Dump it Here

[Rsthree]

1.
Various trading strategies are not necessarily better/worse, they are simply different. The difference is to allow for differences in emotional makeup and approach. There is no one size fits all in trading/investment.

jog on
duc

This resonates with me!

In my previous foray into trading I used technical indicators to get into a stock but I had a number of filters to qualify a stock for my chart list analysis.
I excluded exploration miners & tech research stocks, they had to be producers. I also used some basic fundamental filters like debt, cashflow, pe. Liquidity was a also a factor, but I was prepared to make some compromises for shining stars

My exits were set a just below the stocks trading range, but if the range too volatile then it wouldn't meet the risk profile.

I have no idea if my approach was delivering better results than a vanilla trading system, but it made me feel better in terms of risk. I guess that all these the rules could have been back tested (I did have fundamentals data in my previous trading software) but it would have been messy.

This time around I would like to be more system focused to reduce the number of variables and the ratholes they can lead to in the decision process.

 

[investtrader]

I've been more worried about my business than trading, so just back here having a bit of a look. Skate I like your term GTFO indicator. Great name. As someone who has been through the 2008 crash I ran for the hills weeks ago. Loosely my GTFO indicator is if I see a 10% drawdown than doesn't feel right - I'm out. I did leave a gold position(mistake) and another which is actually still open. I'm not that smart, just chicken!!!
Now I'm seeing some great value ( not talking about my TF system) and thinking maybe put some cash into some ultra high quality in my Super Fund. But when to buy???
As a random point of interest I track some different types of portfolios. Quant style plus just fundamental. Been doing this for years and years. The portfolio that has held up amazingly well is Intelligent Investors 'Never Sell List". I won't share it here as it is a paid subscription. But It has the best businesses n Australia ( their term). example CSL, which is not yet a buy. Total 16 businesses.
Any way , some random thoughts.

 

[Skate]

Now I'm seeing some great value ( not talking about my TF system) and thinking maybe put some cash into some ultra high quality in my Super Fund. But when to buy??? Any way , some random thoughts.

@investtrader thanks for detailing your "random thoughts" - seasoned traders realise there are times when opportunities rise to the surface, sometimes buying those opportunities work out while other times you do wonder "what was I thinking"

Timing the markets
Systematic Trend Traders rely heavily on "timing the markets" buying & selling positions at the wrong time is a recipe for disaster. Whereas positions purchased on "perceived value" is a different kettle of fish altogether where timing is irrelevant in the scheme of things as the holding period is irrelevant.

We all have "Set & Forget" / "Never Sell list"
I call it my "Buy & Hold Portfolio"

But when to buy???
Timing the purchase of "Set & Forget", "Never Sell List" or a "Buy & Hold Portfolio" is not worth the worry. Once you buy a position on "perceived value" it's important to get in the correct headspace because you will not pick the bottom of this current cycle or any cycle for that matter - if you do buy at the bottom it's luck not skill. To answer your question of "when to buy?" is quite simple, use your trading skills to make that decision & live with it. I can guarantee you this, the fluctuation of the next few weeks/months will bear no resemblance to the value in a few years from now, so "why worry" in the short term.

I just purchased & it went lower !!!!
"Bloody hell, I'm pi$$ed" - this is a common emotion, but if the reverse happens & it goes up in value you are "punching the air". Self-punishment is typically a coping mechanism because as traders we are motivated to avoid financial harm.

Long term purchases
"Perceived value" purchases rely on the hope that your analysis is rewarded in the long term not in the short term.

Skate.

 

[investtrader]

Very good advice. I guess my 'when to buy' is mainly about the macro picture. When the number of new cases starts to recede, then we will see a sustained rally. I think. Who knows. So I agree with your view.

 

[Skate]

The portfolio that has held up amazingly well is Intelligent Investors 'Never Sell List". I won't share it here as it is a paid subscription. But It has the best businesses n Australia ( their term). example CSL, which is not yet a buy.

I guess my 'when to buy' is mainly about the macro picture. When the number of new cases starts to recede, then we will see a sustained rally. I think. Who knows. So I agree with your view.

@investtrader this "perceived value" style of trading is not dependant on a "sustained rally" but buying in the "hope" that sometime in the future the price will go back to the mean - using our trading experience. I imagine there will not be a trigger for upside volatility in the short term & having money sitting in cash is unproductive. Making large investments in quality shares at a lower price has three benefits (1) Price appreciation over time (2) Dividends being paid along the way & (3) Idol money being put to work.

Two recent purchases
I have recently purchased $200k of each (1) BHP & (2) ANZ for the three reasons I mentioned above. (buy = aqua line on the charts)

Charts - a picture paints a thousand words
I'll throw up 3 charts, BHP, ANZ & CSL that you have highlighted. The "aqua line" on the chart of BHP & ANZ is my buy price. Looking at CSL (Dividends & Price appreciations is lacking IMHO) I'm in agreeance with you "CSL, which is not yet a buy"

ANZ









BHP








CSL, as you say: "which is not yet a buy"
Below explains why CSL falls short of my expectations & is not on my buy list

CSL






Skate.

 

[Skate]

The MAP strategy reporting will be back, just not anytime soon..

Skate.

 

[Rsthree]

Very good advice. I guess my 'when to buy' is mainly about the macro picture. When the number of new cases starts to recede, then we will see a sustained rally. I think. Who knows. So I agree with your view.

I've set up a watch list of all the stocks that were trending strongly before the bomb went off. I'll be monitoring those over the next few months, working on the assumption that if they haven't gone broke then they may resume their trend.

 

[Skate]

I've set up a watch list of all the stocks that were trending strongly before the bomb went off. I'll be monitoring those over the next few months, working on the assumption that if they haven't gone broke then they may resume their trend.

@Rsthree, it appears you're not so rusty after all as your plan to monitor strong trending stocks in your watch list comes from experience.

(a) Many system traders stick to one system that only works in one market type and build in a safety net to control losses when conditions aren't ideal. But does a (b) good discretionary trader adjust their methods to match the expected market? (c) Finding good repeating patterns to trade is a starting point. Knowing under what conditions those patterns work is another point. Being able to anticipate when the conditions will be right for the patterns you want to trade is probably where I would struggle the most.

A post from April 2013
@Lone Wolf comments from April 2013 resonated with me back then as it does to this day. There is so much value in his post. "It's Pure Gold"

This sound like me (@Skate)
(a) "System traders stick to one system that only works in one market type and build in a safety net to control losses when conditions aren't ideal"

This sound like (@peter2)
(b) "A good discretionary trader adjust their methods to match the expected market"

Our end game
(c) "Finding good repeating patterns to trade is a starting point. Knowing under what conditions those patterns work is another point"

Skate.

 

[Skate]

Flat markets, with chop, can characterise the 'bottom'. This type of market (could) present difficulties to purely mechanical based traders? I'd be interested to hear their opinion on this (Skate, Peter, QFrog, et al).

@ducati916, you have made a great post asking a very good question along the way about how mechanical system traders handle flat, choppy & declining markets. I've picked a period around the time I started out on my trading journey (23rd March 2015 to 26th February 2016) a period of time where the All Ordinaries (XAO) meets your market conditions. The XAO chart in my next post shows not only a flat market but also a declining market which is a period of concern not only to mechanical based traders but all traders in general.

Short posts are always appreciated
Previously @frugal.rock highlighted his concerns of "knowing when" is the optimal time to "hop off" a position as quick as a "jack rabbit" - it's timely to make a few posts & comments to address his concerns when to exit in a falling market. I also want to make a comment about a post by @gartley & his indicator while answering "duc's" question as comprehensively as possible. I'll be using charts from my PANDA Strategy - a system that uses an indicator by John Ehlers whilst displaying a bit more about the "GTFO" indicator.

Style of posts
@kahuna1 posts are always a good read, lengthy I have to agree but that's only because he has a lot to say & I like his double spacing between paragraphs. I'll be breaking my posts into a few as I also have a lot to say keeping the length of my posts within limits, staying with a style I believe will keep a readers interest - that being "chunked into bite sized paragraphs"

To answer your question I have run the charts on the day after the peak in the market. Do they repaint? In this instance: NO. Do they ever repaint: YES but not by much, and I have done a statistical analysis and they repaint approx 14% of the time. As you said, no one can predict the future. These indicators are cycles based, and I have used the lowest lag filter I can find for the Trend Indicator the Hull. Having said that, the Hull is not actually a zero lag filter and I used an 8 period offset to centre it. That's still 8 periods of lag which is much better than 43 periods when using a simple MA for an 86 period average. From the remaining 8 data points I have created an estimate by way of an algorithm. The signal FT I am using a weighted MA but it's offset by only 3 bars, so it's even better.

It's not always ahead of price, it can lag by in sync or be ahead. The weakness in the approach is in slow grinding markets.

Killing two birds with one stone
In answering the "duc" I'll be using charts from my PANDA strategy, a strategy that isn't too shabby, explaining how John Ehlers mathematical genius helps in my trading. There is so much information out there so there is no reason why we have to re-invent the wheel. John Ehlers ideas are pure magic "but" his parameter settings or any parameters I've found on the net "just don't work" for our markets - so be careful applying his idea to your trading system.

It's all about indicators
Building robust trading strategies that can detect & adapt to market conditions can be a real challenge & failure to do so can often result in poor trading performance & drawdowns. So, how can we build more robust trading strategies that adapt to market conditions as they change? @gartley explained his method whereas my PANDA Strategy uses John Ehlers variable-period (adaptive) exponential moving average method.

Nice quote

"The best trading educational book you can read is the one written by yourself"

More to come...

Skate.

 

[kahuna1]

Agreed. I tend to ramble ... or explain so a novice can follow.

Cant please all and at times none.

Take care

 

[Garpal Gumnut]

Five things to help stop the spread of coronavirus
The World Health Organization is advising people to follow five simple steps to help prevent the spread of COVID-19:

1. Wash your hands

2. Cough/sneeze into your elbow

3. Don't touch your face

4. Stay more than 1m away from others

5. Stay home if you feel sick

gg

 

[Skate]

@ducati916, you have made a great post asking a very good question along the way about how mechanical system traders handle flat, choppy & declining markets. I've picked a period around the time I started out on my trading journey (23rd March 2015 to 26th February 2016) a period of time where the All Ordinaries (XAO) meets your market conditions. The XAO chart in my next post shows not only a flat market but also a declining market which is a period of concern not only to mechanical based traders but all traders in general.

The period
The (23rd March 2015 to 26th February 2016) XAO chart shows not only a flat market but also a declining market which is a period of concern not only to mechanical based traders but all traders in general. Well first off, the trading results were acceptable under the circumstances. How did a mechanical system handle a flat, choppy, declining market? I'll let the charts do the talking.







The Backtest result
The PANDA Strategy between (23rd March 2015 to 26th February 2016)



In the next post
The next post I will display a few charts showing how nibbling away on a up-trend & getting off using the "GTFO" indicator has its benefits.

Skate.

 

[ducati916]

Ok, those were rather tame wiggles.





How about some real wiggles?

The most recent 'Bear', which was 2008, was kinda V shaped and would have worked really well for mechanical traders such as yourself who followed the system with a GTFO and then re-entered on signals.

The 2008 Bear was however a financial bear.

I think we are looking at a very different proposition currently. Hence, I'm looking at the historical bears, where, there were wiggles of serious amplitude.

jog on
duc

 

[Skate]

Ok, those were rather tame wiggles. How about some real wiggles? Hence, I'm looking at the historical bears, where, there were wiggles of serious amplitude.

@ducati916, I'll post a few charts from the period (23rd March 2015 to 26th February 2016) as I don't have historical data going back that far. The charts between the date I've listed will still have educational value displaying how to trade profitably when the markets are declining. I'll mark up a few charts & then the rest of the charts others can decipher.

The Charts
The (23rd March 2015 to 26th February 2016) is between the "aqua" vertical lines. The charts show not only the entry but also the exit, (the GTFO exit) when the XAO index was flat & declining, a period of concern to all traders in general.








































More to come
In the next post I'll explain the motor that drives my PANDA Strategy. The explanation will go someway to explain the similarities between @gartley low lag indicator & John Ehlers indicator.

Skate.

 

[Skate]

These indicators are cycles based, and I have used the lowest lag filter I can find for the Trend Indicator the Hull. Having said that, the Hull is not actually a zero lag filter and I used an 8 period offset to centre it. That's still 8 periods of lag which is much better than 43 periods when using a simple MA for an 86 period average. From the remaining 8 data points I have created an estimate by way of an algorithm. The trend indicator suggests the trend, the signal FT is for entries and exits within that trend. So I just follow the buys and sells that are generated.

@gartley, John Ehlers has a series of low lag indicator & even one of his indicators is call the "Zero Lag" indicator which is a "furphy" - but John Ehlers mathematical skills are unquestionably the best I've seen to consistently pick clean entry points. His variable-period (adaptive) exponential moving average indicator is no exception.

Be careful
All John Ehlers indicators of recent are just rehashed indicators that are decade old - repackaged & renamed.

The PANDA Strategy
The heart of my PANDA Strategy is John Ehlers DSMA indicator. The deviation-scaled moving average is an adaptive moving average that rapidly adapts to volatility in price movement. It accomplishes this by modifying the alpha term of an EMA by the amplitude of an oscillator scaled in standard deviations from the mean. The DSMA's responsiveness can be changed by using different values for the input parameter period.

What's so special about the DSMA?
The DSMA is a data smoothing technique that acts as an exponential moving average (EMA) with a dynamic smoothing coefficient. The smoothing coefficient is automatically updated based on the magnitude of price changes. I've chosen the standard deviation from the mean to be the measure of this magnitude. The resulting DSMA indicator provides substantial smoothing of the data even when price changes are small while quickly adapting to these changes, a win/win scenario.

Trade with caution
If you research the DSMA indicator just be careful as John Ehlers idea has been "mongrelised" beyond belief, getting the coding & parameter for the entry has been a challenge but rewarding.

Skate.

 

[Skate]

The ZIG Strategy
The DSMA indicator had been incorporated into my ZIG Strategy - currently under evaluation because of signals repainting. The DSMA resolved the repainting of the signals so I'll give a condensed explanation how it was achieved.

The Peak & Trough is used as a call signal (ONLY)
I've used the peak & the trough to call a Deviation Scaled Moving Average Indicator (DSMA) for the entry signal, the exit is another kettle of fish. As explained in my previous post the "DSMA indicator" is an adaptive moving average that features rapid adaptation to volatility in price movement & it accomplishes this adaptation by modifying the alpha term of an EMA by the amplitude of an oscillator scaled in standard deviations from the mean, it's a bit of a mouth full but it's only a few lines of code. The DSMA has been around for many years but rarely used as far as I know. I've adapted the DSMA’s responsiveness by changing different values for the input parameter period.

It's an all round indicator
The DSMA indicator is well suited for any trend-following system (PANDA Strategy included) The DSMA indicator was adapted & modified for the ZIG strategy eliminating the repainting of signals that the ZIG-ZAG indicator suffered from.

What's so special about the DSMA?
The DSMA is a data smoothing technique that acts as an exponential moving average (EMA) with a dynamic smoothing coefficient. The smoothing coefficient is automatically updated based on the magnitude of price changes. I've chosen the standard deviation from the mean to be the measure of this magnitude. The resulting DSMA indicator provides substantial smoothing of the data even when price changes are small while quickly adapting to these changes, a win/win scenario.

The original ZIG indicator
I thought I had solved the repainting issue with the ZIG-ZAG indicator by only using the "ZIG side" of the formula but on occasions it repainted a few signals. With the signal repainting occasionally I felt it wouldn't be an issue as they were far & few between. I had intended to sell the repaints on the next open "as-the-fix" but after reading @rnr helpful hints I had to do a complete rethink to solve the repainting issue.

Summary
The ZIG indicator in its current form has been decommissioned as it fails to handle current trading conditions.

Skate.

 

[Saqeeb]

Week 5 - Weekly update on my MAP paper trading portfolio.

My system has finally exited the last open position. The system will now be fully in cash after Monday.

This week's scan results:
BUYS:
No buys for this week

SELLS:
1 sell this week - ELD

 

[Newt]

@gartley, John Ehlers has a series of low lag indicator & even one of his indicators is call the "Zero Lag" indicator which is a "furphy" - but John Ehlers mathematical skills are unquestionably the best I've seen to consistently pick clean entry points. His variable-period (adaptive) exponential moving average indicator is no exception.

Be careful
All John Ehlers indicators of recent are just rehashed indicators that are decade old - repackaged & renamed.

The PANDA Strategy
The heart of my PANDA Strategy is John Ehlers DSMA indicator. The deviation-scaled moving average is an adaptive moving average that rapidly adapts to volatility in price movement. It accomplishes this by modifying the alpha term of an EMA by the amplitude of an oscillator scaled in standard deviations from the mean. The DSMA's responsiveness can be changed by using different values for the input parameter period.

What's so special about the DSMA?
The DSMA is a data smoothing technique that acts as an exponential moving average (EMA) with a dynamic smoothing coefficient. The smoothing coefficient is automatically updated based on the magnitude of price changes. I've chosen the standard deviation from the mean to be the measure of this magnitude. The resulting DSMA indicator provides substantial smoothing of the data even when price changes are small while quickly adapting to these changes, a win/win scenario.

Trade with caution
If you research the DSMA indicator just be careful as John Ehlers idea has been "mongrelised" beyond belief, getting the coding & parameter for the entry has been a challenge but rewarding.

Skate.

Thanks for sharing on PANDA Skate. You have no real reason to do so, other than giving to the ASF community. I had the opportunity to digest a couple of Ehler books late last year while on various flights and work trips but haven't found time/motiviation to explore his ideas further.

Just knowing someone has found value and parameters that work for a strategy is inspiration enough sometimes for others to push a bit harder. Who knows how much time we'll have soon for system development and backtesting...

Stay safe everyone

 

[gartley]

@gartley, John Ehlers has a series of low lag indicator & even one of his indicators is call the "Zero Lag" indicator which is a "furphy" - but John Ehlers mathematical skills are unquestionably the best I've seen to consistently pick clean entry points. His variable-period (adaptive) exponential moving average indicator is no exception.

Skate.

Hello Skate,
None of what I use is based on Ehlers work or indicators. This is something that I have been working on for 15 years originally based on the work of Hurst and James Maggio and has undergone a lot of trial and error. As mentioned to a reply in another thread about repainting. One indicator does not at all, the other does a small percentage of the time and by with a negligible change in the curve as proved in a historical graph. Any indicator based on closing price repaints assuming price is changing and until that bar is almost complete.
For me an indi that repaints a small % of the time but keeps you in the right side most of the time, far outweighs a useless lagging indicator that does not repaint.

 

[gartley]

Further to last post. This morning a buy was signaled on the AUS200 off the 3h chart. These trades always taken and not knowing if this a counter trend or not initial TP(50%) is set at value of 3hr 20 EMA of 14ATR at time of trade and SL moved to BE for the rest. SL set to 1.5X ATR. To understand if this move will be anything more sustained I consult the daily Trend Indicator which at the moment has not crossed above -100 as such the trend is still assumed down. A cross above -100 can only be generated by higher prices or wait till tomorrows opening to confirm and check again.