Dump it Here

[frugal.rock]

Gday @Skate,
A couple of questions, if I may?
For a novice, would I be better off reading your ebook before chewing through this entire thread?
Brokers, seems that Ami is the theme, what do you use?
Tick data, can get through my current broker (Westpac), but possibly only each day, CSV or pdf format I believe. Maybe their premium subscription will have historic data?
Apologies if the answers are already in the thread... somewhere!
Have started listening to the TITZ ebook. Only 7.5 hrs to go!
Hoping to be able to pick your brain as I travel along the way, some of your strategies stand out to me as are similar (from what I can tell) to some of my previous thoughts on strategies. Eg; looking forward to learning about the 4 different vector types mentioned somewhere...
Cheers,
F.Rock

 

[Skate]

Gday @Skate,
A couple of questions, if I may?
For a novice, would I be better off reading your ebook before chewing through this entire thread?
Brokers, seems that Ami is the theme, what do you use?
Tick data, can get through my current broker (Westpac), but possibly only each day, CSV or pdf format I believe. Maybe their premium subscription will have historic data?
Apologies if the answers are already in the thread... somewhere!
Have started listening to the TITZ ebook. Only 7.5 hrs to go!
Hoping to be able to pick your brain as I travel along the way, some of your strategies stand out to me as are similar (from what I can tell) to some of my previous thoughts on strategies. Eg; looking forward to learning about the 4 different vector types mentioned somewhere...
Cheers,
F.Rock

Let me be frank..
As a beginner, reading my free eBook over a few times will serve you well, not only will you be able to grasp the basics but reading it over & over will condition the way "to think"

Blatant Plugs
There are 3 pieces of software I couldn't live without as a trader: (1) AmiBroker (2) Norgate data (3) Share Trade Tracker - have these three pieces of software & my eBook & you are good to go. The eBook saves you reading the thread & tons of books. Don't speed read anything I've written because as a species we have lost the art of memorising, to absorb & retain what you are learning. Some have made comments on my posting style of chunking paragraphs with heading but its done for the very reason I've just explained.

Oh, I don't want to spend money ! (don't be one of those)
I'll write a post for you today on the importance of having the correct tool & how to use the tools in combination to get the best out of them.

Oh, I haven't the time to learn (don't be one of those)
Most people really aren't smart enough to deal with the information overload required to learn how to trade successfully, even intelligent people with good critical thinking skills find it hard, so take your time, your trading results will be reflected in how much of that information your absorb & put into action, that I can guarantee.

Reading the 'Dump it here' thread is a big commitment
If you want to be a successful trader make the effort, I'll write a post about the traits of a loser today as well, look out for the post - it will be written just be for you - "don't be loser", in this game they are a dime-a-dozen.

TITZ ebook. Only 7.5 hrs to go!
I don't want to be critical of members who wanted to learn or buys dozens of books - as the saying goes, if what you learn leads to knowledge, you become a fool - but if what you learn leads to action, you can become wealthy. The difference between a successful trader is not a lack of knowledge, but rather a lack of will to action that knowledge. My advice - start with the basics & formulate one trading strategy & don't move on till your have it nailed it down before seeking something more exotic.

Think about this
It has taken me time to respond to you in a measured way, something lost on most, don't let that happen to you.

Skate.

 

[Skate]

Now some facts & figures of the SuperTrend Strategy

I've made a few improvements since I last posted
The SuperTrend Strategy is based loosely on @peter2 1st Blue Bar setup that has been discussed in his thread. The performance results of the SuperTrend Strategy are quite respectable. My previous discussion can be found here: https://www.aussiestockforums.com/posts/1038656/ and here: https://www.aussiestockforums.com/posts/1038138/

Impressive
The backtest results are impressive, my paper trading confirms the backtest results. I have found no Future leak. The XAO index performance of the last 12 months & the "SuperTrend Strategy" were made for each other (a perfect match)

















Skate.

 

[Skate]

Losers are a dime a dozen
@frugal.rock losing traders all lose for the same reasons, they seem to have certain habits in common, among which is that they start trading with little or no education, under capitalisation which is a foolproof way to lose money. Underfunded traders experience a huge disadvantage when trading because without the cushion of having those extra funds they are driven in making emotional decisions to override their strategy that can lead to them experiencing substantial loss.

The fear of losing is sometimes crippling
Forced emotional behaviours is mainly based on fear of loss & sometimes the fear of missing out. Fear of loss is based solely on a complete lack of understanding how to handle trades after experiencing a substantial loss. If it's any consolation we all feel it at times. This advice no way contradicts under-capitalisation, because even if you are fully-cashed-up still start out trading small amounts & build up your resistance to the pain of losing, when trading, learn to be the best loser you can possibly be.

Skate.

 

[Skate]

Furthermore (Beginners)
In the beginning, when traders start out on their trading journey there is a strong likelihood that they will mess up at some stage, everyone make mistakes & take some losses along the way, it’s price to paid when trading & especially when learning - "new traders should factored this in" - modifying your expectations is a good thing.

Trading is a waiting game
Waiting for a trade that fits all the parameters of your trading strategy is widely misunderstood & having no positions is a position, sometimes it's the best position to have. (waiting is the other part of trading) The time we are not trading, waiting on the sideline (doing nothing) is measured by the strategies (”Exposure %”) this metric measures the activity/inactivity of a strategy.

Skate.

 

[Skate]

Successful Trading is all about discipline
In reality, is there any valid, logical, unemotional reason to bail out of any single trade? After all, each trade is normally in series of trades regardless of individual outcome. Jumping at shadows is a poor strategy to trade with.

I keep banging on about this
You may have read in my previous posts, having the correct head space is critical when it comes to trading – learning to control, accept & correct your emotional attitude is absolutely the core of being successful in trading. Having the correct head space (having a strong mental attitude) is also required when trading 100% mechanical systems. There is no need to make an emotional decision to override your mechanical strategy & "self-manage" those positions if you have done the necessary testing beforehand. Having the confidence in your trading plan/strategy is the key. Read a few posts on the ASF website & it won't take you long to find them - this site is littered with those types of posts. Don't fall into the habit of overriding your system do it once & you do it again.

Skate.

 

[Skate]

The High5 Strategy
It’s a simple strategy that enters on the higher high of the previous 5 periods & exits when there have been 5 lower highs since the entry. The strategy is so simple it’s hard to believe something so simple could have legs. Its only been a few posts back to see the full report - Found here: https://www.aussiestockforums.com/posts/1051723/ & for others I've updated the backtest from today. All the backtests posted today are exactly 12 months to the day.








Skate.

 

[Skate]

Tools of the trade
@frugal.rock a successful trader needs a set of tools for dealing with varying market conditions. Having the proper tools & knowing when to use them will help any trader trade more successfully. One of the tools that should be in the trader's toolbox is a good system to trade breakouts (known as trend trading) & another system for trading pullbacks in trending stocks. Since the market does not trend all the time, you also need a way to determine when it is appropriate to use this tool & when it is best to use something else. Knowing the answers to these questions can make you a more effective trader & lessen your risk.

1. # For trend trading
I've detailed the "Map Strategy" & posted the Amibroker code to do so, look it up. The MAP Strategy is another simple plain envelope trading strategy that is worthy to understand.

The MAP Strategy
The MAP Strategy Buys when the closing price is higher than a 10 Period Moving Average conditional that the 10 period ROC filter is above 0% or it Buys when the closing price is at least 10% higher than the previous week close with Volume higher than the 10 period Moving Average. The Amibroker code has previously been supplied in the ‘Dump it here’ thread if interested - do a search.

2. # For trading Pullbacks
The CAM strategy has been provided to members for tweaking & evaluation (supplying the CAM strategy code is conditional). In summary the CAM Strategy buys pullbacks in existing trends and buys countertrends when the rally continues. One sample of many posts on the CAM Strategy can be found here: https://www.aussiestockforums.com/posts/1027030/ & an important announcement about the CAM Strategy can be found here: https://www.aussiestockforums.com/posts/1029730/

The CAM Strategy - summary
The CAM strategy buys pullbacks in existing trends and buys countertrends when the rally continues. The most recent live trading results (days ago Friday to be exact) can be found here: https://www.aussiestockforums.com/posts/1052063/

Skate.

 

[frugal.rock]

Thanks for the measured response @Skate and the time given freely, something that is hard to come by in modern society.
At this point in time, I will consider myself a loser- until I can quantify the mindset and good habits required and have worked on it considerably.
I have already learnt about patience and waiting as I have exited trades early and missed some substantial profits. Eg; the portfolio could be +50% instead of being down ~40%
So my timing needs much working on also.
Much obliged.
F.Rock
PS; when you find me un-liking post's, it's just that I haven't dealt with the contents properly. As I deal with each post and absorb the info, I will like it, as part of the filing system.

 

[Skate]

To save other searching for the Repository of my strategies
I’ll post the Repository of information for the three strategies discussed today so its easier to read about the strategies in one post. The CAM, MAP & BOX strategies are all weekly trend following systems I have under evaluation & they stem from a few simple ideas.

1. The CAM Strategy - summary
The CAM strategy buys pullbacks in existing trends and buys countertrends when the rally continues.

(a) The CAM Strategy - Trading Plan (Enter LONG)
Buy before the open on Monday in the pre-auction at the open if today (Friday) is a GOLD-coloured bar [which represents the CAM-PB, meaning that both the 10-period (ADX) and (MACD) are declining] but the 14-period (CCI) is above zero, - OR - if today (Friday) is a BLUE-coloured bar [which represents the CAM-CT, meaning the 10-period (ADX) is declining but (MACD) is rising] and today’s close crosses above the 13-period EMA.
(b) The CAM Strategy - Trading Plan (Exit LONG)
Sell before the open on Monday in the pre-auction if Fridays end of close is a RED-coloured bar [which corresponds to the CAM-DN, that is, the 10-period (ADX) is rising but the (MACD) declines] and today’s (Friday) close is below the 13-period EMA.

2. The MAP Strategy - summary
The MAP strategy has two different buys conditions for entry. The first ‘Buys Signal’ is when the closing price is above a moving average period - AND - the second signal is where there is a 10% increase in the closing price compared to the previous weeks close. The MAP strategy has also two different Sell conditions, the first being (a) when the Rate of Change filter is below 0% or when (b) the close is below a trailing stop.

(a) The MAP Strategy - Trading Plan (Enter LONG)
Buy whenever the Closing price is higher than a selected Moving Average conditional on the ROC filter being above 0% - OR - Buy when the Closing price is at least 10% higher than the previous week close with Volume higher than the Moving Average period.
(b) The MAP Strategy - Trading Plan (Exit LONG)
Sell when the momentum stalls using a momentum indicator - OR - when a trailing stop is hit.

3. 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 & Sells the position when the Rate of Change filter drops below zero or when the closing price is below a variable Chandelier trailing stop.



(a) The BOX Strategy - Trading Plan (Enter LONG)
After three consecutive weekly pullbacks in a confirmed trend – Buy when the closing price breaks above the previous high conditional the ROC filter is above 0%.
(b) The BOX Strategy - Trading Plan (Exit LONG)
Sell when the Rate Of Change filter & the closing price is below a moving average confirming the momentum has ceased - OR - Sell when a variable trailing stop is hit.

4. The HYBRID Strategy



The Hybrid strategy is complex to summarise (The HYBRID Strategy has been detailed in previous posts)
The Hybrid strategy is a modified version of these three codes.
(1) a modified version of Captain Black breakout strategy (BlueWren strategy)
(2) a modified version of Nicholas Darvas, (Darvas box system)
(3) a modified version of John Bollinger, (Bollinger Bands Breakout system)

5. The PANDA Strategy



The Panda Strategy
I have used an extensive amount of mathematical gymnastics to arrive at an entry point in the PANDA Strategy - a mathematical trick that modifies a section of an EMA that automatically updates the variables of the coefficient that greatly smooths the magnitude of price changes. In summary, it turns the EMA into an adaptive moving average that features rapid adaptation to volatility in price movement

I won't list other strategies under development or strategies that have made it to the paper trading stage of development as it would be of no educational benefit.

Skate.

 

[Skate]

Negativity leads to negative thinking
Without a doubt, a positive outlook is important. To that end, believing that your overall trading will be profitable is certainly valuable. However, mismanagement of your trading is another thing. Trading by its very nature is risky, but there are ways to manage & minimise the risks - one risky way of trading is taking on undue amounts of risk or staying too long in a trade that has moved against you – following that path is a recipe for disaster.

Thanks for the measured response @Skate and the time given freely, something that is hard to come by in modern society. As I deal with each post and absorb the info, I will like it, as part of the filing system.

Appreciation
@frugal.rock I appreciate every "like" I receive & value each & every one of them. When a member hits the "Like" button it's an affirmation I'm not wasting my time or the precious time of other members. "Likes" let me know if the subject I writing about is interesting to someone else as I'm just repeating things I already know. I re-read every post that has been "liked" as it gives a mental image of the member.

I want to reinforce one point before I finish for the day
As traders we must focus most of our time & attention on the mental side of trading. If you get that right, everything falls into place for you. The good news is, profitable trading is simpler than you might think but far from easy.

In summary
There comes a time when I have to get down off my "Soap Box" as the last thing I want to do is bore readers with stuff they already know (In my defence - a refresher course is always handy to refocus & re-invigorate, sometimes its fun to go over stuff we tend to forget)

Thanks for reading..

Skate.

 

[fergee]

Appreciation
@frugal.rock I appreciate every "like" I receive & value each & every one of them. When a member hits the "Like" button it's an affirmation I'm not wasting my time or the precious time of other members. "Likes" let me know if the subject I writing about is interesting to someone else as I'm just repeating things I already know. I re-read every post that has been "liked" as it gives a mental image of the member.

I want to reinforce one point before I finish for the day
As traders we must focus most of our time & attention on the mental side of trading. If you get that right, everything falls into place for you. The good news is, profitable trading is simpler than you might think but far from easy.

In summary
There comes a time when I have to get down off my "Soap Box" as the last thing I want to do is bore readers with stuff they already know (In my defence - a refresher course is always handy to refocus & re-invigorate, sometimes its fun to go over stuff we tend to forget)

Thanks for reading..

Skate.

@Skate keep on doing what you are doing man. I for one really appreciate the knowledge you are handing on to us and hope that one day I can be a fraction of the trader(philosopher) you are and am able to pass on some of this knowledge to others who seek it.
Thank you

 

[Warr87]

some more gold. If it wasn't for you, and a number of other members on here, I wouldn't have been able to put together my strategies and ideas and stitch together the knowledge I've been accumulating.

I also wanted a little more info, if you can, on how you pyramid your positions? If you get another buy signal for a stock you already hold, are you adding to it? Or, are you sizing out of a position as a way to lock in profits and use the equity to add to new positions?

Also, thanks for the additional code for the metrics. One thing though, what is mtpy as it hasn't been initialized in the code you provide .

<CODE>
meg = mtpy*ln(geom);
</CODE>

 

[Skate]

some more gold. If it wasn't for you, and a number of other members on here, I wouldn't have been able to put together my strategies and ideas and stitch together the knowledge I've been accumulating. I also wanted a little more info, if you can, on how you pyramid your positions? If you get another buy signal for a stock you already hold, are you adding to it? Or, are you sizing out of a position as a way to lock in profits and use the equity to add to new positions? Also, thanks for the additional code for the metrics. One thing though, what is mtpy as it hasn't been initialized in the code you provide .<CODE>meg = mtpy*ln(geom);</CODE>

@Warr87 I'm not a lover of pyramiding into a position or adding to an existing position (others can argue the case for pyramiding but with a "Take Profit Stops" or "Pyramiding" neither work for me)

Answer to QUESTION 1 - "If you get another buy signal for a stock you already hold, are you adding to it?" Absolutely "NO" - I never pyramid into a position (one of my many rules)

Answer to QUESTION 2 - "are you sizing out of a position as a way to lock in profits and use the equity to add to new positions?" "NO" - It's re-balancing the size of the next bet see explanation below

"Pyramiding Explanation" (positionSize)
Pyramiding my positionSize is a re-balancing technique to vary my position sizes (my next series of bets) with the reinvestment of profits. I'm a TRUE believer in "pyramiding" my Position-sizing (I've discussed this many times in this thread) "Position-sizing Pyramiding" is to re-balancing my weekly position-sizes. By "Pyramiding (re-balancing)my PositionSizes" every soldier is put into the battle to fight the good fight.

How?
Position-sizing uses my trading Bank balance - the Bank feed is sent to a parameter setting within the AFL strategy code. It's simply way of putting every dollar to work.

What is the Re-Balancing Formula?
Trading Bank Balance/outstanding positions = new "PositionSize"
This will now be the new bet for each & every pending trade (the new PositionSize also calculates the number of share to buy in the pre-auction)

Recap
MEGAN is an acronym which stands for the “Maximum Exponential Growth Annualized Notation” of the equity curve of a trading system, it’s a metric specifically designed to highlight the system that generates more returns per year when the profits are "reinvested" PositionSize Pyramiding regardless of the number of trades, holding period, drawdown, & so on. The Megan ratio lets you evaluate different strategies, it gives you the ability to compare apples with apples when backtesting apples & oranges.

The geometric mean
This is especially useful to determine whether a specific filter, which eliminates trades & therefore profits, is beneficial to the performance of the system. The best system is the one with the best geometric mean. This is because we want to reinvest the profits in the next trade (PositionSize Pyramiding). IMHO all other metric don't take into account the reinvestment of profits.

AmiBroker code
The AmiBroker code provided below calculate the Megan ratio adding a custom metric to the standard AmiBrokers backtest statistics. The MEGAN code also add the geometric average percentage.

My suggestion
Check that you have copied the line of code correctly especially the Array naming of: mtpy = 252 / st.getvalue( "AllAvgBarsHeld" ); //maximum number of trades per year

//Megan Ratio & Geom% Calculation
Check the BOLDING in the formula at ----> [ mtpy = 252 / st.getvalue( "AllAvgBarsHeld" ); ]

MEGAN Ratio Code

SetCustomBacktestProc( "" );

if( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.backtest();
st = bo.getperformancestats( 0 );
geom = ( st.getvalue( "EndingCapital" ) / st.getvalue( "InitialCapital" ) ) ^ ( 1 / st.getvalue( "AllQty" ) );
geomp = 100 * ( geom - 1 ); //geom percentage
mtpy = 252 / st.getvalue( "AllAvgBarsHeld" ); //maximum number of trades per year - "PLEASE CHECK": you may have written the array incorrectly or not at all.
meg = mtpy * ln( geom ); //max exponential growth rate (annual)
bo.addcustommetric( "Geom%", geomp );
bo.addcustommetric( "MEGAN Ratio", meg );
}
}

Skate.

 

[Warr87]

Thanks for the further clarification. That's the way I have been thinking about rebalancing positions too, but I had wondered if that meant too much was being reinvested into new positions. Considering we are utilising compounded returns, it also makes sense to do it this way though.

Thanks for the code. It is working. And while I am sure you will hate to give a specific figure, I have to wonder what you consider to be a good MEGAN value for a system? Obviously your criterion is different to someone elses, but if this is another tool in your toolbox, how do you like it to value add to your evaluation?

 

[Skate]

Thanks for the further clarification. That's the way I have been thinking about rebalancing positions too, but I had wondered if that meant too much was being reinvested into new positions. Considering we are utilising compounded returns, it also makes sense to do it this way though. Thanks for the code. It is working. And while I am sure you will hate to give a specific figure, I have to wonder what you consider to be a good MEGAN value for a system? Obviously your criterion is different to someone elses, but if this is another tool in your toolbox, how do you like it to value add to your evaluation?

Hmm...
The Megan Ratio figure isn't to tell you what a good strategy is - its compares systems - Its a old question "which system is better compared to another". Say you have two different systems to trade. System 1 has a geometric mean of 3% and holds positions for an average of three days. System 2 has a geometric mean of 4% and holds positions for four days. Which is better for real trading? The Megan ratio will give you the answer. In terms of absolute return, the best system is the one with the best geometric mean. This is because we want to reinvest the profits in the next trade. The arithmetic average of backtests doesn't take into account the reinvestment of profits.

The Megan Ratio
The MEGAN ratio focuses on the ability to select profitable trading systems in general. There are many aspects to consider when evaluating a trading system & an examination of reinvested profits is a worthwhile objective.We are looking for the system with the highest Megan ratio value. While this proved effective at picking the system with the greatest profits, you also have to use additional performance metrics alongside the Megan ratio to select a robust system. The better system has the higher Megan ratio.

A test for you
The Megan ratio for system 1 is [0.0184] versus [0.0049] for system 2, which is the best system? "Hint": the answer is the last sentence of the last paragraph above that's underlined. Its simply a measure between systems. It's similar when you have a bunch of buy signals - Which ones do you take first (Answer: the highest PositionScore)

This will be easier for you
When comparing two Trading System - trade the the strategy with the highest CAR/MDD & don't worry what the numbers mean.

Footnote
I can't wait to read @bigdog next Dow Jones report - there has be little made of the fact The Dow rose 40 points to cross the 29,000 level for the first time, but couldn't sustain its gains & ended the day down 133 point.

This year
2020 may be shaping up for a big year with a few blip along the way, so get your strategy in order, we don't want to miss the next big move.

Skate.

 

[peter2]

@Skate You've been busy posting lots of excellent advice and practical applications. Thank you.

This thread is an excellent educational resource for traders who want to apply an automated system to manage their share portfolios.

I've coded the MAP and CAM buy signals onto my charts and you should see some of the trends you get on monthly and quarterly charts. The trend in CSL (quarterly) has been going for 15 years, RMD +10 years, MFG 9 years, COH 5 years and lots of others for just as long.

We have a tendency to think smaller time frames but the same techniques are just as good in the longer time frames and there's much less work involved.

 

[Warr87]

When comparing two systems, I understand that the higher the value for the geometric mean and MEGAN will be better, just as I look at CAR/MDD, but when evaluating a system there are certain things that must meet minimum standards. Since I'm not accustomed to using MEGAN I was just curious as to what kind of cut off you may use, to have a frame of reference. I understand that's very subjective and perhaps not something you would publicly say, so I wont press the issue.

Another valuable tool to add though. I'm sure it will be useful for me in the future.

 

[Warr87]

@Skate You've been busy posting lots of excellent advice and practical applications. Thank you.

This thread is an excellent educational resource for traders who want to apply an automated system to manage their share portfolios.

I've coded the MAP and CAM buy signals onto my charts and you should see some of the trends you get on monthly and quarterly charts. The trend in CSL (quarterly) has been going for 15 years, RMD +10 years, MFG 9 years, COH 5 years and lots of others for just as long.

We have a tendency to think smaller time frames but the same techniques are just as good in the longer time frames and there's much less work involved.

I whole heartedly agree with you. A huge educational resource here.

I have looked at these signals on daily, and while they work, it is true that they seem to work on the longer time frames more consistently for me. I'm looking forward to @MovingAverage 's monthly system for the same thing you are hinting at: is it possible to get the same kind of results but on a larger time frame (and thus fewer trades and less active, therefore more efficient)? The larger time frames may not be as exciting or 'sexy' and perhaps thats why people don't usually go down that path. Is more always better? haha

 

[Skate]

@Skate You've been busy posting lots of excellent advice and practical applications. Thank you. This thread is an excellent educational resource for traders who want to apply an automated system to manage their share portfolios. I've coded the MAP and CAM buy signals onto my charts and you should see some of the trends you get on monthly and quarterly charts. The trend in CSL (quarterly) has been going for 15 years, RMD +10 years, MFG 9 years, COH 5 years and lots of others for just as long. We have a tendency to think smaller time frames but the same techniques are just as good in the longer time frames and there's much less work involved.

This thread is for beginners
@peter2 thank you for your kind words - after reading your thread being "educational" the switch flipped back on to make a few education (pep talk) post to re-energize the "Dump it here" thread.

Robust Strategy ideas
All my systems work well in all time frames (getting the Daily time frame parameters was tricky at first) My strategies are robust & work just as well in long time frames (exceptionally well) with less trading emotions as they hold good trending stock for quite a along period of time.

Monthly Chart
I'm posting a monthly chart for RMD so others can see the hold period you are explaining. (Forget the title of the chart being Weekly) it's a MONTHLY chart.




As a "Footnote"
There has been little made about the Dow Jones topping 29,000 points - in fact The Dow rose 40 points to cross the 29,000 level for the first time in the last session of trading but couldn't sustain its gains & ended the day down 133 point. The Dow futures is down -5.00 or -0.02% @ 28,772.00 (the last Data update I have is of 4:59pm ET)

This year is starting out on the right foot
2020 may be shaping up for a big year with a few minor/major blip along the way, so it's time get our strategy in order, we don't want to miss the next big move.

Skate.