Dump it Here

[Skate]

Skate.

 

[Skate]

The Problem - circled in red
1. The CAM Portfolio has all 25 positions in the markets
2. Having all positions in the markets with one pending sell leaves no room for re-balancing
3. The accumulated idle funds plus a sell with a large open profit will need to be put to work









The Issue - (circled in red)
After 9 weeks the "CAM Portfolio" has had a great run with closed profits leaving limited re-balancing options. All of the 25 positions are currently in the market with only one sell pending.

Excess Funds
The CAM Portfolio has accumulated net profits of $41,781 leaving uncommitted funds sitting idle. To utilise those funds I have decided to open another three $16K positions, taking the position size from 25 to 28 positions.

Skate.

 

[Newt]

That sounds like a nice sort of problem to have Skate

 

[ducati916]

View attachment 97701

The Problem - circled in red
1. The CAM Portfolio has all 25 positions in the markets
2. Having all positions in the markets with one pending sell leaves no room for re-balancing
3. The accumulated idle funds plus a sell with a large open profit will need to be put to work

View attachment 97702


View attachment 97703


View attachment 97704

The Issue - (circled in red)
After 9 weeks the "CAM Portfolio" has had a great run with closed profits leaving limited re-balancing options. All of the 25 positions are currently in the market with only one sell pending.

Excess Funds
The CAM Portfolio has accumulated net profits of $41,781 leaving uncommitted funds sitting idle. To utilise those funds I have decided to open another three $16K positions, taking the position size from 25 to 28 positions.

Skate.

So you are modifying your rules. Essentially you are saying that, 'I know better than my system'. If this element of discretion falls within the design, well and good. If it does not, then it is a failure of discipline.

Idle funds in a bull market are a drag on returns.
Idle funds in a bear (or approaching bear) are a godsend.

Which is it?
Nobody knows.

Was this a factor that was tested? If not, why not. If yes, what did the testing suggest?

jog on
duc

 

[Skate]

So you are modifying your rules. Essentially you are saying that, 'I know better than my system'. If this element of discretion falls within the design, well and good. If it does not, then it is a failure of discipline.

Idle funds in a bull market are a drag on returns.
Idle funds in a bear (or approaching bear) are a godsend.

Which is it?
Nobody knows.

Was this a factor that was tested? If not, why not. If yes, what did the testing suggest?

jog on
duc

Hi @ducati916 thank you for your comments but your statement of facts are wrong when they are applied to my style of trading.

1. "So you are modifying your rules."
No, I'm not modifying my rules but applying them.

2. Essentially you are saying that, 'I know better than my system'.
No, I'm not saying that at all. Post after post, I've remarked about never overriding your system & "ad nauseam" stated "never think you know better than your system". This topic has been discussed in the 'Dump it here' thread extensively.

3. If this element of discretion falls within the design, well and good.
This is not a discretionary decision but a design of the strategy, so as you say it's all "well and good"

4. Was this a factor that was tested? - If yes, what did the testing suggest?
Yes extensively tested, I try not to leave anything to chance trading my own money. There has been much discussion about Portfolio position sizing & may I state "just because the majority says one thing doesn't make it true" & especially not when it comes to my style of trading. I've posted my finding on this very topic (position sizing) & even mentioned the sweet-spot that I've found once or twice.

Lets talk about (a) position size & (b) position value re-balancing
First off, we often agree on most things but I can't accept your statement as if it is a fact:

"Idle funds in a bull market are a drag on returns.
Idle funds in a bear (or approaching bear) are a godsend"

Idle funds
Idle funds are just that, Idle funds, funds not being productive. Personally I want my funds to be in the markets fighting the good fight (I call them soldiers). Don't let anyone tell you that there's not money to be made in the markets whether it's a bull or bear market. (Good traders - trade in both)

My (a) position size & (b) position value re-balancing rules
1. Every new strategy that I start begins with - 20 X $15k positions ($300k starting Equity for every new strategy)
2. Preferred method is to re-balance dollar position sizing first - (HOW) Trading account Bank balance divided by outstanding, unfilled positions.
3. Once the dollar position sizing reaches $25k per positions - I add extra positions to the Portfolio to a maximum of 53 positions.
4. Once the portfolio size reaches 53 X $25 per position - the strategy is deemed to be full & another strategy is started & traded.
5. I have multiple strategies actively being traded every week.
6. The CAM Strategy didn't allow for my preferred (or first) option to increase dollar position sizing as the strategy was "position full" so my second option to increase the quantity of positions had to be enacted.

F.Y.I
The CAM Strategy was "a project" started 9 weeks ago on the premise of keeping the 'Dump it here' thread alive. (without posts in the thread - the 'Dump it here' thread is dead)

Side project
The CAM Strategy is just a side project, a strategy that I paper traded live on this thread, I've even supplied the base code to those that were interested.

Real money on the line
The CAM Strategy is a project being traded with real money, sharing the concepts & code so others could follow along. By publishing my weekly results & the progress of my trades in the hope of encouraging others to read my entire thread or at least grab a copy of my eBook. All my posts are a condensed version of information that was helpful to my trading, knowing it would certainly be helpful to others in their journey.

The essence of the 'Dump it here' thread
"to help others"

Skate.

 

[Skate]

IMH Duc's right. A 25 position system is 25 positions.
Here's the code - SetOption("MaxOpenPositions", 25 );
If you want to change it, that's your prerogative.

@investtrader I've also said "ad nauseam" alternative views educate, playing tennis on minor points serve no purpose without an explanation for others to understand where you are coming from.

Comments
Just making a comment: "IMH Duc's right. A 25 position system is 25 positions" is a statement that has no educational value.

So others can understand
I've explained in detail for others to understand how & why I re-balance my systems - others may do it differently, do you?

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 or making a statement detail it precisely, let me understand why you don't understand as playing tennis with others is tiresome, boring & more importantly it wastes our time.

Here is my code
maxOpenPositions = Param( "Maximum Open Positions", 28, 1, 10000, 1 );
Your basic code hasn't the feature of "on the run" re-balancing.

A photo of my parameters filter


Re-balancing
I'm unsure if re-balancing is a feature of your strategy but re-balancing plays an important part in the performance of my systems. I've given a full & detailed response to @ducati916 outlining & explaining my re-balancing rules.

Skate.

 

[ducati916]

This post isn't to be taken too seriously. It is more to simply demonstrate how easily (through language) things can be misconstrued.

So...


The Problem - circled in red
1. The CAM Portfolio has all 25 positions in the markets
2. Having all positions in the markets with one pending sell leaves no room for re-balancing
3. The accumulated idle funds plus a sell with a large open profit will need to be put to work

The Issue - (circled in red)
After 9 weeks the "CAM Portfolio" has had a great run with closed profits leaving limited re-balancing options. All of the 25 positions are currently in the market with only one sell pending.

This identifies that there is an issue and infers that something about the 25 position number, is the causation of this issue.

The solution to the issue:

Excess Funds
The CAM Portfolio has accumulated net profits of $41,781 leaving uncommitted funds sitting idle. To utilise those funds I have decided to open another three $16K positions, taking the position size from 25 to 28 positions.

The underlined and highlighted, can very easily be construed as a 'subjective' solution to the already identified issue.

Now I'm quite willing to accept that it has been tested etc.

The above (post) is simply where I was coming from.

jog on
duc

 

[Sir Burr]

Yay I can comment!

Aussie Stock Forums - Error
"Shrinking": No results found.

Regarding the reduced positionsize mentioned above, a titbit for newbies. You would need to select "Allow position size shrinking" for backtesting:

There is a checkbox in the AA settings window: "Allow position size shrinking" - this controls how backtester handles the situation when requested position size (via PositionSize variable) exceeds available cash: when this flag is checked the position is entered with size shinked to available cash if it is unchecked the position is not entered.

Edit: On second thoughts, this would only be for the very last position filled. Doesn't cover three last positions of identical sizes. Might be able to be coded, I'm not sure.

 

[qldfrog]

This is indeed an issue, usually your win keep going and are virtual gains whereas your losses are real dollars
So you end up with a virtual profit in your portfolio but sell one code at a loss
when you want to buy the next parcel there is no hard cash in your system
How do your systems handle this?
Similarly one of my system was fully invested and had 2 sell and so 2 buys today
But i had to manually scramble at 10:15am once the cash from my sell at open was in before ordering the 2 buy, now on the market chasing price until completion of order

Do you guys keep a cash buffer?
And if so how much as this is indeed dead money?
Your knowledgeable opinion welcome

 

[Skate]

you end up with a virtual profit in your portfolio but sell one code at a loss
when you want to buy the next parcel there is no hard cash in your system
How do your systems handle this?
Similarly one of my system was fully invested and had 2 sell and so 2 buys today. But i had to manually scramble at 10:15am once the cash from my sell at open was in before ordering the 2 buy, now on the market chasing price until completion of order
Do you guys keep a cash buffer? - And if so how much as this is indeed dead money? - Your knowledgeable opinion welcome

@qldfrog by trading in the pre-auction this is not a concern with CommSec's (T2) settlement as it's pure mathematics. (simple maths at that)

Trading in the pre-auction (+/- 3% premium)
1. Buy positions - the maximum dollar cost is know if the +3% premium is fully exercised. (usually it isn't)
2. Sell positions - the minimum dollar value income is known if the -3% premium is fully exercised. (usually it isn't)

My re-balancing works in this manner
Trading Bank balance - known
Maximum Buy cost (expense) - known
Minimum Sell value (income) - known

Easy Formula
Bank balance + Sell (income) value - Buy cost (expense) / outstanding positions to purchase = Dollar position sizing. With this formula every trading dollar set aside for the strategy is in the markets fighting the good fight. (well that's the plan)

No need to wait
As it's pure mathematics & with a (T2) settlement period there is no need to wait. If your calculations are incorrect you have a "2 day grace period" to correct the mistake - liquidate the worst position held for extra funds if needed.

If worried
If your trading account is borderline & you require sells to cover purchases - Don't buy this week, wait until the funds are in the Bank & plan the buys for next week once the funds are available - a one week delay will not alter your trading results "over time"

Skate.

 

[Skate]

Skate.

 

[qldfrog]

@qldfrog by trading in the pre-auction this is not a concern with CommSec's (T2) settlement as it's pure mathematics. (simple maths at that)

Trading in the pre-auction (+/- 3% premium)
1. Buy positions - the maximum dollar cost is know if the +3% premium is fully exercised. (usually it isn't)
2. Sell positions - the minimum dollar value income is known if the -3% premium is fully exercised. (usually it isn't)

My re-balancing works in this manner
Trading Bank balance - known
Maximum Buy cost (expense) - known
Minimum Sell value (income) - known

Easy Formula
Bank balance + Sell (income) value - Buy cost (expense) / outstanding positions to purchase = Dollar position sizing. With this formula every trading dollar set aside for the strategy is in the markets fighting the good fight. (well that's the plan)

No need to wait
As it's pure mathematics & with a (T2) settlement period there is no need to wait. If your calculations are incorrect you have a "2 day grace period" to correct the mistake - liquidate the worst position held for extra funds if needed.

If worried
If your trading account is borderline & you require sells to cover purchases - Don't buy this week, wait until the funds are in the Bank & plan the buys for next week once the funds are available - a one week delay will not alter your trading results "over time"

Skate.

Bell direct does not allow me this

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[kid hustlr]

Hi,

your weekly average calc for the cam strategy looks wrong

 

[debtfree]

@kid hustlr $33,805 / 9 weeks = $3,756 Average looks ok

 

[Skate]

Hi, your weekly average calc for the cam strategy looks wrong

@kid hustlr well spotted, thank you. There was an issue with the week number not automatically updating - The link has now been corrected & updated.

@kid hustlr $33,805 / 9 weeks = $3,756 Average looks ok

@debtfree - your calculations are correct but the issue was with the weeks displayed in the post wasn't updating. The mission statement is the very heart of the experiment (to make $1,000 per week) & it needs to be accurate.

Update
$33,805 / 17 weeks = $1,989 Average per week

Thanks for taking an interest in the progress of the CAM strategy.



Skate.

 

[debtfree]

Your right, I just seen the P/L and the 9 Weeks ..... sorry @kid hustlr my error as well, good pickup.

 

[kid hustlr]

Happy to be the qualified auditor for this thread skate.

My understanding is institutional accounting rates vary from 600-1500 an hour based on levels of experience.

 

[aus_trader]

Happy to be the qualified auditor for this thread skate.

My understanding is institutional accounting rates vary from 600-1500 an hour based on levels of experience.

Good one Kid, I think Skate wouldn't qualify as an institutional trader, so you might have to lower your rates to individual retail trader level