Dump it Here

Skate · 18 February 2020

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.

3. The BOX 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 · 18 February 2020

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.

4. The Hybrid 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 · 18 February 2020

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.

5. The PANDA 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 · 18 February 2020

Lets post some backtest comparisons of each of my PAPER 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.

Strategies being paper traded
1. The Weekly MAP Strategy
2. The Weekly ZIG Strategy
3. The Weekly 20% Flipper Strategy
4. The DAILY BlueWren Strategy

Skate.

Skate · 18 February 2020

# PAPER TRADING strategies
Lets post some backtest comparisons of each of my paper 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. The Weekly MAP "PAPER TRADING" strategy

Skate.

Skate · 18 February 2020

# PAPER TRADING strategies
Lets post some backtest comparisons of each of my paper 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. The Weekly ZIG "PAPER TRADING" strategy

Skate.

Skate · 18 February 2020

# PAPER TRADING strategies
Lets post some backtest comparisons of each of my paper 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.

3. The Weekly 20% Flipper "PAPER TRADING" strategy

Skate.

DaveDaGr8 · 18 February 2020

Hi Skate,

Just a question, Then numbers between your box and hybrid look very similar ( Like almost identical ). Is there a high correlation between the strategies, or a high correlation between the trades they take.

Sorry if this has been asked before, i have read a lot of your posts and even tried to disseminate what i can of your strategies, but sadly i don't remember much of what i read these days.

Skate · 18 February 2020

# This a break from tradition - THIS IS A DAILY PAPER TRADING strategy (my only one)
Lets post a backtest comparisons of my ONLY Daily paper 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.

*** Below is my only DAILY Strategy ***

4. The "DAILY" BlueWren "PAPER TRADING" strategy

END !

Skate.

Skate · 18 February 2020

DaveDaGr8 said:
Hi Skate, Just a question, Then numbers between your box and hybrid look very similar ( Like almost identical ). Is there a high correlation between the strategies, or a high correlation between the trades they take. Sorry if this has been asked before, i have read a lot of your posts and even tried to disseminate what i can of your strategies, but sadly i don't remember much of what i read these days.

@DaveDaGr8 thank you for the question, the box strategy is rather new & traded outside my SMSF & it's only a few months old - the returns look similar because the strategies are the same (meaning the name has been changed to distinguish between being traded inside or outside of a our SMSF) Surprisingly they are correlated to a degree, But there is a real difference in the return of both portfolios. The HYBRID Strategy has been trading for 3 years, its a very mature stable strategy. The BOX Strategy is a 20 position portfolio, The Hybrid Strategy is a 40 position strategy, the HYBRID strategy trades many multiple of the value of the BOX Strategy. The PANDA strategy is my best performer & I haven't discussed this strategy for a reason.

The backtest results
The posted backtest results mean "Jack All" I posted the backtest results because of the remark made by @qldfrog - it gave me something to post, without new posts no one & I mean no one would read the thread, no one reads old news. Also there are nuances with each strategy & some similarities. I'm trading a lot of positions & "touch wood" I hope trading keeps going the way it has. I've been very lucky with my trading, education has paid dividends, trading a large account helps as well.

Skate.

Warr87 · 18 February 2020

What I notice in your backtests is the maxDD. Probably because this is an important metric for me as I will only consider a strategy that I think I can weather the maxDD. Have your live results been accurate in regards to your maxDD levels?

Skate · 18 February 2020

Warr87 said:
What I notice in your backtests is the maxDD. Probably because this is an important metric for me as I will only consider a strategy that I think I can weather the maxDD. Have your live results been accurate in regards to your maxDD levels?

@Warr87 MaxDD is a major consideration for every trader, consistency of returns is another, Car/MDD is a nice measure between strategies - but the return on $100 is also a very important metric, because when we invest our cash we want to have an indication of the rate of return (I've discussed this in previous posts). Whatever the metric you use, use it consistently to qualify a strategy & you are assured of measuring apples & apples - not apples & oranges..

I want to tell you a story, I'm guessing most have heard it before
Two friends walking in the woods & they spot a bear running at them one says to the other “Do you think we can outrun the bear!” -- “I don’t have to outrun the bear,” said the other. “I only have to outrun you.”

Meaning
“You don’t have to run faster than the bear to get away. You just have to run faster than the guy next to you.” This also applies to trading, you don’t have to be the best trader in the world, you only have to know more than the next trader.

Mechanical strategies
This style of trading is easy, it reduces your trading workload, the strategy can be backtested to give you some idea how it performed on historical data, the added metrics of a backtest will add to your confidence that you are trading a good strategy.

Skate.

Warr87 · 18 February 2020

I've personally found the CAR/MDD ratio to be useful. I also like the $ per $100 too. But you are right, consistency is important.

I would also take a guess that your strategies generate a significant amount of alpha as well given your CAR/MDD.

DaveDaGr8 · 18 February 2020

Warr87 said:
I've personally found the CAR/MDD ratio to be useful. I also like the $ per $100 too. But you are right, consistency is important.

I would also take a guess that your strategies generate a significant amount of alpha as well given your CAR/MDD.

I don't want to hijack this thread, so i'll be as brief as i can.

So this is one of my actively traded systems ( DAILY / actually intraday). The second most important thing about this system is it's exposure ... it runs at just over 10% ... ( yes these metrics show 11.86% because i aligned it with @skates dates 18-2-2017 ) but from 2000 is just over 10%. Increasing exposure really degrades performance ( SIGNIFICANTLY ), so it's a sniper. In my head now i really call it "Deadshot", but it's been around so long i find it hard to rename it ( kinda like my kids ).

This system sits in the background, but due to its high RAR, any signals will override my primary systems ... ISH. So it will reduce other systems capital ( SELL ) to buy into this one.

The most important thing about this system is that it is not correlated at all to my other systems. SO what this means is that in the long term it REDUCES the maxDD and INCREASES the overall CAR, because as the other systems fail, this one thrives .. as this one fails the others thrive. It creates balance in my universe ..... THIS IS WHY I TRADE IT ..... I don't trade it because of it's CAR, MDD or any other metric on here at all. I trade it because of how it balances out my other systems, portfolio and in general increases profits.

I'll stop now ... Sorry .... I tried to be brief, but i tend to rant !

Skate · 19 February 2020

Warr87 said:
I've personally found the CAR/MDD ratio to be useful. I also like the $ per $100 too. But you are right, consistency is important. I would also take a guess that your strategies generate a significant amount of alpha as well given your CAR/MDD.

@Warr87 it would be remiss of me not to follow up your post without clarification of a few points that may help others & reinforce a good comment made by @Roller_1

Roller_1 said:
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

Lets talk about backtesting (the period selected)
Backtesting over a lot of data can be good but however the more data backtested, there are always randomness of outliers skewing the results leading you down the path of changing the code to fit the randomness of outliers. Meaning, just be aware of randomness of outliers before making any significant changes to your strategy.

It can mess with you (Monte Carlo is important)
Backtesting over a large data set "randomness" can mess with you & your strategy results "OR" strategy development. Monte Carlo “Out Of Sample” results (OOS) levels this bias out. It's so important for you to take the time to run your strategy using Monte Carlo. I have a suggestion - DON'T take any notice of the Monte Carlo “In Sample” results only take notice of the Monte Carlo “Out Of Sample” results. Monte Carlo "in sample" results mean "JACK"

It's important
Monte Carlo results can be a missing metric in the development of a strategy. In reality, outliers can falsely lead you down a path of strategy correction lowering the probability of returns when actively trading the system compared to your backtesting results.

Skate.

Skate · 19 February 2020

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

I've been re-read some old posts
I'm now of the opinion that @Newt needs to post a lot more in the 'Dump it here' thread' as all his posts are on point.

Trade like an O'Neil disciple
I want to endorse the book "Trade Like an O'Neil Disciple: How We Made Over 18,000% in the Stock Market" as suggested by Newt - IMHO, it's a worthy book to have in your library.

A quote from the book that's resonated with me
"In our experience, there is nothing easier than making big money in the market once you have latched onto a big winner, because at that point all you are doing is sitting more and thinking less. When your stocks are trending nicely to the upside and you are fully invested, there is, from a practical standpoint, very little to do. You are simply letting your winners run. This is what we like to call “being in the zone,” a mental space that derives from Livermore’s principle: “It never is your thinking that makes big money. It’s the sitting”

Skate.

Skate · 19 February 2020

@Saqeeb as you have "Liked" my previous post it has encouraged me to make another post quoting from the same book that applies to us both. When you read a lot of threads you will soon realise an underlining pattern where members panic, overriding their trading system, exiting a position on what they "think" will happen.

Let me reinforce a point
"Thinking" plays no part in being a systematic trend trader.

Another quote from "Trade like an O'Neil disciple"
"Trading the market is a very “Zen” activity, where you stay in the now, not worrying about what the market will do in the future, and not getting upset about a bad trade you may have made in the past. Instead one should stay focused in the present, reacting in real time to the evidence that the market is constantly presenting. No one has ever been able to predict market direction with any consistent reliability, but that is wholly unnecessary to being a successful investor. Successful investing is about watching the market day-to-day and acting accordingly. In fact, attempting to predict the market often leads to over-intellectualization, which is usually a recipe for losing money in the market. When the market goes against your own intellectualized “conclusions,” you may be less likely to reverse your position, even in the face of factual price/volume action that is telling you that you are wrong. Pay less attention to what you think the market should be doing, and more to what the market is actually doing. As Livermore wrote, “Don’t try and anticipate what the market will do next simply go with the evidence of what the market is telling you—presenting you.”

Skate.

Saqeeb · 19 February 2020

Skate said:
@Saqeeb as you have "Liked" my previous post it has encouraged me to make another post quoting from the same book that applies to us both. When you read a lot of threads you will soon realise an underlining pattern where members panic, overriding their trading system, exiting a position on what they "think" will happen.

Let me reinforce a point
"Thinking" plays no part in being a systematic trend trader.

Another quote from "Trade like an O'Neil disciple"
"Trading the market is a very “Zen” activity, where you stay in the now, not worrying about what the market will do in the future, and not getting upset about a bad trade you may have made in the past. Instead one should stay focused in the present, reacting in real time to the evidence that the market is constantly presenting. No one has ever been able to predict market direction with any consistent reliability, but that is wholly unnecessary to being a successful investor. Successful investing is about watching the market day-to-day and acting accordingly. In fact, attempting to predict the market often leads to over-intellectualization, which is usually a recipe for losing money in the market. When the market goes against your own intellectualized “conclusions,” you may be less likely to reverse your position, even in the face of factual price/volume action that is telling you that you are wrong. Pay less attention to what you think the market should be doing, and more to what the market is actually doing. As Livermore wrote, “Don’t try and anticipate what the market will do next simply go with the evidence of what the market is telling you—presenting you.”

Skate.

Hi Skate,

I have done all of the anticipating and predicting of the markets in the short time I have been involved with the markets and I learnt quickly how lousy predictor I was. I do not do this anymore. I am happy to stick to my system knowing it has been tested and paper traded.

One thing that I had not done so far into my journey is to get upset over losing trades and revenge trading. Before I could do this I came across a very good e-book (which did not cost me a single cent) and taught me how bad all of these emotions can be and how emotions have to be left outside of trading.

I still tend to look at the markets during the day, however, every time I look at the markets, I am telling myself that this is of no point and it is not going to change the outcome of my trades as I only action my trades EOW. Talking to myself is conditioning and I am noticing that I am looking at the markets less now.

Lots to learn and one step at a time. Thanks for your thread and the time and effort you have put into it.

Saqeeb

Saqeeb · 19 February 2020

Today I noticed one of my positions (CGL) in my MAP paper trade portfolio got smashed (down by ~18%). CGL announced a capital raise yesterday and went into trading halt to complete the placement. They were back trading today and got beaten down. I entered the markets knowing very well that this can happen.

What do I do with this position now? NOTHING until my system generates a Sell signal. I will keep my emotions in check and do nothing for now. My MAP strategy is a weekly system and I will stick with it, follow it to the word knowing well that there are checks in place to mitigate the downside risk and my system will cut the position out if it does not behave limiting my losses.

Saqeeb

Newt · 19 February 2020

Thanks for the encouragements Skate. I have some personal goals for new highs, DD and hopefully further new highs I'd like achieve before get too vocal on ASF. Systematic trading is a quantitative activity and until I've got at least a couple more years of modelled returns under my belt don't wanting to be swaying anyone just starting out. Heck, all the ASF value investors that have put us on Ignore would probably say I'm too vocal already

With that out of the way, I do really think O'Neill, his "disciples" (Morales and Kacher) and Mark Minervini should on the reading list for all systematic trend followers. I'm yet to put any decent FA in my trading but perhaps having the latest Norgate Data subscription makes this something worth investigating. My understanding is that US stocks report quarterly which generally means more results updates than here in Aus.

The "pocket pivots", volume patterns and price movements described in these books offer decent system development options definitely worth trying, at least in my experience.

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