# Tech/a Techtrader - my questions



## TjamesX (22 June 2005)

I have some questions I would like to ask Tech/A regarding the Techtrader system, and rather than just PM'ing him I thought it may be worthwhile (if he is kind enough) to provide some answers for all to see.

I have read numerous threads about the techtrader system and no doubt there has been many many many man hours developing and experience gone into it. I myself am not cut out for pure technicals and the amount of time required to develop the skills required for sort of analysis. (Having said that I'm not adverse to leveraging of other people that have)

I have a number of questions and I'll keep them all in this thread, but I'll start with only a couple. Some may have been answered before - apologies, but maybe we can consolidate them in this thread.

Tech/A - whether you answer the questions is obviously up to you. If you dont want to answer any thats fine.

TT  = techtrader

Q1) How far back (data wise) have you tested TT, and what is the earliest time for which you have meaningful data to test the system?

Q2) What is the longest period of time that a portfolio trading TT has been negative (in loss - using zero leverage)? On second thoughts this is incredibly data intensive. I suppose you could measure it with portfolio entries at yearly intervals starting from the earliest period for which you have meaningful data (ie answer to Q1). If you wanted to increse the resolution of results, look at portfolio entries at every half year period or monthly period. If you insane, resolution of portfolio entries for every day!!........... You don't have to answer this question - this is more of a project    

Q3) As a substitute for Q2 - What was the portfolio return using TT with entry on 01 Jan 2000 and finish at the low for the XAO (around Arpil 03) using no leverage?

Cheers
TJ

PS more questions to come..............................


----------



## TjamesX (22 June 2005)

With reference to Q3 - here's a graph of the XAO for the last 10 years.


----------



## tech/a (23 June 2005)

Tjames.

Thanks for the questions.

(1) I have data back 8 yrs and yes this is a problem for those testing methods.
Infact I never clean my data---havent done so for 3 yrs and as a result have stocks that are no longer in the data downloads as they are delisted.This gives some more accuracy to testing.But clean accurate data is a huge issue.Not so much for portfolio traders but definately for Futures or Forex traders using tick data format.
So 8 yrs.

(2) Its not just a matter of comparing equity graph's v the All Ords.
For there are 2
1------closed trade equity this graph is less than impressive as it only records CLOSED trades.---When trading very longterm---years in T/T's case in some trades we can have a great deal of consecutive losses while a full 10 share portfolio is being purchased.So this graph looks terrible.---MEANWHILE

2------Whats not being recorded on the graph is OPEN Equity---the on going unslod profit that remains in the method until its sold out or a trade triggers an exit.This graph is MUCH smoother.I havent run these over the last 8 yrs for ages but off the top of my head I think the biggest DRAWDOWN on CLOSED TRADES was around 20%---however open trades had the method in profit continually.---The initial Drawdown was around 12%---thats the figure needed according to testing to get the method up and running.
Ill run it again and post both graphs--both closed and open equity,at latest Saturday.

3----This is a common question asked---How does the method perform in less than ideal conditions.
Firstly testing over short timeframes is pretty impossible as the AVERAGE trade time length for winning trades is just under a year (330 days) and losers is average around 40 days.---However we can test open equity as against closed trades so while no conclusive can give an idea.

Secondly the method is a LONG---UPTRENDING trading method designed to catch and ride trends---its not designed to out perform markets in downturns.
In downturns we do get drawdowns.However I have been working on reducing even these times of drawdown---more to the point reducing the drawdown.This can be done buy trading the equity curve or the index curve as a 'Portfolio" exit methodology.The Amibroker experts have been kind enough to lend a hand testing this idea (As Metastock/Tradesim combo cant do this). Their results so far in early days are that impressive I sold the total of my portfolio about 6 weeks ago when the index fell below the 180 day EMA.As doing this increased profit 3 fold---in tests.

Ive just returned to the market with my long term portfolio---Time will tell if my personal result is as good as testing---I left my re entry later than the testing model---but Im up on holding the portfolio---except for bloody tax.!

I can and will also run these periods in answer to your question for you,but place all results in context of the methods character.

tech


----------



## TjamesX (23 June 2005)

Tech, with regards to Q1 and Q2, yes I would be evaluating the system on closed trades plus equity position at any one point in time. So if we entered the market at any point in time with say 100k cash, I would monitor TT performance at any point in time by how much cash is left in the trading account plus the value of all equity positions (ie total assets). So any comparison percentage wise of TT I would look at the % rise/fall of total assets compared to original assets (100k).

I assume (if I rememeber correctly) that in backtesting TT there is no account for dividends/franking credits recieved - but this is offset by the non inclusion of brokerage on trades.... ie we'll assume they cancel each other out.

The reason for Q2 was to basically analyse a whole basket of portfolios using TT, but entering the market at different intervals ie 8 scenarios, each with their start date 1 year apart (for 8 year data set) - or if you wanted to get more detailed analysis 8x12 = 96 portfoios with their start date being 1 month apart. Then for each portfolio we'd analyse the results over the life of the portfolio monitoring time at which point the return was worst (open + closed trades), what was the longest period of time the total return (open + closed trades) was negative. I think this would give an accurate picture (over the 8 years of data) of the periods where TT did its best and worst relative the the market - but obviously is a lot of work, which is why I eyeballed the chart and chose the period to test for Q3.

The reason i chose this period was to incorporate analysis of TT in a downmarket, but also give it enough time (> 3 years) to provide meaningful analysis. I'm not expecting TT to return positive, but am very interested in the results.

OK..... sneaking in another question   

Q4) A day in the life of TT - using TT you have mentioned that you only use a small amount of your time out of your day implementing the system. So on an average day what would you do...... ie 

When do you run TT, each day? Do you download daily EOD data and Run?
How do you implement buys/sells TT has flagged (ie online broker, full service broker, automatically?)
How do you determine position size when entering a trade?
Do you implement all buy/sell signals or some? If only some how do you chose which ones? Does TT rate the strength of buy/sell signals relative to each other?

ooooohhhhh i'm getting greedy now - was that 1 question or 10!!

Cheers
TJ


----------



## tech/a (23 June 2005)

TjamesX said:
			
		

> The reason for Q2 was to basically analyse a whole basket of portfolios using TT, but entering the market at different intervals ie 8 scenarios, each with their start date 1 year apart (for 8 year data set) - or if you wanted to get more detailed analysis 8x12 = 96 portfoios with their start date being 1 month apart. Then for each portfolio we'd analyse the results over the life of the portfolio monitoring time at which point the return was worst (open + closed trades), what was the longest period of time the total return (open + closed trades) was negative. I think this would give an accurate picture (over the 8 years of data) of the periods where TT did its best and worst relative the the market - but obviously is a lot of work, which is why I eyeballed the chart and chose the period to test for Q3.
> 
> 
> Cheers
> TJ




I have the benifit of MonteCarlo analysis.
Hence the method has been tested over 20000 portfolio's.There is a 100% success rate---IE not one of the 20000 returned a loss.I will also run the Monte Carlo analysis and post the results.--Chart form seems to be the best way for people to understand or at least visualise.
For those who dont understand Monte Carlo analysis its simplest explaination is --

*Give 20000 traders each $100,000 and your method and tell them at different intervals to go trade your method and bring back the detailed results in 8 yrs.*

Fortunately I can run the test in a few minutes.
Much was gleened by this analysis.
Standard deviation of wins and losses and return was small under 10% if I recall.Not EVERY trade needs to be taken to be profitable infact there are  more buy signals than capital could possibly take.



			
				TjamesX said:
			
		

> OK..... sneaking in another question
> 
> Q4) A day in the life of TT - using TT you have mentioned that you only use a small amount of your time out of your day implementing the system. So on an average day what would you do...... ie
> 
> ...




TJ

On an average day I'd just check price which is on my desk in the form of live data everyday. Unless Im closing something or buying something my time is negligable.When starting up it could take 30 mins a day for a month or so until all is up and going.

Just out of curiosity I run a search most days just to see whats flagged.
My veiw is I should be running more than 1 portfolio using this method but I'm not going to until Ive finished testing ideas with the Amibroker people.I want fixed rules not wishy washy ones. I use a full srvice broker.Only because of the ease and the low number of trades I do. Total around 40 a year over 3 methods.

Position size is a flat 10% of capital as it increase so does the parcel size.
This is a little different to testing which is $10000 a trade.

I only buy some and I do eyeball the charts picked and UNLIKE the systems test I wont trade some charts.I have 2 eyeball criteria which I have made known from implementation----this could be one reason why the realtime results outstripped the test results---but I cant test it so cant be sure.

(1) The chart must be in an OBVIOUS uptrend or in an OBVIOUS break of a downtrend.
(2) The chart cannot have been ranging like between $1 and 1.60 over 5 yrs it must have upside potential.

So as Excal said there is a very small element of discretion in my trading.

*As for Questions.
I welcome them. This gives peoplereading a chance to follow how a method was developed and the questions are often those that people either would love to know and werent confident to ask or they dont know what to ask.
Every now and then i get a question that stumps me or I didnt consider---these questions are the ones that help me learn more and I want to learn all I can as I'm putting my hard earned on the line---so it better be right!!*


----------



## RodC (23 June 2005)

Hi tech,

Why do you think you should be running more than 1 portfolio? Are these slightly different versions?

I'm actually running a slight variant of TT myself and as you've said it certainly doesn't take much time once it's up and running. I usually do a scan daily as well (Amibroker) and there are certainly more buy signals than the capital allows.

I'm also interested in your exit from all positions when the index dropped below the 180EMA. This seems a little discretionary as I imagine most stocks in the portfolio didn't signal an exit.

regards,

Rod.


----------



## TjamesX (23 June 2005)

Thanks Tech



> I will also run the Monte Carlo analysis and post the results.--Chart form seems to be the best way for people to understand or at least visualise.




Looking forward to it



> I only buy some and I do eyeball the charts picked and UNLIKE the systems test I wont trade some charts.I have 2 eyeball criteria which I have made known from implementation----this could be one reason why the realtime results outstripped the test results---but I cant test it so cant be sure.
> 
> (1) The chart must be in an OBVIOUS uptrend or in an OBVIOUS break of a downtrend.
> (2) The chart cannot have been ranging like between $1 and 1.60 over 5 yrs it must have upside potential.




So it looks like we've covered the buy side. TT promted with some discretioanry T/A applied to individual stock charts and an entry into some. It sounds as if the discretionary part is optional, but you have been able to outperform the purely mechanical TT, but you're unsure whether this is because the discretion part is actually better or you've been lucky so far.

So onto exiting positions;

Q5) I am aware that you use a stop loss. Is this stop loss standard for all trades (in % terms)? Does the stop loss get revised up as the price increases? How does it get revised up (ie instructions to broker)? 

I have never used stop losses, so i'm assuming that if the broker is instructed on a stop loss the instruction is entered into a system in some sort of automatic way such that it requires no human interaction? From there the stop loss order can be modified/adjusted by the broker?

Q6) Does TT signal other sell orders (ie that are not standard stop loss triggers)? If so do you act on those signals? Do you use your own discretion in exiting sometimes?

Q7) In the event of a sell trigger from any of the above - is it a total exit of position at all times? Or is there sometimes a partial sale or profit taking where some of the position is still held onto?

Cheers,
TJ


----------



## tech/a (23 June 2005)

Basically yes thats right,

Q5 Its the same 10% of purchase price for all trades.
IE buy$1 stop $90c.

No thats where it stays.Its is not raised.

I watch the stop myself with 10 trades going its no problem particularly when I have a ticker on the desk.

Q6 The exit is cross of close below a 180 day exponential M/A of the low.No I dont use my own discretion.
You could say I did receiently on evidence that selling when the index is below the 180EMA gave better results.Sadly I'm worse off that those that followed the method( my own!!) to the letter due to TAX.

Q7 Its a total exit.

I'm also investigating holding the profit when exiting EG sell the initial cost of the trade---and then just hold profit ---but this is a work in progress.

tech


----------



## TjamesX (23 June 2005)

To avoid duplication that may occur, I found Tech's post of the actual formula behind TT.



> Mark there are 300 + posts on TechTrader here and a great grounding for the method.
> 
> http://www.reefcap.com/ubb/Forum8/HTML/000091.html
> 
> ...




This is the thread that the post comes from and covers a lot of stuff about TT

https://www.aussiestockforums.com/forums/showthread.php?t=717&page=1&pp=10&highlight=Techtrader


----------



## TjamesX (23 June 2005)

Ok after beefing up on a bit more reading...... I have some more Q's

Q8) I realise that the number of stocks flagged to buy using TT is quite large. Do you have actual statistics on the number of flagged buy signals over the 8 year testing period? What is the average num buy signals per year and per month during that period? Is that easy to work out.....?

Q9) You have mentioned that your stock universe is limited by the BT margin trading list (this is also the extent of fundamental analysis   ). What universe of stocks do you use in your back testing? Is it all listed companies on the ASX? If its different from the universe you actually trade - have you noticed any differences in performance as a result?

With reference to Q8, as a result of the large Num buy signals generated by TT, actual trades entered involves some form of discretion, whether that be random or eye balling charts for further T/A, So....

Q10) Have you considered any other form of discretionary analysis (Fundamental or technical) on the output of TT to see if it may/may not increase the overall return? If yes, is that part of your proprietory method you use?   

Q11) Do you think overall performance can be improved by applying further analysis on the output of TT? Or do you think it will take away from the simplicity of the system?

Cheers
TJ


----------



## tech/a (23 June 2005)

TjamesX said:
			
		

> Ok after beefing up on a bit more reading...... I have some more Q's
> 
> Q8) I realise that the number of stocks flagged to buy using TT is quite large. Do you have actual statistics on the number of flagged buy signals over the 8 year testing period? What is the average num buy signals per year and per month during that period? Is that easy to work out.....?




Yes the testing programme tells me that.



> Q9) You have mentioned that your stock universe is limited by the BT margin trading list (this is also the extent of fundamental analysis   ). What universe of stocks do you use in your back testing? Is it all listed companies on the ASX? If its different from the universe you actually trade - have you noticed any differences in performance as a result?




No the list used is the BT list.
Yes Ive tested many lists including the ASX full list.The performance on the whole list is less than impressive.(Profitable though).
I have also tested many Bourses due to Overseas interest,the best performing bourse of stocks was Hong Kong.
The NYSE list not far behind 
DAX and FTSE lists also did well.



> With reference to Q8, as a result of the large Num buy signals generated by TT, actual trades entered involves some form of discretion, whether that be random or eye balling charts for further T/A, So....
> 
> No thats not so to complete a full portfolio may take a few weeks ALL have been generated by the method so the only "Discretion" is which one.
> 
> Q10) Have you considered any other form of discretionary analysis (Fundamental or technical) on the output of TT to see if it may/may not increase the overall return? If yes, is that part of your proprietory method you use?




I have tested 100s of entry tweekings---entry is NOT the most important aspect---which most people cant get a head around---its purely a start point and not far above a random entry---
The proprietry methods are WEEKLY and not remotely the same as T/T.



> Q11) Do you think overall performance can be improved by applying further analysis on the output of TT? Or do you think it will take away from the simplicity of the system?




I'm not convinced that T/T has been tweeked to its maximum potential.Infact my own view is that its about a 7.5/10 rating--purely because I have some tweeking and other methods to compare it with.A few I know who use it think its the Ducks Guts.I encourage all to have a play with it--I'd appreciate the feed back--particularly if there is improvement.Some trade it as it is and others tweek it to their style.Fine thats what its for---a foundation---a learning curve. Or simply a method that works---most people doubt that one actually exists--well here is one and FREE!


----------



## tech/a (23 June 2005)

OK some Charts.

Firstly the RAW as in not tweeked original Techtrader.
The report below shows a lot of answers to TJ's questions so let me know if its not clear.

*Chart 1* is a comparison of OPEN EQUITY to CLOSED EQUITY the top line is ofcoarse the open equity.

*Chart 2* is a MonteCarlo simulation of 5000 portfolios I can do whatever number you want but chose 5000 this run.

*Chart 3* is Yearly Profit or loss of all *CLOSED* trades

*Table 2* is the Monte Carlo stats.

*Detailed Report
(TTrader BT margin Master 1)*

Simulation Summary
Simulation Date:                                             6/23/2005
Simulation Time:                                            8:37:45 PM
Simulation Duration:                                      0.54 seconds

Trade Summary
Earliest Entry Date in the Trade Database:                    1/2/1997
Latest Entry Date in the Trade Database:                     6/22/2005
Earliest Exit Date in the Trade Database:                    1/17/1997
Latest Exit Date in the Trade Database:                      6/23/2005

Start Trade Entry Date:                                       1/2/1997
Stop Trade Entry Date:                                       6/22/2005
First Entry Date:                                             1/2/1997
Last Entry Date:                                              6/3/2005
First Exit Date:                                             1/17/1997
Last Exit Date:                                              6/23/2005

Total Trading duration:                                      3094 days

Profit Summary
Profit Status:                                              PROFITABLE
Starting Capital:                                          $100,000.00
Finishing Capital:                                         $352,578.29
Maximum Equity/(Date):                         $252,578.29 (6/23/2005)
Minimum Equity/(Date):                          ($1,319.47) (3/3/1997)
Gross Trade Profit:                              $412,766.40 (412.77%)
Gross Trade Loss:                             ($160,188.11) (-160.19%)
Total Net Profit:                                $252,578.29 (252.58%)
Average Profit per Trade:                                    $1,180.27
Profit Factor:                                                  2.5768
Profit Index:                                                   61.19%
Total Transaction Cost:                                     $12,840.00
Total Slippage:                                                  $0.00
Daily Compound Interest Rate:                                  0.0407%
Annualized Compound Interest Rate:                            16.0272%

Trade Statistics
Trades Processed:                                                 2739
Trades Taken:                                                      214
Partial Trades Taken:                                                0
Trades Rejected:                                                   817
Winning Trades:                                            69 (32.24%)
Losing Trades:                                            145 (67.76%)
Breakeven Trades:                                            0 (0.00%)

Normal Exit Trades:                                       149 (69.63%)
Delayed Normal Exit Trades:                                  0 (0.00%)
Open Trades:                                                11 (5.14%)
Protective Stop Exit Trades:                               54 (25.23%)
Time Stop Exit Trades:                                       0 (0.00%)
Profit Stop Exit Trades:                                     0 (0.00%)

Largest Winning Trade/(Date):                  $60,816.00 (12/15/2004)
Largest Losing Trade/(Date):                    ($4,167.50) (4/6/2005)
Average Winning Trade:                                       $5,982.12
Average Losing Trade:                                      ($1,104.75)
Average Win/Average Loss:                                       5.4149

Trade Duration Statistics
(All Trades)
Maximum Trade Duration:                                    1226 (days)
Minimum Trade Duration:                                       1 (days)
Average Trade Duration:                                     135 (days)
(Winning Trades)
Maximum Trade Duration:                                    1226 (days)
Minimum Trade Duration:                                       5 (days)
Average Trade Duration:                                     316 (days)
(Losing Trades)
Maximum Trade Duration:                                     222 (days)
Minimum Trade Duration:                                       1 (days)
Average Trade Duration:                                      48 (days)

Consecutive Trade Statistics
Maximum consecutive winning trades:                                  7
Maximum consecutive losing trades:                                  15
Average consecutive winning trades:                               1.73
Average consecutive losing trades:                                3.63

Trade Expectation Statistics
Normalized Expectation per dollar risked:                      $0.8800
Maximum Reward/Risk ratio:                                       47.79
Minimum Reward/Risk ratio:                                       -1.51
Average Positive Reward/Risk ratio:                               4.07
Average Negative Reward/Risk ratio:                              -0.64

Relative Drawdown
Maximum Dollar Drawdown/(Date):                 $16,762.99 (10/1/2002)
Maximum Percentage Drawdown/(Date):                8.6120% (2/25/2000)

Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown:                         $22,161.19 (18.2600%)
Capital Peak/(Date):                            $121,392.44 (8/7/1998)
Capital Valley/(Date):                          $99,231.25 (2/25/2000)

Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown:                     18.2600% ($22,161.19)
Capital Peak/(Date):                            $121,392.44 (8/7/1998)
Capital Valley/(Date):                          $99,231.25 (2/25/2000)

*Monte Carlo Report
(TTrader BT margin Master 1)*

Simulation Summary
Simulation Date:                                             6/23/2005
Simulation Time:                                            9:01:18 PM
Simulation Duration:                                     26.77 seconds

Trade Parameters
Initial Capital:                                           $100,000.00
Portfolio Limit:                                               100.00%
Maximum number of open positions:                                  100
Position Size Model:                                Fixed Percent Risk
Percentage of capital risked per trade:                          2.00%
Position size limit:                                            10.00%
Portfolio Heat:                                                 30.00%
Pyramid profits:                                                   Yes
Transaction cost (Trade Entry):                                 $30.00
Transaction cost (Trade Exit):                                  $30.00
Margin Requirement:                                            100.00%

Trade Preferences
Trading Instrument:                                             Stocks
Break Even Trades:                                  Process separately
Trade Position Type:                          Process long trades only
Entry Order Type:                                        Default Order
Exit Order Type:                                         Default Order
Minimum Trade Size:                                              $0.00
Accept Partial Trades:                                              No
Volume Filter:                               Ignore Volume Information
Pyramid Trades:                                                     No
Use Level Zero trades only:                                        Yes

Simulation Stats
Number of trade simulations:                                      5000
Trades processed per simulation:                                  2739
Maximum Number of Trades Executed:                                 216
Average Number of Trades Executed:                                 194
Minimum Number of Trades Executed:                                 175
Standard Deviation:                                               5.94

Profit Stats
Maximum Profit:                                  $553,152.78 (553.15%)
Average Profit:                                  $314,285.62 (314.29%)
Minimum Profit:                                  $193,884.65 (193.88%)
Standard Deviation:                                $57,687.96 (57.69%)
Probability of Profit:                                         100.00%
Probability of Loss:                                             0.00%

Percent Winning Trade Stats
Maximum percentage of winning trades:                           39.78%
Average percentage of winning trades:                           35.35%
Minimum percentage of winning trades:                           30.56%
Standard Deviation:                                              1.37%

Percent Losing Trade Stats
Maximum percentage of losing trades:                            69.44%
Average percentage of losing Trades:                            64.65%
Minimum percentage of losing trades:                            60.22%
Standard Deviation:                                              1.37%

Average Relative Dollar Drawdown Stats
Maximum of the Average Relative Dollar Drawdown:             $3,967.01
Average of the Average Relative Dollar Drawdown:             $2,367.15
Minimum of the Average Relative Dollar Drawdown:             $1,691.01
Standard Deviation:                                            $278.56

Average Relative Percent Drawdown Stats
Maximum of the Average Relative Percent Drawdown:              2.0524%
Average of the Average Relative Percent Drawdown:              1.2679%
Minimum of the Average Relative Percent Drawdown:              0.9202%
Standard Deviation:                                            0.1485%

Maximum Peak-to-Valley Dollar Drawdown Stats
Maximum Absolute Dollar Drawdown:                           $47,454.57
Average Absolute Dollar Drawdown:                           $25,021.31
Minimum Absolute Dollar Drawdown:                           $14,831.98
Standard Deviation:                                          $5,233.97

Maximum Peak-to-Valley Percent Drawdown Stats
Maximum Absolute Percent Drawdown:                            16.7127%
Average Absolute Percent Drawdown:                            11.1289%
Minimum Absolute Percent Drawdown:                             6.0137%
Standard Deviation:                                            2.1266%


----------



## TjamesX (24 June 2005)

Thanks alot for the simulations and charts tech!!



> I have tested 100s of entry tweekings---entry is NOT the most important aspect---which most people cant get a head around---its purely a start point and not far above a random entry---




I think I've had a bit of an aha!! moment.

I have a couple of questions regarding the simulations....

*For simulation 1* - that was a single portfolio with $100,000 starting capital. I am assuming that obviously the simulation did not trade every buy signal from TT otherwise it would have run out of $$. So did it randomly pick which trades TT signaled to enter, or did it trade every signal until it had no money, and then wait for capital to be released?

*For simulation 2 (monte carlo)* - I am assuming that all potfolios started at Jan 1997 and ended Jul 2005, the only difference being which stocks they actually picked to trade?

I believe that both simulations were using no margin on any trades?

OK, so some analysis on the results;

I assuming that the best data to analyse TT performance is the average profit realised from Monte Carlo sims. This being $314,285.62, which represents an increase in total assets from $100,000 to $414,285.

Over the trade period (approx 8.5 years) this represents an annual compound return of 18.20%  . Eyeballing a chart of the XAO, Jan 1997 was about 2350 and yesterday it closed at 4225... which equates to a compound return of 7.14%. Biiig difference.... and where does it come from. Random entry to stocks at the start of 1997 and holding, should return you about 7.14% compound over this period. Somehow during the trading period TT has been able to extract more value out of the rise in the All Ords..... and if TT entry signal is not much better than random entry, then its not here. So the outperformance of the system could be mostly attributed to working out when to exit a stock. In essence, TT has caused the portfolio to (in an uptrending overall market);

Hold stocks that will outperform relative to All Ords
Sell stocks that will underperform relative to All ords

All in two simple exit criteria....

Is my analysis wrong... or is that just weird.   

TJ


----------



## tech/a (24 June 2005)

TjamesX said:
			
		

> I think I've had a bit of an aha!! moment.




Excellent!



> I have a couple of questions regarding the simulations....
> 
> *For simulation 1* - that was a single portfolio with $100,000 starting capital. I am assuming that obviously the simulation did not trade every buy signal from TT otherwise it would have run out of $$. So did it randomly pick which trades TT signaled to enter, or did it trade every signal until it had no money, and then wait for capital to be released?




The latter



> *For simulation 2 (monte carlo)* - I am assuming that all potfolios started at Jan 1997 and ended Jul 2005, the only difference being which stocks they actually picked to trade?




The portfolios are picked at random around the date of 1/1/97 buys go out as far as is needed to simulate x number of portfolio's.All close on the last date specified.



> I believe that both simulations were using no margin on any trades?




Well thats a matter of perspective!!
$100,000 initial capital OR $30,000 on Margin which would equate to $100,000 on Margin---approx.Of course I'd prefer to look at it on Margin as the $250,000 profit is 800% on initial capital where as on $100,000 its 250%.



> OK, so some analysis on the results;
> 
> I assuming that the best data to analyse TT performance is the average profit realised from Monte Carlo sims. This being $314,285.62, which represents an increase in total assets from $100,000 to $414,285.
> 
> Over the trade period (approx 8.5 years) this represents an annual compound return of 18.20%  . Eyeballing a chart of the XAO, Jan 1997 was about 2350 and yesterday it closed at 4225... which equates to a compound return of 7.14%. Biiig difference.... and where does it come from. Random entry to stocks at the start of 1997 and holding, should return you about 7.14% compound over this period. Somehow during the trading period TT has been able to extract more value out of the rise in the All Ords..... and if TT entry signal is not much better than random entry, then its not here. So the outperformance of the system could be mostly attributed to working out when to exit a stock. In essence, TT has caused the portfolio to (in an uptrending overall market);




No the out performance comes from being able to find and stay with trades which have outperformed the ORDS.This is where our discussion will get very interesting as most people just cant understand this fact of trading--(Which fact)--the above.



> Hold stocks that will outperform relative to All Ords
> Sell stocks that will underperform relative to All ords




Id love to be able to use the word WILL. But we cant as this is NOT predictive---its reactive.All we can do is set parameters or a framework to trade in and test that if that framework is adhered to then we can profit and as can be seen that can vary between 100% over 8 yrs to 550% even that we dont know---hence the answer to *RODS* question of why I think I should be trading multiple portfolio's of the same method.



> All in two simple exit criteria....




One is a stop and one an exit.
I'm yet to find the perfect exit and have tried 100s.
Exit is a much more complex issue than entry and although it seems very simple it isnt---why did I choose 180 day EMA of the low? (Thats a seperate discussion).



> Is my analysis wrong... or is that just weird.




No its inquisitive,analytical and I'm sure enlightening.All traits necessary to move forward in any persuit of understanding.I dont know all the answers/truths but those I have found I'm happy to share.


----------



## RodC (24 June 2005)

tech.

Maybe it's just me. But I'm having still trouble understanding what you gain by trading multiple portfolios (of the same method) compared to say, 1 large portfolio (with more stocks in it). eg 5 portfolios of 10 stocks or 1 portfolio of 50 stocks.

Isn't it going to average out the same (roughly)?

Rod.


----------



## tech/a (24 June 2005)

Rod.

Yeh well its possible to look at it from a number of veiw points.

Here is mine.
I know that from 5000 portfolio tests that not ALL will trade the same infact the difference is dramatic.150% to 550% return.according to testing.

Now I maybe lucky and get on the 550% one or Unlucky and get on the 150%. ( IE The portfolio I end up filling and consequently trading.)

I could do as you say but I'm not going to be sure which one I'm on until years of trading has elapsed.
I feel trading  different portfolio's of the same AND/OR different portfolio's of a different method/s (which will also have their high return and low return portfolio's) is mitigating risk----that I wont get in the lowest one---rather than maximising profit that I can get in the highest one---Thats just the way I think---defensive---and if I get that right the rest will follow.


Maybe its good thinking,maybe some think its not.
If I had data back 50 yrs it may show that the deviation is non existant over that time and If I was 20 then it wouldnt matter.(This can NEVER happen (Have a tested result) as its impossible to have a margin list accurate after 6 mths---yes another topic re accuracy of  results from present day data----we will be here months discussing this---no problem---gets people thinking out of the square).

At 50 I need it right for the next 10 yrs so I can enjoy it!!


----------



## RodC (24 June 2005)

thanks tech, 

I think I know what you mean.

Rod.


----------



## TjamesX (24 June 2005)

OK, 

I'm going to pursue what you mentioned about TT entry signals not being much above random entry in improving performance.

Have you actually quantified how much of a difference there is between 

a) Random entry and TT exit/stop loss.........and
b) TT Entry and TT exit/stop loss

Can you post comparitive results of a Monte Carlo sim of say 5000 portfolios using each method with the same trading period as before?   

I'm still trying to work out exactly where the difference between 18.20% and 7.14% comes from, and I would like to know exactly how much TT entry has a part in this (every % point counts!).

If most of the difference can be attributed to the stop loss and 180 EMA - wow, for me thats pretty significant...

Why is it significant for me? Because;

My original thoughts were that I could possibly apply some of my portfolio to using the TT method, while my normal mostly fundamental part technical analysis would be used for my other half..... and see what happens. But I think there are significant ways I think the two could be intermixed.....

1) Normally a decision on entry for me would be a combination of economic/cyclical/industry conditions as well as some fundamentals on the particular company, maybe a little TA - but rarely. With TT entry signals there is no reason why i couldn't overly my analysis on top to chose/rate which if any to enter. This is because economic/cyclical/industry conditions change very slowly and would not be hard to apply, and there are certain fundamental analysis techniques that can be applied across the board to rate companies very quickly on their financial position. One of these methods has been used very successfully discussed and applied on another forum - will discuss further down the track......

and 

2) Depending on how much difference tech's results come back between random entry and TT entry - there seems to be no reason why I couldn't apply my normal fundamental analysis on entry (ie no TT entry), but then apply TT exit/stop loss criteria once I have entered. The reason is becuase I have always struggled when to exit stocks to maximise my returns.

The question of whether any value can be added through my own methods 1 & 2 is obviously a big fat ???? and there is really little way of back testing easily any fundamental entry...........

so it continues

TJ


----------



## RodC (24 June 2005)

TJ,

I reckon dome of the difference between the 18.2% and the 7.14% would be due to the "universe of stocks" that TT is working with (the BT Margin List).

tech/a mentioned in one of his earlier posts that TT didn't perform as well when tested on the whole All Ords.

Rod.


----------



## TjamesX (24 June 2005)

> I reckon some of the difference between the 18.2% and the 7.14% would be due to the "universe of stocks" that TT is working with (the BT Margin List).




Good point Rod.... it would be interesting to see the index return for the BT margin trading list over that time - the XJO would possibly be a better index to compare TT with, but that only has data for the last 5 years.

Maybe we should all limit our of stock universe to the BT Margin List   

TJ


----------



## tech/a (24 June 2005)

TjamesX said:
			
		

> OK,
> 
> I'm going to pursue what you mentioned about TT entry signals not being much above random entry in improving performance.




Not just t/T entry --any entry into any trade.



> Have you actually quantified how much of a difference there is between
> 
> a) Random entry and TT exit/stop loss.........and
> b) TT Entry and TT exit/stop loss




Yes.



> Can you post comparitive results of a Monte Carlo sim of say 5000 portfolios using each method with the same trading period as before?




Yes my software can do this but the point is?



> I'm still trying to work out exactly where the difference between 18.20% and 7.14% comes from, and I would like to know exactly how much TT entry has a part in this (every % point counts!).




TJ
Your current belief is that entry MUST be the key.The ORDS is just a record of those stocks trading within it over a period of time.Some out perform and others underperform--but on a whole over the period you mention then growth was 7%. However growth in the systems portfolio of 10 stocks was 18%.Simply those in the portfolio were skewed as growth winners.At the time of entering there was no way that this could have been known---just as Im sure other stocks didnt even come into consideration and could have outperformed the stocks held by the portfolio---purely because we didnt even get a chance to purchase because they never filled our purchase criteria.



> If most of the difference can be attributed to the stop loss and 180 EMA - wow, for me thats pretty significant...




Some of it yes---all of it no. Most of it arguable.



> Why is it significant for me? Because;
> 
> My original thoughts were that I could possibly apply some of my portfolio to using the TT method, while my normal mostly fundamental part technical analysis would be used for my other half..... and see what happens. But I think there are significant ways I think the two could be intermixed.....




Sure they could---others have adopted hybrids of the method---However you MUST understand what makes a method profitable.



> 1) Normally a decision on entry for me would be a combination of economic/cyclical/industry conditions as well as some fundamentals on the particular company, maybe a little TA - but rarely. With TT entry signals there is no reason why i couldn't overly my analysis on top to chose/rate which if any to enter. This is because economic/cyclical/industry conditions change very slowly and would not be hard to apply, and there are certain fundamental analysis techniques that can be applied across the board to rate companies very quickly on their financial position. One of these methods has been used very successfully discussed and applied on another forum - will discuss further down the track......





I'd go fundamental for portfolio selection if you wish and technical---T/T's technicals for timing and trade management.



> 2) Depending on how much difference tech's results come back between random entry and TT entry - there seems to be no reason why I couldn't apply my normal fundamental analysis on entry (ie no TT entry), but then apply TT exit/stop loss criteria once I have entered. The reason is becuase I have always struggled when to exit stocks to maximise my returns.




Ah--not so simple.While random entry into a trade may not have a longterm difference the entry is designed to alert those stocks "in the Position" to out perform--- where as random just selects any stock downtrend or not.



> The question of whether any value can be added through my own methods 1 & 2 is obviously a big fat ???? and there is really little way of back testing easily any fundamental entry...........




I'd go fundamental for portfolio selection if you wish and technical---T/T's technicals for timing and trade management.This would be in my view the best way to go.It would however be a different universe than the one we have tested.This in itself isnt a big issue---from the myrid of tests on many many stock universes.



> so it continues




Fun though


-----


----------



## TjamesX (24 June 2005)

> Can you post comparitive results of a Monte Carlo sim of say 5000 portfolios using each method with the same trading period as before?
> 
> *Yes my software can do this but the point is?*
> 
> ...




No, you've got that wrong - I definitly don't believe entry is the key. From what i've seen so far, the decision between holding or selling once you have entered appears to be more critical.

Putting my engineering hat on I get a bit excited when I see a bit of maths - hence the probing. A random walk down wall street suggests (so I've heard   ) thats any deviation overtime from the overall index is a fluke and given enough time all strategies should revert to the mean (index) ie you can't do better than the index.

The Monte Carlo sims suggest that with TT there is some deviation from the mean, and although the results for individual portfolios have a large standard deviation - on average, they do better, 18.20% to 7.14%. There are only two ways that can happen;

1) universe of stocks is different (BT trading list - cheers ROD!)
2) the methodology used to enter/exit/hold stocks

So I'm sort of attempting to quantify how each part in the TT system effects the overall result. But It's probably time I did that myself...... So

What is the cheapest way (software) to test TT. And could I 'borrow' your historical data to test it with?  

I'm not interested in paying for monthly data as i wouldn't be implementing the strategy at this time, but I would like to have a play and do some stuff for myself.

Cheers
TJ


----------



## tech/a (24 June 2005)

TJ

The best and most affordable software for you to "Play" with is Amibroker.
The combination of M/S and tradesim which I use is beyond curiosity at a few K.

Widest variations in results will come from.Or best areas to find improvement.

(1) Selected universe of stocks.
(2) Stop Placement.
(3) Pyramiding of winning capital into more trades.
(4) Pyramiding into successful trades
(5) Finding a balance of entry and stop to increase winning trades(number of)
(6) Finding the balance of exit to price to allow profits to run---longer/est.
(7) Capital available--under 50K is difficult to portfolio trade.
(8) Leverage.
(9) Defining when a portfolio should be traded or standing aside.(Closing all).

Hope this helps.


----------



## TjamesX (24 June 2005)

Tech,

Thank you for sharing your knowledge. Once I have it up and running, I am sure there will be further questions coming your way.

After having a think about it, I believe that I should be able to do (with relative ease) the analysis in excel. I can source EOD data from float.com.au, from there I should be able to automatically update to spreadsheets and the TT equations should be easy to apply once the data has been loaded (via VB). I believe I should be able to use this for backtesting analysis as well as actual trading with the system. If anyone is interested - I will post it when its finished.

The main reason for doing this is I won't have to pay for any monthly data and I will be able to incorporate fundamental analysis techniques as well in the same program. And because in excel - I can do anything I want to!!!!!  :

One last Q before I go - 

I am relatively convinced that TT is workable during a long term uptrending market. Do you think it can hold up in a down trending market? Do you have visions of applying the theory/logic in reverse for a downtrending market using options etc???

Cheers
TJ


----------



## tech/a (24 June 2005)

TJ

T/T is designed for Bull Markets and while it has only been around a while I can say that it will suffer drawdown in a bear run.

Initial testing of selling the whole portfolio when the index turns bearish or the Equity curve Vs an Index of the Universe of stocks you trade---show marked improvements.

I'm more than interested in your testing and only wish I had your excell knowledge--mine is ZIP.


Please keep us posted. You maybe able to test things both Amibroker and Tradesim cant.


----------



## tech/a (24 June 2005)

A couple of snippets for those who maybe interested.

*What can be achieved----this is the best system I have.And its Mine Mine Mine!!!!----hahahaha.*

Detailed Report
(Weekly 01)

Simulation Summary
Simulation Date:                                             6/24/2005
Simulation Time:                                            8:13:22 PM
Simulation Duration:                                      0.50 seconds

Trade Summary
Earliest Entry Date in the Trade Database:                    1/3/1997
Latest Entry Date in the Trade Database:                    10/29/2004
Earliest Exit Date in the Trade Database:                     2/7/1997
Latest Exit Date in the Trade Database:                      11/5/2004

Start Trade Entry Date:                                       1/3/1997
Stop Trade Entry Date:                                      10/29/2004
First Entry Date:                                             1/3/1997
Last Entry Date:                                             10/8/2004
First Exit Date:                                              2/7/1997
Last Exit Date:                                              11/5/2004

Total Trading duration:                                      2863 days

Profit Summary
Profit Status:                                              PROFITABLE
Starting Capital:                                          $100,000.00
Finishing Capital:                                       $1,891,184.37
Maximum Equity/(Date):                       $1,791,184.37 (11/5/2004)
Minimum Equity/(Date):                         ($6,356.39) (3/27/1997)
Gross Trade Profit:                           $2,171,988.28 (2171.99%)
Gross Trade Loss:                             ($380,803.91) (-380.80%)
Total Net Profit:                             $1,791,184.37 (1791.18%)
Average Profit per Trade:                                    $9,630.02
Profit Factor:                                                  5.7037
Profit Index:                                                   82.47%
Total Transaction Cost:                                     $11,160.00
Total Slippage:                                                  $0.00
Daily Compound Interest Rate:                                  0.1027%
Annualized Compound Interest Rate:                            45.4685%

Trade Statistics
Trades Processed:                                                 3171
Trades Taken:                                                      186
Partial Trades Taken:                                                0
Trades Rejected:                                                   715
Winning Trades:                                            91 (48.92%)
Losing Trades:                                             95 (51.08%)
Breakeven Trades:                                            0 (0.00%)

Normal Exit Trades:                                       173 (93.01%)
Delayed Normal Exit Trades:                                  0 (0.00%)
Open Trades:                                                13 (6.99%)
Protective Stop Exit Trades:                                 0 (0.00%)
Time Stop Exit Trades:                                       0 (0.00%)
Profit Stop Exit Trades:                                     0 (0.00%)

Largest Winning Trade/(Date):                  $213,546.46 (8/20/2004)
Largest Losing Trade/(Date):                  ($21,208.82) (3/26/2004)
Average Winning Trade:                                      $23,868.00
Average Losing Trade:                                      ($4,008.46)
Average Win/Average Loss:                                       5.9544

Trade Duration Statistics
(All Trades)
Maximum Trade Duration:                                     994 (days)
Minimum Trade Duration:                                       7 (days)
Average Trade Duration:                                     153 (days)
(Winning Trades)
Maximum Trade Duration:                                     994 (days)
Minimum Trade Duration:                                      14 (days)
Average Trade Duration:                                     225 (days)
(Losing Trades)
Maximum Trade Duration:                                     348 (days)
Minimum Trade Duration:                                       7 (days)
Average Trade Duration:                                      83 (days)

Consecutive Trade Statistics
Maximum consecutive winning trades:                                 12
Maximum consecutive losing trades:                                   8
Average consecutive winning trades:                               2.33
Average consecutive losing trades:                                2.44

Trade Expectation Statistics
Normalized Expectation per dollar risked:                      $3.1000
Maximum Reward/Risk ratio:                                       79.71
Minimum Reward/Risk ratio:                                       -3.08
Average Positive Reward/Risk ratio:                               7.34
Average Negative Reward/Risk ratio:                              -0.94

Relative Drawdown
Maximum Dollar Drawdown/(Date):                 $51,559.87 (4/16/2004)
Maximum Percentage Drawdown/(Date):              10.8600% (10/29/1998)

Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown:                          $68,560.01 (5.7950%)
Capital Peak/(Date):                        $1,183,179.43 (12/19/2003)
Capital Valley/(Date):                        $1,114,619.42 (7/9/2004)

Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown:                     10.8600% ($13,828.92)
Capital Peak/(Date):                           $127,293.26 (6/26/1998)
Capital Valley/(Date):                        $113,464.34 (10/29/1998)


*And those who ask what would the profit be IF I took EVERY TRADE that Techtrader signalled given $10K a trade-----If you could afford that you wouldnt need to trade!!!

See below*


----------



## RodC (26 June 2005)

Tech,

Wow!

I notice that the Protective Stop Exit trades are 0.

Does this mean that no trades hit the stop?

If this is so then:

1. This must be tested during 1 hell of a Bull Market, or
2. This system is outstanding at picking winners, or
3. The protective stop is too wide.

I also note the losing trades outnumber the winning trades (just), very interesting.

I know you don't want to say too much but is this weekly system a derivative of techtrader or completely different. I remember seeing some references to a weekly techtrader system on reefcap?

thanks,

Rod.


----------



## tech/a (26 June 2005)

No its nothing to do with T/T.

The exit is the stop---which is rare.


----------



## Dan_ (26 September 2005)

TjamesX said:
			
		

> Tech,
> 
> Thank you for sharing your knowledge. Once I have it up and running, I am sure there will be further questions coming your way.
> 
> After having a think about it, I believe that I should be able to do (with relative ease) the analysis in excel. I can source EOD data from float.com.au, from there I should be able to automatically update to spreadsheets and the TT equations should be easy to apply once the data has been loaded (via VB). I believe I should be able to use this for backtesting analysis as well as actual trading with the system. If anyone is interested - I will post it when its finished.




TJ Any update or news on your analysis?


----------



## tech/a (26 September 2005)

Dan Emailed me for the Amibroker code for Techtrader.

For those interested.

// techtrader amibroker version tested on AB ver 4.5

PositionSize = -10; // always invest only 10% of the current Equity 

// set up to delay buy & sell
SetTradeDelays(1,1,0,0);

// here we define our buy conditions 
cond1=Cross(H,Ref(HHV(H,10),-1)); //todays high crosses last highest high over the last 10 periods
cond2=H > EMA(C,40); // todays high is greater than the 40 day Exp MA of closes
cond3=HHVBars(H,70) == 0; // todays high is the highest for 70 periods
cond4=EMA(V*C,21) > 500000; // ensure at least $500k of money flow
cond5=C < 10.00; // only trading in stocks less than $10
cond6=C > O; // todays close higher than open

// the following line is our buy trigger for next day open if all conditions satisfied
buysig = cond1 AND cond2 AND cond3 AND cond4 AND cond5 AND cond6;

// initial stop aim to never lose more than 10%
ApplyStop( stopTypeLoss, stopModePercent, amount=10 );

//our exit conditions if not stopped out
Sellsig= Cross(Ref(EMA(L,180),-1),C); // close crosses below yesterdays EMA of the low

// for BACKTESTING purposes only this code stops extraneous Buy when already in trade 
// and Sell when NOT in trade
// the backtester uses this code as buy & sell & where necessary, the stop
Buy = ExRem(Buysig,Sellsig); 
Sell = ExRem(Sellsig,Buysig);

// colour of buy trigger arrow & sell date arrows displayed on highlighted stocks from Explorations and Backtests
shape = Buy * shapeUpArrow + Sell * shapeDownArrow;
PlotShapes( shape, IIf( Buy , colorYellow, colorRed ), 0, IIf( Buy , Low, High));

// this controls EXPLORATION list output only
Filter = Buysig; // lists exploration results conforming to our buy criteria
AddColumn(Buysig, "buy", 1.0); //


----------



## TjamesX (26 September 2005)

Dan_ said:
			
		

> TJ Any update or news on your analysis?




Been a bit busy for the last month with a change of job.....  so there isn't any update. I've put it on a bit of a backburner at the moment, 1) because I don't think the system will be suited to a possible correction the market may see over the next 12 months, 2) because my time is limited.

I will update if this changes


----------



## tech/a (27 September 2005)

tJ

As for corrections taking its toll.
All long methods cop a correction in a downturn.
Like most methods we have a filter to take out the whole portfolio if the correction/downturn hits it.
That being if the ALL ORDS crosss its 180 day EMA of the low.

The system is closed down until it crosses back above regardless of where each stock in the portfolio was trading.

Its a genuine concern but not one that should keep you out of the market,with any long methodology.


----------



## Kauri (27 September 2005)

Re the market having a downturn.. it would seem that the recent activity hasn't been as broad based as it the index would indicate. Not sure if it as practical,maybe using the 180 ema on individual index's? T/T seems to be doing well regardless...most impressive...

   Article in the West Australian today.....

*40pc of stocks miss the boom time bus*
MICHAEL WEIR

Forty per cent of Australia's top-500 listed companies have lost ground on the sharemarket in the past nine months, smashing the perception that the booming bourse is a guaranteed recipe for riches.

Stockbrokers and analysts said the data sounded a warning for retail investors, who have been urged to do their homework on companies before buying shares.

Stockmarket news had been dominated by those companies recording massive share price gains - mainly on oil and gas, uranium and iron ore - but plenty of others had fallen victim to profit downgrades and tougher economic conditions, they said.

The warning coincided with another barnstorming day on the market yesterday, as record highs by perennial favourites BHP Billiton and Macquarie Bank propelled the S&P-ASX 200 to a fresh peak.

However, DJ Carmichael & Co director Ian Dorrington said it was wrong to think of the overall market as being at a record high.

"It's not, the index is," he said. "And as we all know the index is driven primarily by a handful of 30-50 stocks.

"So you have the top end resources gone crazy but outside that the market has been very selective."

Of 493 companies listed in the all-ordinaries index, 195 have recorded share price losses since the start of the year with technology stocks and retailers prominent in the list.

Of those companies in the red, 85 have seen their share prices slashed by more than 20 per cent, including 17 stocks which have lost more than half of their market value.

The biggest loser since January has been Brisbane-based seniors accommodation specialist Village Life, whose share price has slumped 83 per cent to 44 ¢ on the back of multiple profit downgrades.

WA winemaker Evans & Tate has had a year to forget, with its shares plummeting 73 per cent to 28 ¢ as a global wine glut triggered heavy stock write-downs which dragged the company $50 million into the red and forced its bankers to call in corporate doctors.

Bluestone Tin was one of the best performing floats last year with its 25 ¢ shares peaking at $1 in the months after listing. But a falling tin price and performance problems at its flagship Renison mine in Tasmania later sent the stock price tumbling. Although still above its issue price, Bluestone has slumped almost 62 per cent since January to 34 ¢.

Two profit warnings in less than three months earlier this year sent the share price of WA blind maker and retailer Kresta tumbling. In the past nine months the stock has lost 60 per cent to 23 ¢.

Other big losers so far this year have included technology companies Benitec (-65 per cent), Prana Biotechnologies (-65 per cent), LookSmart (-60 per cent), Compumedics (-59 per cent), QPSX (-56 per cent), Epitan (-55 per cent) and bottled water company Palm Springs (-64 per cent).

Some well-known WA companies suffered for delivering poor results, including automotive leather and pavers group Schaffer, whose shares have fallen 52 per cent on a plunge in earnings and warnings of tough times ahead.

ERG shares have lost 41 per cent of their value as the ticketing company asked long-suffering shareholders to again dip into their pockets to help replenish its coffers after delays and blowouts on big contracts.

Shares in property and construction group Multiplex hit record highs in January before shocking the market with cost blowouts at its flagship Wembley Stadium project in the UK. The stock has lost 41 per cent of its value this year.

Euroz Securities senior dealer Richard Caldow advised investors to do their homework and buy shares based on traditional valuation methods like price-earnings ratios and dividend yields.

Hartleys broker John Featherby said that although many companies were overvalued, the resources market was in a massive catch-up phase after being neglected for many years.


----------



## Dan_ (6 April 2006)

Tech,

Hoping you can help me out here if possible. I've finally got Amibroker and some shiny clean data. I'd thought I would use TT to educate myself on the back testing aspect of Amibroker. However I think I may have some incorrect elements, or not set Amibroker up correctly as I don't get the same results that I've seen you publish before.

Can you please do me a favour (if possible) and publish here a TT scan for a previous date that I can use for reference (e.g. a daily scan for the 31/3/2006)

I can then compare your results with mine and figure out where the issue is. (Most like user error in not setting up Amibroker correctly)

Thanks


----------



## tech/a (6 April 2006)

Dan.

Im a metastock/tradesim User.
But a few reasons youll get different results.

(1) You need the same universe of stocks I trade.Register at Reefcap in the T/T thread for the mailing list and you'll get a copy updated 3 mthly.
(2) Make sure all trades are closed on the final exit date other wise all the profit will be locked into trades still open.
(3) different start and finish dates.
(4) coding issues.

There is an Amibroker section at Reef just post there they seem a pretty helpful bunch.


----------



## nizar (29 December 2006)

tech/a said:
			
		

> A couple of snippets for those who maybe interested.
> 
> *What can be achieved----this is the best system I have.And its Mine Mine Mine!!!!----hahahaha.*
> 
> ...




Amazing stuff here on this thread.
Some great wisdom.


----------



## tech/a (29 December 2006)

Much much more here and coming up in the future for those interested.

http://lightning.he.net/cgi-bin/suid/~reefcap/ultimatebb.cgi?ubb=get_topic;f=74;t=000040

You'll have to register if not a member.


----------



## Skate (15 February 2015)

tech/a said:


> Yes the testing programme tells me that.
> 
> 
> 
> ...




I know this is a very old thread, I've played with Techtrader and found it to be beyond solid. As Tech/a has asked for feedback about any improvements with tweaking I wanted to add my two cents worth. I've spent many days on this system and every tweak made the system worse EXCEPT ONE - this indicated to me how robust the system is and how useful it still is.

ONLY one TWEAK improved the system - 

The ONE tweak that I've found that made an improvement was to change the sell criteria - By changing the sell criteria to: 

*Sell= C < MA(C,50);*

This tweak I believe improved the system but the trade off was to make the system more active thus increasing the *Total transaction costs*

skate


----------



## John Swift (16 February 2015)

Thanks Skate for bringing this back into the light. I haven't seen it before. Where can I get more details?


----------



## tech/a (16 February 2015)

Thanks Skate.

When I designed the system I wasn't able to replicate your results---IE improvement.
But that was back 15 yrs ago.


----------



## Wysiwyg (27 March 2015)

Skate said:


> The ONE tweak that I've found that made an improvement was to change the sell criteria - By changing the sell criteria to:
> 
> *Sell= C < MA(C,50);*
> 
> skate



The critical information you left out in your assumption is the test period. The best part of this trend trader was catching one of the strongest bull runs in ASX history. Simple as that.

*Change the test period = change the result.*


----------



## tech/a (27 March 2015)

Wysiwyg said:


> The critical information you left out in your assumption is the test period. The best part of this trend trader was catching one of the strongest bull runs in ASX history. Simple as that.
> 
> *Change the test period = change the result.*




Yeh that's what it was designed for a bull market.

Well and truly out performed the market.
Strangely many people lose money in bull markets.

Actually its pretty consistent.


----------



## Woosha (25 May 2015)

tech/a said:


> Much much more here and coming up in the future for those interested.
> 
> http://lightning.he.net/cgi-bin/suid/~reefcap/ultimatebb.cgi?ubb=get_topic;f=74;t=000040
> 
> You'll have to register if not a member.




I realise this is very old post now but does this link supposed to go somewhere different now or is there another link.  Just a query.


----------



## tech/a (25 May 2015)

Woosha said:


> I realise this is very old post now but does this link supposed to go somewhere different now or is there another link.  Just a query.




Wow that is very old.
No that's lost to cyber space.


----------



## tech/a (8 June 2016)

> I have seen this claimed about the techtrader thread multiple times by tech, but I have never been able to verify.
> 
> From my understanding, it was $30k plus $70k margin loan, so the return from trades is actually more like 260% return over 7 years (~15% per annum, after margin costs I assume, otherwise not much better than market return) than the 1200% return that "turning $30k into $360k" seems to imply.
> 
> Still an impressive return of course, but should be considered in light of the overall market regime for those 7 years as well.




There is quote a bit of info in this thread but *specifically*.

The universe of stocks traded was the current (Then) BT Margin List.
Stocks under $10---My thinking was that if it was in the list then BT
would have done the Fundamentals to allow its inclusion (Amateur thinking).

I was Trading a BT margin account.

The position sizing was 10% of Funds available with a stop of 10% of the purchase price.

Radge has built into me that Margin should be used only when a stocks full parcel
cannot be funded with the position sizing being adopted by the method.

This happened very rarely (Due to the position sizing and stop model) but it did happen.
The method and any other method for that matter wasn't/shouldn't use the full margin
available. As you are aware this alters the risk to initial capital dramatically.

The system was very pedestrian for 2 yrs as the average winning trade was held for just under a year
so initially new trades were being funded from stopped out trades and those that swung away from
profit early.
But it really started to crank up as longer term trades triggered exits.
The increased funds were then used in the next trade/s

The results we achieved on Radges site (He's taken it off when he did a new revamp only a year ago)
were at the higher end of the Monte Carlo analysis results we got when running tests. (Dumb luck).

My own portfolio which was a little different as I started it a little after we got started (On The Chartist) had slightly lower results.

I posted Entries and Exits and another Member Darryl ran a spread sheet with the portfolio results published every week.

This was in Radges words one of the most scrutinized methods made available to the public.
There were 1000s of posts and questions over the years. I don't know if Nick kept all the stuff from his server but Ill ask him.

If you know Radge he wouldn't put anything on his site or publish anything in one of his books if it didn't stand up to the most stringent scrutiny---HIS---and 100s of others over the years.
He *IS* a professional educator and Trader/Investor.

If you want all the info available in print Un Holy Grails Pages 103-109

I didn't design and test/trade it to be a big deal---I wanted to see if a builder (Read amateur) could design and trade profitably a trading system. 

To be honest it far surpassed any expectation I had.(Which wasn't much!)

I know of 4 people who still use it for their Super---as of 18 mths ago.


----------



## sinner (8 June 2016)

tech/a said:


> The position sizing was 10% of Funds available with a stop of 10% of the purchase price.




So was the "funds available" for the initial 10 positions $30k or $100k?


----------



## Roller_1 (8 June 2016)

If you turn $30k into $360k does it really matter if margin was used or not? It's still $360k....


----------



## CanOz (8 June 2016)

Roller_1 said:


> If you turn $30k into $360k does it really matter if margin was used or not? It's still $360k....




I think it matters in the context of the previous discussion on returns...of course, no one would dispute that.


----------



## sinner (8 June 2016)

Roller_1 said:


> If you turn $30k into $360k does it really matter if margin was used or not? It's still $360k....




From the perspective of understanding the returns from trades taken, it obviously matters, otherwise the claim should be "I used techtrader to generate a gross profit of $260k from a $100k capital base over 7 years". See the difference?


----------



## tech/a (8 June 2016)

Thought this was clear.

The first trades were $3000 each.
As the account was a margin account there were 2 X Initial funds available.

They were not used unless there was an instance where the 1% stop (10% of the purchase price) on 1 of 10 trades and the Purchase price then the margin was used.

This hardly ever happened as the stop was so wide it didn't cause a problem with the trade.
All initial trades were under $10

Taking a $10 trade (the worst case) Available capital $3000 
Shares we could purchase 3000 Capital required $30,000
$5---same.
Most trades were well under that $1/$2/3 and less the universe didn't have a lot under $10 
About 70 I think.

There were many many times when we were only trading 5 or 6 trades as we waited for other trades to qualify.
Often there were not enough funds and we had to wait.

But as Profit grew it was often not needed and by 3rd year was self supporting it had enough of its own profit to finance what Margin did from time to time.
Darryl always included dividends and costs.(Transaction and interest---Interest was very minor).

Anyway it was what it was---The full $100,000 was NEVER used at the one time.
Crap on it as much as you like many have done so in the past.

You guys are bringing up % return.
When I bought a house and put nothing down and used 100% banks money and it doubled in 3 yrs then I sold it
what's my return on my initial capital??? 

Frankly to start with $30K and end up with over $300k I was happy as a ---Duck.

I think it proved the question I was looking for an answer to for me anyway.

Radge ran extensive testing of his own all in the book.
He asked if he could include it I didn't and couldn't twist his arm, I initially refused---ask him!


----------



## tech/a (8 June 2016)

Roller_1 said:


> If you turn $30k into $360k does it really matter if margin was used or not? It's still $360k....




Exactly was and is my take as well.

My own money and the use of others at times meant I had a great return on capital risked.

So What??

I do it all the time.
In housing Business and trading the DAX.
What I shouldn't be doing that??


----------



## sinner (8 June 2016)

> what's my return on my initial capital???




That's irrelevant, my goal was simply to try and clarify the return of the trades the system took in light of comments you had made about the margin loan.

It's the difference between understanding the return of house prices increasing threefold, and what is essentially an "infinity" return on capital if you put none down.

Hopefully you understand the desire for others to make sure they grasp the source of returns.



tech/a said:


> What I shouldn't be doing that??




You can do whatever you want. This defensiveness in light of any sort of questioning is toxic.

I just wanted clarification on the thing I asked, which you provided.

Thankyou for clarifying.


----------



## Roller_1 (8 June 2016)

I'm sure someone like minwa is using leverage in some form to gain his returns, but his return on initial capital is still awesome.

If someone invests 10k into a CFD account and has access to 100k of tradeable funds and makes 5k profit it would be counted as a 50% return in the end wouldn't it? not 5%


----------



## tech/a (8 June 2016)

> You can do whatever you want. This defensiveness in light of any sort of questioning is toxic.
> 
> I just wanted clarification on the thing I asked, which you provided.
> 
> Thankyou for clarifying.




Radge has extensive figures and tables on returns in his book---un leveraged.
I think around 20-25% in there somewhere.

Thought that was OK and the power of leverage and Compounding is clear from return on capital invested.

*Your questioning is designed to discredit.*



> From my understanding, it was $30k plus $70k margin loan, so the return from trades is actually more like 260% return over 7 years (~15% per annum, after margin costs I assume, otherwise not much better than market return) than the 1200% return that "turning $30k into $360k" seems to imply.




The only people I know that can turn things on others as well as this are politicians and My wife!

Perhaps you should be less confrontational!
I and others may then become less toxic


----------



## sinner (8 June 2016)

Roller_1 said:


> I'm sure someone like minwa is using leverage in some form to gain his returns, but his return on initial capital is still awesome.
> 
> If someone invests 10k into a CFD account and has access to 100k of tradeable funds and makes 5k profit it would be counted as a 50% return in the end wouldn't it? not 5%




Yeah, if you buy a $1000 put option on SPY and tomorrow you wake up and the put is now worth $1500 then it's a 50% return but it doesn't entitle you to say "I can make 50% returns in a day".

Nobody is disputing that return on capital is return on capital. The issue raised was only to clarify the source of those returns, which has been done. If you don't care about the source, *that is fine*, but some people do.


----------



## sinner (8 June 2016)

tech/a said:


> *Your questioning is designed to discredit.*




Dude, you are actually crazy if you think the motivation for people to post things is to discredit you. Perhaps try to think about other reasons why people might post things.



> Perhaps you should be less confrontational!
> I and others may then become less toxic




How in the hell is making a comment that begins with the words "from my understanding" and includes the statement "still an impressive return", confrontational?


----------



## sinner (8 June 2016)

Someone messaged me in private to let me know this discussion has already occurred in another thread, and after checking I can see tech saying he bought $90k of stock...which implies the full margin was used (my mistake it was $60k not $70k).

The starting equity is also shown as $90k, not $30k.

https://www.aussiestockforums.com/forums/showthread.php?t=26473&p=761907&viewfull=1#post761907

Not really sure how the charts presented in the above thread make sense if the initial position size was $3000.


----------



## tech/a (8 June 2016)

sinner said:


> Yeah, if you buy a $1000 put option on SPY and tomorrow you wake up and the put is now worth $1500 then* it's a 50% return but it doesn't entitle you to say "I can make 50% returns in a day".*Nobody is disputing that return on capital is return on capital. The issue raised was only to clarify the source of those returns, which has been done. If you don't care about the source, *that is fine*, but some people do.




But you did that day---you can say that that day.
Just like I did in 7 yrs.----I can say that over that 7 yr period.

I have never said or implied that I have done that every seven year period or indeed in any future seven year period. Only in *THAT* 7 yrs period.

My apologies that it doesn't fit with you.
It is what it is/was




sinner said:


> Dude, you are actually crazy if you think the motivation for people to post things is to discredit you. Perhaps try to think about other reasons why people might post things.
> 
> 
> 
> *How in the hell *is making a comment that begins with the words "from my understanding" and includes the statement "still an impressive return", confrontational?




The bit in the middle you don't quote
In particular the Blue bit.



> so the return from trades is actually more like 260% return over 7 years (~15% per annum, after margin costs I assume, otherwise not much better than market return)* than the 1200% return that "turning $30k into $360k" seems to imply*.


----------



## markrmau (2 November 2021)

tech/a said:


> // here we define our buy conditions
> cond1=Cross(H,Ref(HHV(H,10),-1)); //todays high crosses last highest high over the last 10 periods
> cond2=H > EMA(C,40); // todays high is greater than the 40 day Exp MA of closes
> cond3=HHVBars(H,70) == 0; // todays high is the highest for 70 periods
> ...




Morning everyone, longtime no hear (from me anyway)!

I had a renewed interest in a system I could use for super and thought I would backtest TT.  However, I think I would have to modify slightly.  

Data: using yahoo finance.  This gives you adjusted OHLC which accounts for all splits and dividends.  However, if I use this, it is a little hard to compare to XAO unless I can easily split out the dividend yield.
For this reason I think I will use the unadjusted values and see if I can adjust only for splits.  Dividends would then be extra return

Position size.
I am a little more conservative.  I would feel more comfortable with position sizes of $15k now. I intend to work out what that translates to at the beggining of the data set and have a year-by-year escallation that equates to $15k now.

Stock universe.
If I could get the BT margin list each year for the last 30years I could use that.  It might present data problems for me though.  For now I intend to rely on the EMA of the volume*close to select on liquidity instead.

The buy conditions.
cond1 - i think this will always be true when cond3 is true.  cond1 ignored.
cond4 - (also see Stock universe).  In two minds.  For liquidity checking I would prefer to use the MA rather than EMA, however EMA would allow selection of stocks with smaller traded $ which have an uptick in the traded $.   Will leave as EMA.
cond5:  if I use data that is backadjusted for splits and dividends, this interferes with this condition.   I do have unadjusted data.  Will try with and without this condition.  

EMA generally - assume smoothing = 2 as per https://www.investopedia.com/terms/e/ema.asp

The sell conditions.
I will change the stop slightly - if any of o/h/l/c <= 0.9 * buy price, then sell next open.  This is realistically the best I could acheive in real life. I prefer not to have automated stop losses via the broker system - as you wouldn't know what price you got for the sale if it dumps to market, and it would be hard to backtest without knowing sell price.   Assuming the liquidity is selected suitably, you have better chance buying/selling on the open/close without influencing the market. 

Monte carlo analysis: will do this.

Any thoughts or comments?


I'll send analysis when I get it all working.


----------



## rnr (2 November 2021)

markrmau said:


> Morning everyone, longtime no hear (from me anyway)!
> 
> I had a renewed interest in a system I could use for super and thought I would backtest TT.  However, I think I would have to modify slightly.
> 
> ...



Hi @markrmau,


markrmau said:


> Morning everyone, longtime no hear (from me anyway)!
> 
> I had a renewed interest in a system I could use for super and thought I would backtest TT.  However, I think I would have to modify slightly.
> 
> ...



Hi @markrmau,

*cond1 - i think this will always be true when cond3 is true.  cond1 ignored.*

Rather than ignoring this condition immediately, why not leave it in initially and run a test. You could then remove the condition and run another test so that you can verify the effect of removing that condition.

Cheers, Rob


----------



## KevinBB (2 November 2021)

markrmau said:


> Data: using yahoo finance. This gives you adjusted OHLC which accounts for all splits and dividends. However, if I use this, it is a little hard to compare to XAO unless I can easily split out the dividend yield.



Now, I am not familiar with this particular data source, but if it adjusts for splits and dividends, why not use an index based ETF as your benchmark?

There are a number of ASX listed ETFs which aim to mimic XJO or XAO. Just choose one of those, and let your data source adjust prices for any dividends or distributions that they pay. Easy.

KH


----------



## markrmau (3 November 2021)

Good points thanks Rob and KH

I will do an amibroker comparison and excellent point to compare to asx ETF.

No point in going through the heartache of trading if you can simply buy an ETF.

Or indeed, may as well try TT on the ETFs....


----------



## tech/a (3 November 2021)

Today’s bar CROSSES the last highest high over the last 10 periods 
so there must be a peak that is being crossed that occurred in the last 10 periods 
AND today’s high must be the highest high for 70 periods 

Do away with Condition 1 and your not trading tech trader.
Youll just be trading any close which is the highest in 70 periods.

Think about it.
peak —- pull back —— another new high.
AND above a 40 day EMA so that it’s not just inside a flat accumulation stage.

Love ya work —- tech


----------



## markrmau (4 November 2021)

Thanks Tech - love your work too!

Are the amibroker code and comments correct for conditions 1 & 3 ?

cond1=Cross(H,Ref(HHV(H,10),-1)); //todays high crosses last highest high over the last 10 periods

See attached (though this example may fall foul of other condiitons). 
I would say that if todays high crosses the highest high of the last 10 bars, then it must also be the highest high of the last 10 bars.
If it is highest high of the last 10 bars, then it must also be the highest high of the last 70 bars.

I see in another post you wrote:   "For those with Metastock here is the code.
ENTRY
Cross(H,Ref(HHV(H,10),-1)) AND H > Mov(C,40,E) AND HHVBars(H,70)=0 AND C < 10.00 AND C > O AND Fml("Liquidity") > 500000;"

So the amibroker code seems to be correct.


As an example, I have ran the code from 16/6/99 to 31/10/21. (but without the monte carlo analysis - that will come next)

The total return is 10.9% compounded p.a - marking to market close the value of open positions as at 31/10/21 (although possibly only closed positions should be considered). 

The equivalent xjo for that period is 4.5%  compounded p.a, and the yield is approx 4.5%.  

I wasn't able to find an ETF with 20 years history but will keep looking. IOZ, VAS

So on the face of it:

Techtrader seems to outperform xjo by almost 2%  (compounded over 21 years, this is a lot).  The proviso being that the TT universe I used is wider than the xjo.
The volatility is far lower (just compare TT position graphs vs xjo).


----------



## markrmau (4 November 2021)

Insights
					






					www.ssga.com
				






> As of June 30, 2021, that $10,000 in the SPDR® S&P®/ASX 200 Fund (STW) would have turned into $48,789. Meanwhile, the $10,000 in the SPDR® S&P®/ASX 50 Fund (SFY) would be worth $46,230, *assuming all distributions from the funds were reinvested.*




The above is for *20 *years.

For the TT period of about *22.3* years, the answer would be $88k (in my single run of buying whenever there was capital available, including a flat $20 buy / sell cost, and a position size of $5k)

Not sure why the above fund is only returning $46k - maybe the average xjo yield is far lower than the 4.5% I posted previously


**** But I haven't included CGT **** which should be included as hold times of <1 year will not get the 50% CGT concession, but holding an ETF would give you a CGT concession


----------



## markrmau (8 November 2021)

Just an update - this is what I have with mark to market numbers (open trades evaluated to close each day)

Please keep in mind differences from real TT
a) Not using BT margin list.
b) Not using the 10% stop (selling the next open as I thought this was the best I could realistically do.
c) Only one run

So while the returns look good during certain periods, it isn't something I would trade.  

I can work out solution for b,c but not sure what ill do for a) unless can get historical list.


----------



## Lone Wolf (8 November 2021)

markrmau said:


> Are the amibroker code and comments correct for conditions 1 & 3 ?
> 
> cond1=Cross(H,Ref(HHV(H,10),-1)); //todays high crosses last highest high over the last 10 periods



I'm not sure if you have this sorted or not, but I don't see any further comments on it. 

The important part of condition 1 is that it needs to *cross* the highest high over the last 10 periods. i.e. Yesterday's high was not the highest high in the last 10 periods, but today's bar is. You're waiting for a brief pullback, then trading the breakout from that pullback. 



> I would say that if todays high crosses the highest high of the last 10 bars, then it must also be the highest high of the last 10 bars.



Yes, but the important part here is not just that it is the highest high, but that it crossed the highest high of the last 10 bars.



> If it is highest high of the last 10 bars, then it must also be the highest high of the last 70 bars.



This isn't true, but the opposite is true (and maybe you just wrote it the wrong way around). The if a bar is the highest in the last 70 then it must also be the highest in the last 10. But a bar can be the highest in the last 10 without being the highest in the last 70. Think of a chart coming out of a downtrend. But again, cond1 is about breaking out of a small pullback, not just being the highest.

When backtesting Techtrader, don't forget that there are two other conditions that are not defined in the code. It's for the trader to apply these two rules by looking at the chart before taking the signal.
- It must be in an obvious uptrend or obviously breaking out of a downtrend.
- It must not be stuck in a trading range.


----------



## Austwide (8 November 2021)

Lone Wolf said:


> When backtesting Techtrader, don't forget that there are two other conditions that are not defined in the code. It's for the trader to apply these two rules by looking at the chart before taking the signal.
> - It must be in an obvious uptrend or obviously breaking out of a downtrend.
> - It must not be stuck in a trading range.




Isn't that covered by "AND above a 40 day EMA so that it’s not just inside a flat accumulation stage."?


----------



## tech/a (8 November 2021)

Techtrader is the most tested/bastardised and fiddled with system I know of. 
The last time I saw this system traded correctly was 2002-2008.

Yet everyone has an opinion of every version they play with.
Call whatever you design whatever you want but not Techtrader. 

Appreciated.


----------



## Lone Wolf (8 November 2021)

Austwide said:


> Isn't that covered by "AND above a 40 day EMA so that it’s not just inside a flat accumulation stage."?



Without looking through the charts, I'll vote no. Once price has been in a range for 70 bars it shouldn't be hard for price to be above both the 40EMA and the 70 period HHV and still not be in an obvious uptrend.

This is not based on experience as I've never traded it. I'm just stating the rules as listed in the original Techtrader since people tend to stumble across the code and not realise there were additional rules.


----------



## Austwide (8 November 2021)

Lone Wolf said:


> Without looking through the charts, I'll vote no. Once price has been in a range for 70 bars it shouldn't be hard for price to be above both the 40EMA and the 70 period HHV and still not be in an obvious uptrend.
> 
> This is not based on experience as I've never traded it. I'm just stating the rules as listed in the original Techtrader since people tend to stumble across the code and not realise there were additional rules.



OK, i can see if the price jumped say 50% it would quickly get above the 40EMA without being in any real uptrend.


----------



## Lone Wolf (8 November 2021)

Austwide said:


> OK, i can see if the price jumped say 50% it would quickly get above the 40EMA without being in any real uptrend.



I had a quick look. This is what I was thinking of. Green line is the 40EMA, the right most bar is a valid entry if looking only at the code. There weren't that many in my sample. Most of the time it seems it's actually the volume filter that keeps you out of these. Stocks that go nowhere for long periods of time tend to fail the turnover filter.


----------



## markrmau (10 November 2021)

Thanks for the responses all - yes I miss-wrote the comment about the 70/10 day highest high.  

However, I will get amibroker and just do the code exactly as is.  The only thing I can't seem to get is the BT margin list other than the current one.  We can't really use that as it wouldn't be valid for 20 years ago (eg I'm sure ABC learning was on the BT margin list before it went bust)

The only thing I would struggle with is:


Lone Wolf said:


> When backtesting Techtrader, don't forget that there are two other conditions that are not defined in the code. It's for the trader to apply these two rules by looking at the chart before taking the signal.
> - It must be in an obvious uptrend or obviously breaking out of a downtrend.
> - It must not be stuck in a trading range.




- this would involve inspecting each entry (or writing an algorithm but then it wouldn't be TT!)


----------



## tech/a (10 November 2021)

When I first set to work on this I designed it on a universe of stock under $10 obviously many eventually traded well above that when we held them in some cases for years.
I wanted to trade on margin so used BT they had a list you could trade 
my thinking was that if it was in their list then they must have liked it fundamentally.
My searches were based on the current BT list as my trading universe 

Not my testing universe. As it turned out it was robust enough to do well on that universe.
Which Monte Carlo analysis alluded to.

I decided to not get tied up with semantics— maybe right —- maybe wrong.

FYI I don’t trade the original TT but do trade a version in my Superfund.
I know of one guy that still trades the original and last time he made contact was doing really well


----------



## markrmau (13 November 2021)

Attached are the results for anyone interested.  If you unzip somewhere, you should be able to open stats.html

Both are based on the current BT margin list (with ETFs and Funds removed)

TT1 has all 5 conditions
TT2 has condition 1 removed - yes they are different as condition 1 means that todays high must be *higher *than previous 10 HH, not *higher or equal* to the previous 10 HH.

Montecarlo analysis done but just in case people are confused with the MC output format, here are charts that may be more understandable.  I wouldn't read too much into the appearance that removing cond1 seems to give better return - I suspect these results are not representative because the current BT list is used which certainly wouldn't have been valid 20 years ago

Note this is using 'unadjusted' yahoo data.  From what I can see in the data, this is actually adjusted for splits but not divs.

Opening equity 100k,  10% position sizing.  *Buy/sell on OPEN*









What this means for the second graph is 1000 runs were tested and of those 1000, 5% (or 20 of the runs) had a return of about 12% p.a.


----------



## markrmau (13 November 2021)

And attached straight TT, except all stocks currently listed on the ASX - ignore the BT margin list




Don't forget that using the currently listed ASX stocks means we have survivorship bias as well.

I think the entry in TT is fantastic.  However we need a better exit strategy to more quickly exit on the 10 yearly 'black swan' events (dot com bust, 2008 financial crisis, covid panic)


----------



## tech/a (13 November 2021)

When Trading the original back in 2008 all held stock actually exited months before the Crash.
Are you using amibrokers Monte Carlo analysis?
Tradesim is a better Monte Carlo testing software.


----------



## markrmau (13 November 2021)

Thanks - that's interesting I'll have to check the exits more closely.  Maybe I was more concerned on the covid exit where a lot of the gain is from the recovery afterwards.

Yes Amibroker montecarlo - I don't think it is that intuitive.  The best info is below but you don't get the actual data points to do a histogram like I prefer (which I think Tradesim does give you as you say)




This means 50% of the time the annual return is less than 5%, 85% of the time the annual return is less than 10%, 25% of the time the return is less than 2.75% or so.   I get it, but not my preferred presentation.


----------



## tech/a (13 November 2021)

When we ran it and about 1000 others back in 2000-2007 averaged about 24%
Radge also tested it extensively before publishing in his book and got very similar.

Today I trade a home grown method which I worked with others on. Some of the original is used.
For longer term Super.


----------



## Lone Wolf (14 November 2021)

markrmau said:


> Yes Amibroker montecarlo - I don't think it is that intuitive.  The best info is below but you don't get the actual data points to do a histogram like I prefer (which I think Tradesim does give you as you say)
> 
> This means 50% of the time the annual return is less than 5%, 85% of the time the annual return is less than 10%, 25% of the time the return is less than 2.75% or so.   I get it, but not my preferred presentation.




Just a word of warning on how Amibroker does Monte Carlo analysis analysis. It uses the trade list generated in your single backtest to create all the other runs. It does this by shuffling, omitting and duplicating the original trades randomly. But it's still the same trades. 

It's better to add a random element to your buy condition and run that backtest 1000 times yourself to generate the different runs. Here's is a more detailed post by @MovingAverage on the topic.





						Dump it Here
					

Amibroker & Norgate Data This is a match made in heaven. I'll be using Amibroker to code the "Weekend Trend Trader Strategy" & using Norgate as the data supplier. Amibroke & Norgate data are both programs that are needed to develop a trading strategy as one program without the other is less than...




					www.aussiestockforums.com


----------



## markrmau (15 November 2021)

Ahh, thanks.  That's a much better way of doing things.

Good point about the position sizing in that message as well.  For the sake of this backtesting, I will do as per the TT rules, but in real life, a fixed position size is required - otherwise we would move the market on the entry/exit


----------



## markrmau (18 November 2021)

Attached.  I decided to make it $7000 fixed buy size with $20 commission on trades.  Montecarlo, 1000 runs, probability of taking an entry=0.7 as per the link above.

Happy to provide a download link to the dataset if anyone wants it (it is the yahoo data of current asx stocks, not adjusted for dividends, but adjusted for splits). A little over 600MB csv file but i'm sure it will compress well.


----------

