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@aus_trader if having additional reporting helps I'm only too happy to post those with full disclosure.

Weekly reporting
I'll post the Portfolio Dashboard, the Equity curve, the complete list of the positions in the portfolio, the day they were purchased, the buy price & the ongoing performance of each position. When the positions are sold I'll post those results so you will be able see how each position performed.

Facts & Figures
It's a fine line between posting too little & posting too much, my primary concern is to post what others find interesting. I'm a facts & figures guy so I'll post all the information after the end of trade on the Friday evening.

Skate.
 

I've been asked
“What will generate the Buy & Sell signals for The Box Strategy?”

F.Y.I. - The Box Strategy - summary
The Box Strategy is a trend continuation strategy & buys after a new high is reached after a pullback within the trend. We Sell the position when the Rate-of-Change filter (ROC) drops below zero or when the closing price is below a variable trailing stop.

What does ROC mean?
The Rate-of-Change (ROC) indicator is a simple Momentum indicator (my favourite indicator) & I use the Rate-of-Change indicator in every strategy that I code to confirm increasing momentum of a trend.

What is a variable trailing stop?
A variable trailing stop is a fixed percentage stop, a percentage from the entry or “buy price”. As the share price rises, the trailing stop rises by the trailing amount, but if the stock price falls, the stop loss price doesn't change & we “Sell” when the stop price is hit. If the All Ordinary (XAO) index is going up we have a generous wide stop loss & when the index is going down we shorten the stop loss for our safety.

(a) What generates a BUY SIGNAL?
After three consecutive weekly pullbacks in a confirmed trend a “Buy” signal will be generated when the closing price breaks above the previous high conditional the Rate-of-Change filter is above 0%.

(b) What generates a SELL SIGNALS?
“Sell” signals are generated when the Rate-of-Change filter & the closing price is below a moving average confirming the momentum has ceased - OR – when the closing price is below a variable trailing stop loss.

It will be interesting exercise
Trading a small account can it be profitable?

Thank you for the interest shown for another weekly live trading report.

Skate.
 
Musing while waiting for the end of trade today..

What's trading all about
As traders we buy a position in the hope sometime in the future we will be able to offload our position to someone at a higher price than we brought it. Traders make money in the markets by exploiting changes in the prices. Most traders put all their effort into buying where as successful traders put most of their effort into selling.

Trading with the trend
Trends exist in all markets and can be traded profitably, finding profitable repeatable patterns & timing when to enter is normally the primary concern of most technical traders. Technical traders spend an enormous amount of time on analysis, yet analysis is the easiest part of the trading process whereas our primary objective when conducting our analysis must be to limit our losses. Also it pays to stay with the trend, but get out when it is clearly ends.

Trading analysis
The reason most traders concentrate so much on analysis is based on the false premise that if the "right" stock is bought at the "right" time this is where the money will be made on the trade. While stock selection and timing the entry are important, when the trade is closed is far more important. Selling is where we make our money & it’s much more important than when we buy into the position.

Trading is much more than analysis.
Trading is a very emotional experience & emotions can sometimes sabotage the best of plans, even when trading is travelling nicely it’s difficult to follow the plan. Most losses are not the result of a poor plan, but of failure to follow it.

Bad habits
When traders profit from not following their rules, it reinforces bad habits a false sense of security. In the long run it will be more profitable to trade the market rather than try to predict it. We as humans are really good at one thing - selecting only the evidence that supports what we want to believe.

Skate.
 
Last edited:


So to summarise the above post in two sentences:

Trading is subtractive, not additive. We subtract what does not work, not adding what will work.

jog on
duc
 
Skate said:
How much money do we need to start trading?
Most traders think you can start with a small amount of money to start trading but anything less than $50k or $60K is quickly swallowed up by commission costs, the cost of doing business.
Click to expand...

What was I thinking..
The exercise to trade a small portfolio is hypocritical - I've been preaching one thing, and planning to do another. The Box Strategy starts trading Monday with a minor change to the starting capital - increasing from $40k to $75k


Skate.
 
There is only so much hit you can take with a low capital, i found out that brokerage is a killer if your parcels are below $2k.then doing a buy sell cost you more than 1pc
So $2k parcels, 20 to 40 max invested stocks means you need between $40k and $80k to start..
Is that the reason for the increase @Skate ?
 
Skate said:
(a) What generates a BUY SIGNAL?
After three consecutive weekly pullbacks in a confirmed trend a “Buy” signal will be generated when the closing price breaks above the previous high conditional the Rate-of-Change filter is above 0%.
Click to expand...

ASL fits this criterion?
 
Gringotts Bank said:
ASL fits this criterion?
Click to expand...
Good question as it doesn't seem the system is quantitatively defined at all?

What constitutes a "weekly pullback"?

What constitutes a confirmed trend?

When which closing price breaks above which previous high?

What is the parameter for ROC on which timeframe?

For ASL, I can see some previous lower weekly closes that might be what is referred to as a weekly pullback but the close above both previous weekly high and previous swing high at 2.07 occurred last week?


For GMA there is no close above previous swing high, only previous weekly high and there are no consecutive lower weekly closes, just lower previous weekly highs. No close above previous swing high and the close above previous weekly high occurred last week?



For IGO I can't see either 3 consecutive lower weekly highs or lower weekly closes and the close above previous weekly high and previous swing high occurred 2 weeks ago?



So can you elaborate a bit on the above questions @Skate? The proposed trades don't seem to line up with the rules, and the rules don't seem very rigorously defined for a quantitative trading system...
 
Inv Boy

Why don''t you include Volume in your analysis

Gaps, Range and Close?
 
tech/a said:
Inv Boy

Why don''t you include Volume in your analysis

Gaps, Range and Close?
Click to expand...

@tech/a sorry for the confusion, I am not providing any analysis here, just posting the charts for the 3 trades in @Skate's box system to try and tease out the meaning behind the entry rules he provided, because none of them seem to conform to those rules...
 
Hang on - is Skate's intention to disclose parameters? If so, fine - others can back-test, tweak and share. In which case the parameters would help. But Skate might just be sharing the concepts and this is a follow my trade thing? Either way is good - just wanted to point that out.

Skate's chart seems to indicate that InsvestoBoy is correct about ASL - it's been in a trade for a week already (which is fine).

But Skate might be measuring 'pullback' etc via an indicator or whatever. Actually, from a quick glance at a bar chart, the others even work on a price basis - if by 'pullback' Skate meant, '3 weeks below the swing high'
 

Sorry, not questioning to try and get the precise parameters of the system or have a dig.

Just trying understand the meaning behind the conditions that make up the buy signal because the charts don't consistently match any interpretation I can make based on 3 examples.

But Skate might be measuring 'pullback' etc via an indicator or whatever. Actually, from a quick glance at a bar chart, the others even work on a price basis - if by 'pullback' Skate meant, '3 weeks below the swing high'
Click to expand...

If 'three consecutive weekly pullbacks' means 'three consecutive weeks below the swing high' then ASL is a week or two late and IGO is either two or three weeks late...depending on the definition of "closing price breaks above previous high".
 

@InsvestoBoy, they are all good questions. I've previously condensed a description how 'The BOX Strategy' enters & exits a position. The other more intricate details have not been disclosed nor the parameters with the associated time frames.

Reporting
I'm now trading the BOX Strategy (previously paper traded in this thread) & posting in live time. Nothing is hidden other than what constitutes the intricate details of the main strategy. The exercise is not to disclose the system or code but to report weekly if a small $75k portfolio can achieve a yearly 25% return.

Mud Map
The mud map below is for others to have a general idea of the strategy not the specifics. As you have eluded to - there is more to the strategy than meets the eye.

(a) What generates a BUY SIGNAL?
After three consecutive weekly pullbacks in a confirmed trend a “Buy” signal will be generated when the closing price breaks above the previous high conditional the Rate-of-Change filter is above 0%.

(b) What generates a SELL SIGNALS?
“Sell” signals are generated when the Rate-of-Change filter & the closing price is below a moving average confirming the momentum has ceased - OR – when the closing price is below a variable trailing stop loss.

What constitutes a "weekly pullback"?
The BOX Strategy uses multiple weekly pullbacks conditional to a main Rate-of-Change filter turning on & off. Also additional variable ROC filters are used in relationship to the another momentum filter of the index to make the final decision for an entry.

What constitutes a confirmed trend?
Well that is subjective, the trend & momentum filters that the BOX Strategy uses are not disclosed

What is the parameter for ROC on which timeframe?
Variable parameters of either will be disclosed.

Skate.
 
That's alright @Skate, I misunderstood the point of your post and thought it was an open quantitative system which you wanted to explore but I see it's more of a trading log for your own proprietary system which maybe has some subjective components.
 
InsvestoBoy said:
Sorry, not questioning to try and get the precise parameters of the system or have a dig.
Click to expand...

No, no, you asked excellent questions for Skate to clarify. I already suspected that (as you correctly pointed out) due to the lack of specific definitions and parameters that this was either discretionary, quantitative but undisclosed (or a mixture of both).

I just wanted to point out that it depends on the definition. Even looking at the price chart - IGO is only one week 'late' (but remember, the ROC has to be up as well etc). And GMA looks just triggered on the chart. Yours looks different - GMA had an up week last week?
 
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