Dump it Here

[Skate]

The buy should have been a few weeks ago, according to the rules. I don't know what tennis has to do with it though.

View attachment 97450

Reporting
The exercise of reporting the trading results of the BOX Strategy wasn't for the disclosure of the system or disclosure of the strategy code but to report weekly if a small $75k portfolio can achieve a yearly 25% return.

On the money
Read @systematic responses above as his comments are close to the mark, explaining succinctly what I was trying to achieve posting the weekly trading results of the BOX Strategy.

Confusion
@Gringotts Bank don't get hung up on a generalised description of the buy or sell conditions. A conditional previous high within the trend would have been a better description but that is still only a generalisation as well - the previous high within the pullback was never suggested. If a position is taken rest assured it meets the BOX strategy buy condition otherwise it wouldn't be taken.

Questions
@InsvestoBoy asked a series of good questions expressing his alternative views with graphics that others could easily understand. Asking questions in the "Dump it here' thread is how we learn, playing tennis on a subject is another matter. When comments are wrapped in a question it has no educational value.

Tennis - (Generalising for others to understand my terminology)
Posting backwards & forwards, hanging on the trivial to justify a position is unhelpful. Some always demanding documentary evidence from others to support their assertions, while offering none in return.

Opinions are welcomed
All I ask if others have an alternative view - post it. Whether your view is right or wrong isn't important, what's more important, this thread gives you the ability to express your views without being ridiculed or challenged.

Experience
Every member enjoys a different level of experience & expertise. When posting think of posting an "alternative view" that has educational value or if you "totally disagree" with one of my posts, explain so others understand your alternative view.

Don't ask one liners
Some members ask questions as one liner, (not all but some) & sometimes their responses are the same, it's unhelpful. It serves no educational value.

It takes time
It takes a lot of time & effort to give a measured response so all I'm asking if you have a question detail it precisely, let me understand why you don't understand as playing tennis with others is tiresome, boring & more importantly it waste our time.

Skate.

 

[aus_trader]

View attachment 97436


View attachment 97437

The BOX Strategy is off & running...

Skate.

Thanks Skate, it's nice to see the actual positions of the portfolio.

 

[Gringotts Bank]

View attachment 97452

Reporting
The exercise of reporting the trading results of the BOX Strategy wasn't for the disclosure of the system or disclosure of the strategy code but to report weekly if a small $75k portfolio can achieve a yearly 25% return.

On the money
Read @systematic responses above as his comments are close to the mark, explaining succinctly what I was trying to achieve posting the weekly trading results of the BOX Strategy.

Confusion
@Gringotts Bank don't get hung up on a generalised description of the buy or sell conditions. A conditional previous high within the trend would have been a better description but that is still only a generalisation as well - the previous high within the pullback was never suggested. If a position is taken rest assured it meets the BOX strategy buy condition otherwise it wouldn't be taken.

Questions
@InsvestoBoy asked a series of good questions expressing his alternative views with graphics that others could easily understand. Asking questions in the "Dump it here' thread is how we learn, playing tennis on a subject is another matter. When comments are wrapped in a question it has no educational value.

Tennis - (Generalising for others to understand my terminology)
Posting backwards & forwards, hanging on the trivial to justify a position is unhelpful. Some always demanding documentary evidence from others to support their assertions, while offering none in return.

Opinions are welcomed
All I ask if others have an alternative view - post it. Whether your view is right or wrong isn't important, what's more important, this thread gives you the ability to express your views without being ridiculed or challenged.

Experience
Every member enjoys a different level of experience & expertise. When posting think of posting an "alternative view" that has educational value or if you "totally disagree" with one of my posts, explain so others understand your alternative view.

Don't ask one liners
Some members ask questions as one liner, (not all but some) & sometimes their responses are the same, it's unhelpful. It serves no educational value.

It takes time
It takes a lot of time & effort to give a measured response so all I'm asking if you have a question detail it precisely, let me understand why you don't understand as playing tennis with others is tiresome, boring & more importantly it waste our time.

Skate.

Some people may want to code this. That's whole idea innit?

The entry rule relates to the breakout above the most recent swing high or pivot. In order to code this one needs to be very careful about lookahead bias. This is especially true if zig-zag is used to define it.

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[Saqeeb]

Hi Skate,
I see you have noted PAR to be an 'Unlikely' buy and eventually you have not purchased it. If I may, can I ask why this was not purchased?
Is it because it gapped through your offer price?
I notice PAR opened at $2.39 and is now up by ~10% at the time of my posting.
Thanks

 

[Skate]

Hi Skate,
I see you have noted PAR to be an 'Unlikely' buy and eventually you have not purchased it. If I may, can I ask why this was not purchased?
I notice PAR opened at $2.39 and is now up by ~10% at the time of my posting.
Thanks

Hi @Saqeeb thank you for your question as it give me the opportunity to explain another of my rules.

A simple explanation
In the pre-auction I offered $2.36 & it opened at $2.39 as you reported. One of my rules is the "Buy offer" is good for one day only & I don't chase the price. There are some positions that you miss (willingly)

Another missed opportunity
In another strategy I also missed ASX:CLV today. Offered $2.36 in the pre-auction - opened @ $2.68 now trading @ $2.77. That's trading (my way)

Trend Followers are hitchhikers
If I fail to hop on a move, there will be others coming along, so it's no big deal. Trend followers are hitchhikers - as a hitchhiker if a car fails to stop it's not the end of the world, there will be other cars coming along soon.

I also don't do - "if only" - if you start doing that it will mess with you big time.

Skate.

 

[Saqeeb]

Thanks Skate, that brings me to another question that I have been meaning to ask as I missed two entries (CLV and PMV) today in my system inspired by yourself and @peter2.

How to ensure that you are filled at open?

Is it best to place limit orders in the market or do you buy at open? (this, i think, may be disadvantageous more times than not)

How do you work out a buy offer (limit)? Is there a methodology or a formula to it?

Thanks

 

[Skate]

Thanks Skate, that brings me to another question that I have been meaning to ask as I missed two entries (CLV and PMV) today in my system inspired by yourself and @peter2. How to ensure that you are filled at open? Is it best to place limit orders in the market or do you buy at open? (this, i think, may be disadvantageous more times than not) How do you work out a buy offer (limit)? Is there a methodology or a formula to it? Thanks

"How to ensure that you are filled at open?"
@Saqeeb, that's a great question. Getting filled at the open is my objective. To achieve this I offer 3% above the previous close & I get filled 99.99% of the time. Many moons ago I would offer 5%-6% above the last closing price to guarantee buying at the "opening price" but I soon realised trading large dollar position offering 5% or 6% can move the market, something to be avoided.

Lets talk about ASX [PAR]
There was minimal sellers & one large over-the-top (OTT) buy offer. The "OTT" buy offer didn't even get completely filled (short filled 277 shares) & now you know why the price pushed higher, emotions (FOMO). I wasn't one of them chasing the price & now I'm unlikely to be filled, thus the notification (highlighted in red) on the Mondays update. (F.O.M.O. is an acronym for "The Fear Of Missing Out")

GAPS
Gap-up at opens have a tendency, (but not always) to fall back during the day if (FOMO) buyers dry up & sometimes the price will drop back to my original "offer" snagging the buy. Sometimes I just miss the ride, pure & simple.

"Is it best to place limit orders in the market or do you buy at open?"
I know you use AmiBroker & all backtesting results are calculated using the opening price. To replicate your backtest results it's vital to snag the opening price & a limit order is the tool, other than that you will find it difficult to secure the opening price.

(1) How do you work out a buy offer (limit)?
Easy, add a percentage to the last closing price (I use 3%) & use that calculation in your limit order. I personally only want to buy on the day & not tomorrow or in a months time so I'll make sure the order is "Good for a Day"

(2) Is there a methodology or a formula to it?
This is not the formula I use but it's close enough for you to study. Also check out two other "afl" functions - ( "ceil" & "floor" )
Use the AmiBroker formula below - it's a quick & easy way for you to calculate 3% above & below the closing price

BuyOffer = Close * 1.03; //3% offered above the last closing price. (use the "ceil" function to round prices up)
SellOffer = Close * 0.97; //3% offered below the last closing price. (use the "floor" function to round prices down)

I hope this helps..

Skate.

 

[Saqeeb]

Thank you Skate for your detailed explanation.
I will lookup ceil and floor.
Disclaimer: I am guilty of chasing CLV!

 

[Newt]

Oh man, I know you've explained this before Skate re opening auction offers, but after thinking I'd listened the first time, see in my code I've got:

BuyPrice = Open*1.015;
SellPrice = Close*0.985;

Personally thought 3% margin on close was a bit pestimistic, but was never going to argue about it with you. Now realise I missed an opportunity to learn/understand BuyOffer and SellOffer, while hung up on 1.5% versus 3%. Grrr.

Back to the books....

 

[aus_trader]

Skate, not chasing prices is one thing we have in common and have mentioned a number of times in my portfolio as well. I like to wait patiently for the price to come back to a price that I am willing to pay or let go of the opportunity if it skyrockets without me, there will be other opportunities.

By the way, well done on the Bellamy's Australia Ltd (BAL) pick in your CAM strategy. Nice premium offered by the take-over.

 

[Sir Burr]

This is not the formula I use but it's close enough for you to study. Also check out two other "afl" functions - ( "ceil" & "floor" )

Yes I is those too...

function RoundTickBuy( Price )
{
return
IIf( Price < 0.1, ceil( Price * 1000 ) / 1000,
IIf( Price < 2, ceil( Price * 200 ) / 200,
ceil( Price * 100 ) / 100 ) );
}
function RoundTickSell( Price )
{
return
IIf( Price < 0.1, floor( Price * 1000 ) / 1000,
IIf( Price < 2, floor( Price * 200 ) / 200,
floor( Price * 100 ) / 100 ) );
}

 

[Newt]

Hmmm, so I wasn't missing anything - BuyOffer must be a variable you're using Skate?
Not an AFL keyword.....

 

[Skate]

Hmmm, so I wasn't missing anything - BuyOffer must be a variable you're using Skate?
Not an AFL keyword.....

@Newt, BuyOffer is an array not an Afl function.

Automated
The "Exploration Code" that I use drives the BuyOffer & SellOffer - in saying this I use a Bank feed for re-balancing so all the available trading funds are always fully applied. The coding is complex but the idea is quite simple.

How is it done
1. The trading account balance is divided by the number of unfilled positions of the strategy
2. The re-balanced position sizing directly feeds to a variable parameter setting.
3. Each position has a premium of 3% added or subtracted to snag the opening price
4. When a position is placed in the pre-auction the only known is the amount of shares being purchased
5. The initial dollar investment is unknown because the opening price is unknown, as most times the 3% premium is never fully exercised
6. Weekly re-balancing is required as the opening price poorly reflects the final dollar amount being committed to the position

Posted code
The simple code I supplied was to answer a question that @Saqeeb had asked: "How do you work out a buy offer (limit)? Is there a methodology or a formula to it?". My answer was to give him a piece of code that would be helpful. The additional information about two "afl" functions was designed to stimulate him to research for an answer that would apply to his style of trading.

Skate.

 

[Newt]

Thanks Skate. I should have just done some reading and thinking before writing down the first thought that came into my head. The first time you ever explained this I made the mistake of dismissing it as a nicety, which was unlikely to make much difference in day to day trading.

Later I realised the benefit of creating a straightforward, reproducible formula for following your strategy, with minimal opportunities for "overthinking" the trade selections. With the number of positions and strategies your trading the time benefits would be significant too.

Which reminds me of some Captain Black words of wisdom - along the lines of keep automating and simplifying your systems wherever possible. Probably time I gave this some serious thought on options to do so.

 

[myrtie100]

Hi @Skate - I have a question.
You have said that you won't chase prices up, but what about down?
If your system says 'sell' and you have your limit sell price less 3% sitting in the market.
What is your rule, if your sell price isn't low enough at open?

 

[Skate]

Hi @Skate - I have a question.
You have said that you won't chase prices up, but what about down?
If your system says 'sell' and you have your limit sell price less 3% sitting in the market.
What is your rule, if your sell price isn't low enough at open?

@myrtie100 thank you for your question as it gives me another opportunity to explain the way I trade.

Set in stone
I have a clear set of non-negotiable rules when trading.

The Sell Rules
1. Never sell before a signal is given
2. If the position is not sold in the pre-auction on Monday morning (at the open) I give the position till 10:30 am to be executed
3. If the position is still open at 10:30 am - I sell immediately "at market"

Window
The 20 minute window between 10:10 am & 10:30 am is a very fluid part of the day - waiting the extra 20 minutes allows the market to settle.

Rules
What makes trading so difficult is this: "There are no rules" - that's why I have a defined set of rules.

Excess freedom
The problem is that 'excess freedom' cause people to become overwhelmed and fearful and lose money because they do not 'know' what to do. Having a defined set of rules alleviates these concerns.

Don't break your trading rules
This is very difficult for some people to achieve because when dealing with large amounts of money, you tend to break your rules or make new ones along the way, solely for the purpose of justifying how you feel at the moment. When traders profit from not following their rules, it reinforces bad habits giving a false sense of security. In the long run it will be more profitable to trade the market rather than try to predict it.

Simple message
If you are a system trader keep the system as simple as possible, validate it (robust backtesting) and trade it with confidence !

Why?
Because when you’re dealing with your own money, trading gets very complicated, very quickly!

Skate.

 

[Skate]

Skate.