Dump it Here

[Skate]

Personally I consider myself a simple man. One of the smartest chaps I know resembles a walking encyclopedia (he is getting on in years unfortunately) When I am fortunate enough to chew a bit of fat with him, I mainly listen as you suggest @Skate
To his absolute credit, he is extremely humble in his knowledge and constantly reminds me "he knows nothing" … he simply repeats what he has read/learned/digested etc etc as part of his life experience. I guess true knowledge is accepting we know very little in reality and therefore become open to greater possibilities.

@barney as usual, you nailed it. Unfortunately your friend is in the minority. I find it difficult to have a stimulating conversation with most. People find it pleasurable chatting about nothing, they simple put all their energy into being polite. You are very fortunate to know of such an person you find interesting to talk & listen too. Stimulating conversation is my true definition of a real conversation.

Skate.

 

[barney]

You are very [B]fortunate to know of such an person[/B]

That is exactly how I feel every time I experience his profound knowledge flavored with his respectful humility …. it is an unusual blend of humanity in my experience.

 

[sptrawler]

Faulty Thinking (It's the typical way we tend to think)
I read an article many years ago about how Doctors think leading to patients being misdiagnosed. When you sit down & explain to your Doctor in a few words the reason for the visit most Doctors jump to a conclusion already having in mind two or three possible diagnoses within minutes of meeting you as a patient.

I'll paraphrase the Story from memory
First off, I would like to confirm the story I'm about to tell is fictitious & to confirm to readers "I've never forgotten anything that I can remember" (said tongue in cheek)

It a common condition that would send most of us to the Emergency Room of a hospital
The story is about a guy who experienced muscle pains, chest pains whilst enjoying his regular evening walk, after a few days the pain never went away completely. He frequently experienced muscle aches & minor discomfort as his job entailed physical work. This time he decided to see a Doctor taking himself off to the emergency room to save going to his GP taking time off work. He explained to the Doctor in (ER) that the pain was in his chest & didn't spread to his arms, neck or back, with no family history of heart attack, never smoked with no stress & his family life was fine. The doctor checked his vitals & they were in range for a typical for a 60 year old fit looking athletic man. The Doctor sent him for an ECG, Chest X-Ray & blood tests & all the results looked normal

The "Diagnosis"
The Doctor told him that he had probably over exerted himself & strained a muscle & the discomfort in the chest was nothing to be worried about.

The next morning
When the guy represent to the (ER) the next morning they discovered he had a heart attack

Why did the Doctor miss it?
The Doctor didn’t miss it because of any egregious behaviour, lack of knowledge or negligence. He missed it because of (faulty thinking) as his thinking was overly influenced by how healthy this man looked & the absence of risk factors. It's amazing to read the number of errors made by doctors especially faulty decisions made under the stressful conditions of the emergency room. It's an old saying: "The undertakers "cover-up" Doctors mistakes"

Time pressures & jumping to conclusions
Doctors begin to diagnose patients the moment they meet & tend to develop their hunches from incomplete information, jumping to conclusions. Doctors are dealing with uncertainty of symptoms being presented that are conveyed over a short space of time that can lead to mistakes in medical judgment, a misdiagnoses by snapping to the easiest decision is how doctors think.

As Traders
It pays for us not to think like a Doctor, we have "time & technology" allowing us to make informed rational decisions - make sure you use both in this game.

Skate.

I think that is another of your classics Skate, a quote from a 'B' grade movie always comes to mind, "assumption, is the mother of all f#%k ups".
As you say, investment isn't life and death, it doesn't require an instant response.
BUT if it requires your attention, spend some time thinking on it.
I just blew $14k, because I didn't stop for a moment and think on it.

 

[Skate]

I think that is another of your classics Skate, a quote from a 'B' grade movie always comes to mind, "assumption, is the mother of all f#%k ups". As you say, investment isn't life and death, it doesn't require an instant response.
BUT if it requires your attention, spend some time thinking on it.
I just blew $14k, because I didn't stop for a moment and think on it.

@sptrawler people don’t realise that life is just making one decision after another, making the right decision has a huge bearing on the quality of your life.

Skate.

 

[aus_trader]

I think that is another of your classics Skate, a quote from a 'B' grade movie always comes to mind, "assumption, is the mother of all f#%k ups".
As you say, investment isn't life and death, it doesn't require an instant response.
BUT if it requires your attention, spend some time thinking on it.
I just blew $14k, because I didn't stop for a moment and think on it.

That's a big chunk of money sptrawler!
Hope you have learnt something important from it. I find some of the biggest life lessons including trading lessons come from mistakes.

 

[sptrawler]

That's a big chunk of money sptrawler!
Hope you have learnt something important from it. I find some of the biggest life lessons including trading lessons come from mistakes.

Absolutely, looking after grandkids, daughter away, son and extra grandkids arrive = bedlam.
I thought jeez I should sell them shares, no too busy do it next week, the next time I look they are $14k less.
Still $13k up but it was a one of, that wont be repeated, I think they will recover and do better but that was just laziness on my part.

 

[sptrawler]

I guess it is like everything, self discipline, repeat self discipline.

 

[aus_trader]

Absolutely, looking after grandkids, daughter away, son and extra grandkids arrive = bedlam.
I thought jeez I should sell them shares, no too busy do it next week, the next time I look they are $14k less.
Still $13k up but it was a one of, that wont be repeated, I think they will recover and do better but that was just laziness on my part.

Yes it hurts to give a lot of your open profit back. But I am glad to hear you still make a profit on the trade. I know from my own experience, even a day two early/late in a trade can cost big time !

 

[barney]

@sptrawler people don’t realise that life is just making one decision after another, making the right decision has a huge bearing on the quality of your life.

Perhaps we could temper that with … "Making the wrong decision" is still better than making no decision at all?! …. and ...

A "wrong" decision at one point in time can hopefully lead to an even better "right" decision in the future when its even more important!

I believe they call that experience

I find some of the biggest life lessons including trading lessons come from mistakes.

"Aus" put it in one sentence … It took me three

I thought jeez I should sell them shares, no too busy do it next week..... that was just laziness on my part

Honesty is also one of my favorite traits Homer …. My trading improved when I started owning up to my mistakes …… I might need to find a Priest again soon based on that revelation

 

[qldfrog]

Still $13k up but it was a one of, that wont be repeated, I think they will recover and do better but that was just laziness on my part.

Hum so did you sell..or are you following the classic:
I wait they will catch up?
Make sure you do not make two mistakes from one.
what were your reasons to sell, and would these reasons have disappeared because the SP fell?
A bit off "dump it " thread topic,but
maybe a good textbook example...

 

[Skate]

For those who subscribe to "Technical Analysis of Stocks & Commodities" magazine.

Disclaimer
I have a keen interest in reducing the lag of indicators.

WOW!
A Zero-Lag indicator, (honestly I don't believe you can Zero-Lag an indicator otherwise it's the mean)

Snippet from the magazine
“Reflex: A New Zero-Lag Indicator” in this issue, author John Ehlers introduces a new averaging indicator that he has designed with reducing lag in mind. According to the author, his new indicator can be used to generate signals in a more timely manner than other lagging calculations. In his article, Ehlers provides TradeStation EasyLanguage.

Trader Tips
Also Trader Tips supply a variety of codes for other software. With the supplied indicators code you can develop your own indicators and strategies. "But there is no Amibroker code listed". It needs to be coded.

REFLEX
I have just downloaded the February 2020 copy of "Technical Analysis of Stocks & Commodities" & there is an article by John Ehlers who introduces a new averaging indicator (the RELEX indicator) designed with reducing lag in mind.

Personal Interest
This has been a subject of interest for me for quite sometime & I've found reducing the lag of the EMA to be a profitable & useful in my trading (the concept to reduce lag is not new, the idea has been around for decades)

PANDA (previously discussion of the PANDA Strategy can be found here: https://www.aussiestockforums.com/posts/1051864/ )
I have a strategy devoted to trading signals from the reduced lag of the exponential moving average (EMA) - Moving Average indicators in all forms have two common characteristics - they lag and they smooth data. The PANDA Strategy uses the feature of reducing lag of an (EMA) allowing signals rapid adaptation to volatility in price movement. Some lag is needed & the amount of lag determines the timing of the signals this in turn changes the responsiveness that's best suited for trend-following systems - the very reason I believe it's impossible to achieve Zero Lag. The article is a new way (a different way) to reduce lag (IMHO) & I'm interested to see how it compares to PANDA.

AmiBroker
Sometimes they don't include the code for Amibroker but there is code for those who use the software listed below. As there is no code written in AmiBroker for his new "Reflex" Zero-Lag Indicator I thought it might be a worthwhile exercise to code it & check the performance against PANDA.

REFLEX Code
For those interested alternative code is kindly supplied for the software below but as I've mentioned there is no AmiBroker code available

Codes for the REFLEX indicator can be found here: http://traders.com/Documentation/FEEDbk_docs/2020/02/TradersTips.html

TRADESTATION: FEBRUARY 2020
eSIGNAL: FEBRUARY 2020
WEALTH-LAB: FEBRUARY 2020
NEUROSHELL TRADER: FEBRUARY 2020
NINJATRADER: FEBRUARY 2020
TRADERSSTUDIO: FEBRUARY 2020
MICROSOFT EXCEL: FEBRUARY 2020
THINKORSWIM: FEBRUARY 2020
QUANTACULA STUDIO: FEBRUARY 2020

Comparison
After I convert John Ehlers new averaging indicator (the RELEX indicator) to AmiBroker code I'll make a new strategy to take advantage of his ideas & directly compare it to the PANDA strategy. At this stage I'm uncertain how they will compare , for one I'll be interested. If there is anyone else interested in the comparison I'll post it up when its done. All you have to do is ask. Why? I only want to post on subjects members find interesting or educational.

Skate.

 

[Skate]

For those who subscribe to "Technical Analysis of Stocks & Commodities" magazine.

Disclaimer
I have a keen interest in reducing the lag of indicators.

WOW!
A Zero-Lag indicator, (honestly I don't believe you can Zero-Lag an indicator otherwise it's the mean)

Snippet from the magazine
“Reflex: A New Zero-Lag Indicator” in this issue, author John Ehlers introduces a new averaging indicator that he has designed with reducing lag in mind. According to the author, his new indicator can be used to generate signals in a more timely manner than other lagging calculations. In his article, Ehlers provides TradeStation EasyLanguage.

Trader Tips
Also Trader Tips supply a variety of codes for other software. With the supplied indicators code you can develop your own indicators and strategies. "But there is no Amibroker code listed". It needs to be coded.

REFLEX
I have just downloaded the February 2020 copy of "Technical Analysis of Stocks & Commodities" & there is an article by John Ehlers who introduces a new averaging indicator (the RELEX indicator) designed with reducing lag in mind.

Personal Interest
This has been a subject of interest for me for quite sometime & I've found reducing the lag of the EMA to be a profitable & useful in my trading (the concept to reduce lag is not new, the idea has been around for decades)

PANDA (previously discussion of the PANDA Strategy can be found here: https://www.aussiestockforums.com/posts/1051864/ )
I have a strategy devoted to trading signals from the reduced lag of the exponential moving average (EMA) - Moving Average indicators in all forms have two common characteristics - they lag and they smooth data. The PANDA Strategy uses the feature of reducing lag of an (EMA) allowing signals rapid adaptation to volatility in price movement. Some lag is needed & the amount of lag determines the timing of the signals this in turn changes the responsiveness that's best suited for trend-following systems - the very reason I believe it's impossible to achieve Zero Lag. The article is a new way (a different way) to reduce lag (IMHO) & I'm interested to see how it compares to PANDA.

AmiBroker
Sometimes they don't include the code for Amibroker but there is code for those who use the software listed below. As there is no code written in AmiBroker for his new "Reflex" Zero-Lag Indicator I thought it might be a worthwhile exercise to code it & check the performance against PANDA.

REFLEX Code
For those interested alternative code is kindly supplied for the software below but as I've mentioned there is no AmiBroker code available

Codes for the REFLEX indicator can be found here: http://traders.com/Documentation/FEEDbk_docs/2020/02/TradersTips.html

TRADESTATION: FEBRUARY 2020
eSIGNAL: FEBRUARY 2020
WEALTH-LAB: FEBRUARY 2020
NEUROSHELL TRADER: FEBRUARY 2020
NINJATRADER: FEBRUARY 2020
TRADERSSTUDIO: FEBRUARY 2020
MICROSOFT EXCEL: FEBRUARY 2020
THINKORSWIM: FEBRUARY 2020
QUANTACULA STUDIO: FEBRUARY 2020

Comparison
After I convert John Ehlers new averaging indicator (the RELEX indicator) to AmiBroker code I'll make a new strategy to take advantage of his ideas & directly compare it to the PANDA strategy. At this stage I'm uncertain how they will compare , for one I'll be interested. If there is anyone else interested in the comparison I'll post it up when its done. All you have to do is ask. Why? I only want to post on subjects members find interesting or educational.

Skate.

Nothing new to see here !!
After reading the article by John Ehlers & his new indicator designed to reduce lag - well frankly, I was doing cartwheels. My excitement got the better of me, enthusiastically I couldn't wait to make a post on the indicator (a topic I find interesting).

Sad news
John Ehlers new averaging indicator (the RELEX indicator) is a rehash of an idea he has written about many, many moons ago (minor parameter changes at best). I believe magazines work on the principle of readers having a bad memory. (they must be working on the theory of: "what's old is new again")

Also the indicator is lacking
John Ehlers new (the RELEX indicator) is slow to catch the signals, causing the greatest concern of lower performance, but the REFLEX indicator displays consistency (meaning: it consistently grabs the signals "late")

I'll post up some charts of late signals
As they say a "picture paints a thousand words" - for comparison the charts are displayed together.

ASX: AVJ




ASX:SRG






The REFLEX Strategy - Backtest Results (exactly 1 year)






The PANDA Strategy - Backtest Results for the same period (exactly 1 year)



Summary
I'm disappointed..

Skate.

 

[Warr87]

Nothing new to see here !!
After reading the article by John Ehlers & his new indicator designed to reduce lag - well frankly, I was doing cartwheels. My excitement got the better of me, enthusiastically I couldn't wait to make a post on the indicator (a topic I find interesting).

Sad news
John Ehlers new averaging indicator (the RELEX indicator) is a rehash of an idea he has written about many, many moons ago (minor parameter changes at best). I believe magazines work on the principle of readers having a bad memory. (they must be working on the theory of: "what's old is new again")

Also the indicator is lacking
John Ehlers new (the RELEX indicator) is slow to catch the signals, causing the greatest concern of lower performance, but the REFLEX indicator displays consistency (meaning: it consistently grabs the signals "late")

I'll post up some charts of late signals
As they say a "picture paints a thousand words" - for comparison the charts are displayed together.

ASX: AVJ

View attachment 99723


ASX:SRG

View attachment 99724




The REFLEX Strategy - Backtest Results (exactly 1 year)

View attachment 99727




The PANDA Strategy - Backtest Results for the same period (exactly 1 year)

View attachment 99728

Summary
I'm disappointed..

Skate.

What about on a longer period? Is it also picking up the same symbols from your other systems? If not, could be a way to diversify (though I know you run 3 systems so you are fairly diversified already).

At the end of the day, that return is still a significant return so could be useful for some depending on what they are after.

 

[Skate]

What about on a longer period? Is it also picking up the same symbols from your other systems? If not, could be a way to diversify (though I know you run 3 systems so you are fairly diversified already). At the end of the day, that return is still a significant return so could be useful for some depending on what they are after.

@Warr87 you have touched on a really import subject about diversification & I'll throw in Correlation of strategies as well.

Lets talk about diversification
We will forget about the REFLEX strategy it doesn't deserve another breath. Diversification lessons risk, by trading strategy that are not correlated. Diversification comes in many forms but I'm going to concentrate on Diversification of strategies. Unfortunately sometimes trading any 'trend following systems' there is normally a degree of correlation with the signals, the index being traded usually is reflective of the prevailing market conditions. Meaning: All 'Trend Following Systems' naturally jump on & join trends (the momentum), that's the very nature of the beast. Following trends is one of the simplest form of trading there has ever been & they have a proven track record of making money over time. I for one, can confirm "following trends" has been kind to me. I have 3 diversify strategies that I trade (really there are 4) & thankfully work well together without correlation.

Lets talk about correlation
In my early days of trading I was trading 6 strategies, all profitably but highly correlated holding many multi tens of thousands of dollars in the same position (in reflection it was crazy) with a series of highly correlated systems you tend to get the same signals just weeks apart. It was the captain's idea after explaining the problem of high correlation trading 6 trend following strategies, he simply said combine the 3 best strategies into one & write the code so only the first signal is taken, discarding the others. The HYBRID Strategy was born (a combination of 3 of my best strategies) packaged into one master strategy. The CAM & PANDA Strategies have none to little correlated to my Hybrid strategy or correlation to each other. I'm so lucky to have strategies not correlated as it allows me to trade a large account.

Discretionary trader
I've recently posted in @peter2 "p2-starts-another-asx-portfolio-wkly-dly" thread that manually sorting through charts looking for the perfect entry & missing the setup it would be excruciating & lead to being excessively hard on myself - being less than professional would be a hard cross to carry. In saying this it's must be frustrating for a discretionary trader seeing the good moves in hindsight, oblivious to the setups in the 'heat of the battle' whilst trading. Some forum members are gifted, possessing the unique ability to see setups without really looking but if you are more like me you'll fall short in this area. Why do I trade Mechanical systems? - because it suits my temperament.

Skate.

 

[Warr87]

another way to diversify would be to add in a mean-reversion system. I have tried to code one but haven't got it to work on the ASX. I'm sure its possible, though I think it would be a better strategy run where commissions are really small (US market). It's also the type of system that works well on indexes as indexes tend to range (mean reversion works best in slight trend environments or sideways markets). Happy to be proven wrong and I know if I was better I could get something to work. It's something I'll work on later, for another tool to add to my toolbox. (I'm still a beginner so my focus is on what I have but like to have areas of growth for the future.)

This brings me to a few other points I have been thinking about diversifying though. I think it's possible to run it on different sectors/industries, etc., so you're not taking all the same signals and have a wider base to choose from. Metals may not trending at the same time as the XAO, for example. The other thing, which is what I will do in many years when I am consistent and profitable with what I have, and that is run another trend following system in the US market. I am a trend trader, so I will continue to trade trends, and while the US market is correlated to some extent to the ASX, there isn't a complete correlation.

When I've proven an edge with my current system I will then start to look at these options. Amibroker allows you to do this by using the custom back test and composite ticker. something for the future to consider.

 

[Newt]

Thanks for sharing your work on RELEX Skate. We know >90% of the ideas we pursue with excitement may not immediately pay off, but when they do - those are the gold nuggets of hope (and profit) that help keep us going. I've thought about subscribing before and should probably check it out. (coulda, shoulda??)

PANDA, Trig functions, John Elders. Hmmm. PYTHON, (pandas), ARIMA, signal processing and filtering, MESA?

Just hearing someone else is trading a portfolio of strategies and diversifying across systems gets me excited. Part of why listening to Captain B gets my imagination singing too.....

 

[willy1111]

Perhaps we could temper that with … "Making the wrong decision" is still better than making no decision at all?! …. and ...

A "wrong" decision at one point in time can hopefully lead to an even better "right" decision in the future when its even more important!

I believe they call that experience

Nice...reminds me of something I heard once that I can't recall verbatim but along similar lines...

Make wise decisions, how do I make wise decisions?
Make good decisions, how do I make good decisions?
Make bad decisions, how do I make bad decisions?
By having the courage to make decisions.

Something along those lines, the sad reality is so many fear making decisions in case its the wrong one, as you say barney better to make the wrong decision and correct it than not to make a decision...analysis/paralysis and all that

 

[ducati916]

[B]How we all think[/B]
When trading & under the influence of emotions, we tend to surrender our emotional intelligence & this is why trading is such a difficult endeavour being constantly hijacked by our emotions encouraging us to do the wrong thing at the wrong time. Another crazy fault is that we tend to have a selectively recall of only certain information that validates what we now know to be true & then create a story about it to make sense out of the event as we attempt to explain it to ourselves. Our mind creates stories & over time we start to believe it as fact, being absolutely true (when they aren't)

Skate.

[ATTACH=full]99736[/ATTACH]

[ATTACH=full]99737[/ATTACH]

jog on
duc

 

[Warr87]

that's an interesting graph. I've looked at the Myer-Briggs tests a few times. I actually score either as an INTJ or an ENTJ, depending on my mood (I gravitate towards the centre of I/E). Can be an interesting tool at times.

 

[ducati916]

[B]Lets talk about diversification[/B]
We will forget about the REFLEX strategy it doesn't deserve another breath. Diversification lessons risk, by trading strategy that are not correlated. Diversification comes in many forms but I'm going to concentrate on Diversification of strategies. Unfortunately sometimes trading any 'trend following systems' there is normally a degree of correlation with the signals, the index being traded usually is reflective of the prevailing market conditions. Meaning: All 'Trend Following Systems' naturally jump on & join trends (the momentum), that's the very nature of the beast. Following trends is one of the simplest form of trading there has ever been & they have a proven track record of making money over time. I for one, can confirm "following trends" has been kind to me. I have 3 diversify strategies that I trade (really there are 4) & thankfully work well together without correlation.


Skate.

The strategies discussed, are not diversified. They are all buy low sell higher, or a long strategy.

If there was a sell high buy low, or shorting component, that would be a true diversification. Other diversifications would be:

(i) Reversions;
(ii) Trading volatility (long/short);
(iii) Pure Earnings plays;
(iv) Arbitrage;
(v) LBO's;

As examples. There are others I'm sure.

Buying a PB as opposed to a BO (or any variation) are simply tactics within a strategy.

jog on
duc