Dump it Here

[Warr87]

Agree backtesting results must always be treated with extreme caution, but its fascinating trying to keep your real life trading in sync with your model from start of trading. You yourself Skate have pushed me and others to stick to their system signals. Qldfrog and others have noted the dilemmas starting a system from scratch (do you buy all the current strategy positions, or only take new positions?) and what to do if you run out of cash (take partial positions, or only whole)? what if you find an error - sell a strong stock to re-align with the system or stay in it?

It really is invaluable when systematic traders (and systematic discretionary such as Peter2) share their trades or even just comment generally on equity curve and performance. It helps give those struggling up the learning mountain an idea what they're aiming for, how much performance can vary between people on a similar strategy, or hint if they've overfitted parameters or aren't trading their system honestly.

At the end of the day the system is a tool. If Skate or anyone gives away their entire system, its not much different to a virtuso violinist lending their Stradivarius, Brian May lending you the Red Special, or Jack Nicklaus letting you use his clubs - or Geralt of Rivia giving you his sword (confession: Watched too much Netflix over Christmas....!). For the first 5 years or so you have to emulate and copy what you can of those that have succeeded, then eventually you might earn the right to start tweaking bits of the system or re-writing from scratch. Only then will you understand the subtle trade offs and gains and what you risk losing if start dismantling layers of protection for performance.

Exactly. I could buy a strategy or subscribe to a black box system, but unless I had a hand in it I likely wouldn't be able to follow it 100%. Having code handed to you certainly wont make you a good trader. Plenty of big name traders have said there systems are simple, and they could give it out but no one would follow them 100%, therefore its pointless.

Something to think about. Got to know your system, got to know how it works, and its got to match you as a trader.

 

[ducati916]

It’s not the vehicle
Peter’s 'ability', 'skill' & his 'mental toughness' decided the win, it's not when he got into the car (the BUY), not even when he exited the car (the SELL) but how he handled the car during the race. (the TRADE)

Skate.

But it is the vehicle (combined with a good driver/rider).

If the car/bike is not competitive and set up well, then the skill level of the driver will be inconsequential to the final result.

You see this in F1 constantly. Excellent driver, average car, poor results. Driver changes teams, gets top car, wins championship. Every now and then, you get a driver/rider who is so adept that they can take a bad car and develop it. A bad car becomes a better or even great car, allowing them to win.

Two examples were Schumacher and Rossi. They took poor cars and bikes and developed them (Ferrari and Yamaha).

jog on
duc

 

[Roller_1]

I've stated before, backtest results mean "Jack" - but backtesting gives an indication between test results using different parameters for evaluation.

Hi Skate

With regards to your backtest results for various systems why is it that you are only testing or posting the results over 2019, are you testing these systems in the development phase of longer periods?

 

[Skate]

I have a Confession
I have made a rookie mistake in reporting the ZIG strategy. After a nudge from @rnr I reworked my ZIG strategy & didn't save & override the original .apx file - meaning I was reporting using the original strategy not the updated & hopefully improved strategy, Sorry about that.

The Correct results
I have corrected the error with little effort to update & correct the records. For those who have a pedantic nature I have attached a pdf with all the updated results for verification.











Skate.

 

[Skate]

Hi Skate With regards to your backtest results for various systems why is it that you are only testing or posting the results over 2019, are you testing these systems in the development phase of longer periods?

@Roller_1 all my strategy development has been completed a year or so ago. Backtesting results from 20 years ago bear no resemblance to current results. I tend to use the last year (the last 365 days) for backtest reports because they are reflective of the recent turbulent times.

FYI
Currently I have only the last 10 years of data (the Silver Norgate Package) but in my development days I had the Platinum Package that included 20 years of data as well as (a) Delisted Equities & (b) Historical index constituents. I've been asked many times before in this thread to supply backtest results for certain years & I'm more than happy to comply.

Skate.

 

[Roller_1]

@Roller_1 all my strategy development has been completed a year or so ago. Backtesting results from 20 years ago bear no resemblance to current results. I tend to use the last year (the last 365 days) for backtest reports because they are reflective of the recent turbulent times.

FYI
Currently I have only the last 10 years of data (the Silver Norgate Package) but in my development days I had the Platinum Package that included 20 years of data as well as (a) Delisted Equities & (b) Historical index constituents. I've been asked many times before in this thread to supply backtest results for certain years & I'm more than happy to comply.

Skate.

I agree, anything prior to 2005 i feel doesn't bear as much weight as data after to 05. Don't really have any proof but it would make sense things have changed since around then due to algos and everyday punters having access to online brokers etc.


was that with Norgate or the old premium data?

how does the CAM strategy look from 2014-18?

 

[Skate]

I agree, anything prior to 2005 i feel doesn't bear as much weight as data after to 05. Don't really have any proof but it would make sense things have changed since around then due to algos and everyday punters having access to online brokers etc. was that with Norgate or the old premium data?
how does the CAM strategy look from 2014-18?

@Roller_1 I've been using Norgate NDU for many years before it was released to the public. I had Norgate Premium Data before that.

# The CAM Strategy backtest is from 1/1/2014 to 30/12/2018 inclusive



Skate.

 

[Roller_1]

@Roller_1 I've been using Norgate NDU for many years before it was released to the public. I had Norgate Premium Data before that.

# The CAM Strategy backtest is from 1/1/2014 to 30/12/2018 inclusive

View attachment 100431

Skate.

Thanks

 

[qldfrog]

One of the ideas i have been toying with lately is a repository of backtest results on recent periods
Whole of 2019
01/7/19 to 1/1/20
01/7/18 to 1/1/19
This covers a few interesting period
I would happily share my system 1 and 2, zigzag mod system and current work on 123 system
Would you agree on sharing your or some of your results @Skate?
And should it not be better to create a new thread for that.
Any feedback on this idea
I know i woukd find it useful to have benchmarks
In AI, there are whole sets of predetermined images etc to be used by developers to test and rate their different software..be it face or gait recognition, etc etc

 

[Skate]

One of the ideas i have been toying with lately is a repository of backtest results on recent periods
Whole of 2019
01/7/19 to 1/1/20
01/7/18 to 1/1/19
This covers a few interesting period
I would happily share my system 1 and 2, zigzag mod system and current work on 123 system
Would you agree on sharing your or some of your results @Skate?
And should it not be better to create a new thread for that.
Any feedback on this idea
I know i woukd find it useful to have benchmarks
In AI, there are whole sets of predetermined images etc to be used by developers to test and rate their different software..be it face or gait recognition, etc etc

@qldfrog, sure I'll willing to share any of my backtest results if it help anyone, all you need to do is come up with a format that is consistent across the board for others to follow along & compare.

My suggestion
Lets make it a garden variety backtest. ($100k X 20 positions)

EXAMPLE
Portfolio size $100k
Positions 20

Is that okay with you?

Let me know when you have the thread set up.

Clarification
1. Did you mean a 6 months period ?
2. Or do you want the backtest report for a calendar year ?
3. Or do you want to backtest for a financial year ?

You posted = 01/7/19 to 1/1/20 ??
You posted = 01/7/18 to 1/1/19 ??

Backtest comparisons
I've stated before, backtest results mean "Jack" - but backtesting gives an indication between test results using different parameters for evaluation. Comparisons between strategies, not so much.

Skate.

 

[qldfrog]

@qldfrog, sure I'll willing to share any of my backtest results if it help anyone, all you need to do is come up with a format that is consistent across the board for others to follow along & compare.

My suggestion
Lets make it a garden variety backtest. ($100k X 20 positions)

EXAMPLE
Portfolio size $100k
Positions 20

Is that okay with you?

Let me know when you have the thread set up.

Clarification
1. Did you mean a 6 months period ?
2. Or do you want the backtest report for a calendar year ?
3. Or do you want to backtest for a financial year ?

01/7/19 to 1/1/20 ??
01/7/18 to 1/1/19 ??

Skate.

OK, will try to nail this in the next 2 days and create /populate that thread
I was interested in the 6 months for the following reasons
01/07/18 to dec 18 was a down period,
the 1/1/19 to 1/1/20 full calendar year was a great up momentum
but second half of that year was very up/down and gave a bit of weird signals

I like the ideal of separate 01/07/19 to 1/1/20 as to what a start in an irregular period would give
and the whole year would display the behaviour of a mature portfolio reaching that period

As you may remember one of my portfolio system has a slow ramp up... and so I do not believe the overlapping period is a waste of time?
You said:
Portfolio size $100k
Positions 20

fine with me :neither you or I use this setting but it is a clean neat one, let's use it
Lastly: what is our realm? all ord?(XAO)
Many thanks and yes I try to create a thread this evening and populate it with my results..nothing as good as yours but benchmarks nevertheless

 

[Skate]

OK, will try to nail this in the next 2 days and create /popu late that thread
I was interested in the 6 months for the following reasons
01/07/18 to dec 18 was a down period,
the 1/1/19 to 1/1/20 full calendar year was a great up momentum
but second half of that year was very up/down and gave a bit of weird signals

I like the ideal of separate 01/07/19 to 1/1/20 as to what a start in an irregular period would give
and the whole year would display the behaviour of a mature portfolio reaching that period

As you may remember one of my portfolio system has a slow ramp up... and so I do not believe the overlapping period is a waste of time?
You said:
Portfolio size $100k
Positions 20

fine with me :neither you or I use this setting but it is a clean neat one, let's use it
Lastly: what is our realm? all ord?(XAO?)
Many thanks and yes I try to create a thread this evening and populate it with my results..nothing as good as yours but benchmarks nevertheless

Sure, let's stick with the All Ordinaries (XAO) - it will be your thread so you get to dictate the backtests period.

'The Dump it here' thread
@qldfrog you have come up with a good idea. In the meantime I might post some of my strategies backtests reports tomorrow using my standard backtest setting for readers of this thread.

Skate.

 

[qldfrog]

Some entries for a benchmark repository here: any feedback welcome
https://www.aussiestockforums.com/threads/xao-backtest-benchmarks-for-2018-2020.35204/
Thanks @Skate for letting me hijack temporarily your thread

 

[Saqeeb]

Saqeeb's MAP System:
Week 1 update:
I started paper trading my MAP system today and this post is my first reporting update. Below are the buys made by my system today. 6 positions out of 20 filled this week. Going forward, I intend to post the trade updates (buys and sells) and an equity curve to go with it every Monday evening.

Thanks
Saqeeb

 

[Skate]

One of the ideas i have been toying with lately is a repository of backtest results on recent periods

@qldfrog you have come up with a good idea. In the meantime I might post some of my strategies backtests reports tomorrow using my standard backtest settings for readers of this thread. Skate.

My first post

Helping Others You might want to dump stuff here to help others

The 'Dump it here' thread
The sole purpose of this thread is to help others gain knowledge. I have a good memory & post what I've found beneficial in my trading experience. The thread is for the exchange of ideas, not a contest of ideas.

Dicks
I've found some members can't help themselves by posting to point-score at every turn, belittling or ridiculing others & in my opinion it's not the way forward. We are a community of like minded people who have common interests & goals. All members who are at different stages & levels of experience can still make a contribution to this thread if they have the desire to help others.

Before posting T.H.I.N.K.
T - is it true?
H - is it helpful?
I - is it inspiring?
N - is it necessary?
K - is it kind?

Respect
Over time you value some posters more than others, some have the knack of nailing posts accurately & succinctly.

There's no get rich quick in trading. Trading does have the potential to be life changing.

My views
The views expressed by me in the 'Dump it here' thread are my ideas whether you agree with them or not isn't the point, if I'm right or wrong isn't important - all members have the right to freely express a view or an alternative view without being challenged or ridiculed, the essence of the thread.

Alternative view
When @ducati916 posts I take notice, he is one member whose views are always "on the money". It's refreshing when members take the time & effort to post alternative points of view.

But it is the vehicle (combined with a good driver/rider). duc

Before I make a series of posts
I'm planning to background my trading, explaining how & what strategies I trade before flooding the thread with a load of backtests of my current trading systems as well as a few backtests of systems I'm paper trading at the moment. I take the view that there is no right or wrong way to trade but whatever way you decide to trade you need to be consistently profitable to make a "few bucks" in this game. How do we do that? Exactly as the Duc has said: "it is the vehicle (the Strategy) combined with a good driver/rider" (a good trader) This combination gets you a "foot in the door" giving you a "fighting chance" of being a profitable trader.

Skate.

 

[Skate]

Over the next few post I'll explain what Strategy I trade & how I trade them
Shortly I'll be posting a few backtests to give a direct comparison between my strategies. Recently there have been some helpful posts by @peter2, @tech/a, @qldfrog & @Warr87 giving us a glimpse of their trading style. With sports betting there a a myriad of ways to bet & the trading game is no different, meaning there is no one single way to trade. My business & Bookmaking background has shaped my risk tolerance & the way I think about making money.

Here is an alternative view to mine when it comes to trading

Newer traders should review @tech/a 's trade management closely.
1. The initial risk is fully accepted and if price goes down after entry he'll take the loss.
2. Price only has to sneak up a little and tech/a will reduce the initial risk significantly (approx by 1/2).
3. If price goes up a little more. The trailing stop is moved to break-even quickly.
4. Allow price to go much higher until the profit is above average, then protect it.
If you can trade with this discipline through lots of trades, you will be profitable. I would recommend following his trades on the charts each day until you understand why every decision is important.

Education
@tech/a has demonstrated with TechTrader it's possible to make money trading a mechanical trading system, @captain black explained how it's done. Recently, fundamentals of companies have played no part in the erratic behaviour of the markets, the technicals display all the emotions of the markets & that's what I'm trying to garner when I trade.

My idea
To make money in the markets you need to catch a trend, without a trend you are dog paddling in a cesspool with a bunch of others. Trading to me is all about consistency of returns, McDonalds have built an entire empire on the consistency of their food on offer in their restaurants around the world & if it good enough for them it's good enough for me. My main concern is the protection of my funds by having strategies with drawdowns within acceptable limits, the lower the better. I'm not chancing my luck seeking high profitable trades, nope - no way I'll do that.

What am I trying to do?
I'm simply trying to catch a confirmed trend & front run other traders hoping they join in later & push the price higher, I also want to get off the trade before them as well. Heck, I know we are all getting the same signals as trend followers. I even know trends can't last forever - they slow, stall & sometimes stop, even at times they retreat back to where they came from - I want to exit in an orderly manner beating the rush to the door. I know all these things & so does everyone else worth their salt.

What I don't do
I don't micro-manage my positions, I don't enter or exit a position thinking I know better than my strategy, I know about risks but r-multiples are not even on my radar, I'll take what the markets are willing to give. Comparing my results to others or the index for that matter I frankly can't see the point. I want to be like Frank Sinatra & do it "My Way"

What I do
I buy into positions that have strength in confirmed strong trends in the hope of offloading my positions onto others at a higher price. I don't care what the company is or what they do - it's a pure numbers game to me.

AmiBroker
This is a brilliant piece of software, basically it's a big dumb programmable scientific calculator. AmiBroker crunches numbers & the backtest results are a multiplication of share times the "opening share price". Knowing this fact & replicating this forces me to trade in the pre-auction with the expectation of snagging the opening price. Using this method slippage can be controlled & calculated in your returns.

Skate.

 

[Skate]

Now an insight to what I trade
I trade only "Weekly Trend Trading Systems" & multiples of them in fact. It's amazing - none of these strategies are highly correlated.

Let me list them..
1. The CAM Strategy - standard entry, system parameters & exit
2. The CAM Strategy with the inclusion of a stalestop & a different exit
3. The BOX Strategy
4. The Hybrid Strategy
5. The PANDA Strategy

Position Size
Minimum Positions size: $15k each position (re-balanced weekly)
Maximum Position size: $25k capped (excess funds are re-balanced weekly to other strategies)

Current number of positions of each strategy
1. The CAM Strategy - 29 positions
2. The CAM Strategy with the inclusion of a stalestop & a completely different exit - 35 positions
3. The BOX Strategy - 20 positions
4. The Hybrid Strategy - 35 positions
5. The PANDA Strategy - 68 positions

FYI
I'm not happy with the BOX strategy results as it's treading water at the moment being down (-$2k) the rest of my strategies are exceeding my expectations

Skate.

 

[Skate]

Strategies development (entry & exit)
Entry, getting into a trend isn't hard at all - there are multiple entry points in a trend & within a trend to chose from each & every week, they come along with such regularity. Buying into strength is critical, so let's not waste our time on "weak" positions by filtering them out. Sorting the "wheat from the chaff" has to be done well before PostionScoring them.

Nailing the exit
This is little more tricky. I use two exits in most of my strategies (1) a looping stalestop exit & (2) a looping chandelier variable trailing stop tuned to the strategy being traded, meaning one exit condition is not used across the board. The standard CAM Strategy exits is the exception to the rule as it exits on a red downbar with a close under a 13 EMA.

Complexity of code
Amibroker formula language is similar to C, C++ using "arrays" & this is the reason why the code is so efficient & quick. Extra lines in a code can be cosmetic as well as functional. Extra lines of code allows for the inclusion of multiple filters using a large variety of parameters. Extra lines of code can smooth the results rather than determine the results. I have freely discussed my strategies, duplicating them would be near impossible. I was amazed when I had some of my strategies evaluated overseas necessitating the code to be explained to them in english, that's how complex strategies can be. Two different testers one in Europe & the other in the States couldn't understand my exploration formula till it was explained to them.

Lines of code
1. The CAM Strategy - 541 lines of code
2. The CAM Strategy with the inclusion of a stalestop & a completely different exit - 566 lines of code
3. The BOX Strategy - 1258 lines of code
4. The Hybrid Strategy - 1302 lines of code
5. The PANDA Strategy - 1108 lines of code

Skate.

 

[Skate]

Lets post some backtest comparisons of each of my trading strategies
So there is consistency across the board I'll use my starting value of new strategy, being: Portfolio $300k X 20 positions ($15k PositionsSize) with NO re-balancing. I'll use a backtest period of exactly 3 calendar years as its good to get an average rather than a spike in either direct.

1. Skate's modified CAM Strategy
Start Date: 18th February 2017
End Date: 18th February 2020
Portfolio Capital: $300,000
Positions in the Portfolio: 20
Fixed Position Sizing: $15,000 (No re-balancing)




Skate.

 

[Skate]

Lets post some backtest comparisons of each of my trading strategies
So there is consistency across the board I'll use my starting value of new strategy, being: Portfolio $300k X 20 positions ($15k PositionsSize) with NO re-balancing. I'll use a backtest period of exactly 3 calendar years as its good to get an average rather than a spike in either direct.

2. Skate's modified CAM Strategy with the inclusion of a stalestop
Start Date: 18th February 2017
End Date: 18th February 2020
Portfolio Capital: $300,000
Positions in the Portfolio: 20
Fixed Position Sizing: $15,000 (No re-balancing)



Skate.