Dump it Here

[qldfrog]

@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.

Fully agree cf Bernie, even with the millennials, a communist dinosaur has no chance against Trump so what is the market cheering is Trump reelection odds increasing.
Same as locally ASX was going up with bad news cf virus as this implied future rate cuts.problem is virus is actually sabotaging the actual profits on the asx....

 

[Skate]

Fully agree cf Bernie, even with the millennials, a communist dinosaur has no chance against Trump so what is the market cheering is Trump reelection odds increasing. Same as locally ASX was going up with bad news cf virus as this implied future rate cuts.problem is virus is actually sabotaging the actual profits on the asx....

Trading
@qldfrog with life as well as trading we tend to skip from one drama to another, if it wasn't "this" it would be "that".

Thinking & Decision making
After reading your post above & the one you made in your thread this morning let me make a few observations & general comments. My post is not directed at you but it's the reason for making a few comments.

Following both a change of circumstances and the trigger of the Dump it thread by Skate, I decided to plunge again into system trading.Based on code provided initially by Skate and after discussions with @Lone Wolf, @Newt, @jjbinks and @Habakkuk and @Wyatt, I heavily tweaked the initial code and ended up with a relatively stable system various backtests on various periods as well as some walk forward tended to reassure me a bit. Note that I am not fully happy with the exit and DD, and as time goes I might refine the systems with conditional stop loss etc

Looking back
12 months has flown by & it's evident by the level of commitment to your thread you have never wavered while at times experiencing a few bumps along your renewed trading journey. Some members are smart bunnies on this forum & @qldfrog you are no exception (emotional, "yes" - that's a given)

Thinking along and welcoming your inputs: I currently have 2 systems live: 1 & 2 with #1 first anniversary tomorrow to the day I am happy with the decent performance of system1 and the learning process and discipline gathered along; System2 is a system1 improved version under certain market behaviours so not always better but sometime I do not have extra cash available for play at the moment: I am playing with 2 others systems on paper, both better in backtests than these 2 (and this does not include the zigzag grail) What would you do? Close slowly one of your running system (slowly, just not investing anymore to let winners go as it took long enough to get these selected, but not investing anymore) and ramp up system 3 or 4? Have you met such dilemma? Up to you

Now a few GENERAL comments
Planning for the next 12 months - I'm an avid reader of @qldfrog thread & after 12 months of successful trading it's the perfect time for him to do an evaluation of his trading methodology weighting up his options going forward, seeking input from members at this time rather than advice.

Decision making
Instead of making a general post in his thread I would rather use his post as the catalyst to explain the importance of decision making & how it shapes not only your life but your financial future. I'd love to have a dollar for every time someone asked me for advice (I'd be rolling in it), my fallback response is always "not to give advice" because people will do what pleases them & "not what's in their best interest".

If I was in the same circumstance "what I would do".
I would formulate one trading strategy & nailed it down completely before moving on to something more exotic. Often friendly advice, gives you choices, challenging your own way of thinking but after saying all this - "I would stay within my circle of competence when it comes to trading"

General advice
You also need to understand how to deal with the stress of trading - stressful situations & how you "respond" rather then "reacting" will eventually decide your trading fate, concentrate on this & your part way there to being a half decent trader.

The law of least effort
Many receive advice "only the wise profit from it". People in general will think as little as possible because most of our lives, we spend our time listening to someone else feed us information but when it comes time to take responsibility for our decision making, we are constantly waiting for someone else to tell us what to do or checking to see what others are doing.

Thinking
Thinking & curiosity has been pulled out from under us & as traders it's time for us to reclaim this area. Critical thinking is important but not as important as discovering new ways of thinking about them.

Skate.

 

[Saqeeb]

Saqeeb’s MAP Strategy - EOW 1 Weekly Update

First week into paper trading, my system sold CGL today at open after the thumping it received last week.

My system also entered 6 new positions today (APD, GOR, EHL, NSR, MNY and BVS), bringing the total open positions to 11.

I have included a snapshot of open / closed trades and equity curve for interested.

With @Skate ‘s advice and help, the total purchase value in each position moving forward will be based on a limit offer price to keep it realistic in attempting to purchase at market open.

 

[Skate]

I received a PM a few days ago regarding the coding of a Bollinger Bands Breakout Strategy. Sometimes you forget about an old friend till you are reminded. There are many who trade a variation of the BBO strategy as it's a trusted workhorse that works in all periods. My only gripe with the BBO Strategy is the standard setting & parameters no longer work as originally intended so it's important to discover new ways to implement this brilliant idea of John Bollinger.

Let's talk about my old friend - the trusty BBO Strategy
I've traded a standalone Weekly Strategy a few years ago (with good success) over a 2 year period before combining it with two other strategies to form the basis of my HYBRID Strategy. I don't really care what breakout strategy you use they will all get you into a trend & the Bollinger Bands Strategy is no different.

No need to re-invent the wheel
My HYBRID Strategy is a modified version of these three strategies (a) BlueWren, (b) Darvas Box & (c) Bollinger Bands Breakout. The sole purpose of combining them into one strategy is to enter a confirmed trend quickly. Each strategy in their own right is a top performer, combining them turns a good system into a better strategy (IMHO).

2019 what a great year
@qldfrog made the remark the 2019 calendar year was a year that had great growth momentum overall. I have to agree wholeheartedly with him prompting me to make the off the cuff comment in his thread - "Any trader who is not rolling in it at the moment should be re-evaluating their strategy to understand why they missed a great trading opportunity"

Backtest
I'll post 3 backtests of my original old friend the (BBO strategy). With the passing of a few years I myself was wondering if John Bollinger's idea (my Weekly BBO strategy) would still punch-out a profit in turbulent times. Lets see..

Backtest (1) Skate's original BBO Weekly Strategy - (One Calendar Year)
Start Date: 1st January 2019
End Date: 1st January 2020
Portfolio Capital: $300,000
Positions in the Portfolio: 20
Fixed Position Sizing: $15,000 (No re-balancing)






Backtest (2) Skate's original BBO Weekly Strategy - (2 Calendar Years)
Start Date: 1st January 2018
End Date: 1st January 2020
Portfolio Capital: $300,000
Positions in the Portfolio: 20
Fixed Position Sizing: $15,000 (No re-balancing)






Backtest (3) Skate's original BBO Weekly Strategy - (3 Calendar Years)
Start Date: 1st January 2017
End Date: 1st January 2020
Portfolio Capital: $300,000
Positions in the Portfolio: 20
Fixed Position Sizing: $15,000 (No re-balancing)



Let me quote the guy from the Toyota Television add
Yep' - I'm still feeling it.

The Weekly BBO Strategy still works...

Skate.

 

[qldfrog]

Did i hinted that to you Skate.? Or great spirits meeting?
I spent the last week on a very decent version of bband with tweaks and that is the system i plan to replace one of my cam live system with.
Timely post as i can now compare the backtests

 

[qldfrog]

if of interest, QF's under dev BBand system:
Backtest (1) QF's under dev BBand Weekly Strategy - (One Calendar Year)
Start Date: 1st January 2019
End Date: 1st January 2020
Portfolio Capital: $300,000
Positions in the Portfolio: 20
SetPositionSize( 15000,1 )..this is not my usual setting I usually use
SetPositionSize( 100 / maxOpenPositions, spsPercentOfEquity ); // Fixed Fractional Sizing



Backtest (2) QF's under dev BBand Weekly Strategy - (2 Calendar Years)
Start Date: 1st January 2018
End Date: 1st January 2020
Portfolio Capital: $300,000
Positions in the Portfolio: 20
SetPositionSize( 15000,1 )




Backtest (3) QF's under dev BBand Weekly Strategy - (3 Calendar Years)
Start Date: 1st January 2017
End Date: 1st January 2020
Portfolio Capital: $300,000
Positions in the Portfolio: 20
SetPositionSize( 15000,1 )

discussion on differences follows

 

[qldfrog]

QF apprentice system:
One year: much lower return:half risk adjusted returns, far less trades and positions held far longuer
2 years: similar to 1 year,
3 years.Not too bad but well below Master Skate
There are clear leads to follow: average bar helds which would obviously increase the number of trades and allow more chances to pic the big winners
To be considered: even as is, my clanky system would be quite decent vs an eps expected returns so I will definitively carry on work to improve my design
Thanks Skate for the never ending motivation you provide, even on days where my systems will soon go back to 0 or negative annual returns if the trends carry on :-(

 

[Skate]

There are clear leads to follow so I will definitively carry on work to improve my design

@qldfrog I'm posting the paper trading results of the BBO Strategy for two reasons.. (1) Comparison of Signals & (2) what can happen to a structurally sound strategy hitting turbulent times. The Reports & line chart is from 1:34pm today.



The BBO 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

my systems will soon go back to 0 or negative annual returns if the trends carry on :-(

Verbalizing our Prime Minister Scott Morrison
“How good is Trading?" a rhetorical question that requires no answer (at the moment)

Skate.

 

[Skate]

@Triple_Witching posted a brilliant article in the "equititrust thread" - I could condense the article by repeating my matra of "Don't waste the dash" but that wouldn't do the article justice.

"Don't waste the dash"
Before you ask, let me explain what the "Dash" is. On a Headstone the "DASH" represents a life that was lived. Don't waste the dash is my cryptic way of say, "don't waste your life"

The dash between 1949 - 1996 represents the period of time Timothy's was alive.

I'm re-posting @Triple_Witching post without permission as it's an important read..

Life Is Not A Practice Run
A few weeks ago I was handed a copy of Paulo Coelho’s, The Alchemist. I’ve heard this book finds you when you need it the most and so I set about reading it with intention. There were many lessons and thought-provoking ideas scattered throughout the text, but perhaps one of the most striking to me was this: “To realize one’s destiny is a person’s only obligation.”

Here’s the thing: your life isn’t a practice run. You only get one go at it and it’s your responsibility to make the most of it, to live it fully and make it count. So few people ever give much more than a fleeting thought to their destiny or purpose and even fewer people take a deliberate path to find theirs and live it. I’m not an expert in purpose but here’s what I’ve observed: when you meet someone who is authentically living their purpose, they’re magnetic. They live their life on fire.

So why is it that we waste so much time living default setting lives that are not aligned with our destinies? Again, I’m no expert, but I think it’s because in the madness of daily living so many of us have stopped listening to our inner voice. We’ve collectively buried our hopes and dreams under responsibilities and fears and one by one when we emerge from under the weight of these things, we don’t even know where to start looking for our purpose. There is no key on Earth that will unlock the door to instant happiness and purpose, but there are three key things you could do right now to start taking the first steps on a journey to realizing your destiny.

Stop looking for purpose and start living on purpose. Desperately overthinking your purpose turns your focus inwards. Living on purpose turns this on its head because it moves us from overanalyzing every detail of our lives to being an active participant in our lives. Nothing ever happens to us, but everything happens for us. When we develop an attitude independent of circumstance and when we cultivate gratitude in our lives daily, we will find that our capacity increases and our focus changes

Ask where you are needed. Purpose is focused outwards and meaning is found in serving others. Just look around you and I’m sure it won’t take you long to identify a need that your talents and skills could help solve. What we often take for granted in ourselves can be an enormous blessing to other people if we are open to sharing our own knowledge, skills and talents without expectation or desire for any return action.

Move, damn it! Actions speak louder than words every day of the week and no amount of reading and researching is going to move you any closer to your destiny. If you’re afraid, you don’t need to make big moves. Small consistent steps repeated over time produce profound results, but you’ve got to get started. Craft a plan, get a coach or mentor and set a goal. Without structured support and a clear plan of action, it’s easy to give up when the first tough day comes, but when we’re focused on the end goal it’s incredible how much more we can endure than when we focus on right now.

Perhaps the great Roman Emperor Marcus Aurelius summed up the brevity of life in this quote: “When you arise in the morning, think of what a precious privilege it is to be alive – to breathe, to think, to enjoy, to love.” My question to you is this – are you making the most of this one life that you’ve been given to live and are you chasing your destiny with all your heart or are you living your life on autopilot, waiting for the next thing to happen to you? Whether you realize it or not, you’re in control. This isn’t a rehearsal so get busy living.

Skate.

 

[qldfrog]

@Skate,
Comparing my weekly system results, i noticed that my #bars reflected nb of days..not weeks
https://www.aussiestockforums.com/posts/1058331/
Is this something you experienced during your systems development?
By providing a comparison on Bollinger, i went to improved my code further, up to a decent system
And will start winding down my second Cam live system and replace it with that Bollinger bands based one, thanks for the inspiration in this journey

 

[Skate]

@Skate, Comparing my weekly system results, i noticed that my #bars reflected nb of days..not weeks. Is this something you experienced during your systems development?

@qldfrog first off, I've never experienced the issue that you are describing but I can say "minor coding or parameter settings" can cause headaches as minor issues can replicate themselves throughout the backtest & exploration. @Nina4 has given you some great examples but as you have directed a question to me I'll give you a few ideas from my perspective.

Making suggestions without the facts
I've neglected to make a comment previously in your thread as an examination of your code is required. Let me put it another way: it's like being at the doctors for a checkup & while you are there you ask the doctor a simple question "my wife is not feeling well, what do you think is wrong with her"

Suggestions
1. Open your .apx file as it contains every bit of information contained in your strategy as all of the parameters & settings are contained in this one file. If you don't use an .apx file to load your strategy "you should" If you don't have an .apx file make one & by examining it I'm sure you will find the issue.



2. Make sure the periodicity in your Analysis setting is correctly selected



3. Write a periodicity check in your code - so it's Okay to execute (example below)
OkToExecute = Interval() == inWeekly;

4. Also, you can write an "else statement" to verbally warn you, stopping the execution of your code till the periodicity is corrected - meaning if the periodicity is wrong a display message will be displayed with a verbal warning why the execution cannot proceed. (example below) - The reason for the warning below: the last analysis was set to "Daily".



Sample of an else statement
else
{
msg = "Skate, this formula needs to be executed in WEEKLY timeframe.";
Say( msg );
else
DisplayGfxTitle( msg );
}

I have checks & balances in all my strategies
The above code is supplied as an example "only" of the checks & balances I have coded in to every strategy as I run many Backtesting/Explorations over many different time frames. The additional code also executes the same warning on the charts. With the amount of coding & variety of strategies we all test I for one couldn't live without running my tests without first using the Analysis Project File (.apx file) to load the .afl. Without checks & balances when executing a strategy I believe mistakes would be frequent.

Chart Example
Check & Balances in the coding - "Nothing to see here as the " CORRECT periodosity is selected (Weekly)





Peridosity Chart Checks & Balances
Check & Balances in the coding - "A warning message is displayed with an audible alert" as the INCORRECT periodicity has been selected (Daily) - the strategy is weekly



Skate.

 

[qldfrog]

@qldfrog first off, I've never experienced the issue that you are describing but I can say "minor coding or parameter settings" can cause headaches as minor issues can replicate themselves throughout the backtest & exploration. @Nina4 has given you some great examples but as you have directed a question to me I'll give you a few ideas from my perspective.

Making suggestions without the facts
I've neglected to make a comment previously in your thread as an examination of your code is required. Let me put it another way: it's like being at the doctors for a checkup & while you are there you ask the doctor a simple question "my wife is not feeling well, what do you think is wrong with her"

Suggestions
1. Open your .apx file as it contains every bit of information contained in your strategy as all of the parameters & settings are contained in this one file. If you don't use an .apx file to load your strategy "you should" If you don't have an .apx file make one & by examining it I'm sure you will find the issue.

View attachment 100773

2. Make sure the periodicity in your Analysis setting is correctly selected

View attachment 100774

3. Write a periodicity check in your code - so it's Okay to execute (example below)
OkToExecute = Interval() == inWeekly;

4. Also, you can write an "else statement" to verbally warn you, stopping the execution of your code till the periodicity is corrected - meaning if the periodicity is wrong a display message will be displayed with a verbal warning why the execution cannot proceed. (example below) - The reason for the warning below: the last analysis was set to "Daily".

View attachment 100775

Sample of an else statement
else
{
msg = "Skate, this formula needs to be executed in WEEKLY timeframe.";
Say( msg );
else
DisplayGfxTitle( msg );
}

I have checks & balances in all my strategies
The above code is supplied as an example "only" of the checks & balances I have coded in to every strategy as I run many Backtesting/Explorations over many different time frames. The additional code also executes the same warning on the charts. With the amount of coding & variety of strategies we all test I for one couldn't live without running my tests without first using the Analysis Project File (.apx file) to load the .afl. Without checks & balances when executing a strategy I believe mistakes would be frequent.

Chart Example
Check & Balances in the coding - "Nothing to see here as the " CORRECT periodosity is selected (Weekly)

View attachment 100778



Peridosity Chart Checks & Balances
Check & Balances in the coding - "A warning message is displayed with an audible alert" as the INCORRECT periodicity has been selected (Daily) - the strategy is weekly

View attachment 100779

Skate.

Thanks for the clear answers.plenty of good advices and hints..i know it is AB focused but i hope this will help others.
Indeed @Nina4 has been much helpful and i think she pointed to the issue.will check as soon as on my pc.many thanks all

 

[Skate]

Don't throw away a good strategy because of a small sample size
Meaning, "Don't throw the baby out with the bath water". Tomorrow I'll be reporting on my 4 strategies being paper traded & this weeks results are looking very sad indeed. There would be few members game enough to trade any of my systems going on this weeks results.

I've condensed the 4 strategy backtests in one report
The backtesting has been performed over 1, 2 & 3 years & the strategy with the worst performance isn't a shabby system, far from it. To stay true with @qldfrog backtest parameters I've used ($100k X 20 position Portfolio).

Each strategy is listed in order of the "Annual Returns", just for the records.

Backtest Parameters
Portfolio Capital: $100,000
Positions in the Portfolio: 20
Fixed Position Sizing: $5,000 (No re-balancing)




Skate.

 

[Warr87]

I still can't get over those CAR/MDD ratio's. Crazy good.

I just checked my system. It's going from +1.5% to -7.7%. Am I worried? Nope. It's not ideal, but I am exciting to catch the moment when it rebounds. I can't get my +30-60% that my ssytem trades at if I wont weather the -15-25% MDD that goes with it.

My account size is much smaller than a lot of others so there is that psychological help. But that being said, if I lost my account it would still hurt.

 

[Newt]

I'd love to be able to code strategies that get into profit so agressively, but not something I've even been able to nut out. Thanks for sharing all this Skate. Very thought provoking.

And thanks for not dodging the elephant in the room (re the terrible week on the markets so far) - the show must go on.....!

 

[jbocker]

Plan B
Going to a beach wedding today 3 PM at a Beach in Perth. If you live here and look out the window at the current storm lightening and rain you would hope the Bride and Groom have a Plan B.

I guess a lot of people are looking at their plan B's over the last week in this market.

I feel sorry for my nephews new bride a beautiful English Lass who decided to come to sunny Australia and has dreamt of a beach wedding on some of the best beaches in the world, probably would not have dreamed or risked a beach wedding in England.

Dreams. Reality. Plan B.
It is still beautiful.

 

[Skate]

Well what a week !!
I've looked back at the markets over many decades trying to understand the natural patterns of falls but this time the pattern was "servere & quick", the quickness has caught most out, not only Weekly Trend Traders. My only advice is to put dollar amounts into percentages so the evaluation of this week results retains perspective.

Tend Trading Systems
This weeks reporting is worse than I said a few days ago. @aus_trader new tag this week should be corrected to: Another Day Another Dollar..."DOWN" (smiley face removed) In tough times let's remember @jbocker tag: "Stay Cool"

A few more paragraphs
Another quote from the book "Trade Like an O'Neil Disciple: How We Made Over 18,000% in the Stock Market". The lifted paragraph has kind words to say about "Trend Following Strategies"

New Trading Strategies Can Derail Your Trading
"New strategies sound tempting to try because some well-known investor has used the strategy with success. A successful trader knows his strategy must always correspond to his trading personality. Otherwise you are more than likely to abandon your position prematurely when it moves against you, or worse, you may get caught holding a particularly volatile position too long if it suddenly slips well beyond your mental stop alerts, thus psychologically trapping you, as you now are put in the position of hoping the position moves higher so you can recover part of your loss before selling it, a dangerous psychological trap"

"Those who are particularly vulnerable to this problem may be going through a weak spell due to a specific market period that does not work well with their strategy, such as the way choppy, trendless periods can cross-up trend followers"

"There have been times when changes in the market were only temporary but lasted just long enough for many investors to adjust their strategy. There have been several periods throughout the past 30 years when it has been declared that trend following was dead. Yet the best traders with exemplary 25+ year track records such as Bill Dunn and John Henry, as interviewed in Trend Following by Michael Covel, prove that a consistent trend-following approach works brilliantly. These traders are the rare few who continue to trade their strategy even during difficult times when the market is trendless rather than abandoning their strategy and succumbing to the “this time is different” view"

My Paper trading reports to follow
After viewing my 4 trend trading strategies weekly results keep in mind the highlighted words above.

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























This weeks sells
ABC
MMI
PAR
PNV

Perfect scenario
This week hasn't been kind to traders but it's the perfect scenario for paper trading (let's see if the strategy can recover)

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
ALG
BFG
CCX
CL1
MCP
MMI
NEU
ORE
PAR
PNV

Perfect scenario
This week hasn't been kind to traders but it's the perfect scenario for paper trading (let's see if the strategy can recover)

Skate.

 

[Skate]

The 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
ABC
ALG
BFG
CAT
ORE
PAR
PNI
PNV

Perfect scenario
This week hasn't been kind to traders but it's the perfect scenario for paper trading (let's see if the strategy can recover)

Skate.