Dump it Here

[Warr87]

I got those same signals, and a few others.

 

[Skate]

Market has been a rollercoaster on Mon and Tue last 2 weeks. World is end on Mon, then some stocks rocketing up Tue. Challenging times - there's always something new to experience in the markets.....

@Newt nail this & I wanted to reinforce the Roller Coaster we are experiencing at the moment & it's hard to follow & digest.

Last weeks Trading result
The records below highlights what @Newt is saying (The Roller-coaster ride). These are my last weeks actual daily records from one of one of my 3 strategies (I'm not disclosing which strategy it is, just giving an example)

Monday (- $17,619) = Loser
Tuesday +$11,398 = Winner
Wednesday +$12,359 = Winner
Thursday + $6,271 = Winner
Friday (- $5858) = Loser

End of the week results
Ended the week up +$6,551


For full disclosure
The other two strategies - this weeks results (not a bad week considering)


Any week you don't lose is a good week
But, I still have the feeling of disappointment, go figure

Skate.

 

[Skate]

I got those same signals, and a few others.

@Warr87, we are running similar strategies, meaning the signals should be close. I'm so please you are forging ahead with the MAP strategy. Don't fiddle with any adjustments I've made to your code (just remember how a few tweaks I made to your MAP strategy gave you massive improvements in a heart beat - so please don't disclose them)

My advice
Stick with the strategy in good times & bad times, I've put a lot of work into the MAP strategy & it backtests well - just take the signals as they come & let the strategy do the magic over time.

Skate.

 

[Warr87]

@Warr87, we are running similar strategies, meaning the signals should be close. I'm so please you are forging ahead with the MAP strategy. Don't fiddle with any adjustments I've made to your code (just remember how a few tweaks I made to your MAP strategy gave you massive improvements in a heart beat - so please don't disclose them)

My advice
Stick with the strategy in good times & bad times, I've put a lot of work into the MAP strategy & it backtests well - just take the signals as they come & let the strategy do the magic over time.

Skate.

I haven't really changed much since the adjustments you made (it was all cosmetic really). The core of the code has stayed the same. A few spin-offs have occurred to satisfy my curiosity for other systems, but they are completely different systems and dealt as separate systems in their own right (and intended for other markets/sectors hence the modification).

I definitely intend on following the strat to the letter. I can't be in for the big rides if I've already gotten out. I'm starting small but want to build it up to $15k positions. I know that's where you are starting, but for me, that will be my max position size and represent a huge increase from my initial capital.

 

[Skate]

@Warr87 we have to thank @Gringotts Bank for the MAP strategy @Gringotts Bank asked me a simple question "Skate, what do know will work"

The MAP strategy was born
As I've said the MAP strategy came about from an off the cuff question from @Gringotts Bank. We all have opinions of what works & what doesn't when it comes to trading but always find it difficult to have the confidence putting our money on the line trading an idea. So after reading @Gringotts Bank post I set about coding a strategy from what I have learnt over the last few years formulating a new strategy that on paper has the ability to work.

FYI
MAP is an acronym for - Moving Average Period Strategy (it's a simple MA strategy)

Coded & tested
The idea coded up well & the strategy backtested with pleasing results. The new strategy has only a few conditions when to buy & sell.

MAP Buy Condition (Amibroker code)
MapBuyCondition = ( Close > MA( Close, 10 AND ROC(C,10)>0) OR (Close == 1.1 * Ref( Close, -1 ) and V>Ref(MA(V,10),-1)) );

The MAP Strategy in english
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 secret sauce).

Soap Box
I don't want to get back on my soap box but the secret sauce needs further explanation why strength is so important in trading. "The whole MAP formula is built on the premise that the position is now stronger than it was previously" - I'm sad to say but with the passing of time we have lost the art of memorising so if you read something that maybe helpful in any thread "write it down" so its not forgotten.

Posts worthy of a look
https://www.aussiestockforums.com/posts/1027039/ and here https://www.aussiestockforums.com/posts/1028382/

Skate.

 

[Skate]

Lets talk about MAP Buy criteria (in particular item # 3)
1. Buy whenever the Close is higher than it’s 10-periods Moving Average - OR,
2. Buy when the Closing Price is at least 10% higher than last week’s close - AND,
3. BUY only when Current Volume is higher than it’s 10-period Moving Average - AND,
4. BUY when The Rate-of-change Filter of the last 8 periods is higher than 0% - AND,
5. BUY with the appropriate Filters being applied

Why volume confirmation is so important
Good volume means strength. With trend trading you need to understand why volume is important when you are considering entering a trend. If an uptrend is not confirmed by an expansion in volume, then what you have is the same number of buyers or worse, fewer buyers. When price rises, it does so because there are even fewer sellers. Once you realize that the market is trending with higher prices without volume confirmation, then you truly are at greater risk of the trend reversing and doing so both quickly and violently.

How we all think
When under the influence of emotions, we may at times surrender our emotional intelligence & this is why trading is such a difficult endeavour. Yes, we all feel that sinking feeling in our guts after we enter a trade that goes slightly against us & this is when our emotions rise to the surface. If the fear is strong enough, we might cut the trade short to escape the unpleasantness, hijacked by our emotions encouraging us to do the wrong thing at the wrong time. My advice is to resist the urge & stick to your plan.

Summary
Trading is predicting the value of a security sometime in the future & the idea of qualifying the strength of a trend is so important. Let's be honest not all trends are the same in terms of strength & durability - by qualifying trends provides a trader with an exceptional edge.

Skate.

 

[Skate]

Let's not start a debate (alternative views are welcomed)
As we have seen during the past several weeks, the markets are not based on fundamentals they are based on human behaviour, which is based on perception, "which creates value". The markets are a reflection of the overall belief system of all the traders in the market at any given time & the charts reflect this.

Let's talk about charts
With today’s markets, the charts tell us everything we need to know. In trading, our charts are really our best friends as they give us the insight to what we need to know without any additional noise or bias. If an entry signal is there & the capital is available, we place our trades based on our own analysis. The most important thing keeping us from succeeding as a trader is not necessarily our trading strategy, but what we think about trading in general. Once we get our emotional behaviour in check we can work with our strategy, we can effectively trade the strategy as it was designed & not make decisions based on our beliefs about the strategy. (This is a very important point)

Common trait
The most common problem that traders have is that they always tend to over complicated their trading & as humans, we have a tendency to overcomplicate everything we touch. But trading doesn't need to be complicated. Whenever we apply our usual learned behaviours to our trading, we complicate something that should be simple. We look for confirmation about a decision that requires time to be confirmed. If we are wrong, then we doubt the strategy. It's important to remember every strategy will have losing trades, accepting this & your half way there as a trader.

Remembering
"Don't get in the ring if you don't want to be hit"

Skate.

 

[Skate]

Follow your plan
Mechanical Trading can be a simple endeavour if you are disciplined to follow the rules & stick to your trading plan. When the appropriate signal shows up, place your order but only when you have a fully tested strategy. With a fully tested strategy there is no need to second guess the signals.

The emotional spectrum
Multiplying the emotions of all the traders & you get a sense of the complexity of the psychological forces at work in the markets. Panic, depression, euphoria (the entire emotional spectrum) all take on a new intensity when your hard earned cash is on the line which is why trading is so scary to beginners. These emotions consequently can generate similar strong feelings in us causing a reaction (that is, to buy or sell).

Skate.

 

[Nina4]

Lets talk about MAP Buy criteria (in particular item # 3)
1. Buy whenever the Close is higher than it’s 10-periods Moving Average - OR,
2. Buy when the Closing Price is at least 10% higher than last week’s close - AND,
Skate.

Skate, in your copied and pasted code from post #2325

MAP Buy Condition (Amibroker code)
MapBuyCondition = ( Close > MA( Close, 10 AND ROC(C,10)>0) OR (Close == 1.1 * Ref( Close, -1 ) and V>Ref(MA(V,10),-1)) );

The OR section ONLY buys if close is 10% greater than the previous bar NOT greater. (Close == 1.1 ).
For anyone wanting to use the provided code change == to >= if you want to include closes greater than 10% above the previous bar..

 

[Skate]

Information
Often people think about all the technical information available & fail to appreciate one of the most important aspects of becoming a successful trader - "Their own personality traits"

We tend to seek explanations
Personality has a lot to do with the ability to grasp & properly execute a mechanical strategy. What seems so natural to many long term traders seems alien to beginners as they seek answers to why & what makes a security move in a manner that it does. We all have a strong desire to understand why the markets move as they do.

The trading game
New traders who don’t expect too much too soon, those who understand that this business takes time, money, training & experience tend to survive in this game. If you are serious about trading, then changing your mindset is vital. You must never forget that the objective of trading is making a profit. Not only does that mean learning a winning trading methodology or strategy but it also requires careful risk assessment & management.

Discipline is the key word
Disciplined is required in every facet of trading whether it's money management, risk management or strategy execution whilst at all times keeping your emotions in check so you have the ability to execute your trading strategies flawlessly, when the signals present. As I've said previously, losing streaks are a fact of life for a trader & it's vital to manage your risk, your money & your attitude in order to survive those periods when your timing is off or the when the odds are against you.

Off the soap box for now
It feels good to get things off your chest, even a refresher of known facts are sometimes helpful.

Skate.

 

[Skate]

Skate, in your copied and pasted code from post #2325 The OR section ONLY buys if close is 10% greater than the previous bar NOT greater. (Close == 1.1 ). For anyone wanting to use the provided code change == to >= if you want to include closes greater than 10% above the previous bar..

@Nina4 thank you for reading my post & adding information with the view of helping others.

Volume confirmation
My post was to explain when price is trending higher without volume confirmation, it's risky to enter that position & doing so can result in disappointment.

Skate.

 

[Newt]

Thanks for the update and reminders on MAP logic Skate. Will have to have a play sometime trying to emulate. You never know when playing with something can lead to a new "aha" moment.

And thaks for elucidating on some "secret sauce". You've noted before that even one (well tested and robust) condition added to a strategy can make a world of difference.

My TF entry is primarily 3 things - Price, Volume, Time. Nick Radge's Unholy Grails was a huge influence for me starting out, but don't recall rate of change (first derivative of price vs time) was in there. Certainly price x volume (turnover) has always been a Radge entry condition.

I keep a record of trading milestones and how/when there were discovered, read, shown. Some of the biggest positive changes came from going to the weekly timeframe, including ROC, and incorporating robust volume conditions. Exits are another important "leg of the table", but learning how to use parabolic SAR trailing stops in a way that worked for my trading helped align system performance (and DDs) with my personality and expectations. Ultimately that builds confidence on when to take on new risk, and when to "take the money and run" (err, or "take the loss and run").

For those wanting ideas on how to incorporate volume and price into systems development, I've found publications by O'Neill and some of those who traded with him very helpful. Some corney clickbait titles, but definitely worth a read for those feeling their way for a systematic approach. There are few by O'Neill and his "disciples", but suggest this for a starting point (below).

https://www.amazon.com.au/Trade-Like-ONeil-Disciple-Trading-ebook/dp/B003Z0CQVS

Minervini's style very close to this too - he has published a few books that are very useful reading for systematic trend traders.

 

[Skate]

Thanks for the update and reminders on MAP logic Skate. Will have to have a play sometime trying to emulate. You never know when playing with something can lead to a new "aha" moment.

@Newt, it's pleasing when there is an interest in some of my posts that influence other to take a second look, from @qldfrog starting a "Skate inspired thread" to @Warr87 showing interest in the MAP strategy, even @peter2 remarking that a 40 position portfolio would not beat the index only to acknowledge portfolio size does matter in so many different ways & it also matters psychologically in stock selection. Cudious to @peter2 shifting his opinion after testing the idea of using a larger than usual position size strategy.

A recap of what Peter said
(a) "My knowledge and experience would say that a portfolio with 50 positions would not beat the market index"
to this
(b) "It has exceeded my expectations. I was/am pleasantly surprised by the results. There's no doubt that a 30+ portfolio, that is actively managed will thump any index"

StaleStop Exit
Also my StaleStop exit "in-my-opinion" is another one of my secret sauces. The StaleStop exit works for me. Getting the exit timing correct can be the decider of a strategy. Entries are a dime-a-dozen.

A bit disappointing
I coded my version of @peter2 1st Blue Bar (the SuperTrend Strategy) discussed in his thread & I posted some pleasing backtest results. I went on to say that "I'm now a believer" in Peter's strategy as it performs well. Peter's threads & his posts on the topic of the "1st Blue Bar" setup are pure gold, but my post on the "SuperTrend Strategy" fell on deaf ears, meaning there was no interest at all in the idea.

Skate.

 

[peter2]

@Skate Thank you for your additional comments on the various strategies you've generously shared with us in this thread. I've bookmarked quite a few of your posts. I haven't just left your ideas as bookmarks either. As you've seen in some of my threads I've researched them and worked with them in real time to get a better understanding of how to apply them. Some of your ideas that I've looked at;
- increased number of positions to hold in a portfolio (>25)
- coded entry alerts (CAM signals, MAP signal)
- coding these alerts into weekly scans to reduce workload and selection bias in the WE review
- ranking methods (not discussed yet)
- stale stops (not researched yet as it's impossible to do manually.)

As a discretionary trader I strive to act in a more mechanical manner because I understand the benefits of doing so. It's unlikely that I'll convert to a fully automated system because I know that most trend following systems have larger DDs that I am comfortable with. My discretionary input is designed to reduce these DDs without reducing the potential profits too much.

I noted your comment that the ST strategy worked better for you using a parameter of "3". Very little of what you post on trading systems escapes my eye because I can see you've done your own research.

 

[Rsthree]

The 'Dump it here' thread lacks posters..

I know it
When I'm posting I'm only repeating what I already know, but when others post, I tend to learn something new.

'ASF' entertains
I've stopped using the Aussie Stock Forum for its educational value, like most I only visit ASF for the entertainment value filling in my time reading posts that add no value to my life even though I enjoy reading them.

Enough said..

Skate.

I'm reading this thread from start to finish and I have questions and comments. However rather than reacting to post only to find my question addressed on the next page I thought it better to wait until the end and then start firing.

I'm looking to get back into trading after putting my toes in the water over 12 years ago. This thread is really helping with my education process but it's also making me question my motives and motivativation to get back into it. I'm still on the fence atm.

 

[Skate]

I'm reading this thread from start to finish and I have questions and comments. However rather than reacting to post only to find my question addressed on the next page I thought it better to wait until the end and then start firing. I'm looking to get back into trading after putting my toes in the water over 12 years ago. This thread is really helping with my education process but it's also making me question my motives and motivation to get back into it. I'm still on the fence atm.

@Rsthree thank you for reading the 'Dump it here' thread, reading the thread from start to finish is a big commitment. Don't forget to "Like" the posts you enjoy as the "Likes" serve an important purpose - (a) I re-read every 'Like' I receive to better understand what members find of interest & (b) it's a confirmation that members are reading my thread & find some value in what I post. Also I appreciate every "Like" that encourages me to keep positing.

Free eBook
Also, I have a free eBook (in ePub format) - put on your phone & you read it at your leisure.

The 'Dump it here' thread
The 'Dump it here' thread is an educational thread & all my educational post are located in this one thread. I concentrates on the emotional side of trading giving you a sense of the complexity of the psychological forces at work in the market.

Old hand
As you are an old hand at trading it's always good to refresh & read important information we tend to forget with the passing of time. As I'm a mechanical system trader the 'Dump it here' thread slants in this direction.

FYI
AmiBroker is my trading platform for displayed charts. Share Trade Tracker is the program to generate my posted reports while Norgate is my data supplier.

Other educational threads
@peter2 has a similar educational thread concentrating on the discretionary side of trading. Helpful hints & ideas can be found in every one of his post. All his threads are well supported by member contributing on a regular basis. Just remember - I'm suggesting you read the 'Dump it here' thread first.

The free 4th edition eBook is found here:
https://www.aussiestockforums.com/posts/1014728/

Skate.

 

[willoneau]

Hi Skate, I am interested in the Share Trade Tracker that you are using and am wondering what your thoughts on it are ?
can I use Premium Data to update stock prices for example?

 

[Rsthree]

@Rsthree thank you for reading the 'Dump it here' thread, reading the thread from start to finish is a big commitment. Don't forget to "Like" the posts you enjoy as the "Likes" serve an important purpose - (a) I re-read every 'Like' I receive to better understand what members find of interest & (b) it's a confirmation that members are reading my thread & find some value in what I post. Also I appreciate every "Like" that encourages me to keep positing.

Free eBook
Also, I have a free eBook (in ePub format) - put on your phone & you read it at your leisure.

The 'Dump it here' thread
The 'Dump it here' thread is an educational thread & all my educational post are located in this one thread. I concentrates on the emotional side of trading giving you a sense of the complexity of the psychological forces at work in the market.

Old hand
As you are an old hand at trading it's always good to refresh & read important information we tend to forget with the passing of time. As I'm a mechanical system trader the 'Dump it here' thread slants in this direction.

FYI
AmiBroker is my trading platform for displayed charts. Share Trade Tracker is the program to generate my posted reports while Norgate is my data supplier.

Other educational threads
@peter2 has a similar educational thread concentrating on the discretionary side of trading. Helpful hints & ideas can be found in every one of his post. All his threads are well supported by member contributing on a regular basis. Just remember - I'm suggesting you read the 'Dump it here' thread first.

The free 4th edition eBook is found here:
https://www.aussiestockforums.com/posts/1014728/

Skate.

Thanks Skate, your correct I'm old, but not an old hand.

I was in the market for around 18 months and did well in a bull market but gave most of it away in the downturn. Cant remember why I didnt get back into it, probably lack of motivation given my results.

As the whole game is very complex i tried to keep things as simple as possible. Basically looked for breakouts in charts with basic filters using the software I had at the time.
I managed to make all the mistakes you've outlined when the FUD came into play and my approach wasn't structured enough to keep me on track. I remember that the trading fees were also a drain as my starting account was small, $10-20k.

I'm now looking to find a renewed motivation to get back into it as I have around $100k in cash wasting away in bank term deposits.

I'm waiting for a new PC to arrive and I'll be buying Amibroker mainly to due to the wide community support that is available.

I'm on page 50 of reading your thread, mongst others, so slowly working through it. I'll definitely look at the e book.

 

[Skate]

Hi Skate, I am interested in the Share Trade Tracker that you are using and am wondering what your thoughts on it are ? can I use Premium Data to update stock prices for example?

@willoneau Share Trade Tracker is perfect in every way, I've been using it for years.

For the record
Share Trade Tracker is "the best share portfolio software" I've ever used & it's a piece of software I couldn't live without.

Disclaimer
I've had a small part in the ongoing development of this software & we are currently in the process of using Norgate data as an alternative data supply. There are a range of free data updates included in the program. I'm unsure how traders keep a track of their trading without this software - it's simple to use, updates at a push of a button, Share Trade Tracker handles it all from auto dividend entries with reports for your accounting. The tracking side of the software is so simple.

To answer all your questions
Share Trade Trackers website is brilliant & can be found here: https://xlautomation.com.au/excel-spreadsheets/share-trade-tracker

Check it out..

Skate.

 

[Skate]

Warning
This is a lengthy post so please bear with me as it holds some vital information for mechanical system traders (please don't speed read this post)

Just when you think no one is taking any notice
I received a PM this morning from a member asking if I would take a look at his SuperTrend Strategy & to my amazement the coding was well above average (actually it was quite good)

We all need help sometimes
I get my share of private messages seeking clarification or help in solving a problem. I usually limit my help to a few encouraging words, pointing members in the right direction, giving them hope, reassuring them they can do it.

Trading is simple
Trading is a simple endeavour - "Trading profitably is the hard part"

Multiple private messages
I've received multiple PM's from this member over the past year or so & it's evident he's keen to learn. After looking at his strategy I made a few additional entries to his code & at the same time I made a few parameter adjustments to improve the performance of a good strategy. It's worth remembering, at times we all get stuck & sometimes a small nudge is all that is required.

1. Volume confirmation (This is important to remember)
I've already explained when price is trending higher without volume confirmation, it's risky to enter that position & doing so can result in disappointment.

2. Buy into trend strength (This is also important to remember)
Some may have missed my summary in an earlier post when I said: "Trading is predicting the value of a security sometime in the future & the idea of qualifying the strength of a trend is so important. Let's be honest not all trends are the same in terms of strength & durability - by qualifying trends provides a trader with an exceptional edge"

3. Buy signal strength (This maybe the most important point to remember - it's the missing ingredient in most strategies)
@peter2 often explains when he scans for signals there are hundreds to look at each week manually separating the wheat from chaff. Let's face it, we all know some signals are stronger than others that's why we "PositionScore" them.

What improvements did I make to the original SuperTrend Strategy?
It's novel but I prefer to select the best of the best signals first (I only want the strongest signals) & I do this by gauging the strength of the signals before running them through the PositionScore. Checking the strength of the signals is the logical first step. Pre-checking the signal strength of each security takes the selection process one step further than most.

Why did I help with his coding?
I normally don't but in this case it was a perfect opportunity to demonstrate that there is always improvements in any mechanical strategy, strategies evolve, they improve & it happens when you gain additional knowledge when you have the desire to learn. Reading the threads of @qldfrog & @Warr87 they are living testaments that this evolving process works.

Backtests - Before & After
I'm posting a one year backtest (a before & after) comparison to demonstrate what a few improvements can make to the performance of a strategy.



Skate.