ASX Small Caps Performance over the years? Backtesting trading system question

[qldfrog]

Hello @Frankieplus

If you have a Westpac Broking account (I have one for emergencies such as this), have a look at their stock screener. Screen shot attached.

Westpac Broking still have the old-style company search where the user can nominate specific values for a filter, instead of the newer style screeners (I dislike these very much) that tell the user what they should be looking for. Westpac Broking stock search is exactly the same as the old original Commsec search, if you are familiar with that.

In Westpac Broking, filter for your stocks, copy the resulting list to a spreadsheet, and then you have an uncle named Bob.

You should be able to add a custom list to that Norgate data list.

KH

Yes with northgaye fata, you can create your list and use it as part of explore, backtest filter..sadly the list you make today will differ from last year 's one so backtest tesults have to be taken with caution

 

[KevinBB]

@qldfrog Agree.

Survivorship bias is one of the biggest problems with backtesting. It is also one of the biggest problems with the market index system, a problem that I don't mind taking advantage of my having some (not all) of my investment assets in index based ETFs.

KH

 

[Frankieplus]

Hello @Frankieplus

If you have a Westpac Broking account (I have one for emergencies such as this), have a look at their stock screener. Screen shot attached.

Westpac Broking still have the old-style company search where the user can nominate specific values for a filter, instead of the newer style screeners (I dislike these very much) that tell the user what they should be looking for. Westpac Broking stock search is exactly the same as the old original Commsec search, if you are familiar with that.

In Westpac Broking, filter for your stocks, copy the resulting list to a spreadsheet, and then you have an uncle named Bob.

You should be able to add a custom list to that Norgate data list.

KH

This is gold, I never thought of doing it this way!

This will solve my issues. If I can make a custom data list then this is perfect, thanks. I could use any screener to generate the list not just Westpac.

What would I do without uncle Bob!

-Frank

 

[Frankieplus]

Yes with northgaye fata, you can create your list and use it as part of explore, backtest filter..sadly the list you make today will differ from last year 's one so backtest tesults have to be taken with caution

But the idea to add a custom list to the Norgate list is one I never thought of.

It opens up the possibility that I can use any other data source to try to find a historical list by market cap. There are free historical data sources available not just Norgate.

-Frank

 

[qldfrog]

But the idea to add a custom list to the Norgate list is one I never thought of.

It opens up the possibility that I can use any other data source to try to find a historical list by market cap. There are free historical data sources available not just Norgate.

-Frank

indeed, I use ETFs custom list for example in my explore

 

[divs4ever]

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[Joe90]

I use Norgate Data. At quick glance there doesn't seem to be any way to create such a universe. I will email their support and see what they suggest.

It can be done in Amibroker and I've done this previously but was unable to find my afl code. A Norgate Gold or better AU data subscription is required. This gives access to auextras and a list of ASX fundamentals.
marketcap can be imported, the Amibroker link below shows how its done using the GetFnData("field") where "field" is any of the fundamental data fields supported.
A call to 'Shares Float' x close also gives the current MarketCap.
See here...https://norgatedata.com/data-content-tables.php#auextras (near the bottom of the page).
And here...http://www.amibroker.com/guide/h_fundamental.html

 

[tech/a]

I make many sub universes based on all sorts of criteria in Amibroker.

I just create a new sub folder and name it whatever I want .
from my results I just highlight the tickers I want and save
or add to folder.
I run a weekly search on my data base for close. That lists in the search all stocks trading.
If needed I can highlight a ticker from there.

These sub folders can be added or subtracted from and used in further searches.
so if your finding things manually you can list the tickers/highlight and save to folders.

 

[basilio]

What is the history of small cap shares that go on a tear ? Should one take the view that a super promising 3 year performance bodes well for a continuing blossoming of value ?

For example imagine a scenario where one identifies a dozen shares that have jumped anything from 1000 % + to 5863% in just 3 years. Surely, surely this must be some indication of promise perhaps even "the promised land" ?

Motley Fool is always up for these projects. Check out the story and imagine where you would be now if you invested 120k across the 12 shares.

October 21, 2016 1:03pm AEDT

You might be surprised by the list of companies that have produced more than 1,000% gains for their shareholders over the past three years.

Sure, some are highly speculative – and several could easily end up losing their shareholders all of their current gains.
But when you consider the S&P/ASX 200 (Index: ^AXJO) (ASX: XJO) index has returned just 1.7% over the past three years (since October 21, 2013), 1,000% returns – or more than ten times the initial price are truly astonishing.

If you include dividends reinvested over that time, the Index return becomes 16.2% in total – not a great return at all.

Company	Share Price	Market Cap ($m)	Gain
Pilbara Minerals Ltd (ASX: PLS)	$0.48	$548.7	5863%
Structural Monitoring Systems plc (ASX: SMN)	$2.54	$259.0	5465%
Resapp Health Ltd (ASX: RAP)	$0.50	$293.5	2994%
Neometals Ltd (ASX: NMT)	$0.36	$202.7	1795%
Agrimin Ltd (ASX: AMN)	$0.64	$79.3	1500%
Cardinal Resources Ltd (ASX: CDV)	$0.71	$214.6	1471%
Magnis Resources Ltd (ASX: MNS)	$0.79	$350.9	1470%
Eden Energy Ltd. (ASX: EDE)	$0.23	$280.5	1189%
Eureka Group Holdings Ltd (ASX: EGH)	$0.74	$171.0	1133%
Farm Pride Foods Ltd. (ASX: FRM)	$1.75	$96.6	1067%
Dacian Gold Ltd (ASX: DCN)	$3.34	$453.2	1048%
Red River Resources Limited (ASX: RVR)	$0.16	$48.7	1043%

Source: S&P Global Markets Intelligence, Google Finance
Some of these companies are in hot sectors, but a number also have some very exciting new technology.

Pilbara Minerals and Neometals are lithium companies benefitting from the surging demand for the product for use in rechargeable batteries – not just in mobile phones but growing electric car manufacturing.

Magnis operates in the equally hot graphite sector – hence its share price soaring.

Structural Monitoring Systems has benefitted from the increased demand for real-time monitoring of the structural integrity in products like airplanes, bridges, pipelines and buildings. The company has first-mover advantage and a huge market, although is still loss-making.

Resapp Health wants to develop smartphone apps to diagnose and manage respiratory disease. While it sounds promising, the company is still undergoing trials for its products. 3 years ago, Resapp was called Narhex Life Sciences and was looking at moving into the resources space.

Agrimin has also transformed – from a company called Global Resources Corporation three years ago, into a potash miner in July 2014. Potash is one of the main ingredients in fertilizer – expected to see almost as much demand in future as lithium.

Cardinal Resources is a gold explorer in Ghana, Africa and investors appear excited by the company’s deposits.

Eden Energy is using carbon nanotubes to form a concrete admixture that means concrete doesn’t need steel reinforcing added to it. Tests so far suggest Eden’s product is far superior to standard concrete in many ways.

Eureka Group has profited by moving into aged care and development and management of retirement villages, and is steadily growing its business with big tailwinds behind it.

Egg and egg products supplier Farm Pride has had a strong couple of years thanks to consistent growing profits – mostly by substantially reducing its production costs.

Dacian Gold has profited from the recovery in the gold price of the past few years as well as progressing its 100% owned Mount Morgans Gold Project.

Red River benefitted from the demise of Kagara Ltd, picking up the Thalanga zinc operations from the administrator for just $6.5 million in July 2014. The company is working to restart operations within the next 12 months.

Foolish takeaway
It seems clear that each of the companies listed above have exciting developments on the go. Whether they will all be successful is another questions though and not easily answered. My three tips for a closer look would Eden Energy, Farm Pride and Eureka Group.

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[peter2]

I don't know what to think of that story or the data in the table. Ignoring it might be best. Unless you're making the point that any fool doesn't know what's going to happen in three years.

 

[divs4ever]

i suspect there will be plenty of twists and turns in the next three years ( let alone ten year spans which i aim to invest in )

but in the current climate , where even mineral resources seem to be out of the normal cycle , there MIGHT be plenty of shocks and opportunities ahead

take care , but have some flexibility

 

[basilio]

I don't know what to think of that story or the data in the table. Ignoring it might be best. Unless you're making the point that any fool doesn't know what's going to happen in three years.

Did you check out where those shares are today Peter 2 ? Pilbara has done very well. As for the rest they are either total dogs, no longer on the ASX or still under the original 2016 value.

My point was that Motley Fool managed to find a dozen shares that had jumped exceptionally high in 3 years. This was of course after the event. Their suggestion is "Hey there are high flyers here. Stick around and we will point out new ones for you "

The reality for these shares was that they had already reached their highest values. It was overwhelmingly down hill afterwards.

On a personal note I held Eden Energy as one of the high fliers for a period. Excellent technology but has always been incessantly milked by the management for their benefit.

 

[divs4ever]

yes i hummed and hawed and stalled on EDE , ( and resisted buying into it )

time will tell if i made the correct choice

sadly there are quite a few managements content to milk share-holders with little repercussions

 

[Colonel Flagg]

Norgate Data has watchlists pre-populated eg ASX200, ASX Small Ordinaries etc

I have been trading a weekly breakout similar to Nick Radge's WTT for > 10 years

I have found the best results for the universe are the Norgate All Ordinaries list (top 500) & C < $15

 

[aus_trader]

Norgate Data has watchlists pre-populated eg ASX200, ASX Small Ordinaries etc

I have been trading a weekly breakout similar to Nick Radge's WTT for > 10 years

I have found the best results for the universe are the Norgate All Ordinaries list (top 500) & C < $15

Thanks for the info @Colonel Flagg.

Although I don't use a systematic approach it's good to know where the bang for the buck is and it's also similar to the stock universe that skate is trading in from what I've read.

 

[qldfrog]

Thanks for the info @Colonel Flagg.

Although I don't use a systematic approach it's good to know where the bang for the buck is and it's also similar to the stock universe that skate is trading in from what I've read.

For info, if you want to catch new muktibaggers,you need to drasticalky decrease your minimum price from $15 to cents and increase your realm from all ordinary to all trading shares.
Nick Radge weekly was designed / built on xao & high value sp so i expect this xao $15 wirks indeed.
But you will quickly discover better backtest results with wider universe, lower SP and obviously different tuning for your systematic systems.
This also obviously again increase volatility and DD so what is your definition of better?
More $ after 5y, or avoiding a stress related heart bypass?
Using xao was a wrong assumption which cost me dearly in the last couple of years. Still learning
Dyor..

 

[frugal.rock]

I have been trading a weekly breakout similar to Nick Radge's WTT for > 10 years

Greater than 10 years

& C < $15

Less than $15

For info, if you want to catch new muktibaggers,you need to drasticalky decrease your minimum price from $15 to cents

I'm getting technical here Mr Frog, but we don't know what the minimum is in this case.
(I believe 5,10 & 20 cents are common minimums for similar style strategies. Skate was using 5 cent on one strategy, maybe more? )
The maximum is $15

I'm not dislexic, but had trouble with greater than & less than symbols at school. ?

 

[qldfrog]

Greater than 10 years

Less than $15

I'm getting technical here Mr Frog, but we don't know what the minimum is in this case.
(I believe 5,10 & 20 cents are common minimums for similar style strategies. Skate was using 5 cent on one strategy, maybe more? )
The maximum is $15

I'm not dislexic, but had trouble with greater than & less than symbols at school. ?

My mistake

 

[tech/a]

Don’t think there is a minimum
To me it’s more about liquidity
behaviour of price in a range (5-15 min charts)
Which in turn lead to hold times —- price won’t go
vertical for long. Return on risk and capital invested
are my metrics.

 

[frugal.rock]

I believe 5,10 & 20 cents are common minimums for similar style strategies

Don’t think there is a minimum

Was just an observation of what I've seen around the traps for systems, where that info is available.
What's your minimum for your scans Mr Duck, or is it $0.001 ?

To me it’s more about liquidity
behaviour of price in a range (5-15 min charts)
Which in turn lead to hold times —- price won’t go
vertical for long. Return on risk and capital invested
are my metrics.

Yes, a brilliant but "fast" paced strategy. Works for you and I, however for some, slow and steady wins the race.