Dump it Here

[peter2]

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.

Worth trying(?), absolutely, they're the underlying idea for my "bullish bars".
Many of the bullish 1st CAM-UP (green) and CAM-blue bars are also Morales & Karcher "pocket pivot" buy signals. I use them as a method to get into the trend before the obvious BO-HR.

There's very little that's new in the market except for the new names that are created for classic robust patterns.

 

[ducati916]

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.
Skate.

I'm curious, have you ever either (a) backtested your systems on the US or traded the US or (b) backtested (traded) the various futures markets?

The reason I'm curious is that to the naked eye (mine) the US market trades very differently to the Aus market. This in the absence of evidence (merely my impression) still makes sense due to the greater range of participants and money flows (strategies) that are present in the US markets.

jog on
duc

 

[Skate]

I'm curious, have you ever either (a) backtested your systems on the US or traded the US or (b) backtested (traded) the various futures markets?

The reason I'm curious is that to the naked eye (mine) the US market trades very differently to the Aus market. This in the absence of evidence (merely my impression) still makes sense due to the greater range of participants and money flows (strategies) that are present in the US markets.

jog on
duc

@ducati916 thank you for your question

I've had my strategy evaluated in the US (on the US markets) & in Europe (in their market) as I was curious if my HYBRID Strategy in its current form would be a tradable system.

Overseas Strategy Evaluation (evaluation email from Europe)
This is an (unaltered copy) of "one" email in a series that I'm prepared to share about the overseas testing of my Hybrid Strategy. I'm not prepared to discuss the results any further. The email returned to me is an unaltered summary of the Hybrid Strategy tested in Europe on a variety of markets around the world. Believing your own research is typically fraught with danger & when my money is on the line I try not to leave anything to chance.

-----------------------------------------------------------------------------------------------------------------------------------------
# email START

I found that in general, the strategy works well also in other international markets where there are a lot of inexpensive stocks. I tried some alternatives for the PositionScore but found that your criteria to be a very good fit for this system.

Thanks for the very detailed answer. Now I better understand your code and logic.

Your coding skill, in my opinion, is already pretty good since you implemented some features that are for sure far above the basics. While the original code could be refactored to achieve greater readability (something that in any case is opinionable), I did not find any major issues (the gfx part is pure aesthetics so it does not interfere with the actual trading system).

#email END
-----------------------------------------------------------------------------------------------------------------------------------------

In Short to your question
I've posted a long reply to say.. "Yes I test all my strategy constantly, testing never stops"

Skate.

 

[Skate]

@Saqeeb I would like to make a few comments about your last post for others to understand that trading is full of surprises..

Trading a weekly strategy - take the good with the bad
With a weekly strategy you have to hold the position up to week even when the price falling rapidly. With a weekly system you have to stick to the plan even if it means a bigger loss (I never override my strategy) Keep the system as simple as possible, validate it (robust backtesting) and trade it.

Make sure you test it
Stress test your strategy, backtest the strategy, test it with in-sample and out-of-sample data, and test it over different Indexes and over different time frames, even different markets around the world as your strategy needs to work under all conditions.

# The way I trade is not rocket science, it's boring as Bat$hit.

You can listen to too many
Reading various trading threads here at ASF sounds good in theory, but the problem is that getting so many different trading opinions & trading styles becomes confusing & in the end you won't know who to believe thus putting a handbrake on your trading.

Find your comfort level
By reading various trading threads you'll find out what works and what doesn't. The hardest part is finding yourself a setup you like, one that's simple and suits your mindset.

Skate.

 

[qldfrog]

Hi Skate,

test it over different Indexes and over different time frames, even different markets around the world as your strategy needs to work under all conditions

Should it really?
Would you not agree that having strategies based on different markets and realms would make sense?
True it could be a combined/hybrid single code with different code path based on either the realm, market trend and volatility.
My dream systems would be made of different strategirs to leverage different markets/realms and bring overall consistency (and $)
Not trying to argue for the sake of it, but wondering if you have thought of let's say a strategy for falling market, another for indecisive one and another one for the rising market.
Are they all embedded in your hybrid solution?
This is definitely something i i ha in mind

 

[Skate]

Hi Skate, Should it really?
Would you not agree that having strategies based on different markets and realms would make sense?
True it could be a combined/hybrid single code with different code path based on either the realm, market trend and volatility.
My dream systems would be made of different strategirs to leverage different markets/realms and bring overall consistency (and $)
Not trying to argue for the sake of it, but wondering if you have thought of let's say a strategy for falling market, another for indecisive one and another one for the rising market.
Are they all embedded in your hybrid solution?
This is definitely something i i ha in mind

# Should it really?
@qldfrog a good trend trading strategy has to work in all markets, having a robust strategy is the first essential ingredient of new strategy in development.

# My dream systems would be made of different strategies to leverage different markets/realms and bring overall consistency (and $)
I have to totally agree with you there - "it's a dream" & not a reflection of reality as far as I'm concerned.

# Not trying to argue for the sake of it, but wondering if you have thought of let's say a strategy for falling market, another for indecisive one and another one for the rising market.
FALLING market: If you mean falling markets "as in pullbacks within a trend" yes it called the CAM Strategy - I have a Mean Reversion strategy, but don't trade it (I have discussed why many times before)
INDECISIVE market:I have my StaleStop to handle "indecisive markets", I take indecisive to mean a side way trend (there are only 3 types of trends (1) UP (2) Down & (3) Sideways - you don't make money when a trend slows or stops, I simply exit & look for better opportunities.
RISING market: All my trading strategies manages trending markets just nicely.

#Are they all embedded in your hybrid solution?
Let me explain the purpose of my HYBRID Strategy. The HYBRID strategy is complex to summarise (The HYBRID Strategy has been detailed in previous posts) & the HYBRID Strategy is a modified version of these three codes.

(1) a modified version of Captain Black breakout strategy (BlueWren strategy)
(2) a modified version of Nicholas Darvas, (Darvas box system)
(3) a modified version of John Bollinger, (Bollinger Bands Breakout system)

The purpose of the HYBRID Strategy
The sole purpose is the HYBRID strategy is to enter a confirmed trend quickly. The combination of these three different highly modified trend trading systems assures that I enter the trend as quick as humanly possible, that's all.

Why modify the 3 of them ?
Having a base code is great, but it's like shoes, we have shoes best suited for the job, whether it be for running, walking, formal events & even dancing. They are in essences all shoes, modified to suit the activity. Meaning: I modify the strategy (code) to suit the job I want it to achieve.

Why invent the wheel
My HYBRID trading results stands on the shoulders of those three men.

Skate.

 

[Skate]

Let's talk about strategy development
When I test a new strategy the first thing i want to know is "How did it handle trading in the year 2011" - (2011) was a savage year for those who traded through it, hindsight is a good measure of any strategy worth its salt. My initial testing of a new strategy in development has to pass the basic metric before moving on by stress testing it against my favourite metrics (that have been discussed in previous posts).

Sticking with the All Ordinaries
My initial testing concentrates on the All Ordinaries, the market I trade as it has a goldilock level of volatility that we as traders all need. Before you ask, the ASX 200 is not suitable if you are planning to make some serious coin quickly in the markets (I'm first to admit the ASX 200 is a safer alternative if you have a lower risk profile) Moving on - the strategy has to perform over the entire Australian market, a good test but less meaning full.

You can buy a robust strategy
Some commercial strategies that you can buy are suitable for a range of markets no matter where you are in the world - they are generic in nature with patchy results at best, meaning the commercial strategy "is a one size fits all approach". What's the advantage of buying a strategy - (a) saves time trying to learn how to code & (b) it lets you gets a foot in the door quickly. Most commercial strategies contain parameter setting so you can alter, tuning them into the markets being traded. To be fair, (a) commercial turn-key strategies are cheap (b) they have been robustly developed & tested (c) the coder has no idea how & where the strategies are going to be traded. Just remember: one strategy doesn't fit all.

It's worth remembering
You're up against traders who will have more experience, more information & much more money than you so leave all your dreams of making quick and easy money, behind & concentrate on your survival. Your absolute first goal is to learn how to stay in the game & as with boxing you need to keep on your feet at all times, that's your one job.

A suggested "good read"
@Newt suggested a great book, endorsed by myself & @peter2 - "Trade Like an O'Neil Disciple: How We Made Over 18,000% in the Stock Market" Now I'm suggestion another book not related to trading but in my opinion a must read for everyone.

Fooled by Randomness
"Fooled by Randomness" by Nassim Nicholas Taleb
This book explains why some people are successful where others aren't so lucky.

Skate.

 

[Newt]

Worth trying(?), absolutely, they're the underlying idea for my "bullish bars".
Many of the bullish 1st CAM-UP (green) and CAM-blue bars are also Morales & Karcher "pocket pivot" buy signals. I use them as a method to get into the trend before the obvious BO-HR.

There's very little that's new in the market except for the new names that are created for classic robust patterns.

Thanks Peter. I do recall these guys and O'Neill standing out like a beacon many years ago when I was floundering to understand what sort of "footprints" to look for in a price chart. Very re-assuring to hear this is what you and other experienced traders are focused on for BOs.

Wish I could go back in time and pick up what you knew then, but happy to be slowly climbing up the learning curve....

 

[Newt]

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

Congrats on conditioning yourself into the right mindset Saqeeb. Difficult but valuable lesson to learn.

I like to share good podcast presentations when I find them. If I can pick up just one useful idea a week while commuting that's another small step in my trading journey. This one by Philip Teo interviewing Australian trader Adrian Reid really resonated with me on many points . I haven't heard of his coaching service before or used them, but his insights into ASX trend trading sound excellent.

https://www.traderwave.com/blog/trading-conversations/adrian-reid/

At one point there is mention of how he responds to learning traders that are worried about a particular trade entry signal - e.g. if it looks to have rushed up too quickly and now be "over-bought". Reid basically recommends doing a test modification of your existing strategy with a new condition that best describes the trade you wish to avoid and backtesting the hell out of it.

If you find a robust improvement then use it. However I think most of us know how this usually plays out - results go down, then you have to face the fact your system knows what its doing. Stop predicting and go back to properly executing the process.

Still, rather than playing mind games with yourself about psychology, this sounds a very practical way of broadening your knowledge while learning to avoid "fudging" trade signals.

 

[Skate]

I like to share good podcast presentations when I find them. At one point there is mention of how he responds to learning traders that are worried about a particular trade entry signals. If you find a robust improvement then use it. Stop predicting and go back to properly executing the process to avoid "fudging" trade signals.

@Newt another great find. Moreover, Philip Teo as you say is a trading coach who specialises in the field of Technical Analysis & freely posts helpful information on his website.

For members who are time poor
I've had a good look at his site, it was time consuming but educational. Most of what Philip Teo blogs about "align with my views" so it's appropriate to selectively post from his website. My ulterior motive in doing so is because it follow the theme of the last few posts in the 'Dump it here' thread.

Stock Charts - price action
"Technical analysis of the stock market is basically the use of a stock chart with past price action to anticipate future price trends. While fundamental analysis is helpful in studying the business potential of a listed company, technical analysis is as important in determining the optimal time to buy and sell the stock. The rationale behind the use of technical analysis is that price movements of stocks are not totally random. Stock prices do trend and by charting these price trends, an investor can determine when the existing downtrend of a stock has ended and an uptrend has started"

Indicators
"Technical indicators are essentially derived from some formulae based on price action. As such, trading decisions should always be based upon price actions first, with technical indicators acting as secondary tools. Price action and price trend shows what people do with their real money, not what they say with their mouth"

Learn to read critically on news articles.
"Some articles in newspapers or financial websites are written to deliberately trick you into buying or selling"

Mark Twain
“If you don’t read the newspaper, you’re uninformed. If you read the newspaper, you’re misinformed.”

The emotional side of trading
"Trading can be a very emotional thing for many of us as it involves money. We need money to pay our bills and losing money can be a very painful experience for us. Have you experienced seeing a losing trade and then you decided to cut loss, the next thing you see, the trade that you cut with losses suddenly went into huge profit and you kicked yourself for exiting that trade? Or you took a small profit when you see your trade move to the right direction, then you see it move even further up and you enter the trade again. The next thing the trade moves in the opposite direction and you lost all your profit you just made. Many traders made these mistakes because they are driven by fear and greed"

Summary
"It’s how you manage these emotions which will give you advantage over the other traders"

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




























Skate.

 

[Skate]

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




























This weeks sells
BWX
CSR
IMF

This weeks buys
AVZ
GOR
EHL

Skate.

 

[Skate]

The 20% Flipper 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

























This weeks sells
FXL
MGX
MMI

This weeks buys
MAH
GOR
EHL
NSR

Skate.

 

[ducati916]

[B]The emotional side of trading[/B]
[I] Many traders made these mistakes because they are driven by fear and greed"[/I]
Skate.

There is a third, far more more insidious state of mind....'need'. This covers both fund managers being measured against a metric and individuals who have given up work to trade for a living.

The need to earn/win, forces marginal trade decisions.

jog on
duc

 

[qldfrog]

Indeed, look at index tracking etf managers who need to offload or enter a code just because its position in the index has changed.
With ETF popularity, it must be substantial and increase all swing movements

 

[Trav.]

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

@Newt thanks for suggesting this book and one section that struck a chord with me was Position Concentration as recently I had a number of winning positions but position sizes were diluted and gains were minimal so when I read this the timing was uncanny ( extract below )

POSITION CONCENTRATION
A big part of handling a winning stock correctly is properly scaling one’s position size. If you only want to make average market returns, then scale
your positions to a very small size, and your portfolio will act very much like a market index.

If you want to make big returns, then you absolutely must concentrate your capital in a strongly-trending
stock, and position sizes of 1 to 2 percent of one’s total portfolio equity are, to put it bluntly, quite wimpy from an O’Neil perspective. The O’Neil
method of pyramiding into strongly acting positions while weeding out weaker ones generally gets an investor concentrated in the right stocks
during a bull market cycle. ​

So for me this has resulted in me looking at 1. Pyramiding my positions 2. Less open positions.

How to apply this in a system? well I have not coded this yet but discretionary trading this way over the last couple of weeks has seen some positive results. So as usual more food for thought and the journey continues.

Thanks again

 

[Skate]

So for me this has resulted in me looking at 1. Pyramiding my positions 2. Less open positions. How to apply this in a system? well I have not coded this yet but discretionary trading this way over the last couple of weeks has seen some positive results. So as usual more food for thought and the journey continues.

@Trav. comments on pyramiding into winning positions referencing quotes from the book "Trade Like an O'Neil Disciple: How We Made Over 18,000% in the Stock Market" gives food for thought as he mentioned that discretionary entries over the last couple of weeks has seen some positive results, going on to say it's worthy of looking into having less open positions.

It's worthy to remember
The direct quotes are from the disciples of O'Neil who went on to make 18,241% over a 7 year period from January 1996 to December 2002 - In terms I can understand, this works out be be just over 110% annualised over the 7 years, not bad at all. But, there is always a "but" - but to achieve this result they had to endure a few "massive drawdowns" including one un-stomachable drawdown of over 50% in 1999. ("ouch")

Helpful quotes
It's pleasing to see quotes being made in the 'Dump it here' thread that has the ability to influence thinking on a deeper level. Also, it's timely to reflect that "all advances" in any field comes off the shoulders of others who have come before & trading is no different.

Personally I'm not in alignment
I don't align myself with the views expressed above about "pyramiding into winning positions" - Micro-managing positions or discretionary trading "it's just not for me" - The 'Dump it here' thread is about expressing alternative ideas not contesting them.

From my experience
It pays to listen to everyone & by doing so you decide if it’s relevant or helpful to you, allowing you to decide what information to keep & what to discard. "When you don’t listen you forgo the right to learn"

Another useful quote from the book
"It is important to stick with a winning strategy, in good times and bad. I have lived with my strategy since 1991. This gave me the confidence to stick with it even during the treacherous second and third quarters of 1999. I never lost sleep during this period, nor have I ever lost sleep over the market. The key is to always understand why one is making or losing money. That said, periods of steep drawdowns are part and parcel of trend following. It is critical to stick with the strategy in both good times and bad. As shown by Dunn, Henry, O’Neil, and other successful trend followers, the profits made during the good times more than make up for the losses during difficult, trendless periods". (my bolding)

Skate.

 

[Newt]

Pyramiding is a fascinating topic. Howard Bandy always talked about the need for Position Sizing and Risk Management to sit outside the trading algorithm. I agree with Skate about the critical issue of concentration of returns also risking "concentration of drawdown".

Suspect most of need to focus on proper execution of our system for an extended period before being tempted into complicating matters with variable position sizing. It will probably be quite difficult to get decent statistical verification of any pyramiding or downsizing additions to your system, which greatly increases the chance of curve-fitting or backtesting returns that may far exceed future real returns.

That doesn't mean it can't be done. You would probably need to ensure any future additions to a positions continue to be smaller and smaller, and presumably only after each proceeding position is well into profit.

Another thing to be mindful of is that any long term "multi-baggers" you manage to lock on to should be experiencing compound growth, not linear. The human mind doesn't intuitively handle compounding well, but a stock with say 80% compound growth held for 3 years really does undergo amazing increases in size and profits of course in that final 12 months. (e.g. $15k position becomes $27k in one year, then $49k, then $87k - without tax!). Adding in an extra 50% position at 1 yr, then 25% more at 2 years means final $119k (without tax).

The volatility of price often also increases exponentially towards the end of a multi-year run for a single stock, so you must ensure you have proper stops for the late pyramid positions and there could be an even greater chance they'll be hit quickly.

 

[Newt]

Listening to that Adrian Reid podcast really got me thinking about DDs differently this week.

https://www.traderwave.com/blog/trading-conversations/adrian-reid/

He strongly argues that traders (especially new and learning ones!) should foremost figure out the maximum loss they can tolerate as part of the essential "personality fitting" of their chosen trading system.

Skate gave an excellent example recently by showing the returns for his "Skate modified CAM strategy" versus "Skate modified CAM with stale stop".

Over a 3 year period (18/2/17 - 18/2/20):


Nick Radge is fond of saying new traders should estimate the maximum DD they think they can tolerate, then divide by 2 (or some factor - can't remember exactly). Frankly 15.75% DD is a pretty amazing figure for most systems. The key point is as tempting as the first column is, you have to start honestly with the 2nd column to help you choose which system to run.


So with pyramdiing, if you do it very well, you may end up with even better than 37.5% max return, but you would want to be VERY careful looking at the Max DD - it may have increased well above the example -15.75% in the table above.....

 

[Skate]

I'm curious, have you ever either (a) backtested your systems on the US or traded the US or (b) backtested (traded) the various futures markets? The reason I'm curious is that to the naked eye (mine) the US market trades very differently to the Aus market.

There are a significant number of differences in the US. I was not sure that they (could/would) make a difference (hence my question to Skate) to automated trading strategies (weekly) etc.

@ducati916 is another member who nails alternative point of views & even at times clarifies missed information in a previous post in the vein of helping others. When there is a variety of views expressed - the education value increases.

Let's talk about the U.S markets
I'm the first to admit that I have no interest in the US Markets but I do read @bigdog "NYSE Dow Jones thread" religiously. I'm also first to concede there is a correlation "a cause & effect" relationship between our market & the U.S markets. This correlation has prompted me to make a few comments of Trump, the pending US elections & the relationship to the U.S. markets.

Stocks have surged under Trump
At the moment the markets are cheering for Trump's re-election at the end of the year. Collectively traders are relieved that the US-China trade war has cooled - now the next hurdle to overcome is India.

Consensus
IMHO - Traders around the world will be happy with another 4 years of Trump. It's worth remembering the S&P 500 has climbed nearly 50% with the Dow's annualised gain of 13% since Trump took office. Another consideration, the Nasdaq has had an 8% gain this year. After reading the stats above, to me an alternative President in the White House looks bleak for traders.

Here comes Bernie
It's early days but at the moment Bernie Sanders is the current frontrunner for the Democratic presidential nomination & surprise, surprise the markets are still going up, nudging higher to near 30,000 points. (discounting for the minor daily blips along the way)

Why are the markets bullish?
If Bernie keeps going that's a positive for traders & for Trump, in a nutshell Trump is pro-business.

Summary
We are all cheering for Bernie & if we aren't "we should be" because Bernie is actually making the markets bullish at the moment. Trump versus Sanders is a chalk & cheese comparison, meaning this match off (IMO) adds weight to the re-election of Trump - the main reason the markets are currently bullish.

Skate.