +2.3%
QFSector new version: 74% invested -$1.1k or -1.7%


QFDuc new version: -$0.3 or -0.35% 

For the paper traded part :9 virtual positions (10/13 invested);
gainedb1.1k
but not comfortable with signal given as we seem to have some buy signal  from last week disappearing?
We will not go live on monday either and will fully liquidate

For the week and in real  money: -$1.7k or -0.5%
systems are currently 38% cash


----------



## qldfrog

was hopefully the week would mark a turning point after the last 4 weeks hammering from all sides for my overall portfolio
But that was to happen  with thousands going in smoke from this morning to close tonight
the XNT fell 0.67% this week:
for the Frog:
daily systems:
attempt on small cap volatility.flat +$60 or 0.4% just one play this week
volatility ASX:fully invested -$0.7k -1.4%
volatility US:all in, but loss -$0.1k -0.7%
DL Guppy fully invested +$0.1k or+0.4%

The weekly:
Mt Skate platinum:0% invested and flat
QFBO new version: 90% invested -$1.2k or -2.6% disappointed
QFSector new version: 83% invested -$1.1k or -1.7%


QFDuc updated paper version: -$0.6 or -0.8%
Still not feeling ready to start with current market conditions and limited advantages


For the week and in real  money: -$3k or -0.9%
systems are currently 38% cash

Overall lost 4k after a good session today where I gained 5.1k overall
just to tell you how bad it was yesterday
FFX SPP cost me dearly as I was invested in 3 packets in 3 different systems >1k loss just for that ticker
Have all a great weekend.
some interesting findings last night which will be leveraged from next week






Quote Reply 

Report


----------



## Sean K

qldfrog said:


> For the week and in real  money: -$3k or -0.9%
> systems are currently 38% cash
> 
> Overall lost 4k after a good session today where I gained 5.1k overall
> just to tell you how bad it was yesterday




Yesterday was ugly for most of us I think. On the sum of it you seem to be doing better than the market. Do you measure against he XAO?


----------



## qldfrog

Sean K said:


> Yesterday was ugly for most of us I think. On the sum of it you seem to be doing better than the market. Do you measure against he XAO?



I measure against the XNT for my system , and results were *atrocious *in the last 4 weeks or so;
the worst 4 weeks I have had
[ both systems and the other investments]
Overall it is hard to find a reference.

I use currencies, US and local market discretionary exposure, PM, bonds and used to have a bit of cryptos..minimal now;
Then you add crazy real estate here in QLD so how is a week going?
What matters is that I am as wealthy at the end of the year as at the beginning considering inflation and this based on a world wide criteria;
I do not really care making 25% on the ASX if the AUD falls 50% against the international basket.
I am not aware of an easy to access reference..maybe there is a need for that universal index of returns
By default USD is used but I have a feeling this has a limited life


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## KevinBB

Interesting post, @qldfrog - interesting enough to get me thinking a bit. Not good late on a Friday night.

It is my opinion that any investment returns should be measured in the "home" currency. It doesn't really matter what that currency is, it is up to you, I, or any other investor, to make that decision. For me, AUD is convenient. Everything else from wealth to taxes to my weekly grocery shop is measured this way, so AUD it is.

Your decision to use XNT as your benchmark is a good one, many investors would just use an index like XJO and beat their chest because dividends have helped them beat a benchmark. If you wanted to use a world index, MSCI have a few of them, but I still think that measurement in the home currency is more appropriate.

Once you know your measurement basis, then the rest is easy. Convert everything to the home currency on a regular basis, again, its up to the investor to decide whether day, week, month or year is appropriate.



qldfrog said:


> I do not really care making 25% on the ASX if the AUD falls 50% against the international basket.




I don't think this is a measurement problem, or a cause to look for a different benchmark for measurement of investment returns. Making a perceived loss because investments are in AUD instead of USD is just like, for example, investing in WBC instead of CBA, it is just a poor investment decision (kicking myself).

What would you do if you find yourself holding WBC over the long term instead of CBA? Or holding investments in AUD instead of USD? The answer is to change the investment mix, not to look for a different system of measurement.

Hope this helps.
KH


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## qldfrog

Probably too late for a proper answer, but basically, that's what i do practically.after all, that is what the ato does before sending the bill
 correction that's what i pay my accountant to do so that the ato sends the bill.


----------



## qldfrog

But it is not ideal so you can have a bumper day on the market and then the USD falls and once you sum the lot om AUD..another day  in red
That definitively influenced my investment mix with a lot of PM exposure on top of USD EURO and even Rubles and Yuan to try to reach a currency agnostic level.
But I am still fooling myself by only looking at RE valuation yearly or half yerly.
Note I actually remove the PPOR valuation  from the total Which it should not as the average or high Aussie RE is usually overpriced ny world standard (or even in Oz vs renting option)
But if anyone has a currency agnostic, location agnostic measure of wealth, I am interested.
That is an interesting subject , prone to a lot of manipulation
And the Hamburger index is not that great as in china f.e., you do not eat hamburgers that commonly..I know that starbucks coffees there was actually  dearer thanin Oz in AUD ;-)


----------



## qldfrog

An interesting eoy award article.
To lighten the mood😊
https://www.smartcompany.com.au/bus...utm_content=smartco_daily&utm_term=2021-12-22


----------



## Sean K

qldfrog said:


> An interesting eoy award article.
> To lighten the mood😊
> https://www.smartcompany.com.au/bus...utm_content=smartco_daily&utm_term=2021-12-22


----------



## qldfrog

A merry Christmas to the people following my pathetic attempts at system trading, and a very warm one for @Joe Blow for allowing that wonderful site to exist;I hope you benefit from my mistakes and errors.
With only a few exceptions quickly sorted with an ignore  push, the site is a wealth of different but tolerant thinking, of highest quality and populated by exceptional individual..compare this with FB for example
So Thanks all, even in differences, you help  build knowledge.
Enjoy a well deserved rest and share love and happiness in a time where even our leaders seems to want to split us 
Will get back to the EOW results in the next post


----------



## qldfrog

This week:
for whatever reason, between Gold PM and USD fluctuation Monday and Tuesday saw $11k go in smoke but Santa came back and smoothed the hit, with decent positive days from Wednesday
Still lost $7.4k on the week overall;
But what we are interested here is the systems:
XNT went up 1.6% which is substantial
we were nowhere near that and lost money

daily systems:
attempt on small cap volatility.flat no play this week
volatility ASX:fully invested -$0.3k or  -.6%
volatility US:fully cash  +$0.3k or +1.9%
DL Guppy over invested with a sell on a stock  in trading halt
fully invested -$1.5k or -3.9%

The weekly:
Mt Skate platinum:0% invested and flat
QFBO new version: 90% invested +0.6 or +1.2%
QFSector new version: 81% invested -$0.9k or -1.3%


QFDuc updated paper version: -$1k or -0.8%
Not good so still pure paper play, note that this week purchase with the latest version are mostly positive whereas last week are ALL in red...


For the week and in real  money: -$1.8k or -0.53%
systems are currently 42% cash


----------



## qldfrog

A bit of a dilemma this week; I am more and more convince we will have the major crash this quarter..talking 60% fall...
I am obviously VERY BAD with my crystal ball, but the last time I had such a feeling and resisted changing my systems.it costed me 40k or more from memory with the covid crash;
Morever I expect a small 10% correction then a sudden surge before that collapse so room for a bit of profit making i think.
I checked again my backtests etc..fair behaviour during crash.
 I so edged the asx via put option for some of my system exposure and have decided the following;
Systems will proceed as normal:
daily volatility ASX and NYSE ;
 no play with small cap volatility too exposed to sudden changes
DL Guppy as usual;
I carry on with my 3 weekly systems: Mr Skate Platinum trial on limited assets and my QFBO and QFsector; QFDuc stays off line and i will only revisit this next year;
I will instead add a daily (for reactiveness) BO system to try to capture some of the expected rebond; here as well on 1/2 std capital (50k)
So on monday I will start that DLQFBO
Let's see how we go Have all a great xmas NY break


----------



## qldfrog

Indeed a major win day and big system gains overall, portfolio gain in the 5 digits which is rare and systems at 80% invested with 1.7% gain today.


----------



## qldfrog

Santa came!!!!
A great week ...
XNT up 1.16%
great week:
the put option on asx200 lost a bit but my asx trading including systems are fully edged by tonight
I have also nearly completed my SAXO enrollment, which should allow me next year to get better brokerage and better access to intl market, options etc at a reasonable cost

As discussed previously QFDuc and small cap volatility are paused and neutral

daily:

volatility ASX: fully invested +$0.38k or +0.8%
volatility US: all in, but flat -$36
DL Guppy fully invested:, +$2.5k or +6.7%
the new DLQFBO ramping up: 73% invested -0.3k or -0.6%

The weekly:
Mt Skate platinum:+$130 or +0.27% 
QFBO fully invested+$2.1k or +4.24%
QFSector ramped invested to 94% gain of $1.43k or 2.2%

For the week  +$6.25k or +1.95%
systems are currently 11% cash


----------



## qldfrog

All good no discrepancy with Platinum...


----------



## qldfrog

Time for a quick half year check and see how bad i am vs MA and Peter:
obviously results are a disaster as i discovered in november I was using a realm which had not been updated since 2019 and was getting worse and worse by the week.So my explore (and backtests) where limited to a reducing subset which ended up not representative of the market anymore
Call this an excuse, a human mistake or a pretty lame data software, the fact is that both development and operation from my systems were rotten to the core with a false of confidence for the ones i carried from the start as decent initial performance were steadily degrading as weeks went by.
Anyway this is now history and has been fixed since mid november:most new versions started 26/11 with expected unwind and ramp up phases

from 1rst of July to today:
daily:
small cap volatility gain of $55..not even a meal for 2
volatility US lost $770 or 4.5%
volatility ASX lost -$1.6k or 4.5%  [ lost actually 1.1k just on today so basically flat...] 
-> conclusion volatility ASX and US are doing their role as an insurance system....all good: small cap volatility is a waste of time and effort.good try..will not be restarted
These were not affected by the data mess up;

DL Guppy: lost $9.4k or 19% outch 
but since data correction 24//11 has won $400 and last week was really good, quite a lot of open profit now.
Happy with the behaviour
new kidLBO lost $300 or 0.6% but is still ramping up. and just started;

Skate Platinum experience for the FY so far lost $0.9k or 1.8% only started 8/11;

Weekly BO:started 8/11 lost $640 or 1.2%
since data correction 24//11 has make $2.5k profit and catching up with XNT
Happy;

QFSector: lost $9.975k this half year or 13%;
Since the data fix still lost $1.2k or 1.7%..
not happy with that and this week was only +2.2% vs XNT 1.6% so not killing it
Maybe time to have a quick check;
QFDuc was a disaster:
lost $24.3k or 25%.

defunct MOA did as bad :-15.5k or 19%
This disastrous performance triggered the search for issues...and in a way helped to move all systems back toward the right direction;


so overall:
systems lost $60k or roughly 15.8% of systems money;
This is something I can survive with but would prefer avoiding obviously
the blow was soften by some other market exposure +$15k but hammered by silver fall and currency plays which removed that gain
So yes, ATO will not be happy this year.and I have a 60k handicap for the second half


----------



## qldfrog

qldfrog said:


> Time for a quick half year check and see how bad i am vs MA and Peter:
> obviously results are a disaster as i discovered in november I was using a realm which had not been updated since 2019 and was getting worse and worse by the week.So my explore (and backtests) where limited to a reducing subset which ended up not representative of the market anymore
> Call this an excuse, a human mistake or a pretty lame data software, the fact is that both development and operation from my systems were rotten to the core with a false of confidence for the ones i carried from the start as decent initial performance were steadily degrading as weeks went by.
> Anyway this is now history and has been fixed since mid november:most new versions started 26/11 with expected unwind and ramp up phases
> 
> from 1rst of July to today:
> daily:
> small cap volatility gain of $55..not even a meal for 2
> volatility US lost $770 or 4.5%
> volatility ASX lost -$1.6k or 4.5%  [ lost actually 1.1k just on today so basically flat...]
> -> conclusion volatility ASX and US are doing their role as an insurance system....all good: small cap volatility is a waste of time and effort.good try..will not be restarted
> These were not affected by the data mess up;
> 
> DL Guppy: lost $9.4k or 19% outch
> but since data correction 24//11 has won $400 and last week was really good, quite a lot of open profit now.
> Happy with the behaviour
> new kidLBO lost $300 or 0.6% but is still ramping up. and just started;
> 
> Skate Platinum experience for the FY so far lost $0.9k or 1.8% only started 8/11;
> 
> Weekly BO:started 8/11 lost $640 or 1.2%
> since data correction 24//11 has make $2.5k profit and catching up with XNT
> Happy;
> 
> QFSector: lost $9.975k this half year or 13%;
> Since the data fix still lost $1.2k or 1.7%..
> not happy with that and this week was only +2.2% vs XNT 1.6% so not killing it
> Maybe time to have a quick check;
> QFDuc was a disaster:
> lost $24.3k or 25%.
> 
> defunct MOA did as bad :-15.5k or 19%
> This disastrous performance triggered the search for issues...and in a way helped to move all systems back toward the right direction;
> 
> 
> so overall:
> systems lost $60k or roughly 15.8% of systems money;
> This is something I can survive with but would prefer avoiding obviously
> the blow was soften by some other market exposure +$15k but hammered by silver fall and currency plays which removed that gain
> So yes, ATO will not be happy this year.and I have a 60k handicap for the second half



keep the spirit up.


----------



## KevinBB

@qldfrog Congratulations on your post, it isn't easy to report losses.

From what I see elsewhere, the last six months wasn't an easy period to trade, with many markets moving sideways. Those who made good money have done rather well.

I'm down, too, during the same six month period, but probably not of the same scale. Investment portfolio was flat (very good for me), the systematic trading portfolio year isn't over as yet, but it is down about 1.5% with the early part of tonight's futures session not looking the best. Trading stock system has just started (trying keeping up with the Jones'), so too early to tell how that is performing.

KH


----------



## peter2

@qldfrog  Respect, for continuing to post your results. 

I am disappointed with them though. I thought you had turned the corner months ago after I expressed my disappointment then. I will admit to not understanding your data problem. No matter, as long as you've sorted this out to your satisfaction. I hope your results get much better real soon. 

You can't go wrong buying stocks when they start to go up. Sell any that don't follow through and hold the winners.

We've had a crappy five months with the market (ASX) going sideways so I'm not disappointed that many systems haven't fared well.

Again, what's with the expectation of a massive market collapse. I didn't get the memo. You and @Sean K are a pair of "doomsday preppers". LOL (only in jest). Make sure the bunker has internet access so the rest of us can jump in and shelter from the apocalypse. 

Happy new Year.


----------



## qldfrog

KevinBB said:


> @qldfrog Congratulations on your post, it isn't easy to report losses.
> 
> From what I see elsewhere, the last six months wasn't an easy period to trade, with many markets moving sideways. Those who made good money have done rather well.
> 
> I'm down, too, during the same six month period, but probably not of the same scale. Investment portfolio was flat (very good for me), the systematic trading portfolio year isn't over as yet, but it is down about 1.5% with the early part of tonight's futures session not looking the best. Trading stock system has just started (trying keeping up with the Jones'), so too early to tell how that is performing.
> 
> KH



Just want for people to acknowledge it is not always a smooth ride so i tell it as it is.
Once you understand what is wrong, all good..at least for me


----------



## qldfrog

To be clear and to avoid other members following the same path: my issue with data:
I subscribed to the premium data service in 2019 and then carried on happily, well less and less happily till 2021.
The problem was not historical data per se, but the fact there is no automatic update of your watchlists with premium data .
you can update watchlists manually and the faq recommend to do it weekly.well i missed that...so mea culpa..kind of
So if your system is working on asx200 or xao, all good after installation but after 3 years, you are only working with a subset of that group; strangely, delisted stocks are removed automatically, but none added.

After 3y, my systems were not considering any of the new entrants .rising stars...and all my backtests were done on flawn data, even outside of the historical data difference :
so every little improvement or parameter change done along the years was worsening the situation.
Qfduc which worked reasonably well up to 2020 was getting worse and worse...
But if you are realistic DD do exist and there is no easy to set alert trigger...

Note
You can still use premium data if you update the watchlists weekly..but i decide reluctanly to move to norgate data .
NDU seamlessly updates both data and watchlists during update.
Hope this explanation avoid repetition of the issue with others.
Always remember you may have received some of my losses .it is a zero sum game so i made others happy lol


----------



## Warr87

qldfrog said:


> To be clear and to avoid other members following the same path: my issue with data:
> I subscribed to the premium data service in 2019 and then carried on happily, well less and less happily till 2021.
> The problem was not historical data per se, but the fact there is no automatic update of your watchlists with premium data .
> you can update watchlists manually and the faq recommend to do it weekly.well i missed that...so mea culpa..kind of
> So if your system is working on asx200 or xao, all good after installation but after 3 years, you are only working with a subset of that group; strangely, delisted stocks are removed automatically, but none added.
> 
> After 3y, my systems were not considering any of the new entrants .rising stars...and all my backtests were done on flawn data, even outside of the historical data difference :
> so every little improvement or parameter change done along the years was worsening the situation.
> Qfduc which worked reasonably well up to 2020 was getting worse and worse...
> But if you are realistic DD do exist and there is no easy to set alert trigger...
> 
> Note
> You can still use premium data if you update the watchlists weekly..but i decide reluctanly to move to norgate data .
> NDU seamlessly updates both data and watchlists during update.
> Hope this explanation avoid repetition of the issue with others.
> Always remember you may have received some of my losses .it is a zero sum game so i made others happy lol




that makes sense, and I had no idea that premium data was like that. I'm glad I made the switch to NDU as it's been pretty good.


----------



## qldfrog

Warr87 said:


> that makes sense, and I had no idea that premium data was like that. I'm glad I made the switch to NDU as it's been pretty good.



No trouvle either since the switch.
Happy new year to all the "followers"


----------



## MovingAverage

qldfrog said:


> Time for a quick half year check and see how bad i am vs MA and Peter:
> obviously results are a disaster as i discovered in november I was using a realm which had not been updated since 2019 and was getting worse and worse by the week.So my explore (and backtests) where limited to a reducing subset which ended up not representative of the market anymore
> Call this an excuse, a human mistake or a pretty lame data software, the fact is that both development and operation from my systems were rotten to the core with a false of confidence for the ones i carried from the start as decent initial performance were steadily degrading as weeks went by.
> Anyway this is now history and has been fixed since mid november:most new versions started 26/11 with expected unwind and ramp up phases
> 
> from 1rst of July to today:
> daily:
> small cap volatility gain of $55..not even a meal for 2
> volatility US lost $770 or 4.5%
> volatility ASX lost -$1.6k or 4.5%  [ lost actually 1.1k just on today so basically flat...]
> -> conclusion volatility ASX and US are doing their role as an insurance system....all good: small cap volatility is a waste of time and effort.good try..will not be restarted
> These were not affected by the data mess up;
> 
> DL Guppy: lost $9.4k or 19% outch
> but since data correction 24//11 has won $400 and last week was really good, quite a lot of open profit now.
> Happy with the behaviour
> new kidLBO lost $300 or 0.6% but is still ramping up. and just started;
> 
> Skate Platinum experience for the FY so far lost $0.9k or 1.8% only started 8/11;
> 
> Weekly BO:started 8/11 lost $640 or 1.2%
> since data correction 24//11 has make $2.5k profit and catching up with XNT
> Happy;
> 
> QFSector: lost $9.975k this half year or 13%;
> Since the data fix still lost $1.2k or 1.7%..
> not happy with that and this week was only +2.2% vs XNT 1.6% so not killing it
> Maybe time to have a quick check;
> QFDuc was a disaster:
> lost $24.3k or 25%.
> 
> defunct MOA did as bad :-15.5k or 19%
> This disastrous performance triggered the search for issues...and in a way helped to move all systems back toward the right direction;
> 
> 
> so overall:
> systems lost $60k or roughly 15.8% of systems money;
> This is something I can survive with but would prefer avoiding obviously
> the blow was soften by some other market exposure +$15k but hammered by silver fall and currency plays which removed that gain
> So yes, ATO will not be happy this year.and I have a 60k handicap for the second half



Thanks for posting your live results. Tough period for sure. If you're a chart guy then ASX looks to be setting up for a positive start in '22 so I hope your systems deliver some positive outcomes for you.


----------



## qldfrog

MovingAverage said:


> Thanks for posting your live results. Tough period for sure. If you're a chart guy then ASX looks to be setting up for a positive start in '22 so I hope your systems deliver some positive outcomes for you.



Thanks MA
Hope so, my darker pessimistic side is all gloom, so i edged with put on asx200 but my systems it is true are full on.
They are much more impartial.
Will be interesting to see their behaviours in the first few months, i will be over my data issue and will have a proper feedback loop vs the xnt.
Only issue is we are getting the backpacks ready and once i fly out, i have to liquidate daily systems and so increase my DD risk on sudden crash
Now probably low chance of a long test period with daily systems but would be worth it if i can escape my 3y home..sorry state detention 😊

I can not imagine 2022 to be a cruise...


----------



## qldfrog

a short but busy week: XNT up 0.1% since NY
Systems  took an extreme  hit midweek and the gold silver hit this week was bad news overall
daily:

volatility ASX: fully invested -$2.1k or -4.26% but there was an xd and $2.1k of dividend falling in a fortnight so flat taking this into account
volatility US: 85% invested-$0.6k or -3.72% outch
DL Guppy only 20% invested:, -$0.2k or -0.6%
the new DLQFBO now 90% invested -0.5k or -1.6%

The weekly:
Mt Skate platinum:+$150 or +0.3% 
QFBO 90% invested+$0.3k or +0.5%
QFSector75% invested gain of $1.3k or 2%

For the week and including surprise dividend +$0.5k or +0.15% just above xnt but not that great.just decent
systems are currently 20% cash


----------



## qldfrog

was wrong in previous post Platinum all good i misread the results
Have all a great week end


----------



## MovingAverage

qldfrog said:


> a short but busy week: XNT up 0.1% since NY
> Systems  took an extreme  hit midweek and the gold silver hit this week was bad news overall
> daily:
> 
> volatility ASX: fully invested -$2.1k or -4.26% but there was an xd and $2.1k of dividend falling in a fortnight so flat taking this into account
> volatility US: 85% invested-$0.6k or -3.72% outch
> DL Guppy only 20% invested:, -$0.2k or -0.6%
> the new DLQFBO now 90% invested -0.5k or -1.6%
> 
> The weekly:
> Mt Skate platinum:+$150 or +0.3%
> QFBO 90% invested+$0.3k or +0.5%
> QFSector75% invested gain of $1.3k or 2%
> 
> For the week and including surprise dividend +$0.5k or +0.15% just above xnt but not that great.just decent
> systems are currently 20% cash




At least there's some good news in there...your weekly is turning in the right direction.


----------



## qldfrog

Another yoyo week made of yoyo days:
Even managed to get +2% today but  is it good or is it bad, a contrarian system???
But a good week..bring them in
XNT down 0.8% since monday

daily:
volatility ASX went full cash:-$37 or flat
volatility US: full cash-$0.2k or -1.6%
DL Guppy 60% invested:, +$2.41 (not k) a bit short for a coffee, but might get a freddo flat
DLQFBO now 21% invested +$0.7k or +1.4%

The weekly:
Mt Skate Flying bat:+$0.9k or +1.78% 30% invested (we started the strategy late)
Mt Skate platinum:+$1.4k or +2.7% , fully invested
QFBO 92% invested-0.3k or -0.65% a bit disappointing
QFSector75% invested gain of $0.4k or 0.6%

For the week, we can thank Mr Skate systems.
without his systems, i would be just +$0.6k gain (or just +0.3%);
but not too bad when being mostly cash
systems are up +$2.9k or +0.9%  so reasonably happy
and are overall 43% cash
This week the frog was up 5k which is great as we are doing a full broker move and due to transfer fee are just sell and buy with reallocation so incurring a lot of currency and brokerage fees
Wishing all a great week end


----------



## frugal.rock

qldfrog said:


> Even managed to get +2% today



Good to hear some pickup for you Mr Frog.
I thought I had the same +2%, but got scalped 1% at close. Grrr.

Anyway, it seems fashionable to name strategies these days.
I think I've settled on,
"The Retired Crazy Horse", owing to it being not as nimble and crazy as a working crazy horse... 🤭.
 6.5% of this was yesterday, so I can see why P2 is 100% invested on his strats. I'm about 84% invested.
1 month.




If you have your data and issues sorted, we will see results over the coming weeks. 🤞


----------



## qldfrog

frugal.rock said:


> Good to hear some pickup for you Mr Frog.
> I thought I had the same +2%, but got scalped 1% at close. Grrr.
> 
> Anyway, it seems fashionable to name strategies these days.
> I think I've settled on,
> "The Retired Crazy Horse", owing to it being not as nimble and crazy as a working crazy horse... 🤭.
> 6.5% of this was yesterday, so I can see why P2 is 100% invested on his strats. I'm about 84% invested.
> 1 month.
> 
> View attachment 135810
> 
> 
> If you have your data and issues sorted, we will see results over the coming weeks. 🤞



hum Mr FR, I am afraid sorting my data was maybe not enough this week:


During the week, the XNT fell nearly 3 % (2.95% exactly), that is bleeding level.
Yesterday was my best trading day ever and I gained back the losses to the November level but today..

daily:
most daily went fully cash and i decided not to reinvest anymore as i need to be ready for a trip O/S where daily trading will not be an option.

volatility ASX went full cash and received dividends, now paused +$0.8k or +1.8%
volatility US: full cash, now paused and flat
DL Guppy went full cash , now paused -$1.1k or -2.77%
DLQFBO now 22% invested +$0.5k or +0.9%

The weekly:
Mt Skate Flying Bat:88% invested -$63 or -0.12%  (we started the strategy late so the difference with Mr Skate and so the importance of starting date)
Mt Skate platinum: over invested at 103%   loss of $-1.7k  or -3.58%
QFBO 88% invested -$1.9k or -3.99% 
QFSector 89% invested gain of $+1.7k or+2.47%

For the week, a very happy Frog considering the market:
systems lost only -$2.1k or -0.66%


----------



## qldfrog

For anyone wondering, I will reallocate some of the daily assets (aka money) into a new weekly trend system I have been reviewing lately;
a review of my failed Mother Of All initiative adding a few of the Dump it discussed indicators and learnings since
It is XAO based, relatively conservative and has good backtest not only on the recent time (critical for me) but also in much longer period (since 2006 : @MovingAverage will appreciate)
more importantly, it is a low DD and* VERY smooth curve *; not a killer performance wise but hopefully will pay its keep
below graph not compounded (same parcel numbers and size):



both volatility daily systems will remain paused as well as DL Guppy ; this frees $100k and I will allocate 50k to the new WkMOA and keep the rest for crash opportunities and to buy load of breads
It is a shame I can not let the 2 volatility daily systems run as they have been done for these times but i can not ensure I will have internet access daily and so could risk VERY big loss in a chaotic market .
I will carry existing DLBO as long as possible and liquidate before flying out
let's have a great week end and digest NYSE tonight action


----------



## MovingAverage

qldfrog said:


> For anyone wondering, I will reallocate some of the daily assets (aka money) into a new weekly trend system I have been reviewing lately;
> a review of my failed Mother Of All initiative adding a few of the Dump it discussed indicators and learnings since
> It is XAO based, relatively conservative and has good backtest not only on the recent time (critical for me) but also in much longer period (since 2006 : @MovingAverage will appreciate)
> more importantly, it is a low DD and* VERY smooth curve *; not a killer performance wise but hopefully will pay its keep
> below graph not compounded (same parcel numbers and size):
> View attachment 136275
> 
> 
> both volatility daily systems will remain paused as well as DL Guppy ; this frees $100k and I will allocate 50k to the new WkMOA and keep the rest for crash opportunities and to buy load of breads
> It is a shame I can not let the 2 volatility daily systems run as they have been done for these times but i can not ensure I will have internet access daily and so could risk VERY big loss in a chaotic market .
> I will carry existing DLBO as long as possible and liquidate before flying out
> let's have a great week end and digest NYSE tonight action



Yup appreciate Frog. But wow, that period from 2011 to 2016 would be a seriously real test of stamina and system faith. Not sure many would stick with the system that long.


----------



## qldfrog

True but actually only 2011 to 2012:
this is a conservative graph, no dividends, no compounding
the xnt during that period was not flashy:


and on that period 1/1/2011 to 1/1/13


But I agree it would be worthwhile to check why it was behaving so badly in the 2011 calendar year and find a way to lessen this without curve fitting;
it is 1y out of 18y so odds are pretty good..and the market was so different then  ;-)


----------



## qldfrog

I refreshed my memory:2011 was the sovereign debt crisis: Greece France Italy and contagion with US rating fall in august causing a mini crash..and no BTD then
_S&P 500 entered a short-lived bear market between 2 May 2011 (intraday high: 1,370.58) and 04 October 2011 (intraday low: 1,074.77), a decline of 21.58%._


----------



## MovingAverage

qldfrog said:


> True but actually only 2011 to 2012:



I must be missing something...below is your equity curve. From the peak in 2011 through to 2016 it looks like it declined around 10%


----------



## qldfrog

yes but from 1/1/2012 it is ok: there is only a hard (calendar) year 2011, the rest is quite acceptable in term of  stress
2012 flat, 2013 fall but nearly recover over the calendar year and then always positive along a year
This is the way i look at results, a peak is never a reset of my expectation
To each his own but I am working to smoothen these  fall in a general non curve fitting way..will have to add random to confirm system


----------



## MovingAverage

qldfrog said:


> yes but from 1/1/2012 it is ok: there is only a hard (calendar) year 2011, the rest is quite acceptable in term of  stress
> 2012 flat, 2013 fall but nearly recover over the calendar year and then always positive along a year
> This is the way i look at results, a peak is never a reset of my expectation
> To each his own but I am working to smoothen these  fall in a general non curve fitting way..will have to add random to confirm system



ok, but reality is portfolio value dropped 10% over the period 2011 to 2016. Sure, it had its ups and downs. 2011 to 2012 it declined 25%, 2012 to 2013 flat, 2013 to 2014 down, and sure 2014 to 2016 it was up but that two year period did not recover the prior period losses. Over that entire 5 year period the system lost around 10%


----------



## qldfrog

MovingAverage said:


> ok, but reality is portfolio value dropped 10% over the period 2011 to 2016. Sure, it had its ups and downs. 2011 to 2012 it declined 25%, 2012 to 2013 flat, 2013 to 2014 down, and sure 2014 to 2016 it was up but that two year period did not recover the prior period losses. Over that entire 5 year period the system lost around 10%



I do not deny this but look at it this way: 
it also went up 10% from its low in 2013 to 2016;
same chart same data, we are both right
would you not never enter the market with let's say an index ETF because it took what? 14y to retrieve 2007 level after GFC?
from 2007 to 2020 to get even? 
Whereas that basic system is back from 2011 peak in 5 years (neither take into account dividends)
I do not say it is perfect , nor optimum nor very good but its is a low risk low dd system in these turbulent time;
 I can nearly bet that we will have a major crash well before the next 5y are gone, thru war, currency collapse a black swan so these long term view based on past experience are most probably worth  zip ;
But thanks for the feed back; I tried to smooth the hipcups and
latest iteration is:


Have all a great week end


----------



## qldfrog

Fireworks and thunderstorms ahead, the captain recommends you buckle your seat belt.
New weekly MOA starts today..but..is not buying anything,
Dailies paused but one.
Just bring me a week like last🙏


----------



## qldfrog

well no week like last, overall, lost multiple digit on 5 figures in the last 2 days;
in term of % less scary: down 2.6% on the last 2 days:
as expected the dailies behaving quite well, went to cash quickly and limited losses drastically, sadly i was winding down daailies due to upcoming trip..
so convenience has a price:
losses were split more or less 50/50 between platinum and Flying bat vs QFSec;
obviously, all of these playing small cap mostly miners, the % loss on own parcels was pretty scary nearly 10% for some systems today.
Systems ended the day 60% cash, most of the exposure remaining is in QFSec (90% invested) and the Bat (100% invested);
should the bounce happen on Thursday, this is where gains will come from....or the losses .
Thanks fully not too panicky:
The purchase of asx200 Put covered some of these losses, the only mistake is that I expected a rebound this arvo so I dripped sold my put all the way to lunch time...


but had to buy again before close to keep my cover;
the good thing is that i was able to push expiry from March to April June
did similar on the NYSE
in case of a ongoing crash, these put should cover my shares but I have not hedged gold/silver part of the portfolio..
time will tell, no panic let's see what tonight will bring
if the XJO falls any further, I see 6000 as the next stop in the slide, but honestly, NYSE has the answer;
AUD vs USD


Funny currency play today which prevented my USD exposure from helping much; I do expect the USD to fall mid term but the AUDwas a bit quick to recover IMHO
All the above without any knowledge and just gut feel


----------



## qldfrog

all right, another funky week;
I lost 2.4k today just fromADO fall..and that ruined my systems figures for the day..no big win anymore; 
This week=> XNT was down 4.8% outch, 
another week like that and then i could think rebound but far too early imho;
daily systems went all cash but I decided to play a quick run of 
the daily US volatility..when better than on a week like that: 
+$0.5k or 2.96%
all other dailies are fully cashed with DLBO closing its positions this week with a loss of $ 1.1k or -2.25%

weekly systems:
Mr Skate platinum: 40% invested,-$2.9k or -6.38%
Mr Skate FlyingBat crashing in flames
	

		
			
		

		
	



	

		
			
		

		
	
 : 100% invested,-$5.6k or -12.4%
outch outch
Weekly MOA..remaining fully cash  no change
QFBO 51% invested -$4.1k or -9.4%;
QFSec 84% invested -7.6k or -10.9%
so for the systems this week: -$20.8k or -6.66% which is worse than the XNT..not good

Options and currency plays covered any discretionary loss and PM losses (I am heavy gold and Silver)
and ended with a small gain, but my overall portfolio lost 2.5% last week and wiped out gall gains since December 10th.
Not good, but not preventing sleep ...yet..


----------



## qldfrog

Another kick in the guts overnight in the US.woke up quick check at the Frog NYSE market..flat..
But now -1.6%????
Hedge put options collapsed but exposed portfolio unmoved🥴
So NYSE is taking off..ooohh results..that explains..

"Meanwhile, Robinhood (HOOD) shares shook off overnight losses to trade higher after the trading platform missed on quarterly revenue, posted a larger-than-expected quarterly decline in users, and offered disappointing guidance"
Yeap
That is what these horrible results..you know facts... give you:


And we try to look at values and tech analysis????


----------



## qldfrog

It will have some bearing on monday..while most of the nyse was diwn or flat, the peak at close will ensure ASX will open sky high on monday BTD......
Would like to know who were these last hour buyers..but as we all know..do not fight the Feds and never think


----------



## qldfrog

another bad week but not due to the systems even if the systems as a whole underperformed the XNT ;
This week=> XNT was up 1.89% 
as the tech were reporting bad results which mean the nasdaq was falling (biggest day fall for a long time)
so as a result the fed might not tighten... so the NASDAQ rises after hour...
yeap that is the current train of thoughts LOL
You could not invent this...

still too early for a rebound inho... time will tell unless this was the rebound?

daily systems went all cash but I decided to play a quick run of 
the daily US volatility..went bad :
-$1.5k or -9.4%..last week gains went in smoke and UD vol lost 1 k since restart, I have to close it by next friday

all other dailies are fully cashed but i played with DLGuppy since Monday
will not buy any further package and will sell by friday if any packet left
DLGuppy gained just $280 or .73% after a bad day yesterday

weekly systems:
Mr Skate platinum: went fully cash -$350 or -0.77%
Mr Skate FlyingBat recovered gracefully 84% invested,+$1.8k or +3.9%


Weekly MOA..remaining fully cash  no change
QFBO 10% invested only, -$400 or -1.01%;
QFSec 69% invested +1.01k or +1.6%

Overall: systems are 67% cash and gained $800 only or 0.25%


----------



## qldfrog

The bear in frog had to hang on hard until last night where he ended with some nice bloodied sunrise but had a good week and make some money on his discretionary
-> aka caught up on some of his big losses for the FY;
Can you imagine that the XNT actually ended up this week +1.37% at 78777
-> Less impressive is the fact that XNT (asx200 net return so inc dividends) is currently at its June 2021 level so no progress whatsoever in the last 8 months.and with inflation, it means your asx200 ETF is losing money..hum....
I am sure your FA is not telling you that...

For the systems:
a daily (Guppy) which had been reactivated on the 31(0st of January, 11 days ago was closed yesterday and gained $0.66k or 1.73% this week; Overall a $954 gain or 2.5%  in last than a fortnight..was worthwhile considering the small amount at risk
a small play on US volatility harvested 500$ or 3.15%;Let's see if I can play it again next week before flying away
Skate platinum and my own MOA weekly systems were fully cash so no change
The Flying Bat lost -$550 or -1.18% In dire need of a mango tree to refill its strength
My weekly BO did well and gained +$1.3k or +2.99%
but QFSec did not like the past week: losing -$1.28k or -2.01%
QFSec is having a roller coaster ride and not impressed as a few gains  get all wipe out by huge sudden falls

Overall: a bit above $600 gain or +0.2% flat, with a 60% cash position
Below the index again but happy with that for this week
Let's buckle the seat belt


----------



## qldfrog

Its coming:


After raising all the heat, it's coming:
Remove the OSCE (western observers who were checking the situation in the russian separatist area) then say that Russia will fake a pretext.LOL
Why on earth should the people protecting the Russian population be at risk from Putin?

Next stage Ukraine/NATO attack the Russian population with no western witness, triggering Russian response and this is discounted as fake news.
Honestly kindergarden strategy from Biden or its masters.
But these news headlines confirm it is no bluff from the US but a planned move to start a hot conflict.
Why relevant here? Because rare are  black swan events advertised beforehand .
With my luck, i will be in transit and unable to trade when this starts


----------



## qldfrog

Guess what...in transit and...
Anyway, able to launch aws and run Amibroker in the clouds.with just phone, i can not well not easily uodate spreadsheets so i just keep manual records of buy sell.i expect having suffered big losses with the qfsec which was much invested.all dailies are stopped and MOA is still not trading due to market index buy lock .
Flying bat bleeding.
And my options based on xao so not fully balancing the system realms.
In a month time, we will know where we stand but lose details.
I also do not know with detail the updated value of parcels so that's a bit of a guess
So after Covid, Ukraine 🙄
Where should we send our cheques to Deep State?


----------



## qldfrog

Frog is back in the land of yesteryear...
Amazing to see that there are people actually living outside our good old safe Australia
15 planes that I could count waiting behind us when taking off in Houston;
And 1 seat occupied per 2 rows (20 seats)  in the plane when taking off from Sydney to LA, 
Better when back with 1 seat occupied for 3 or 4 empty ones when flying back from the states
Short Qantas, Blame Putin LOL

 A bit jetlagged and spent most of the day updating the records of the tradings performed since mid of february.
I could not easily provide the results per week for the last month and a half, so will will just get the overall results since 

No surprised there:
 good performance for the systems not trading during down period, 
not so flash for the trading always on: but great results for the last couple of week for these, just not enough to compensate terrible losses:
From 11/02 to 25/03 (6 weeks)
=> XNT was up 4.06% 
This is Australia, what can i say: no food no oil but the share market rises.....

US volatility trade system played while I could, 
gained $1.1k or 7.1%

weekly systems:
Mr Skate platinum: +$2.4k or 5.04% or -0.77%
Mr Skate FlyingBat  lost $1.08k or -2.37%


Weekly MOA..engaged and gained $1.3k or 2.47%
QFBO was disappointingas it seemed ok , but overall lost -$3k or -7.4%;
QFSec was bad: lost $6.2k or -10%

Overall: systems are 28% cash and lost $5.5k or 2.1%

These figures to be treated with caution as this was a pretty tedious
 work to reenter the actions of the past 6 weeks or so, but had to be done for the ATO anyway

if these are correct figures, well the XNT did much better 
I also got nice quick trading gains on OOO, Uranium play and gold  outside systems which balanced this loss so hum...
I do not like the QFSec ongoing losses but will try to check if I am missing something there or if I should stop this system.
I already cut the money invested per packet by 2 during the trip for QFSec
Hopefully will be ready by next week to have a proper analysis of these past trades
I traded today as i was while travelling.
Have all a great week;
keep your pantry full, and your jerrycan ready and full


----------



## frugal.rock

Perhaps a change of letter is in order for the Flying Bat strategy?
(remove the L and replace with R).

In reality, to stop a bat landing in your fruit trees and devouring your plums and dropping shite everywhere, one needs to stand under the tree and solidly clap your hands everytime one of the buggers tries to land... clapping the hands could be likened to a sell 🦇🐌


----------



## qldfrog

frugal.rock said:


> Perhaps a change of letter is in order for the Flying Bat strategy?
> (remove the L and replace with R).
> 
> In reality, to stop a bat landing in your fruit trees and devouring your plums and dropping shite everywhere, one needs to stand under the tree and solidly clap your hands everytime one of the buggers tries to land... clapping the hands could be likened to a sell 🦇🐌



the real laggard is QFSec..(Sector)
One of the issue there is that we do not have much segmentation available thru the platform:
so mining can get NCM, AGY, or a copper miner or even RIO BHP probably coal as well;
and at the present we see wild switch so my system chases the last winner and is always behind;
it has no disengaging system, 
so reentered quickly but during the fall kept chasing the few last jumps,
 usually PR release quickly fading in a falling market.atrocious losses during the mining crash we had and was fully in....


----------



## qldfrog

First week since back:
 well kind of ,as between jetlag and flood repairs, did not do much portfolio work;
Today was stunning as getting nearly half of the week gains
XNT was up 1.2% during the week
While i understand that Australia is a commodity market:
 inflation, destruction of USD and so US power and move to China as Superpower neighbour does not really justify our continuous over performance vs the US market in my view, but what should I know, BLM, CC and Omicron are the real existential issues just behind negative gearing  ;-)

Let this not destroy our happy mood

The weekly systems:
Mr Skate platinum: +$2.5k or 4.9% => back in profit and nearly even with XNT
Mr Skate FlyingBat gained $0.9k or +2% but still 7% DD here..not sure why the difference Vs Mr Skate


Weekly MOA..gained $2.4k or 4.54%, overtaking XNT, and in good positive territory
QFBO gained $4.1k or 9.1%;Still a loser overall and vs XNT, but nothing worrying
QFSec gained $2.3k or+4.2%
Have to find time to work on this one: my higher capital start and by far my worst system.
behaviour since january not to scratch

Overall: systems are 27% cash and gained $12.2k or 4.8%
Let's as a trend systems party


----------



## qldfrog

interesting day: after open, system portfolio up 5k or 1.7%,;
just looking now, back to no gain; asx went from +0.2 to +0.8 %
has lithium fallen???? 
I neeed to put more money in banks and other safe 1.5m average home leveraged assets, play safe....LOL


----------



## Ann

qldfrog said:


> interesting day: after open, system portfolio up 5k or 1.7%,;
> just looking now, back to no gain; asx went from +0.2 to +0.8 %
> has lithium fallen????
> I neeed to put more money in banks and other safe 1.5m average home leveraged assets, play safe....LOL



For what it is worth Froggy, I was doing great this morning and in reverse this afternoon. It seems all my smaller caps are getting slapped more than the big boys. Tomorrow is another day!


----------



## eskys

I was watching for the announcement from the RBA at 2.30pm, and shortly after the market took a dive because of this..........










CommSec

@CommSec
·
1h

The Australian sharemarket has sold off following the #RBA's removal of '...the Board is prepared to be patient' from its statement at 2:30pm AEST. The #ASX200 is now up just 0.1%


----------



## qldfrog

Hum, at close -1.2 and this include 1.2 gain on OO O which is discretionary so my systems lost more than 5k today between post open and close or nearly 2pc so basically 2y of term deposit 😁


----------



## eskys

This market will look at anything for an excuse to dump. VIX is down, qldfrog, so maybe tomorrow they'll push out a new baby? Good luck all the same.....have a great evening. I'll be back tomorrow.


----------



## Ann

If you call it a drawdown it sounds better than loss and if you didn't sell then there is no loss realized which means you live to fight another day and all is well. If you really wanted to get nit picky, with the kind of inflation we are going to experience over the next couple of years, the value of term deposits won't have the same purchase power after two years. I could be very wrong but I think you will do very well where you are Froggy! 🤞


----------



## qldfrog

Ann said:


> If you call it a drawdown it sounds better than loss and if you didn't sell then there is no loss realized which means you live to fight another day and all is well. If you really wanted to get nit picky, with the kind of inflation we are going to experience over the next couple of years, the value of term deposits won't have the same purchase power after two years. I could be very wrong but I think you will do very well where you are Froggy! 🤞



yes, not tempted by TD just putting things into perspective and showing how ridiculous TD rates are ..free money is never a good thing, welll...when not in my pocket ;-)


----------



## Ann

qldfrog said:


> yes, not tempted by TD just putting things into perspective and showing how ridiculous TD rates are ..free money is never a good thing, welll...when not in my pocket ;-)



I never look at money earned, through earned money, well invested as 'free money'. 

There were some wise words I read somewhere, don't remember the person who said it but I drummed it into my psyche as a youngster "Work hard for your money until your money works hard for you"


----------



## Warr87

qldfrog said:


> Hum, at close -1.2 and this include 1.2 gain on OO O which is discretionary so my systems lost more than 5k today between post open and close or nearly 2pc so basically 2y of term deposit 😁




Today was the day I put in my buys for my super. After reading this I had to check. My entire account lost 6%. Almost everything opened high but closed. Ended up being a decent size chunk of my account. Always worrying. Though it's a monthly, the days between my buys/sells can definitely make an effect at times.


----------



## frugal.rock

No winner winner chicken dinner for me either. No trades.
Not complaining though. 😃


----------



## Ann

frugal.rock said:


> No winner winner chicken dinner for me either. No trades.
> Not complaining though. 😃



Come on FR you have to be the biggest winner on the forum at the moment! Champagne and caviar dinner in my books!


----------



## frugal.rock

Ann said:


> "Work hard for your money until your money works hard for you"



See, I got a bum steer. I got told,
"It's bad enough lookin like a horse, you don't have to work like one as well" followed by,
"why the long face?" 🤪🐴


----------



## qldfrog

hum, today was a great day and recovered  what was 3 days in a row of heavy falls
overall xnt had a slight fall of 0.2% over the week
So the systems:
Mr Skate Platinum: +$0.25k  or +0.5%
Mr Skate FB: +$0.65k  or +1.38%

MOA sold all on Monday and actually managed to still gain $290 or +0.54%
QFBO did badly: -$3.8k or -9.05%
->but I wonder if i made a mistake last week in my EOW result spreadsheet:
I have only 7 positions, which are basically wo loss/profit tonight and sold 6 positions this week for an overall profit of 260$
seems weird to have a net loss of nearly 4k like that
basically i am back a little bit above the 25/03
QFsec +0.2k or 0.34%
I know system got hit by CXM on monday so a few k lost as SP went from 21c to 15.5c today when I could ultimately sell these; destroying a huge chunk of profits vs Friday night..I gain entitlements

so overall:-$2.4k or -1% based on above suspicious figures


----------



## qldfrog

after historical searches: CXM lost me 2k of paper profit on its own (worse: x2  as 2 positions...)
and IXR lost 0.5k of paper profit, that's enough to end with the above figures...
Better get some money on the CXM entitlements


----------



## Ann

qldfrog said:


> after historical searches: CXM lost me 2k of paper profit on its own (worse: x2 as 2 positions...)
> and IXR lost 0.5k of paper profit, that's enough to end with the above figures...
> Better get some money on the CXM entitlements



Froggy, are you just paper trading or using real dollars with your trades?


----------



## qldfrog

real dollars on active real systems
 CXM was put on sale on monday for 2 position: Trading halt, then announcement and then not able to offload at open...here goes 4k in smoke from one of my good results: sold today at 15.5c from 11c purchase..but not as good as 21c....


----------



## Ann

qldfrog said:


> real dollars on active real systems
> CXM was put on sale on monday for 2 position: Trading halt, then announcement and then not able to offload at open...here goes 4k in smoke from one of my good results: sold today at 15.5c from 11c purchase..but not as good as 21c....



I just read the first page of this thread which is really a good idea before one wades in with questions!

So you are in for $100,000 what is your bottom line since you have been working with this system, just so I don't have to struggle with my dyslexia and read the lot?


----------



## qldfrog

Ann said:


> I just read the first page of this thread which is really a good idea before one wades in with questions!
> 
> So you are in for $100,000 what is your bottom line since you have been working with this system, just so I don't have to struggle with my dyslexia and read the lot?



Will reply to you later Ann:
Overall steep loss due to technical data issue which prevented me from gaining during the post covid boom.
And unable to catch up and maintain since.


----------



## qldfrog

Good evening /afternoon everyone.
a short week closing today and I can wish you all a Happy Easter
i initially believed Easter came early this week as my overall portfolio took off by 20k+ 
but that was before doing the detailed check which was a bit of a let down

The XNT was up 0.6% on the week..not bad
Mr Skate Platinum: -$0.99k or -2%  ??? is that an error, I will have to check on the Dump it thread
Mr Skate FB: +$2.3k or +4.7% very good
My systems:
MOA reentered from fully cash on Monday:
-$177 or -0.33% disappointing but this is the first week so fair

weekly BO: -$1.1k or -2.8% really?
QFsec:-$280 or -0.48% what ?another loss...weird
overall:  -300$ so -0.1% that was not expected;
It means all of my gains this week were in my US and ASX discretionary portfolio..
Really thought I had made it systems wise but just balancing bad days early this week


----------



## qldfrog

a short week again and wishing you again a great Anzac week end
Remember those fallen for freedom of speech, movement and thinking, democracy, the end of discrimination based on race or religion,nationality and the end of communism.
Then look at your news and remember the past 3 years....

This week was incredibly volatile for my portfolio: daily biggest win ever followed by biggest loss ever 
The market fell and the xnt fell by 0.66%

Mr Skate Platinum: +$189 or +0.38% nearly back in the black.Well done
Mr Skate FB: -$1.3k or -2.8% outch
My systems:
A new kid in town:
-> A new weekly system inspired by ASF threads from knowledgeable members and started on Monday:
Let's call it the PBB as a systematised version of volume/SP chart analysis, 77% invested to date
-$309 or -0.62% so matching xnt

MOA only 20% invested:
-$400 or -0.75% 

weekly BO 48% invested: -$1.5k or -4% carrying on a dreadful performance lately

QFsec:fully invested but surprised on the positive side and gained $36 so flat which is not bad on such a week when being fully invested:

overall:  -$3.2k so -1.07% 
Some worries about the comparative performance of BO vs xnt:


----------



## qldfrog

another short volatile week again 
The market fell and the xnt fell by 0.51%

Mr Skate Platinum: +$413 or +0.82% back in the black.
Mr Skate FB: -$2.2k or -4.8% outch
My systems:
PBB :-$1.9k or -3.97% 

MOA not invested:
-$425 or -0.8% 

weekly BO 48% invested: -$0.66k or -1.74% 

QFsec: fully invested -3.25k or -5.58% pathetic....

overall:  -$8k so -2.75% ooooutch


----------



## qldfrog

Have to do it don't I:
another doom week again 
The market fell and the xnt fell by 3.08%

Mr Skate Platinum: -3.5k or +7.36% outch
Mr Skate FB: -$2.2k or -5% outch
My systems:
PBB :+$1.3k or +2.6%  great gain on MMG now sold, AR1 and OZM..not bad for a 10 position system but the rest did hurt.still in red since inception

MOA not invested: $0

weekly BO 48% invested: -$1.1k or -2.8% 

QFsec: fully invested -4.3k or -7.8% pathetic this is a lost cause

overall:  -$10k a round number...so -3.5% in perspective not so bad but still bloody hurtful as added to 13.5k lost on other market investment mostly due to PM falls and other discretionary shares falls;


----------



## Warr87

I think it was a painful week for most, mate.


----------



## qldfrog

Where are we today:
XNT down -1.6% so not that bad actually

Mr Skate Platinum: -0.62k or -1.34% fair
Mr Skate FB: -$3.36k or -8.34% outch
My systems:
PBB :-$1.4k or -3%  
MOA not invested: $0

weekly BO 8% invested: -$1.55k or -4.3.8% 
QFsec: 17% invested +3.6k or +7.1% great news but mostly with a 5k profit with GAL

overall:-$3.35k or -1.2% so reasonable outcome especially with a bad hit on FB


----------



## qldfrog

A good week looking at my reduced FY losses but what about the systems?

XNT up +1.1% this week;
a week when the US market has had its biggest day fall since covid crash and yet:
we Aussie are unstoppable
	

		
			
		

		
	





Mr Skate Platinum:  no stock, unchanged
Mr Skate FB: +$0.7k or +1.8% good
My systems:
PBB : back to 62% invested +$3.6k or +7%  YES!!
MOA not invested: $0

weekly BO 6% invested:+$277 or +0.77% 
QFsec: went cash 0% invested +$92 or +0.17% 

overall:$4.65k or 1.6% so good outcome seeing how we are now 82% cash for the systems


----------



## qldfrog

Not as good a week

XNT up +.054% this week;

Mr Skate Platinum:  no stock, unchanged
Mr Skate FB: -$0.7k or -1.7% 
My systems:
PBB : -0.9k or -1.8% NO! still above xnt since start
MOA not invested: $0

weekly BO 25% invested:-$670 or -1.9%  disappointing
QFsec:not invested: $0

I restarted this week my ASX daily volatlity.$50k, daily run
I have the time again to do that but just went wrong nearly every day NOOO
Thanksfully a last minute catch up today reduced the pain
DL asx volatility -$745 or -1.58%

overall:-$3k or -1% disappointing


----------



## qldfrog

Let's talk heresy:
One of the key rule of nature/science  for stability of any system is a feedback loop;
So more rabbits on an island, more fox as the food supply increases and this reduces the rabbit population soon;
In mechanical systems, you measure the speed to regulate it, in electronic/electric system, you connect a feedback loop  and component;
I expect the same in a trading system;
But with system trading automation, what do you use?
past trend ROC, MA crossings, some ejection mechanism under index strains
I always though a ML could self adapt better to a chaotic volatile world but i have no time for developing this from scratch

As an amibroker person, I design systems with parameters
 then run these systems against past data 
and twist the parameters to ensure I have lower DD, 
stable great results and so can expect a statistically good chance of earning above index returns.

Generally, these periods of back test are in years, decades for some schools and try to produce Holy grail systems,
 working well under all  conditions, etc
*What is missing is a feedback loop;*
Should not an optimal system be learning from recent past and adapt, morph to suit latest characteristics of the market;
If we do not have a ML platform, could not the answer be:
 a recomputing of these optimum parameters with the flow?

A purposely re-tuning of parameters probably weekly for a daily system, looking back at the last 2/3 weeks of trading.
we would start from a previously verified system, ideally with few parameters and optimise/reoptimise these weekly.
And yes you want overfitting there
Obviously, impossible to BT such a system..well not really impossible but not easy to backtest..yet what do we trade for? 
Backtest matching accuracy? 
Or profit!!!
After all, this is the way non system traders work, they get the latest inputs and slightly modify their decision making process all the time
*So has anyone played/or is running such a system?*
->weekly optimisation of parameters on a daily system


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## investtrader

What you are looking for is the holy grail. Good luck with that.


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## qldfrog

XNT up +0.8% this week;

Mr Skate Platinum:  no stock, unchanged
Mr Skate FB: -$1.4k or -3.6% outch
My systems:
PBB : -$1.1k or -2.3% still above xnt since start but in slight DD
MOA +$1.6k or +2.9%
weekly BO -$41 ,flat
QFsec:not invested: $0
 ASX daily volatlity. +1.5k or +3.25%

overall:-+$600 or +0.2% disappointing as below XNT but still some profit


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## KevinBB

qldfrog said:


> So has anyone played/or is running such a system?



I regularly speak to a person who runs a futures system that changes parameters according to certain rules. The whole thing is rules based, so not discretionary. He does very well.

KH


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## qldfrog

What a week:
the xnt lost 4.2%
USD exposure and non system investments including put options allowed the frog to finish flat but not on systems:

Mr Skate Platinum:  closed this week, no extra loss
overall lost on that system 7.45% since November 2021
Mr Skate FB:  closed this week, lost extra 200$,
overall lost on that system 22.5% since january2021

My systems:
PBB : ugly -$4.8k or -10.8% now in DD absolutely hammered
MOA -0.4k or -0.66%
weekly BO -$0.5k or -1.52%
QFsec :not invested: $0
ASX daily volatility. +0.6k or +1.2% and a human error costed me more than  $1k on that one: being daily increase the probability of error drastically vs weekly

overall:-$5.3k or -2.35%


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## qldfrog

Another eventful day.
By tonight just got 30k invested in systems...
This morning was interesting, the ASX was going to fall big.
What doI do?
I had  quite a few sales planned  but also a dozen shares on buy based on 2 remaining engaged systems, i could:
can the lot, act as if nothing had happened or implement a half baked approach.
I chose the later,
 i did not change my sell order and most went thru at open, a few had a costly deep fall at open and had to be manually sold early afternoon and i still an unsold packet tonight
For the buy orders, I reduced this early morning  the buy limit  to be latest share price -5% or more..
I got all my buys fulfilled..got a loss tonight but lower that if i had followed my usual process, and we will check on Friday if the move was good.


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## qldfrog

OK: end of the week and my son asked me:
Are we there yet...and I replied..not yet, not panicky yet and next week will see the BTD victims back in charge for a couple of days;
XNT fell a heavy 6.6% over the (short ) week..outch
I encurred heavy loss when selling at open and later on Tuesday

My systems:
PBB : ugly -$3.6k or -8.9% nearly OK vs XNT :-(
MOA: not invested: $0
weekly BO 28% invested only lost $1.5k or -4.54%
QFsec :not invested: $0
ASX daily volatility. +$3.1k or +6.4% ..that system really enjoyed the week

overall is sadly still negative for the systems:-$2k or -0.85% even with the volatility system flying
With systems currently 88% in cash overall.


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## Warr87

qldfrog said:


> OK: end of the week and my son asked me:
> Are we there yet...and I replied..not yet, not panicky yet and next week will see the BTD victims back in charge for a couple of days;
> XNT fell a heavy 6.6% over the (short ) week..outch
> I encurred heavy loss when selling at open and later on Tuesday
> 
> My systems:
> PBB : ugly -$3.6k or -8.9% nearly OK vs XNT :-(
> MOA: not invested: $0
> weekly BO 28% invested only lost $1.5k or -4.54%
> QFsec :not invested: $0
> ASX daily volatility. +$3.1k or +6.4% ..that system really enjoyed the week
> 
> overall is sadly still negative for the systems:-$2k or -0.85% even with the volatility system flying
> With systems currently 88% in cash overall.




Just a brutal week for most I think. Even my shorts didn't do well.


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## qldfrog

Time flies and the XNT went up 1.6% this week..no such luck for me:
Losses on the overall portfolio due to currency play and gold /PM levels
For the systems:
PBB : flat +$44 only 21% invested
MOA: not invested: $0
weekly BO 14% invested only gained 272$ or .8%
QFsec :not invested: $0
ASX daily volatility. no play this week so $0

overall +0.3k or +0.13%
Flat
With systems currently 94% in cash overall.


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## qldfrog

qldfrog said:


> Time flies and the XNT went up 1.6% this week..no such luck for me:
> Losses on the overall portfolio due to currency play and gold /PM levels
> For the systems:
> PBB : flat +$44 only 21% invested
> MOA: not invested: $0
> weekly BO 14% invested only gained 272$ or .8%
> QFsec :not invested: $0
> ASX daily volatility. no play this week so $0
> 
> overall +0.3k or +0.13%
> Flat
> With systems currently 94% in cash overall.



One point worth noting:
My systems have 2 packets of COE..which fell heavily last week and lost nearly $1.5k.
That single holding and the heavy cash allocation really affected last week overall results.


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## qldfrog

The EOFY:



What is this?
 that is the minimum amount of paper printout and chess statements I am required to keep after a year of trading:
31kg of it to keep for the next 5y added to nearly 200kg of destroyed Borneo rainforest in the shed.
This does not includes div statements or the welcome letters from Links or Compushares which go directly to the recycle bin after shredding and I have all electronic communications activated ASAP

Mr Orangutan is thanking our system
-> around 3900 buy and sell trades so $8k or so of brokerage at $10 a pop.
for a 6 figure loss in the FY.
No good news for Mr tax man..but not great either for the Frog
Luckily, we are getting mandatory disintegrating cardboard straws with our cocktails to save the planet.
I now understand the relative attraction of IB/Saxo where you can fully rely on a 3rd party for the storage of your trades.
Obviously I record and use a cloud backed up electronic file to keep track and fill tax returns etc...
Let's go back to our systems in the next post


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## qldfrog

So let's start the new FY

XNT down -0.5% this week

My systems:
PBB :flat 30% invested but just enough gain for half a cappucino
MOA went back in 30% invested $229 gain or +0.4%

weekly BO 21% invested: $22 gain or +0.66% but pending distribution of $150 or so
QFsec: full cash, no trade
ASX daily volatility. reentered and lost 6.8k or -13.2% but pending a distribution of $4.5k so that is a more reasonable -$2.3k or -4.6%
overall after correction of pending distribution:
:-$2k or -0.9%

 Have all a happy new financial year..
I will check the results in the last FY and try to post a summary, will not be nice.What will be important is the results postfix of my data issue so the last 6 months




Quote Reply 

Report


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## qldfrog

The Frog systems for the last 6 months.
Not trying to hide abysmal results in the first half of FY 21-22 but these systems and the running data used were all based on wrong data .
I lost a bucket due to that ->This was corrected at the end of 2021 and 1/01/22 was a new start.

Weekly PBB :started 19/04-> -18.6%
tracking XNT roughly:



Weekly MOA started 21/01
+8.7%  beating XNT



Weekly BO started 8/11/2021
-32% ouch


Really have to consider if i should still run that one but last few weeks were not too bad yet invested
----
Weekly QFSec
Started mid 2021
Since 01/01/2022 -18.3% vs XNT -10% on the same period
Not a good look at all, I should ditch this



ASX daily volatility: started mid 2020 but with numerous interruptions..From its design, was not affected by my data issue...
Was last restarted 22/05/22 +6% in the last month and a half


Should carry on as beating the XNT on the last 2 years ..just a bit demanding time wise and sometimes investing against my best opinion..but results are here

---
we also have closed Mr Skate Platinum and Flying bats whose own implementations lost respectively 7.5% and 22.5%. Timing was not suited

US Daily volatility close mid  february lost 7% on the year..I will not pursue
DL Guppy closed mid  february flat since start of year...
DLBO started end december 2021, ended february with a 2% loss..beating XNT but a lot of work


will not pursue with daily systems overall..too much effort and a wrong meeting or appointment time and you lose it all
Volatility small cap ASX made $50 profit..a daily system..I stopped as my $50 profit was after paying $260 of brokerage,24 trades and daily work...not worthwhile

QFDuc was ended after discovery of data error:
Daily MOA same.

overall I lost a 6 figure amount on systems.Systems are more than 90% of my trading loss this FY ..
And only 27% of these losts resulted from my systems  since January which is room for hope.


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## qldfrog

my next step is to compare these real life results vs AmiBroker Backtest, and determine which system i should keep running or stop.


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## qldfrog

Took the opportunity of a need for a break from farming tasks and the end of a beautiful day to have a retrospective look at my current systems:


No Flying bat in sign ;-)
4 weekly systems PBB,MOA, BO and QFSec.
I first compared my BT performances during the first 2 quarters of 2022 vs my Real trade results.
globally similar except for QFSec ..but the current version 13 has not been running for that long and is much improved
Then I followed with interest Mr @Skate  Dump it thread and his comparison of a vanilla vs improved version of Nick Rage Weekly WTT system.
Here we have some pretty decent systems results to compare against;
None of the periods: 2018 calendar year or first half only of 2020 has been used previously in my optimising/fine tuning of my systems, so I can get an objective benchmark
I started with the 2020 first calendar half:


QFSec and BO doing very well MOA good but PBB losing money
and looking at the charts:


So very happy with MOA and QFsec, BO a bit scary and ugly for PBB


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## qldfrog

Looking now at calendar 2018 with the same systems:


Surprisingly MOA did a 0.3% loss on that period, PBB managed a small win but with a 27% DD...QFSec making decent run.
Graphically:


I do not like PBB at all..
PBB is the junior in the lot and I suspect it requires more work but I am ok with the other systems
In conclusion, I will pause PBB and start enhancement..I let too much win go so must review my exits for that PBB system


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## qldfrog

xnt rose 2.11%


My systems:
PBB :was exited today following preceding analysis.not matured enough yet:-$1.4k or -3.55%

MOA only 5% invested
-$130 or -0.25%

weekly BO 5% invested: -$0.9k or -2.7% got hit by the now exited TEM position (1 out of 2...)

QFsec: not invested unchanged
volatility ASX: +$2.64k or +5.9%


overall: +$200  not good enough
overall less than 1% invested for the systems tonight -> fully cash
Sadly the rest of the portfolio lost 15k on the week mostly due to PM variations so not a good week.


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## qldfrog

Apologies for weekly report delay, had to drive to the capital city .should be back at the estate 🙂 tonight.
Have all a great weekend


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## qldfrog

Back home:
XNT this week -1.1%
PBB was under transition and 2 versions 1 and 2 created, -> had to get out of positions taken earlier on Monday and ended up -$1k or -2.57%
This is a pure waste of money ..I should know better that putting orders at 2Am after revisiting a system after dinner...
MOA went in, now 86% invested and lost $1.5k or -2.75% 
BO 43% invested and lost $0.6k or -2%
Volatility ASX fully cash as is QfSec so unchanged.
Overall a bad week with $3.1k in smoke or -1.17%
currently 78% cash for systems
Overall losses doubled with the currency and options affected total portfolio jumping up and down by $5k daily...,,,


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## qldfrog

the asx went up big... XNT+2.8%
But my systems are mostly cash:
PBB unchanged, not invested
QFsec unchanged, not invested
MOA +1.2k or +2.2% now 90% invested
BO -$124 or -0.4% 85% cash
and volatility ASX +$4.8k or +10.1% but mostly due as a catch up on pending dividends now received
overall 
my systems were up $6k, and remain today at 80% cash ..happy there
but no smile overall as $18k went in smoke with gold,PM and currency/option plays going against me
Such is life


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## qldfrog

the asx went up big again ... XNT+2.26%
And my systems while still mostly cash got a bit of the action
PBB unchanged, not invested
QFsec +$1.9k or +2.03%, 41% invested
MOA +$1.6k or +2.9% now 37% invested after selling today some parcels to synchronise with version V9 worked during the week
BO +$220 or a measly 0.7% 37% invested
and volatility ASX unchanged as not traded
my systems were up $3.7k or +1.35% , and remain today at 75% cash ..happy there
and overall added more than $11k with gold,PM going for me this week


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## qldfrog

My covid week: full of fever inspired great ideas to change systems but so far holding and resisting these stupids raving mad  thoughts.
Would NOT be a great idea...

the asx went up again ... XNT +1.01%
And my systems reengaged and were pretty lame :-(

PBB invested in 1 parcel only (91% cash) and lost -$0.5k or -1.34% 
QFsec 71% invested but a loss of -$1.2k or -1.2%
MOA now  fully invested +$1k or +1.7%
BO 57% invested but a sea of red and no gain.....
lost a huge $1.6k or -5.4%
volatility ASX unchanged as not traded
my systems were down $2.3k or -0.84% , and remain today at 50% cash 
and overall portfolio flat at same level than last week
Lost some currency gains but added discretionary shares gains
Nothing to be proud of. Can do better


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## qldfrog

Covid over, I am back;

the asx roughly flat after a bit of yoyo, but all is good, inflation is over and we can all dance and drink freely
;-)
 ... XNT +0.3%
And my systems so so

PBB  back cash  and lost -$0.1k or -0.34% 
QFsec still ramping up 82% invested but a loss of -$1.1k or -1.1%
MOA now  fully invested +$1.8k or +3.14%
BO still ramping up 68% invested but lost $0.2k or -0.7%
volatility ASX +0.5 or 0.9%
my systems were up $0.9k or 0.33% so like XNT  , and remain today at 33% cash 
and overall portfolio slightly higher.
I do not like or understand QFSec performance as it is below expectation.
BO carry on disappointing
PBB is probably too conservative as it should be faster moving in the current market
Interestingly,
XNT this week reached back its january 2022 level 
But I intend to review these this week ..wo Covid crazy fever
have all a great week end


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## qldfrog

Ok, I believe I found out the key issue with BO..while we tend to focus on the code , back tests and optimisation, I took a step back and noticed the following:


WTF?? for whatever reason, these weird set of data were used, this was never intended.
I will stop BO immediatly and will have to rerun all dev on the intended XAO
just redirecting to the proper data , no code change for the last 2 versions of BO code from 1/01/2022 made a big difference:
above 2 as run  till this week, below with right realm



I checked the MOA profitable system and it is indeed running on the right data
whereas the second lagger is also not running on the expected realm.... arrrrr

So i will pause these 2 and go back to basis and try to see if i can rebuild and optimise run these systems on the intended data.
So this afternoon is a win....


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## qldfrog

XNT +1.36% really?
And my systems hum...

PBB
ASX FPO realm has a flaw somewhere and BT are wrong
after review with XAO realm..no worthwhile edge
 PBB stopped after a loss of $2.9k this FY
Flat this week

BO  as above:
no edge once i use XAO realm and definitively an issue with ASX FPO so 
BO stopped after a loss of $3.6k this FY
flat this week after exit-> loss of $80

QFsec
Has been checked and realm changed;
Sadly my 4DS exit on monday was stopped and 4ds alone lost a massive $2.8k;
Old shares liquidated just 15%, invested ;
now in xao realm and a week loss of 2.8k or 3%..so not bad considering 4DS impact


MOA now  61% invested lost -$1.4k or -2.4% not good, lost a lot of paper gain this week
volatility ASX  not played;

Lastly with PBB and BO gone.


I launched Obelix a Gallic version of WTT, with some garlic butter sauce:
8% invested; 70$ gain or +0.2%
Time will tell, decent if not flashy on paper.

overall systems loss of $4.2k BAD

Not a great week, with a few stocks hits:
4DS but also PNV down more than $750 just today for the systems

the discretionary stocks caught some of the losses but down $2k tonight for the week
have all a great week end







Quote Reply 

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## qldfrog

A bit late, a week enjoying the Fraser Coast and a return on Friday for not good results I am afraid
One parcel of PNV in QFSec, the last parcel there was kept and lost $995 just on Friday!!!
overall:
XNT flat at -0.2%
Obelix:-$270 or -0.8% 54% invested
MOA -$924 or -1.65% 21% invested
QFSec -$1.16k or -1.28%
overall lost 2.3k or -1% this week, with an extra 1k lost on discretionary and US market
Systems are 86% cash tonight and not sure I want that to change on Monday!!!


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## qldfrog

No drama for the frog this week but i expected making serious coin and it did not eventuate, i started buying a few entries on the discretionary, a bit too early it seems
overall:
XNT down -3.07% outch here go the dividends of the year..
i always like to put some perspectives 

Obelix:+30 or +0.1% 77% invested
MOA -$239 or -0.43% gone full cash on Monday
QFSec -$1.18k or -1.3%
overall lost 1.38k or -0.6% this week not bad considering the market
Systems are 80% cash tonight
Sadly i lost a few k overall with discretionary  gold and oil .
USD play and BBOZ play went very well


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## qldfrog

Fully flat this week but i am absolutely amazed at the asx today:
if anyone has checked the US market last night it had very serious trouble staying positive and the final+0.66% was really a last minute action which stinks manipulation IMHO and that's what i looked before the open here today.
FYI:


For someone in Australia to go full Bull after this and before the week end is very brave..we honour the braves in cemeteries usually ;-)

XNT up 1.38%
I have only 8% exposure to market on the systems so very small move, and overall i lost 400$ on the week for systems + discretionary+ options currencies..so as flat as can be

Obelix:-$56 or -0.17% 41% invested
MOA 0$, still full cash 
QFSec +$214 or +0.24% 95% cash
Systems won $150, I got in a few long term investment entries: CDA,WDS , PLS and VML as well as RFF.
Fully protected with October options on ASX/US market
Honestly, I would really like a nice fall by close tonight to start the second down trend now..
Let's see how it goes


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## qldfrog

About last post:
The braves were rewarded and the US market went full steam ahead.
The world must have changed since last Monday 

Looking at my US exposure, it was actually very good 11 green, 4 red..mostly a sea of green but for my october put options and long vix but will probably end up red once converted in AUD  as the audusd surged nearly 1.4%...currency day traders had great opportunity last night
Systems are nearly fully cash but unsurprisingly some reengaging on monday
There is a positive as i might have started my discretionary long term right this time plus a 1.4% increase in AUD exchange remains hugely positive to most living in oz with our assets in AUD.
Ultimately, what i really like with systems is that i do not have these mind torturing questions:
I run AB and my electronic crystal ball tell me buy/sell,
Orders are in for Monday ...


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## qldfrog

Outside my usual posts

Please persevere past the first pure market bit and past the clickbait title, i really like is inflation is death of democracy and historical references.
And the statement that
 greed does not rule the world but envy does!
Remember the greed is good backlash or my own native France or Latin America where envy is so big that people are ready to vote for economic annihilation as long as anyone richer than themselve get taxed to oblivion.
Found it very good..now let's the week start


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## qldfrog

a small loss overall this week which saw both biggest daily loss and biggest daily gain for a long while;
overall:
XNT down -2.07% 


Obelix:-$0.8k or -2.4% 16% invested
MOA -$2.01k or -3.74% Very bad timing for reentry monday 70% invested
QFSec -$2.4k or -2.7% 57% invested
overall lost $5.3k or -2.37% this week
Not good
Systems are 60% cash tonight
I made up a few k overall with discretionary  gold oil options and short etf.
So on the whole week, the frog lost $3k or less than 0.36% 
Another week like that and I could start buying BHP etc


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## qldfrog

no surprised there but a lot of sell this morning and no sell;
Systems are NOT BTD, thanksfully, there was no real further fall at open so the sell was quite orderly and was basically just the comission cost  since Friday close;
My 3 systems have a grand total of 6 positions and are 88% cash.....
FWIW...Let's see how this week goes


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## qldfrog

qldfrog said:


> no surprised there but a lot of sell this morning and no sell;
> Systems are NOT BTD, thanksfully, there was no real further fall at open so the sell was quite orderly and was basically just the comission cost  since Friday close;
> My 3 systems have a grand total of 6 positions and are 88% cash.....
> FWIW...Let's see how this week goes



sorry I meant..and no buy


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## Skate

qldfrog said:


> sorry I meant..and no buy




@qldfrog i believe we all knew what you meant.

Skate.


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## qldfrog

all right, the fall is coming..in spring...
late by a month to make the frog filthy rich..ahh well..
a down week for the market XNT down 2.42% and more to come if we look at last night US market


Obelix:+$167or +0.5%;  fully cash
MOA -$925 or -1.74% ;  8% invested
QFSec -$835 or -0.96% 24% invested
overall lost of $1.6k or -0.7% this week for the system..not too bad
This was easily compensated by the permabear discretionary frog who added 10k this week;
um, so now, when do I get back in...
The systems will remove any dilemma..but the discretionary not so easy...


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## qldfrog

a down week for the market XNT down 1.5% but less than I hoped..
Obelix: no change;  fully cash
MOA -$490 or -0.94% ;  sold last packet and now fully cash
QFSec -$1k or -1.2% 5% invested (1 stock only)
overall lost of $1.5k or -0.7% this week for the system..not too bad
This was compensated by the permabear discretionary frog who ended ahead by a disappointing 1.3k this week, at least it is a win.


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## qldfrog

the relativity of even hard $ values: another down night in the US and the frog ends up
$7.3k on the week :
fish and chips here we come, still negative for FY ..:-( but not by much


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## qldfrog

what a great week for the Frog;
rain and mild weather saw the ponds full of croaking of the most animal purpose;
Joke aside, Frog is now up for the financial year and became positive again erasing its earlier DD
XNT up an amazing 4.5%  or so 

Obelix: no change;  still fully cash
MOA  no change;  still fully cash
QFSec lost $134 or .15% based on AGY performance which is the only parcel owned
The volatility was too good to be missed and I started both daily volatility system with reduced and controlled amount

Volatility US daily system made $3.2k or 20% 
and volatility ASX made $2.7k or 5.1%: was only partly invested as I remain cautious so the lower % gain; (gain was >10% of played money)
Overall +5.8k this week for the systems or 2% gain for a portfolio still 88% cash ..not too bad
And the same similar play with bear bull and currencies  did a killing for the discretionary with a major weekly gain
erasing all past DD and back in decent positive territory
We are celebrating  for the time being


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## qldfrog

Not a great week, amazingly the XNT went flat;
systems are now all fully cash but for the daily volatility ASX which is 36% invested.
I prefer it that way following the crazy session last night

daily systems:
volatility US: -770$ or -3.9%;
volatility ASX
weekly systems:
MOA flat,
QFSec -$10 flat
Obelix: flat
systems lost $800 or 0.2%
The discretionary went backward  due to mostly currency variations, PM fall today and a few panic moves and exits  triggered by a platform bug/issues/"features"
I can forget weeks like that....


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## Trendnomics

qldfrog said:


> Not a great week, amazingly the XNT went flat;
> systems are now all fully cash but for the daily volatility ASX which is 36% invested.
> I prefer it that way following the crazy session last night
> 
> daily systems:
> volatility US: -770$ or -3.9%;
> volatility ASX
> weekly systems:
> MOA flat,
> QFSec -$10 flat
> Obelix: flat
> systems lost $800 or 0.2%
> The discretionary went backward  due to mostly currency variations, PM fall today and a few panic moves and exits  triggered by a platform bug/issues/"features"
> I can forget weeks like that....




I can see alot of effort being put into trading a lot of different strategies, but not much reward.

Maybe time to consolidate and re-assess? Or blame it on the market changing?


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## Skate

Trendnomics said:


> Maybe time to consolidate and re-assess? *Or blame it on the market changing?*




*Paul Tudor Jones*
_"Trading is very competitive and you have to be able to handle getting your butt kicked."_




Skate.


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## Trendnomics

Skate said:


> *Paul Tudor Jones*
> _"Trading is very competitive and you have to be able to handle getting your butt kicked."_
> 
> View attachment 148298
> 
> 
> Skate.




Maybe throw in some Jim Cramer quotes as well? We all know CNBC is a very reliable market reporter...


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## qldfrog

The XNT went down 1.21%
systems are still mostly cash but QFSec: the most dynamic which restarted buys on Monday
and the daily volatility ASX had nice wins this week but lost gains today:
.


daily systems:
volatility US: unchanged and unplayed
volatility ASX: flat +$63 or +0.12%
weekly systems:
MOA flat,fully cash
QFSec +$70 ,27% invested
Obelix: flat, fully cash
systems won $130 so basically flat but happy with that in such a week
The discretionary went backward  again, a slow grind due to mostly currency variations (USD/AUD/CHF) and PM/energy fall (mid week)
I am basically back to my July 1rst (Start FY)  position overall


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## ducati916

Trendnomics said:


> I can see alot of effort being put into trading a lot of different strategies, but not much reward.
> 
> Maybe time to consolidate and re-assess? Or blame it on the market changing?




I'm not sure if you are legitimately trying to be helpful. Your ending comment however is most definitely not helpful.

There are a few who post their results, warts and all, transparently. They should be encouraged as much can be learned by others. It is probably best that if you have nothing particularly constructive to say, you say nothing at all.

jog on
duc


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## ducati916

Trendnomics said:


> Maybe throw in some Jim Cramer quotes as well? We all know CNBC is a very reliable market reporter...




Another throwaway comment. PTJ is hardly a Jim Cramer. CNBC are simply quoting PTJ. So unless you have evidence that they have negligently or purposefully misquoting him you comment is without merit.

With regard to your previous post to Mr Frog, re. market changing, I note that on the 'Dump it" thread, you have issues with those that state the market has changed, short term testing posture.

I have commented on your post. You may not be aware.

The 'Dump" thread is exactly the thread to discuss/argue the merits/demerits of these types of statements/assertions. Hope to see you over there.

jog on
duc


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## qldfrog

ducati916 said:


> Another throwaway comment. PTJ is hardly a Jim Cramer. CNBC are simply quoting PTJ. So unless you have evidence that they have negligently or purposefully misquoting him you comment is without merit.
> 
> With regard to your previous post to Mr Frog, re. market changing, I note that on the 'Dump it" thread, you have issues with those that state the market has changed, short term testing posture.
> 
> I have commented on your post. You may not be aware.
> 
> The 'Dump" thread is exactly the thread to discuss/argue the merits/demerits of these types of statements/assertions. Hope to see you over there.
> 
> jog on
> duc



I am a fast user of the ignore function. 
Maybe a display of youth foolishness and inexperience, or just plain A.H, but quite a few technically gifted people here display an arrogance which i see no point to bear.
IQ vs EQ..or just dxxks?
2 just (re)joined my ignore list this week after i tried to soften my approach on ignore a couple of weeks ago.. different threads)
Good on these persons if they are successful, this year, on a $ figure on a portfolio value and believe their life is more valued that way.i somehow do not see it that way.
I do not plan early "retirement ", I have and am living it so no envy or jealousy .

This thread is posted for multiple purposes:
1)A selfish one to keep a journal..
While i obviously keep a record of my tracks, the mood,the relative performance and underperformance etc is reflected here

2)To share with people following their own trading/investment adventure:
No easy path, a long learning curve, some unexpected issues be they technical or market related..
so if i hit hard time, this might help them  to persist."a bunch of loosers crying together" will probably echo the alpha males (usually) 
3) And for more experienced system or other traders, give a comparison reference.
It is a lonely world out there, and if your results differ widely from others, yes it might be time to do a full check and retrospective analysis.
This is what allowed me to find the root (data obsolescence) of the slow degradation and fault of my systems till january 22 and the full reset needed then.
So as long as some people can be helped along the way, i will soldier on.
If Joe tells me otherwise,or noone cares anymore, then i will close the thread but i do not believe we are there yet.


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## qldfrog

I also want to restate i never ever sugarcoat my reports here, any absence or error is genuinely an error or forgotten data.
I do not gloat on items i am successful just by luck like doubling of price in a year for PPOR and IP...all making systems losses or gain trivial 
And i only "play" with systems amounts i could survive wo, and am never geared.
Let's see what happens next week with the systems😊


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## dyna

ducati916 said:


> There are a few who post their results, warts and all, transparently



Even though I can't contribute much , on here or on the other excellent thread " Dump it here" it's been an incredibly helpful educational tool on a personal level.

Old mate Nick Radge , too , has been fearless in his honesty. More power to him for that.
That six figure number with a minus sign in front of it, just turns my stomach over.
Thoroughly convinced now, I'll never make a systems trader. Will just have to stick to discretionary.....the "hit and miss " variety.
Cheers. And thanks everyone.


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## qldfrog

a quick late status  :I lost NBN after a direct lighting strike on a power post on my property so sucking data from 4G plan
->did not really go as i hoped for my reinvestment with major miners hit this week;
Overall the USD AUD played havoc with my int' portfolio so when currency goes up or down 1.5% overnight, the actual shares action becomes somewhat a side show

The XNT went up 1.65%??
Really, will have to check for details
systems are still mostly cash but QFSec is partly in
and the daily volatility ASX/NYSE was more or less flay


daily systems:
volatility US: +0.2k or +1.1%, back cash (I do not like to have open positions on the week end)
volatility ASX: flat -$10 or -0.02%
weekly systems:
MOA flat,fully cash
QFSec flat -$4 ,41% invested
Obelix: flat, fully cash
systems won $200 so basically flat but happy with that even if it sounds strange
The discretionary went backward by a few K.
a non event week far from the recovery I had hoped.
I am basically back to my July 1rst (Start FY)  position overall


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## qldfrog

a good week for the market XNT up 1.57% and for the frog even if it might not have felt like this


Obelix: 48% invested, +$0.6k or 1.94%
MOA unchanged, not invested 
QFSec 20% invested, gain of $1.13k or 1.33%
daily:
volatility ASX: 
no play
volatility US:
a small bet on1 day and $160 gain or .84 % but back to cash, very hard to catch anything consistent

overall gain of $1.9k or +0.63% this week for a set of system still 71% cash
and a weekly gain of just under 5 figures for the discretionary so happy frog


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## qldfrog

Got "the psychology of money" by Morgan Housel at the local library..very interesting reading.
i highly recommend to you, or your children 
Another week starting tomorrow after a good session on friday in the US for the Frog.
more weeks like this please...


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## qldfrog

All was well till last night US crazy move; 
while everyone is popping champagne, I lost nearly $5k on the day, some serious dollars thru the volatility ASX and US systems..that can happen  but more surprising, my  parcels in other trending systems did bad today
The more conservative and bland  discretionary choices smoothing the fall a bit.
For the week
XNT up 4%...yeap

daily:
volatility US: -$0.9k or -4.5%,  24% invested
volatility asx:-$0.8k or -1.45% 9% invested
Weekly
MOA unchanged , not invested
QFsec 20% invested -$0.7k or -0.87%
Obelix 84% invested -0.2k or -0.7%
So the systems lost $2.6k or 0.9% on the week and are 64% cash.
It is surprising as most packets  11 out of 16 are in the green, but I was better off last friday with these.
Maybe a market stock rotation?
overall on the week managed to gain a bit over $5k if including discretionary stocks and currencies
 but I was at a 5 figure gain yesterday !!!!


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## Newt

Crazy times, crazy volatility Mr Frog.  Glad you are in the profit at the end of the week however.


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## qldfrog

A disappointing week for the frog, especially the systems
XNT was flat +0.15%
but I put serious losses on days where the market was slightly up
The systems

daily
volatility US:+$10$ yeap 2 coffees equivalent..that my winner.... back in cash
volatility ASX:-$12.5 coffees are gone  ..92% cash

Weekly:

MOA: 87% invested -$1.4k or -2.73% outch

QFSec: 58% invested -$2.1k or -2.43% outch AGAIN!!!!

Obelix: 95% invested -$0.3k or -0.9% I can take that
overall -$3.8k or -1.3% that I consider a serious under performance notto say  failure.

To add to the pain, the discretionary, PM and currencies play did not do better and I end up with a 5 figure loss this week overall
I am now back in the red for the FY..how disappointing after catching up more than $40k of DD in 3 months and a bit with limited exposure
I will check these performance with peers but that might signal the end of QFSec which has been underperforming for a while in this market
Losses were actually quite concentrated: -
2 parcels of AMA lost 1.4k
2 parcels of PLL lost 1.2k and one parcel of CCT lost 700$ today 
Sadly I do not apply risk mgt to system positions as this would distord each system performance but it has a cost/risk..
Maybe i should..
When I started system tradings, I was limiting myself 2 parcels max for a code..I stopped that check..interested in your view there
Having multiple and hopefully distinct and different system is part of my overall  risk management /mitigation but if the systems are too similar or restricted to the same real, this is an obvious issue


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## frugal.rock

If it's any consolation Mr Frog, heading into open today, it hadn't been a good week for myself either.
But how things can "turn on a dime".

The main stock that moved this portfolio was held in another also. Long live discretionary.
AEV (Avenira) saved my bacon this week.


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## qldfrog

end of a not that great week where last 2 sessions made losses especially on my AUD expressed US portfolio..(currency plays are a bit moral busting..
the systems not that great:
QFsec was closed this week and a VWMA as inspired by Mr Skate posts started..but is not engaged yet
QfSec closure gained $0.6k or 0.79% but QFsec had a 11% loss for this FY so not good..and the reason it gets canned
daily 
volatility ASX was brought back to cash and lost $186 or 0.3%
volatility US remaining 100% cash.

Obelix: gained only $0.3k or 0.8% so underperformed and is 95% invested
MOA: lost 0.4k or 0.8% and is 87% invested
overall:
a gain of roughly 300$ for the systems , gain  which got vaporised by currency variation with a weekly loss of roughly $4.5k in AUD
overall portfolio back negative for the FY so not good as the xnt went from 73k to 83k during that time.
hopefully this new VWMA system will turn the tide


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## qldfrog

end of a  great week but with major up and down
Dailies
a conditional order used to trigger aUS volatility purchased  was made wrongly and I ended up buying the exact opposite of what i wanted/should have;
By the time i saw the error in the evening when receiving the portfolio summary,  i had to sell at a major loss and buy on the following day at much higher price $1.2k in smoke arrrrrggg That is never shown in backtests...

At the end of the week:
volatility ASX full cash no change
volatility US remaining 70% invested, -$1k or -5.6%.


 VWMA started on Monday and had lost nearly $4k by the end of the session arrrrrrggg
Luckily, the system caught up along the week but ended up still negative

VWMA: lost $0.7k or 0.7% and is 96% invested
Obelix: gained only $0.1k or 0.4% so under performed and is fully invested
MOA: gained $2.7k or 5.1% and is 88% invested
overall:
a gain of $1.1k for the systems or .36% with systems 22% cash
overall portfolio is green again but not by much after an 8K jump this week with currency and O/S market plays


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## Captain_Chaza

You are so very unlucky!

I wish you Better luck in the future



Luckily for you
Everyone loves a Loser
I feel for you!


You are not alone!


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## qldfrog

This week is not great and and most of my systems retreated to cash
the market (XNT) was down 1.2% on the week
daily: 
only US volatility had a bit of play and earned $900 or 5% with 78% cash tonight
volatility asx remaining cash....
weekly :
MOA lost $140 or -0.26%
VWMA sold all and ended down  $900 or -0.9% (Monday open sell plus brokerage costs) 100% cash
Obelix down around $400 or -1.26% and now fully cash as well
overall -$540 for the systems or -0.21% of investment while the discretionary part of the portfolio lost an extra $2k on PM/currencies and various exits
Have all a great week end


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## qldfrog

The market (XNT) was down 0.9% on the week
daily: 
only US and ASX volatility had a bit of play and earned respectively
190$ or 1.02% and $90 or 0.2%

weekly :
MOA sold all and went cash last Monday losing $570 or -1.09%
VWMA remaining 100% cash
Obelix remaining fully cash as well
All weekly systems are 100% cash..FWIW
overall -$290 for the systems or -0.04% of investment while the discretionary part of the portfolio gained $2 k on PM/currencies and various plays so not a bad week for the Frog
Have all a great week end


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## qldfrog

Wishing all my followers a merry Christmas 2022.
Does that sounds lke an OnlyFan post?
😂
And let's share a nice christmas tale for the happy season








						The buried gold, the crumbling fraud case and the billionaires’ tsunami
					

Sydney’s richest businessmen were on the hunt for a legendary cache of gold when things turned ugly.




					www.smh.com.au


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## KevinBB

qldfrog said:


> Wishing all my followers a merry Christmas 2022.



Happy Christmas to you, too, @qldfrog 
KH


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## qldfrog

so no Christmas rally here but not too bad a fall:
xnt down only 0.57% for the week;
daily volatility US: no play unchanged
daily volatility ASX: 20% invested -$90 or -0.17%
my weekly systems all in cash:
MOA unchanged
VWMA  unchanged
Obelix  unchanged
But Frog had a green Christmas with a portfolio up nearly 5k overall on the week.
All good
Have a great Christmas break, let's make more coin on the coming short week and start another volatile year in 2023


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## qldfrog

Last week of the calendar year and Santa is still missing......
The XNT lost 0.87% again;
Systems were mostly unchanged as all in cash except for a weak effort of volatility asx ending 20% invested and losing a bit below 93AUD or -0.17% so systems unchanged
The discretionary did not go very well either as it lost $3.1k on the week mostly on currency PM and a few small plays.Tonight session in the US will finalised the half year return;
Enjoy a great NY party, we might need to strap on again this coming year


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## qldfrog

So the half  FY summary for the portfolio:
XNT went from  73450 on the 1/07/2022 to close today at 80182  so a great return of 9.2%
For my systems:
we got these:
daily asx volatility +4k or +7.7% for the half year, below XNT but with far less exposure
daily US volatility +0.8k or +4.7% for the half year, below XNT but with far less exposure and much better than the US market
Weekly:
MOA:a loss of 1.6k or -2.8% bad..well below XNT


VWMA started on the 11/11 and was just active 2 weeks where it lost 1.6k or 1.6%


Obelix had more of a wild ride: lost 710$ or 2.2% loss as it kept being quite conservative:


We closed during the FY the QFSec which did lose $10.6k or 11%,BO  weekly stopped after 3.6k or 10% loss and wrong data detected
lastly Pete BB was stopped after only engaging 2 weeks in this FY and losing $1.5k or
So these are pretty bad results:
losing on the half year $14.8k
This was compensated by a 22k+ gain on the discretionary to end up positive but not by much
Let's see how the second half goes


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## qldfrog

qldfrog said:


> So the half  FY summary for the portfolio:
> XNT went from  73450 on the 1/07/2022 to close today at 80182  so a great return of 9.2%
> For my systems:
> we got these:
> daily asx volatility +4k or +7.7% for the half year, below XNT but with far less exposure
> daily US volatility +0.8k or +4.7% for the half year, below XNT but with far less exposure and much better than the US market
> Weekly:
> MOA:a loss of 1.6k or -2.8% bad..well below XNT
> View attachment 151059
> 
> VWMA started on the 11/11 and was just active 2 weeks where it lost 1.6k or 1.6%
> View attachment 151060
> 
> Obelix had more of a wild ride: lost 710$ or 2.2% loss as it kept being quite conservative:
> View attachment 151061
> 
> We closed during the FY the QFSec which did lose $10.6k or 11%,BO  weekly stopped after 3.6k or 10% loss and wrong data detected
> lastly Pete BB was stopped after only engaging 2 weeks in this FY and losing $1.5k or
> So these are pretty bad results:
> losing on the half year $14.8k
> This was compensated by a 22k+ gain on the discretionary to end up positive but not by much
> Let's see how the second half goes



These figures are to take with a bit of caution as i am not sure i recorded all dividends/distributions for either systems or discretionary.
So real results could be slightly better , but we are roughly flat + in term of % assets ,  whereas the xnt went quite well.
The xnt matched inflation.
My portfolio did not.


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## rcw1

qldfrog said:


> These figures are to take with a bit of caution as i am not sure i recorded all dividends/distributions for either systems or discretionary.
> So real results could be slightly better , but we are roughly flat + in term of % assets ,  whereas the xnt went quite well.
> The xnt matched inflation.
> My portfolio did not.



Good evening qldfrog
get a rum into ya...  Alcohol fixes everything ha ha ha ha ha

Happy New Year

Kind regards
rcw1


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## qldfrog

rcw1 said:


> Good evening qldfrog
> get a rum into ya...  Alcohol fixes everything ha ha ha ha ha
> 
> Happy New Year
> 
> Kind regards
> rcw1



I was born in Champagne country, so bubly it was for me 3 glasses so far😂


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## qldfrog

Happy New Year 2023 for my friends here and the great ASF community 🥂🥂🥂


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## qldfrog

xnt  up +1.1% for the week;
Most systems remained in cash but for the weekly MOA which restarted last Monday:

daily volatility US: no play unchanged
daily volatility ASX: 20% invested +$10 or +0.02% 
MOA 89% invested ,+$1.8k or 3.35%

my other weekly systems all in cash:
VWMA  unchanged
Obelix  unchanged
So a $1.8k profit for the systems this week or just 0.7% of system money which remains 77% cash
All good and an extra 4k from discretionary: ARU and PLS played well and currencies/PM broke even
Let's look forward tonext week where the frog will hook off for a short roadtrip.
Need a break, retirement is too busy


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