Dump it Here

[Skate]

If you've read my ASX portfolio threads then you'll be familiar with how I use a market filter in a long only portfolio. The filter guides my trade management and helps me manage the total portfolio heat. When the market filter is downgraded it's time to tighten the exit stops and reduce the number of open positions. My outlook was biased. It's not an easy thing to create and maintain a balanced outlook on the market. There are too many psychological biases to overcome. I'm interested in your thoughts on what we may use.

I'm posting about one of my filters (the "GTFO" Filter)
@peter2 has raised some very good points about exit/stops & their relationship to a Market Filter. I've exited all my positions (28th February signals) & now I'm in (100% cash) sitting on my hands these last few weeks. The last few weeks have highlighted the importance of an "exit strategy" & why the timing of an exit is so critical. I thought it would be appropriate to make a post about the added protection I have built into all my strategies, the "GTFO" filter.

The key element
Capital preservation is the key to the longevity of a trader.

Let's talk about my "GTFO" filter (a filter I haven't discussed before)
I've posted on many occasions that I'm a wimpy trader & when a position falters I'm off it quick smart. The "GTFO" filter decided that I had to sit out the last quarter of 2018 going into 100% cash. A few weeks ago the "GTFO" filter resulted in a mass exit of all my open positions whereas normally there would only be a few sells at any one time. This decline was sharp & quick & I've given back some open profits in doing so. I'm currently in 100% cash sitting on the sideline. Giving back open profits always hurts but it's the way I trade.

It's worth remember
Open profits & loses = "Belong to the Market"
Closed Profits & loses = "Belong to you"

How does the "GTFO" Filter work?
The GTFO filter has one job & that job is to protect my capital when trading goes pear shape quickly. The GTFO filter has only activated a "mass exit" twice since 2015, once in (2018) & again a few weeks ago. The GTFO filter has saved my bacon twice, the lesson I'd learnt from the (2008 & 2011) trading period.

"GTFO" is a crude acronym
The acronym stands for "Get The Fu#k Out" & exit the position quickly "with no questions asked". My "StaleStop" exit strategy is a recent addition to my "GTFO" filter. The StaleStop exit limits my Drawdowns where the "GTFO" filter protects against a pending disaster. If the "GTFO" filter gets it wrong no harm done "it's better to be safe than sorry". If the pending doom didn't eventuate, I have the option to re-enter that position again.

What does a "GTFO" filter look like
It's a pattern of two filters agreeing by sitting on top of each other & when this occurs it's time to exit. It should be noted the "GTFO" filter works equally well in all time frames.

What does the "Coloured Ribbons" at the bottom of the chart mean?
Green = Index Filter on
Red = Index Filter off
Yellow = Caution
Yellow sitting on top of Red = "EXIT IMMEDIATELY"

Let me show you the "GTFO" pattern
This is the chart of the All Ordinaries to show the "GTFO" filter in action & how accurate it is.







Now let me show you the same pattern on an actual position (recently sold)
28th February 2020 the "GTFO" filter activated & every open position (in all my strategies) had a sell signal. The volume of open positions took 4/5 hours to complete the sell orders for Monday's pre-auction whereas normally it takes 10 minutes a week to enter the buys & sells in total. (FYI - all the sells settled at the opening auction price)

Charts
The next few charts are actual positions executed in the last few weeks because of the "GTFO" filter activating.

FYI
When the "Yellow & Red Ribbon overlap" in a currently held position the "GTFO" filter signals a sell. If the exit is a "yellow arrow" its either (a) StaleStop exit or (b) a "GTFO" exit. The "Magenta arrow" is a Trailing Stop Exit. The "Colours" on the charts identifies conditions important to me while making the chart easier for me to read (I'm a visual guy that's why colour coding helps)









The GTFO Filter
In the next post I'll upload a few more charts to display the "GTFO" filter in action over the past few weeks.

Skate.

 

[qldfrog]

Interesting, i will make sure i will add a more stringent exit after our experience of the last weeks
Too late for the losses on my system

 

[Skate]

More charts
Others may be interested. The Exploration Analysis "sell signals" for the 28th February never seem to finish, they went on & on (the screen capture below is about a quarter of the list)


























































Skate.

 

[Skate]

Why upload so many charts?
It's a multitude of examples how the "GTFO" filter works. Also it displays why the "GTFO" is an integral part of my Looping StaleStop "proving" its effectiveness as far as I'm concerned.




















The "GTFO" filter is my umbrella
No one likes to be caught in a rain storm. Before leaving home if it looks like rain (cloudy skies) I prepare & carry an (umbrella). With two confirmations (1) clouds & (2) falling water droplets, confirms it's raining so it's time the umbrella went up to protect me from getting wet. The "GTFO" filter does exactly the same, two confirmations (1) Index Filter is off & (2) My optimized ROC filter sitting on top of it - my umbrella goes up, err.. I mean "I'm off the position quick smart"

Skate.

 

[Skate]

Interesting, i will make sure i will add a more stringent exit after our experience of the last weeks
Too late for the losses on my system

@qldfrog, you "live & learn" - traders will learn from this experience.

It's not easy
Profiting from the stock market is exceedingly difficult to do consistently over a long period because the market is irrational & reflects the emotions of all the participants. The market moves in a manner that has little appreciation for what we might think. It's handy having a suite of tools giving you a fighting chance when the unforeseen happens. Some traders don't minimise their risk by selling quickly & decisively. Being quick & nimble to act when the "proverbial hits the fan" & being quick to retreat and sell at the first sign of trouble really helps. In fact, I’ll go so far as to claim that a smart wimp who runs and hides when the going gets tough generally produces better results than brave souls who are proud of their ability to suffer great monetary pains while they wait for their convictions to be rewarded.

Skate.

 

[peter2]

Ah ha! I was unaware of your GFTO exit. That's why I was confused by the lower DDs of your 3yr vs 8mth backtest results shown earlier. Thanks for the additional educational information.

 

[qldfrog]

@qldfrog, you "live & learn" - traders will learn from this experience.

It's not easy
Profiting from the stock market is exceedingly difficult to do consistently over a long period because the market is irrational & reflects the emotions of all the participants. The market moves in a manner that has little appreciation for what we might think. It's handy having a suite of tools giving you a fighting chance when the unforeseen happens. Some traders don't minimise their risk by selling quickly & decisively. Being quick & nimble to act when the "proverbial hits the fan" & being quick to retreat and sell at the first sign of trouble really helps. In fact, I’ll go so far as to claim that a smart wimp who runs and hides when the going gets tough generally produces better results than brave souls who are proud of their ability to suffer great monetary pains while they wait for their convictions to be rewarded.

Skate.

I think what hit me and probably other system traders was the severity of the fall: so fast so quick:
I have stale and SL based on usual criterias but were too conservative..most so near the exit last friday it was not funny...
we learn with pain,
let's be honest nothing dramatic yet:
last friday 5k in the red on 2*100k in systems,and 85k already back in cash will be much worse this week but by Monday I will not have much left in the market ....., and 3rd system is only having minor losses as its start timing was good
Hopefully by Sunday night my stop losses and exit algos will have been refined and avoid any repeat.
And next time, I could save my profit!! Not disillusioned yet

 

[Newt]

Thanks for showing that final layer of protection in more detail Skate. 3 weeks from (almost) new equity highs to close to Max expected DD was quite a ride. My entries and exits and emergency exit are more conservative than your trading style Skate, but finally all cash early this week and at least in one piece to start again when the weather eventually clears.

Work and life have been exceptionally busy over last month, and generally pleased that my strategy has still fitted in with time and energy constraints in a (hopefully!) worst case scenario. Pleased to have survived with more life/trading lessons learned, but will have to adjust my day-dreaming Excel spreadsheet with compounding returns where I was on track to buy a small island within 20 years

Strange thing is emotionally these few weeks have "hurt" less than smaller $ DDs in 2016 and 2018. Would like to think that reflects greater trading maturity - but perhaps my brain is yet to catch up with world events.

 

[Skate]

Update
The paper trading of the "Zig Strategy" has been discontinued..

Why?
The strategy didn't meet expectations...

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
























All remaining positions are being sold on Monday (as per the strategy)
APD
GOR
IDX
MAH
RUL
SLR

Skate.

 

[Skate]

Update
The paper trading of the "Flipper Strategy" has been discontinued..

Why?
The strategy didn't meet expectations...

Skate.

 

[Skate]

Update
The paper trading of the "BBO Strategy" has been discontinued..

Why?
The strategy didn't meet expectations...

Skate.

 

[Rsthree]

Well I certainly picked an intresting time to get back into trading!!

I should probably be grateful for the startup delays I've had. Eg. My new PC was lost in transit (I have the replacement now), long learning curve with Amibroker, systems testing etc. I'm usually very impatient so this is a good lesson.

I started my paper trading a couple of weeks ago but with the current market my results will be very skewed and my trend following system will provide no incentive to part with my cash.

On a positive note, once the dust settles there should be some bargains for the more experienced investor, which means I may be sitting on the side line. I'm not sure that my constitution will be equipped to handle the volatility.

I'm guessing I'll have some time up my sleeve to get my skills and systems up to scratch while waiting for the craziness to subside. I'll be monitoring the toilet paper index very closely.

 

[Skate]

Well I certainly picked an intresting time to get back into trading!! I started my paper trading a couple of weeks ago but with the current market my results will be very skewed and my trend following system will provide no incentive to part with my cash. On a positive note, once the dust settles there should be some bargains for the more experienced investor, which means I may be sitting on the side line. I'm not sure that my constitution will be equipped to handle the volatility. I'm guessing I'll have some time up my sleeve to get my skills and systems up to scratch while waiting for the craziness to subside. I'll be monitoring the toilet paper index very closely.

@Rsthree you are in good company, even seasoned traders take this time to reflect on their trading past results & in particular how they can make improvements using this recent experience.

Unforeseeable & unavoidable
The rapid decline of the last few weeks has caught everyone by surprise. Systematic traders & traders in general would have had no time to react as the rapid drop was unforeseeable & unavoidable. My posts today reinforces why having a trading plan is critical to our survival as a trader. There have been some great comments lately, members "thinking out loud" that would be worthy for you to read.

Trading systems need market luck
Don't be disheartened, follow your plan, prepare & self educate while at the same time knowing that most robust breakout strategies work poorly when markets are declining or selling off sharply. I know for a fact "Trend Trading Strategies" buying into a declining market tend to fail at a consistent rate.

Read these comments

Actually the graphs hide quite a few mistakes in the last two weeks. The perfect exit would have been the GTFO exit after the first huge bar down. (Thanks @Skate I like that acronym)

We're fortunate to have a decent "brotherhood" of regularly posting system traders in recent years on ASF. It certainly helps psychologically being able to benchmark both good and bad times against others here.

We're fortunate to have a decent "brotherhood" of regularly posting system traders in recent years on ASF. It certainly helps psychologically being able to benchmark both good and bad times against others here.

ok another terrible week, I will work on the exit code this week end so that this does not happen again

Next time you will be a lot better prepared, there is no way you can learn this experience, other than living it.

Crazy times indeed. We all need to sleep at night so we all need to do what allows us to sleep.

have also decided to let the portfolio sit inactive for a while, active trading is also doing my head in

My drawdown is 18% and that's not including this weeks drop, I'm not looking forward to updating the spreadsheet tomorrow. The trick is to keep your emotions in check, don't freak out and follow your plan

I bet you, if you buy the breakouts that start when the market stops going down, they will be long term winners.

I bet you many are not actually on the sidelines and have been frozen into inaction. I, as a fundamental investor sold everything 3 weeks ago but held on to 15% of my shares, I do not know why in hindsight.

I will definitively carry on work to improve my design

Pay particular notice of this quote

My comment to the systematic traders and wannabe systematic traders is that you don't know how you're going to handle yourself in a larger draw down situation until you've traded through one and come out the other side. Backtest draw downs are meaningless. They're just numbers. It's vital that you stick to your proven systems when you experience a draw down like we're all going through currently. The current fall in the market is putting us to the test. It's a good opportunity to see if we've got what it takes to be profitable traders.

Commandments
This might be the ideal time to list the 10 trading commandments from one of the best traders ever. I'll list one commandment per post so other don't skim read them as they hold a wealth of information.

Thanks for the idea..

Skate.

 

[frugal.rock]

Well I certainly picked an intresting time to get back into trading!
I'll be monitoring the toilet paper index very closely.

Your timing is impeccable!
It's not hard to envisage decent returns in a year or so for portfolios starting soonish...
Good luck with the TPI toilet paper index... ! It's gonna drop faster than a plopper... indicating oversupply... some get rich quick sucker's will end up with big roll mountains.
A TPI index would be an interesting indicator when studied country by country. Not so much for current situation, but for development, population growth and growth economies.
Are there any real TPI's out there?
I guess after you see the bog/ date roll aisle fully stocked again...

F.Rock

 

[Skate]

Your timing is impeccable! - It's not hard to envisage decent returns in a year or so for portfolios starting soonish

@frugal.rock, you made it into my list of quotes "to give others a sense of current sediment" of members. @Rsthree gave me the idea to list the 10 commandments in order from the book "Trade Like an O'Neil Disciple: How We Made Over 18,000% in the Stock Market" as they will have educational value for beginners & a refresher for the seasoned trader.

THE FIRST COMMANDMENT
The First Commandment among the many rules and principles applicable to life in general and stock market investing in specific that we heard many times from Bill was “Never get carried away with yourself.” The basic idea is that one should remain impervious to the illusions and trappings of wealth, as they often lead one to become “carried away” to the point where excess of one sort or another ultimately leads to one’s demise. This is critical.

Skate.

 

[Skate]

THE SECOND COMMANDMENT
The ability to come back from periods of difficulty with courage and persistence is embodied in O’Neil’s Second Commandment: “Never operate from a position of fear.” If you are fearful in the markets, either as a result of taking a recent loss or some other mistake, or even as a result of being nervous about the level of risk you are taking, then you are putting yourself in the position of making an unclear and hence incorrect decision. Either adjust your position to eliminate the fear, or come to the realization that if you are chronically fearful in the markets, then you have no business investing in them.

Skate.

 

[Skate]

THE THIRD COMMANDMENT
O’Neil deals with detractors and critics by turning their negativity into a positive. When it came to naysayers and backbiters, O’Neil simply invoked what we have labeled O’Neil’s Third Commandment, and that is that “You learn more from your enemies than you do from your friends.” In typical O’Neil fashion, a negative is turned into a positive, and criticism from third parties is seen as little more than a potential learning experience.

Skate.

 

[Skate]

THE FOURTH COMMANDMENT
In this way, we became acquainted with O’Neil’s Fourth Commandment: “Never stop learning and improving, and the only way to do this is by constantly analyzing your mistakes and correcting them.” As we all know, everyone constantly talks about their successes in the stock market, but few focus on their mistakes. O’Neil makes a point of focusing on his mistakes.

Skate.

 

[Skate]

THE FIFTH COMMANDMENT
To this end, O’Neil invokes the Fifth Commandment: “Never talk about your stocks.” The tendency to get excited and tell everyone how well you are doing in the markets is one that O’Neil abhors. By sticking to a simple policy of never talking about your stocks, you eliminate the ego-feeding urge to trumpet your success. Try implementing this rule, and see how it changes your perspective on how you handle your stocks.

Skate.