# US Trend following system portfolio (Hypothetical)



## jjbinks (22 April 2019)

Hi All,

I have decided to get on the systematic trading bandwagon but to do something different I thought it would be nice to try trade a system using US stocks. 

Basic system parameters will be
-Starting capital $50,000 USD
-Daily system
-No more than 2 trades per day
-Will trade any stock included in S&P 1500 as long as trading volume meets set criteria.

The system is the 20% flipper described in _Unholy Grails_ by Nick Radge. 
Data will be from Norgate.
System coded in Amibroker.

I aim to start trading this system in a few weeks but would appreciate any feed back re practicalities.

At this stage I am not keen to trade international stocks IRL due lack of knowledge re tax. (I need to read up on this/ talk to accountant) and currency risk. Curious to hear what others experiences and thoughts are on these two points. 

*Back test results (From 1 April 2017- 1 April 2019)*
CAGR - 14.05% 
Winning Trades 47%
Max DD - 11.4%
Sharp Ratio  - 0.36

Equity curves 




Cheers
J


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## kid hustlr (22 April 2019)

Hi,

Looks like fun.

Can you confirm the code for the flipper (I think it's a % swing from lows or something?)

Why this strategy?


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## jjbinks (22 April 2019)

Hi Kid,

_20% flipper _
buy when up 20% from last low
sell when down 20% from last high

_Why this strategy?_
I like the simplicity of the concept behind this strategy and would love to prove that it works!
(To actually code the strategy was not that straight forward for me. I do worry that they may be some issues with my code so am keen to see how real results compare with back tester results. )

There are other strategies from unholy grails which also outperform index with lower draw down. 

Cheers
J


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## peter2 (22 April 2019)

@jjbinks  Good to see someone tackle the US markets. 

You shouldn't have large DDs with only two open positions, unless you invest 50% in both. A little bit of commonsense management of the downside exposure will keep you safe. You know your exit will be -20% on every stock. Make that 20% a comfortable % of your account. Start a new position every time one open position is at entry +20% (break-even).

TAX US: You'll need to complete the US W-8BEN (individuals) or W-8BEN-E (trusts, companies) before buying US equities. This will instruct the US broker to not withdraw tax on any profits. All trading profits and losses should be converted to AUD and included in your yearly AUST tax submission.


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## jjbinks (23 April 2019)

peter2 said:


> @jjbinks  Good to see someone tackle the US markets.
> 
> You shouldn't have large DDs with only two open positions, unless you invest 50% in both. A little bit of commonsense management of the downside exposure will keep you safe. You know your exit will be -20% on every stock. Make that 20% a comfortable % of your account. Start a new position every time one open position is at entry +20% (break-even).
> 
> TAX US: You'll need to complete the US W-8BEN (individuals) or W-8BEN-E (trusts, companies) before buying US equities. This will instruct the US broker to not withdraw tax on any profits. All trading profits and losses should be converted to AUD and included in your yearly AUST tax submission.




Thanks p2

I think I was bit inaccurate in my description. Plan is for 20 positions 5% each (so each position theoretically only risking 2% of portfolio).
What I meant was that the maximum amount of new positions (Buys) would be 2 per day. 
Thanks for information about W-8BEN.


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## aus_trader (23 April 2019)

jjbinks said:


> Thanks for information about W-8BEN.




Yes, Uncle BEN needs to collect tax first, or is it Uncle Sam ? Then you'll have to declare those profits/losses to Uncle Oz (ATO).

As peter2 said, great to see someone showing the Yankees how to do it ! I considered having a US portfolio as well at times but just too busy to juggle so many balls at once


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## peter2 (24 April 2019)

@jjbinks  I'm keen to see you start when ready.
I've taken the time to reread the section on the 20% Flipper in Unholy Grails. I've even created a chart template, loaded the SP1500 and created a scan to find the triggered entries. I'm in the front row with a bag of chocolate honeycombs, ready to follow along. 

If you want any suggestions, please ask. There's so much we could discuss, but this is your thread and I'm going to stay quiet until asked. 

Sorry, there is one thing I'd like to say at this point. As this is a hypothetical exercise, I suggest you push your personal boundaries during this exercise. If you're risk adverse (too conservative) push it, start a few more trades. If you've lacked commitment before, then state that you'll post every week/month for one year. We're here to support you.


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## jjbinks (25 April 2019)

@peter2  I will probably start in the next 1-2 weeks. Will back test a few more ideas. (I have invested in more data recently so will back test a few more ideas)
Thanks for your support! 

Things going through my mind at the moment
1. RE: 2 trade rule
-->The 2 new trades per day was a rule I used for a 10 stock porfolio.
-->It actually is not so much about being risk averse but trying to pick the best when you have multiple opportunities
-->If there are a lot of signals being generated in a time period I thought it would be better to chose the best 2 stocks per day over 5 days rather than 10 stocks in one day.
--> As you may expect because of the 2 trade rule I use a ranking system to identify the best 2 trades.
-->I will backtest this rule again with different numbers of trades/day

2. Choosing stock environment to trade
--> I decided to go with S&P 1500 because I though it provides enough exposure to smaller stocks which are more likely to have big rises which I think makes a big contribution to porfolios like this
--> On the flip side S&P 500 would possibly be lower risk. 

3. Risk aversion and Market filter
-->I am not particularly risk averse. Happy to push boundaries (whether re number of trades/ capital etc.) 
-->20% flipper with market filter is relatively risk averse system. When market trends lower you get out of the market very quickly!

4. Currency risk management
-->This is currently my biggest concern about eventually taking this to real life if it worked.
-->In my portfolio I will be tracking value in $US but really what matters for me is final profit/loss in $AUD
-->Should I be reading about hedging etc. 

Last but not least would love suggestions from you and others. (Esp over the next 1-2 weeks)


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## aus_trader (25 April 2019)

jjbinks said:


> 1. RE: 2 trade rule
> -->The 2 new trades per day was a rule I used for a 10 stock porfolio.
> -->It actually is not so much about being risk averse but trying to pick the best when you have multiple opportunities



Good idea I think. It's best to scale into the rising market. If you put all 10 positions on in one go, it could be on the last day of a market high. So by putting one or two positions in a day you'll limit your exposure in a market downturn. So in this case you'll put your first position on that last exhaustion bullish bar, but then you'll stop buying as the market has huge down days on the next number of days limiting your portfolio exposure to just 1 position or as you said 5%.



jjbinks said:


> 4. Currency risk management
> -->This is currently my biggest concern about eventually taking this to real life if it worked.
> -->In my portfolio I will be tracking value in $US but really what matters for me is final profit/loss in $AUD
> -->Should I be reading about hedging etc.



Fortunately there is less movement in the AUD/USD. It's been hovering in the low to mid 70c area for a long time. It was a different story to the Aussie mining boom/bust days when it used to have massive volatility ranging from 50c to $1 (parity with US$).


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## aus_trader (25 April 2019)

Just to show AUD/USD historical price movement over the last 20 years, I attached a chart:




So over the last 4 to 5 years (2015 to 2019) prices are in a range between 70c to 80c.


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## peter2 (25 April 2019)

Your selection of a stock universe may be important. Lower priced stocks do move in greater % swings and they're less correlated to the main market index. Prices of lower priced stocks will mostly move due to company specific news rather than market sentiment. I would consider including all lower priced stocks in the Russell 3000 index with sufficient volume as candidates. They're also good takeover fodder as well.

I wouldn't worry about currency risk too much. It doesn't take very much margin to hedge $50K with 500:1 leverage (US limit 100:1). You might select a level eg 0.75 to buy some AUDUSD.

edit: As this is an exercise why not include a AUDUSD position at the start. You'll gain experience seeing the fluctuations as you go.


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## aus_trader (25 April 2019)

peter2 said:


> I wouldn't worry about currency risk too much. It doesn't take very much margin to hedge $50K with 500:1 leverage (US limit 100:1). You might select a level eg 0.75 to buy some AUDUSD.




I reckon so too Peter, I think the days of treating Aussie/Canadian dollar as commodity currencies and thrashing them around all over the place are over. I think AUD/USD will be fairly stable going forward unless something major happens like a war breaking out in the US or heaven forbit in our own country !


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## jjbinks (27 April 2019)

@peter2 
I have been contemplating your advise to take risks/ get out side my "comfort zone".

I have had a look at broadening options to include small caps and these are some backtest results for few different possible stock lists to choose from.
Testing period is from 2013-2019
These results are without using a market filter. 
(Market filter on the whole seems to reduce growth and make draw down worse during this testing period)



Testing further years shows variable results for each index. 
*
The NASDAQ has the most robust results when testing from 2007 on wards. *
If I were to trade this system in real life now I would trade the NASDAQ as the results are most robust by a clear margin. 
Also the results are not robust or as good when using index with high amount of small caps (e.g. Russell 3000)

*Also weekly results seem comparable to daily.*
I prefer daily trading for the "control" it gives but given back test results will opt to go weekly. 


*Update Trade Plans for now*
Have 2 weekly systems $50,000 USD each. 
1 system will be using NASDAQ index and 1 system (either Russel 1000 or S&P 1500 -->Does anyone have any strong reasons for which one to choose)
Maximum 10 trades per week/per system (i.e. 10 new trades/week total)
Position size will be 5% of capital. I.e. starting positions will be $2500.
No hedging for now as seems a bit complicated for this exercise. 

Scripts are ready for trading. 
Need to decide on the second index. (Will go with Russ 1000 unless people have strong preference for S&P 1500 or reasons to reconsider other index)
Will post some example trades over the next few days. 
Should be good to start this in 1 week!

As always welcome any questions, feedback and suggestions!


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## peter2 (27 April 2019)

Well done on doing the research. The decisions on the stock universe to use are easily made with that data.

The results for the R2000 and R3000 seem awry.


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## aus_trader (27 April 2019)

jjbinks said:


> If I were to trade this system in real life now I would trade the NASDAQ as the results are most robust by a clear margin.



NASDAQ which includes the tech giants like Apple and Google has had a really strong run compared to the other markets considered. So the results are in line with what has happened over that period.


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## jjbinks (5 May 2019)

Just an update.
I have delayed starting as I have picked up some issues with my flipper code. (Main issue relates to accuracy of back testing)
I think the code works in principle and probably could be used to start trading.

I am going to continue working on the code and delay starting for another week.
If not I may consider a simple strategy such bollinger break out.


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## aus_trader (5 May 2019)

jjbinks said:


> Just an update.
> I have delayed starting as I have picked up some issues with my flipper code. (Main issue relates to accuracy of back testing)
> I think the code works in principle and probably could be used to start trading.
> 
> ...




Take time to refine your strategy jjbinks, it's a lot easier to get it fine tuned at the start as you have less emotions attached to live positions.


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## peter2 (6 May 2019)

I'm pleased that you've noticed an error as I thought there was something wrong looking at the back test result summaries.

I spent some time looking at the flipper signals on smaller priced charts. While smaller price stocks move a lot in % terms and provide great winners, a 20% move both up and down is very common in the smaller priced stocks. A normal daily ATR can be 20%. This creates lots and lots of losing trades. A market filter will not filter out enough losing trades. I would suggest incorporating a volatility limit and definitely a minimum volume or value traded filter to reduce the number of losers.

Yes, definitely take your time and only start when you're 100% comfortable.


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## peter2 (6 May 2019)

The juices are flowing... One thing that I've always disliked about rotational momentum systems is that the entries are most often too late (IMO). What about combining a flipper type entry with a rotational momentum exit methodology. We fill our portfolio with flipper entries, then periodically (each month) we calculate and rank the rate of change (ROC) of each open position. The open position with the slowest ROC or all positions lower than a cutoff value are immediately sold and replaced with new flipper entries. We repeat this every month.

The flipper entry will get us into a trend early and the rotational ranking will exit all the slugs (the losers and those going sideways. 

This idea is a random thought for any of the Amibroker uses who can code it. I'd be interested in the results.


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## peter2 (6 May 2019)

Scratch my last post. I've got my work to focus on (US stocks short term) and JJbinks has his. 
One random idea can see me fall down the rabbit hole.


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## jjbinks (6 May 2019)

Thanks for the kind words of encouragement guys! 

And peter2 you are spot on regarding volatility and many losing trades.
I already filter stocks based on turnover (minimum $500,000 turnoover or 500,000 stocks/day) this is based on Nick Radge's Holy grails book.

Currently I am trying to compare my system to what is described in Holy Grails. I am under the impression the code in the book does not use a market volatility filter or filter stocks by ATR.
Important to note that Flipper system in Holy Grails without a market filter had 950+ trades from 1997-2011 and 40% win rate. The max DD for the unfiltered system was only 35%.

Currently when i retest this I have a 35% win rate and about 1000 trades. When the market takes a turn for the worse or becomes more volatile the losers accumulate very quickly like you said.

As I have mentioned I could move away from the flipper strategy to alternative system which I have confirmed decent backtest results for but I am enjoying the challenge of trying to code the flipper strategy as described by Radge.

Also keep the suggestions coming. I hope to one day move on from the flipper challenge and attempt something new!


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## rnr (6 May 2019)

Hi jjbinks,

"The challenge is good fun isn't it, frustrating at times but still fun."
Hang in there because the fun part probably has a way to go.

"I already filter stocks based on turnover (minimum $500,000 turnoover or 500,000 stocks/day) this is based on Nick Radge's Holy grails book."
The above statement requires a slight adjustment to read based on turnover (minimum $500,000 turnoover *AND* 500,000 stocks/day).

The above adjustment above might explain some of the variations between the book and your results to date.
If you don't mind me asking:
1) are you including delisted stocks,
2) are you referencing the ZigZag function in relation to the 20% move in either direction?

Cheers,
Rob 
(Following with great interest.)


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## jjbinks (7 May 2019)

Hi @rnr

Thanks for suggestions.

1) i have tried 'AND' and 'OR' to filter based on turnover/volume.
To me AND makes more sense but the book to me suggests they use OR so i test with both options.

2)The current stock universe for xao including delisted is 2019. Nick had 1847 stock universe.
Data gets updated and innacuracies get fixed so i dont expect to match radges results exactly but should be close.

I have tested some of the other simpler ideas in the book and get results reasonably close to what radge published so feel my stock universe is not too different to what radge used.

3)not using zig zag


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## rnr (7 May 2019)

@jjbinks 

Thanks for the heads up.

Just looking for areas that may be of concern.

Just out of interest are you aware that Richard Dale offers 2 alternatives for Amibroker data used in back-testing?
As well as Premium Data (PDU) there is also Norgate Data (NDU) which was released approximately 12 months ago.

Links to ASF post and Norgate Data 

Cheers,
Rob


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## jjbinks (19 May 2019)

Despite the extra week of tweaking. I have not managed to replicated Radge's flipper results.

For the time being I have made some tweaks to filter based on volatility (as per P2's suggestion  )

I will start trading Monday. This will be a weekly system. 
Starting capital will be $50,000 USD. 
Position size $2,500. 
Maximum of 4 new positions per/week. So would take  5 weeks to be fully invested if market conditions are favourable.

See example trade below




Green line is the 20% flipper buy line and red is stop loss. 

So buys for Monday are
HRS
RNR
MTCH
LAWS

I am using IB paper trading to hopefully make trailing stops more realistic. 

Not going to worry about currency at this stage.
As always suggestions/feedback welcome


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## jjbinks (26 May 2019)

No new trades this week.
With 4 trades on Monday portfolio is 20% invested.
Small movements in price in selected stocks have cancelled out so net change in porfolio size is essentially zero!

Russell 3000 was down >1% this week. 

Current portfolio


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## rnr (26 May 2019)

Hi @jjbinks 

I can see that the second stock in your list has heaps of potential, so obviously a wise choice.

Cheers,
Rob


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## jjbinks (1 June 2019)

Hi all,

@rnr  RNR is my best performing stock so far!

Russell 3000 has been trending down last 2 weeks. (Down ~3.5%) . Limiting my buys to only 4 new buys per week has limited losses so far (of course if market was up 5% perhaps I would be wishing i was invested sooner but I prefer the "gentler start").






Will be buying 4 more stocks come Monday.
SEAS
HEI
GWR
CHCT


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## qldfrog (2 June 2019)

Much appreciated this thread jjbinks
And like your 4 per week max buy
Paper trading so far?
Quick question
When you move real $, who do you plan to use for aud/USD exchange and brokerage?
I have a small us portfolio with comsec/pershing but there is no way i would actively trade with their brokerage fees..or even exchange rates


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## jjbinks (2 June 2019)

Good question @qldfrog 
I have limited experience trading foreign stocks and others may be able to answer this question better than I can.

Interactive brokers offers low brokerage for US stocks. min USD $1 or 1%

Re currency exchange IB forex is also relatively cheap
0.20basis points or min $2. I believe they have good spreads.
So I think if you apply for a forex account you could transfer say equiv of $100,000 usd for just $2.

I have not tested this and would love if more knowledgeable people could confirm or refute this!


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## qldfrog (3 June 2019)

I thought there were problem to open new accounts from Australia with IB but I might be confused
Interested as well
The bigger size market would make systems more interesting in my opinion
We are really plating in a small world here with the ASX


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## jjbinks (10 June 2019)

4 new buys this week. 
MSI
STAR
SAIC
APLS

Porfolio essentially is flat. No suprise give it is only 35% invested and only 2 weeks in. 
I stuffed up stop loss for CHCT last week so essential bough and sold same day for a few dollars loss . 

Need to be more careful with entering orders!!

Will post more detailed update next week.


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## jjbinks (15 June 2019)

Hi guys,

Another weekly update.

Current portfolio



Total porfolio -0.5%. 
Russel 3000 Index  +0.8%

A few things to note. Most of the trades are priced above $20 and many above $100. I do wonder if buy smaller cap /lower priced stocks will offer better returns. Will test this!


@rnr continues to be the top performer.


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## peter2 (16 June 2019)

Good start considering the tech sell off and that the small caps are on the nose at the moment (ie the Russell index is weaker than the others). 

You've got me thinking about the system. I've reviewed the charts of your selections so far. May I offer you some suggestions that could improve your potential profits? I would expect you to test my suggestions to see if they are, in fact, better.


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## peter2 (16 June 2019)

Before I continue, with your permission of course.
I'd like to know your definition of the low from which your flipper buy trigger is calculated on.
Is it a yearly low or a six monthly low or something innovative like the lowest low after a yearly high?

This low is pretty significant in your system.


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## willoneau (16 June 2019)

Hi jjbinks, I am interested in your ranking system. Is it much like nicks "bang for buck" or something else?


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## jjbinks (16 June 2019)

@peter2 
Suggestions are always welcome. And of course I will back test. 

The low is actually any low since the last buy signal. So this could be a week ago or in some cases may years ago. 

@willoneau 
my ranking system is uses an RSI. To be honest it doesn't add much to return. 

p2 and your questions have got me thinking that perhaps I could use time since last low for my ranking?

Will report back!


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## rnr (16 June 2019)

I've posted a daily chart of FMG so that those members who only have access to ASX data can relate this pic to their charts.
Signals (Daily on this chart) are Buy on next bar after blue line and Sell on next bar after red line.
The green line is a 20% high-to-low zigzag.

@jjbinks
I'm not trying to derail your thread with this post.

Cheers,
Rob


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## jjbinks (16 June 2019)

Hi @rnr

I don't think you or anyone else needs to worry about "derailing the thread". 
All comments are welcome. Often there is something for me to learn and hopefully others.


The zigzag indicator is forward looking when used for back testing. (you don't know what a top is until you have passed it)
So the flipper code does not use it. 

This is a chart with zig zag (in blue) and my "20% trailing buy and sell lines" in green and red respectively. Arrows show sell/buy signals





The buy signal is 20% rise from any low since last sell signal or buy signal.


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## rnr (16 June 2019)

Hi @jjbinks

My apologies for some missing info on my previous post (@#38).
Using the HiLoZigZag set at 20% the Blue line signals when a 20% rise is locked in and the Red line signals when a 20% fall is locked in.

I totally agree with your comment that "The zigzag indicator is forward looking when used for back testing" when used on its own and that is why you need additional code to create the signals as referred to above.

Cheers,
Rob


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## jjbinks (16 June 2019)

@peter2 

I looked at backtested 700 trades by the system on russel 3000 over 20 year block. 

The median rise from low point prior to buying is 30% (IQR 22-55). 
The time from low point to buy is is 12 weeks (IQR 6-20). 

When you plot rise from low point, rate of rise or low days there is no correlation with profits.


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## peter2 (16 June 2019)

Thanks for posting the FMG chart with your flipper template. My first suggestion would be to test the performance of the first buy signal after a sell signal. Ignore the subsequent buy signals. 

I've noticed in some of your US stocks that you've been buying 2nd buy signals as well as 1st. 

2nd suggestion:  Daily or weekly charts?  I know you scan for a close above the trigger each week. The trigger is based on price and when it happens that's the time to buy. I noticed in a few charts that you bought right after a price spike due to a good earnings report. Buying significantly above the +20% trigger level skews your R:R badly. I think you should place a limit, that is the maximum you should pay for a stock after it triggers (eg 25%, or a few % above the flipper trigger price).


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## jjbinks (16 June 2019)

Hi Peter, 

thanks for the suggestions,

1) Removing excess signals - I did explore that early on when designing the flipper and my impression then was that return was poorer after removing extra buys. (That was when testing on XAO). Retesting now shows similar return/draw down
2) Changing code to limit buys to 5% or even 10% of trigger price reduces profitability - looking at trades made by backtester with the system as is. Even if i divide the trades which were 5% or less above initial trigger vs those 10% or above trigger the mean profit per trade is very similar. 

I have made a lot of tweaks to this code. Particularly with the buy signals (trying to filter based on volatility).  I think it may be worth going back to a very basic code and retesting your suggestions. 

The other thing I tried (partially inspired by your other threads) was to try incorporate sector specific filters into trading. So only buy if Index UP and sector index Up. For this I would have to trade SP1500 as I don't have sector indexes for the Russell 3000. 

Cheers
J


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## jjbinks (23 June 2019)

Hi all,

Quick update for the week
Portfolio up 0.6% for the week (0.1% to date) vs 2.14%(2.9% to date) for the Russell 3000

4 new trades lined up for Monday.

Bought and sold ENZ this week. (Actually sold before trail triggered due to error in ordering. I always put in a fixed stop loss when I order and add trail stop the following day. I think I entered the wrong value for the fixed stop loss. )




I am thinking of how to optimise entries. Many of the trades so far seem to drop a few percent before rising again Would be interesting to look at back test results to see if this is more general occurrence. If so may be I should wait for a second signal after 20% rise to confirm buy.

Will do some analysis and post 

Cheers
Jj


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## jjbinks (23 June 2019)

As mentioned I am back to the drawing board.

I've trimmed my flipper code to just the bare minimum and a market filter to test different situations. I using backtester to generate all possible trades and then performing simple statistical analysis of various factors around the time of entry to see there is statistical significant predictors of the price. Backtester produces 20,000 trades and you can add whatever metrics you want and then copy the information to excel or statistical analysis program to investigate.

This is different from optimisation in a few ways. The main difference is you can optimise a parameter (e.g. only buy if close price <10) but you do not know if a 2% improvement in profit is statistically significant or just explained by chance.

For example. This is a plot looks at buy price and profit




I think it is pretty obvious that 1-10 is a sweet spot. Simple statistical testing (e.g. t-test or anova can confirm this).

I looked at a few things
1)Buy price
2)Delaying buy by a few bars post signal and looking at whether price drops are rises in this period
3)Current price relative to 100-period high.

After applying this to the flipper

On SP1500 i get
CAGR - 12% with max DD-28.55% over 1997-2011 period. (Data used from this period for analysis)

I then tested from 2012-now 
CAGR - 14% with max DD 12.85%

and if i used a market filter from 2012-now
CAGR-10.91% with max DD 9.29%


Now whats interesting is that if I apply this to all ords results are equivalent (slightly better) but removing the extra conditions I added result in less than 5% chance in profit and draw down and you still have a profitable system.

But if you remove this extra conditions for the SP1500 your profits crash to 0% and drawdown 40%.

I think this adds to what @peter2  mentioned about the us market.



peter2 said:


> Just for fun I applied that scan (Oct18) over my list of US optionable stocks (3600) and there were 1571 results. At 2 sec/chart it would take me almost an hour to go through. With distractions 2hrs.
> 
> This is why setting up trading systems for the US markets are so much more difficult. The number of available stocks is huge. The first task is to reduce the trading universe to a much more manageable number of stocks.




Reducing trading universe is potentially not only important to save time but profit.
On the note of time. The reason I didn't run the analysis on russell 3000 is that it when you also include historical constituents the analysis takes much longer (e.g. 30 seconds vs 90sec). It adds up!

(But a final run of new flipper on russell 3000 from 2012-2019 has CAGR of 13% and maxDD of 19% without filter and 12%/19% with filter on.

I would love if people continue with suggestions and ideas and I will try to test these. These results are weekly and it will be interesting to look at things on a daily basis as well at some point

Cheers
JB


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## jjbinks (30 June 2019)

Currently portfolio is almost completely invested. (Room for 2 more trades!)


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## jjbinks (7 July 2019)

Portfolio finally making some gains in what was a good week overall for the russell 3000


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## jjbinks (21 July 2019)

Portfolio down 1% this week following the russel 3000 after a couple of good weeks.
No new trades recently although cash for more positions.


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## jjbinks (21 July 2019)

Also thought I'd share some results on a daily system largely based on new highs I have been testing on all ords. 

I started recording trades for this system late Feb (25th onwards)

These are results so far


I'm not too sure if the big rise and drop from week 10-14 was partially due to typo in spreadsheet for one stock. 


What's interesting is that back test shows quite big difference in portfolio equity curve just adjusting starting day by 1-2 days. 



Start 25/2



Start 26/2




If i started at start of Feb (2/2/2019)



Overall this is not an amazing system. Average annual return is 10% with draw down of 30%


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## Newt (21 July 2019)

I used to worry about how different backtest results could be by just nuging the start data too jjbinks, but it probably makes sense when you consider TF systems have a relatively small number of large winners and missing (or catching) just one of those can have a considerable effect on the equity curve.  
There's nothing wrong with wanting to maximise return and reduce variability, but the equity curve is always going to fairly "lumpy".


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## Newt (22 July 2019)

Grrr, I need to slow down my typing.

nuging = nudging
data = date
going to fairly = going to be fairly

Promise I wasn't on the turps last night!


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## rnr (22 July 2019)

Newt said:


> Grrr, I need to slow down my typing.
> 
> nuging = nudging
> data = date
> ...




Hmm, given the deep purple colour of the emoticon I'm tipping a good mature red, rather than turps.


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## jjbinks (28 July 2019)

Portfolio tracking along with the Russell 3000. 
90% invested at this stage but now new trades recently. 

Been busy this weekend but may be more of an update next weekend.


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## jjbinks (4 August 2019)

Portfolio continues to largely follow russel 3000. Ahead (although slightly for the first time)
Overall portfolio up 3.3% after 11 weeks) vs russell 3000 which is now 2.34% up since start of this system.

Trading/system development has taken a back seat to other priorities unfortunately. I can't see myself testing/tweaking until late august but definitely have a few ideas to test and report back on hopefully when I have the time.


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## jjbinks (11 August 2019)

I think i had my colouring on the graph switched last week. 
The russell 3000 also had 2-3% fall earlier in the week but recovered to end the week -0.48%
Portfolio was up 0.7% 


No new trades this week. (Still 1 position available to fill )


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## jjbinks (18 August 2019)

Finished quite flat this week. 
Small error in data entry last week so was up ~2% last week
~0.2% this week. 
Interesting Russell 3000 was down only 1% for the week. Had strong recovery on Friday so hopefully we see XAO follow this on monday. (vs 2.7% decrease for the XAO)


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## Newt (18 August 2019)

What sort of strategy modification did you end up with in the end jjbinks, out of interest?  Appreciate you sharing this experiment.  I've never found the time or strategy to warrant tackling the US or any other other global market.


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## jjbinks (18 August 2019)

Modifications
1. Limit price to $1-20 (this was main one)
2. Delay buy for few days to ensure price continues to trend up.
3. Pick stocks trading close to 2 year highs. (this helps reduce DD without  market filter)


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## Newt (18 August 2019)

No 3 sounds particularly interesting.  Most appreciated - you never know how these ideas can help (or hinder) a strategy.  Feels like modern day gold prospecting when something promising comes up after lots of programing/backtesting.


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## jjbinks (25 August 2019)

End of week 13 since trading started. (That's a quarter of an year .. right?!)

System and russell both down this week. 
Currently portfolio 4.9% profit since start (down 0.9% for the week)
Russel 3000 -0.78% for since start of trading period. (down 1.48% for the week)

With the flipper positions tend to be held for a long time. Have only sold one position since starting and that was an error in execution! I suspect if US markets continue to fall portfolio will take a fair hit. (20-30% DD not ruled out)
Time will tell.


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## Sir Burr (26 August 2019)

jjbinks said:


> @peter2
> 3. Risk aversion and Market filter
> -->I am not particularly risk averse. Happy to push boundaries (whether re number of trades/ capital etc.)
> -->20% flipper with market filter is relatively risk averse system. When market trends lower you get out of the market very quickly!






jjbinks said:


> 3. Pick stocks trading close to 2 year highs. (this helps reduce DD without market filter)




Just curious if your using a market filter?
Flipper I use on the ASX pulls the stop tighter when the market filter goes negative and no buying.


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## jjbinks (26 August 2019)

Not using a market filter.
Initial code had market filter but I removed it as it did not improve profit or reduce DD.

I personally don't think tightening stops makes huge difference in long run. (i.e. 10% vs 20% stop loss as suggested by holy grails)
Using market filter to stop entries when market is down does improve results when i've played around with it but currently I only will stocks close to 2 year highs and when I do this market filter is not that helpful


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## jjbinks (1 September 2019)

Update on flipper 
So 


This is the current holdings. 
As you can see only one sell (that was a mistake). 
With 20% trailing stop stocks don't get sold very quickly.

One of my concerns about trading this system IRL was how to manage risk of currency fluctuation. 
One way to hedge would be to use an ETF such as AUDS. (https://www.betashares.com.au/fund/strong-australian-dollar-fund/)
Curious to see what people think about this. 

Overall the Russel was up 1.9% and system followed along.


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## jjbinks (8 September 2019)

russel was up another 1.6% this week.
Portfolio was ~0.3% down


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## jjbinks (15 September 2019)

Portfolio down this week by >1% compared to russel 300 which was up by >1%.
Had 3x sells with stocks hitting the 20% trailing stop


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## jjbinks (22 September 2019)

Up 1% this week compared to Russ300 which was down slightly.

Currently on 75% invested after sell off last week
My current trade filter is stricter than what I started with so having so not getting any buy signals recently. Could also be due to market down turn. 
Will need to do a bit of back testing to sort this out. (Don't have the time right now)


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## jjbinks (28 September 2019)

Portfolio fairly flat whilst russel was down ~1% this week.

My US data subscription comes to an end in a few weeks and this little experiment will also probably come to an end. 

 At this stage I will probably not renew my subscription as I do not have time to back test and tweak strategies to make it worth while. I do feel the US market is definitely tradeable and perhaps I will return to it!


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## peter2 (29 September 2019)

@jjbinks  Thank you for making the time to post your research. I'm grateful for the glimpse of a system trading the US markets. There's a lot more opportunities in the US markets for all types of traders compared to the ASX. 

@Skate 's Hybrid and CAM strategy would work just as well in the US markets. There'd be no problem filling 40 - 50 positions.


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## Sir Burr (29 September 2019)

jjbinks said:


> View attachment 97705
> 
> At this stage I will probably not renew my subscription as I do not have time to back test and tweak strategies to make it worth while.




Hi jjbinks, can you expand thoughts on this?

Why does the system need further tweaks and backtesting? Why not leave that as a yearly thing?

I don't know about you but to me $700 is a fair chunk of cash for the data (Platinum) required for backtesting. It's good data but still a lot of cash. I've just taken out 6 months data as I have not had time to backtest Flipper in the past month. Planning to do it soon then drop back to a lesser subscription when it runs out.


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## jjbinks (29 September 2019)

Hi @Sir Burr ,

I took a 6 month subscription of platinum which as you point out is a fair bit of cash. It is great data and I'm sure I will probably look at it again. 

RE: Tweaking.
I was not planning on tweaking the flipper code further.
Testing the flipper was really meant to be a step to then back tests more systems! 
I would not trade the flipper because the results on Russell 3000 are not good over a longer testing period.

See: https://www.aussiestockforums.com/t...em-portfolio-hypothetical.34661/#post-1024112

Even with some volatility filters/price filters I CAGR is only about 5-8% depending on testing period. (So effort not justified IMO).

Would be keen to hear how your results are when you get around to it


Cheers
jjb


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## jjbinks (5 October 2019)

peter2 said:


> @jjbinks  Thank you for making the time to post your research. I'm grateful for the glimpse of a system trading the US markets. There's a lot more opportunities in the US markets for all types of traders compared to the ASX.
> 
> @Skate 's Hybrid and CAM strategy would work just as well in the US markets. There'd be no problem filling 40 - 50 positions.




Although my trading experience has been relatively brief and IMO to brief to draw any conclusions. When I back test simple systems the over the last 10-20 years the return vs drawdown is always better when trading the Australian market.
This makes me wonder whether more opportunities are always a good thing. I definitely agree that it will suit some type of traders better but perhaps not all. I've come to the conclusion that you need to tailor your system to the market. 
Although the same principles may apply it may work at different time frames (Both the signals you use to identify trades/aswell as trading frequency) and you may need slightly different filters to best suit the market.


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## aus_trader (6 October 2019)

Good effort in testing this strategy jjbinks, keep up the work in testing strategies that can outperform.


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## Newt (6 October 2019)

One other thought jjbinks about market noise, "maturity" and the suitability of trend following versus mean reversion....

There was an excellent Better System Trader podcost with Perry Kaufman which looked at the sorts of strategies that outperform in new markets, and those in older, mature, much more noisey markets.  Essentially the US would be the ultimate example of a mean reverting, noisey, mature market where trend following is harder (definitely not impossible).  Likewise it might be that MR in the US markets makes more sense the Aus.

http://bettersystemtrader.com/010-perry-kaufman/


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## sir elements (20 August 2021)

jjbinks said:


> I was not planning on tweaking the flipper code further.
> Testing the flipper was really meant to be a step to then back tests more systems!
> I would not trade the flipper because the results on Russell 3000 are not good over a longer testing period.



I was looking at the 20% flipper strategy and was curious if anyone here had applied it (hence the search and finding an old post). I'm not sure if you were applying it correctly? When you bought some of the stocks they were already trending and shouldn't have been buy signals. The way it was applied here seems to be more like what Nick Radge talked about in Chapter 7 of Adaptive Analysis with 20% zones.

I have attached charts to show you what I mean. The arrows are where you bought, but the buy signal was well before the buy points.


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