Dump it Here

[qldfrog]

Thanks for mandatory voting, Mark vote is as important as yours. I would still recommend Mark avoid discretionary trading

 

[myrtie100]

Awwww, I feel sorry for Mark - he may be dyslexic....

 

[Newt]

 

[Skate]

The ZIG Weekly Strategy
Start Date: 1st January 2020
Portfolio Capital: $300,000
Positions in the Portfolio: 20
Fixed Position Sizing: $15,000 (No re-balancing)

Weekly Update Format
1. The "Share Trade Tracker" Dashboard
2. Portfolio performance line chart
3. Open Summary
4. Pending buy & sell positions















For full disclosure - All the Buys & Sells signals are listed since 1st January 2020 (the ZIG Strategy start date)
The Amibroker buy & sell signals dated 23/01/2020 are normally placed in Monday's pre-auction (it will be Tuesday's pre-auction because of the Australia Day Holiday) I have included all the signals since 1st January 2020 for full disclosure. Going forward I will only post: (the current week signals)

Buys & Sells Signals this week
# 2 Buys this week: MTO & WGN
# No Sells.



Skate.

 

[Skate]

The previous ZIG Strategy updates are now obsolete
After re-reading a few of @rnr posts regarding the different setups that can be utilised with the ZIG indicator, Rob raised a few good points resulting in the re-working of the parameters & completely changing the entry criteria.

Obsolete
The previous updates are now obsolete.

The re-worked updated & new ZIG Strategy
Going forward the weekly updates will be the “NEW re-worked ZIG Strategy” & at-the-moment they are in line with current market conditions & strategy expectations.

Jittery markets
As we know all too well, any bad news in jittery markets will make traders rush into panic mode, causing huge selloffs. The markets are constantly doing things you don’t expect & it‘s with this in mind why it’s so important to have an exit strategy that will give you the confidence & peace of mind that you’ll get you out of the markets at the right time without panicking.

Traders, we are all different
Traders understand the markets are based on human behaviour & our perceptions about what's happening. While one person sees the buying opportunity of a lifetime, another sees the meltdown of the global financial system as we know it. Thus, it’s our perception that creates the value at any given time.

The Weekly updates of the ZIG Strategy
The updates in the next post will be the “Updated ZIG Strategy”

Skate.

 

[Skate]

The updated ZIG Weekly Strategy
Start Date: 1st January 2020
Portfolio Capital: $300,000
Positions in the Portfolio: 20
Fixed Position Sizing: $15,000 (No re-balancing)

Weekly Update Format
1. The "Share Trade Tracker" Dashboard
2. Portfolio performance line chart
3. Open Summary
4. Pending buy & sell positions















One Buy, One Sell this week
ZIG Sell = MNS
ZIG Buy = WAF

Skate.

 

[Skate]

The ZIG Weekly Strategy
Start Date: 1st January 2020
Portfolio Capital: $300,000
Positions in the Portfolio: 20
Fixed Position Sizing: $15,000 (No re-balancing)

Weekly Update Format
1. The "Share Trade Tracker" Dashboard
2. Portfolio performance line chart
3. Open Summary
4. Pending buy & sell positions















2 - ZIG Sells this week
AML
CAN

2 - ZIG Buys this week
LVT
ASB

Skate.

 

[willoneau]

Hi Skate, how long do you paper trade new systems for before deciding to go live or not or even before you start to tweak?

 

[Skate]

Hi Skate, how long do you paper trade new systems for before deciding to go live or not or even before you start to tweak?

@willoneau paper trading is from 6 to 12 months to make sure they are in line with backtesting results.

OOS
Out of sample (OOS) results are the only results I’ll take notice of as backtesting only gives an indication of the strategy’s potential.

Throughly tested
For a strategy to get to paper trading stage it’s already been through the ringer in terms of system development “but” the ZIG strategy is the exception to the rule as @rnr gave me a few good ideas & such it’s been completely reworked & the backtesting is promising.

The ZIG Strategy
The early results of the ZIG strategy aren’t looking too flash at the moment but it’s early days & the current strategy performance is inline with expectations.

The MAP Strategy
I’m also paper trading the MAP Strategy at the moment as well as the ZIG strategy. My MAP Strategy has been discussed by other members & the entry conditions for the MAP strategy has already been posted in this thread.

Simple buy condition
The MAP strategy is showing promise & with a simple buy condition - it’s a wonder it works so well.

2 Weekly reports
If you are interested or any other member is interested to see both paper trades in the ‘Dump it here’ thread let me know. I’ll paper trade them with the same start date & parameters & run them off against each other & report the result weekly with the ZIG Strategy.

FYI
I’m intending to trade one or both of these strategies if the OOS results pull up okay.

Skate.

 

[willoneau]

I see you use $300,000 when testing, is this related to if or when you go live?

 

[Skate]

I see you use $300,000 when testing, is this related to if or when you go live?

Portfolio size
All my new strategies start out with a base $300k x 20 (15k) positions. Each strategy needs to prove their worth before ramping up the number of positions & position sizing.

The strategy is full
Strategies are considered full when they ramp up to 40 (25k) positions. When this happens I look to start another strategy.

FYI
I’m currently trading 3 strategies at the moment & I’m busting to start others - but not before they prove to be worthy of my support.

Skate.

 

[willoneau]

The strategy is full
Strategies are considered full when they ramp up to 40 (25k) positions. When this happens I look to start another strategy.

You made the point about position size affecting price and I wondered once getting up to 25k that became an issue. I also like how you increase position number as peter2 noticed his system improved when number of positions were increased to 40.

 

[willoneau]

Skate have you looked at any mean revision systems ? or are you only interested in trend following?

 

[Skate]

You made the point about position size affecting price and I wondered once getting up to 40k that became an issue.

@willoneau I may not have been clear, it’s 40 position portfolio not $40k position sizing.

Then
I use to trade $100k & $50k position & a couple of $200k trades & found it resulted in slippage. I trade between $15k & $25k each position now.

Now
All my systems start out at $15k positions & ramp to a maximum of $25k per positions - $25k is now my maximum position size.

It’s a 2 stage process
(1) Meaning with rebalancing my positions sizing goes from $15k to $25k - once the position size hits $25k (25k X 20), stage one is completed - then I enact step 2.
(2) This step is trying to build a 20 positions portfolio into to 40 positions portfolio.

FYI
2 of my strategies are now full & the third is on it’s way, this is why I’m paper trading 2 new strategies (ZIG & MAP) to trade in the near future.

Skate.

 

[Newt]

Pretty sure Skate has previously mentioned commission, slippage and costs cut too deeply into profits to make MR successful in Aus. Not to say it can't be done, just very challenging and possibility of strategy becoming obsolete potentially greater.

From watching what Nick Radge currently does to augment trend following, I have some suspicions on aspects that would help with MR systems:

* Very low commissions - US market still much more efficient in this regard than what we're offered here in Oz
* Very "efficient" mature market much more likely to mean revert (i.e. US > Aus) (read some Kaufman on market "efficiency")
* May be that larger cap stocks more likely to mean revert, depending on strategy
* Need a broker that accepts multiple orders, when you only expect to fill some of them (my Aus brokers don't allow this - but suspect IB and others do - must check)
* Because of last item, will be frequently entering and cancelling orders - greater need for automation or bit more sophistication (Radge has custom programmed API for IB and generates text/CSV orders file from Amibroker than pastes into API)
* Much greater need for strategy modelling work to include commissions, slippage etc in the backtests - tricky but otherwise you get overly optimistic results with flat equity curves that are dangerously tempting (more so than generally occurs with over-fitted optimistic TF system development)

If above points are close to the mark, then I'm intrigued but not ready to go that way. Still in the Trendnomics camp for trend following personally - push on with robust TF strategy, and be prepared for some weeks to month long wild swings. Fits my lifestyle, personality and time availability right now however.

p.s. whenever I think I'm experiencing "unfair" excursions in my capital/equity go back and zoom in on 6 months periods in backtests - they're always in there, but its amazing how they just fade into the background and seem "easy" when you graph out 5 years or more returns on the equity curve.

 

[Skate]

Skate have you looked at any mean revision systems ? or are you only interested in trend following?

@willoneau I’ve traded a Mean Reversion strategy with limited success as the short holding period & high commission rate is the killer even though it has a high win rate.

FYI
I’m only interested in trading the XAO & that’s it - no foreign markets for me.

Skate.

 

[Skate]

Pretty sure Skate has previously mentioned commission, slippage and costs cut too deeply into profits to make MR successful in Aus. Not to say it can't be done, just very challenging and possibility of strategy becoming obsolete potentially greater.

From watching what Nick Radge currently does to augment trend following, I have some suspicions on aspects that would help with MR systems:

* Very low commissions - US market still much more efficient in this regard than what we're offered here in Oz
* Very "efficient" mature market much more likely to mean revert (i.e. US > Aus) (read some Kaufman on market "efficiency")
* May be that larger cap stocks more likely to mean revert, depending on strategy
* Need a broker that accepts multiple orders, when you only expect to fill some of them (my Aus brokers don't allow this - but suspect IB and others do - must check)
* Because of last item, will be frequently entering and cancelling orders - greater need for automation or bit more sophistication (Radge has custom programmed API for IB and generates text/CSV orders file from Amibroker than pastes into API)
* Much greater need to model and include commissions, slippage etc in the backtests - tricky but otherwise you get overly optimistic results with flat equity curves that are dangerously tempting (more so than generally occurs with over-fitted optimistic TF system development)

If above points are close to the mark, then I'm intrigued but not ready to go that way. Still in the Trendnomics camp for trend following personally - push on with robust TF strategy, and be prepared for some weeks to month long wild swings. Fits my lifestyle, personality and time availability right now however.

@Newt you nailed it - I couldn’t have explained it any better & (Yes) I have explained it all before. @Newt you have a good memory.

Skate.

 

[willoneau]

@willoneau I may not have been clear, it’s 40 position portfolio not $40k position sizing

Sorry I was not very clear as I meant 40 positions of 25k.

 

[willoneau]

Thanx for the insight into position sizing and management, makes it clearer for me and lets me know I'm on the right track.

 

[Skate]

I have stopped paper trading system 1 and started live trading system 2. I have 8 open positions that were entered in on Monday, and the rest of the 12 positions have been entered for the pre-market.

As @Warr87 has started live trading system 2 (The MAP Strategy) it's the catalyst for me to report along side of him on a weekly basis (At the same time I report on the ZIG Strategy)

No new positions as I was busy and frankly I'm comfortable waiting to see how the markets react to the ongoing virus threat to multiple economies. No such concerns for the system trader, onwards and upwards and damn the portfolio heat.

@peter2 nailed it perfectly when he said "No such concerns for the system trader, onwards and upwards and damn the portfolio heat" As a system trader we roll with the punches (going with the flow, taking signals as they come) - sometimes it's advantageous doing so & at other times it makes us look kind of silly. But as a system trader we don't have (or shouldn't have) the luxury of being a discretionary trader (picking & choosing which signal to take or pass completely), or as I like to call them "Cafeteria traders" - you know the type at a buffet, they just pick & chose what to eat.




The MAP Weekly Strategy
Start Date: 1st January 2020
Portfolio Capital: $300,000
Positions in the Portfolio: 20
Fixed Position Sizing: $15,000 (No re-balancing)

Weekly Update Format
1. The "Share Trade Tracker" Dashboard
2. Portfolio performance line chart
3. Open Summary
4. Pending buy & sell positions













There are NO buys or Sells this week
When there are no Buys or Sell pending - I will disclose the Exploration report for those who may be interested.



Skate.