Dump it Here

[Newt]

1st off
"The Ducati Blue Bar Strategy" bears no resemblance to any strategy that I have previously posted & in no way mimics or uses any part of the "SuperTrend Strategy" or infact any of the ideas @peter2 has posted about. The idea has been coded from Duc's previous post. The two indicators are indicator I've never used before so the strategy is even completely new to me as well. Any resemblance to any other strategy would be coincidental.

Volatility & Volume
Newt, the Duc described using two indicators to measure "Volatility & Volume" the real drivers of a trend - meaning we enter a trend on volatility & volume - getting off when the trend turns. There are so many indicators that measure both of these, the trick was getting two indicators to work in unison. Once I got the parameters nutted down it was as simple exercise in comparing today's results to the previous day. The downside is that we can jump in & out of positions quickly giving the positions no latitude for the daily price fluctuations of the markets.

The two indicators
It would be unfair for me to mention the two "off the shelf indicators" because even having the same indicators the parameter setting can make or break the profitability or performance of the strategy. If others are interested they will do their own research to find indicators that will work for them.

Indicators
Getting into a trend is not that difficult using an indicator, using two is sometimes better & that's what I believe Duc's message was. Getting out of a trend & timing the exit is a little more complex but as the Duc didn't elaborate on an exit strategy I just used the reverse of his entry condition.

Mental toughness
I've used this analogy before referring to Peter Brock who won the "Bathurst 1,000" nine times. Imagine, giving a good strategy to someone else would be the equivalent of giving Peter Brock's winning car to the same person. Does anyone honestly believe they would be able to win Bathurst even once ? It’s not the vehicle, it's not the strategy it's the 'mental toughness' that is the real decider if you'll be a winner or not.

Repeat it - till it sinks in
It's the very reason why we need this to sink in: "A trading system is usually most effective when "implemented consistently". One problem frequently encountered by individual traders is the "difficulty" in following a system. Sticking to a system requires discipline, and discipline is often difficult to maintain in the heat of live market action, where "emotions" can rule the day, and a trader may be tempted to second-guess his or her system".

Skate.

Intruiging, but thanks for extra detail

I thought I had read back for mention of drivers for Duc's thinking, but will have to do so again and see what was missed or not understood. Somehow it seems frustrating to see such wonderful and detailed weekly strategy summaries, without grasping the broad and finer detail of what the strategy is doing.

However can also understand your concern and reticence to be spoon feeding people Skate.

 

[Skate]

how would I feel about missing out on MCT?

PGL closed 42% up

I bought, PPS, CWY, VUK and MCR on 23/03 or 24/03 from memory

@frugal.rock I originally posted a bare chart for "PGL" & at the time I was going to make a comment that a breakout from a consolidation zone can eventuate into a strong move but at the time I was watching TV. I'm sure glad you were on it. I was also impressed that @peter2 snagged a ride on "MCT" & @sptrawler recently grabbed as few nice ones as well.

"The Ducati Blue Bar Strategy"
Picked all the moves: PGL, MTC, PPS, CWY, VUK & MCR.

A simple strategy
"The Ducati Blue Bar Strategy" is such a simple strategy but very effective. From the list above I'll chart up the first two "PGL" & "MTC" to display. @sptrawler has already given the entry dates for the securities he has entered.









I'll let Peter has the final say

The market provides plenty of learning opportunities if you're looking for them. Increases in price, volume and volatility may indicate further price increases. Sometimes it works and sometimes it doesn't. Managing all the opportunities that we undertake in a profitable manner is key to success.

Skate.

 

[Skate]

Intruiging, but thanks for extra detail I thought I had read back for mention of drivers for Duc's thinking, but will have to do so again and see what was missed or not understood. Somehow it seems frustrating to see such wonderful and detailed weekly strategy summaries, without grasping the broad and finer detail of what the strategy is doing. However can also understand your concern and reticence to be spoon feeding people Skate.

@Newt, I don't post to frustrate but I try hard to add ambiguity into the mix so others have to think.

aGGGGHHHHH!!! - I'm still a fail!

Patterns
I recently posted about a Bankcard exam I had taken back in the '70s, I posted the exam as it was a "quiet day". The educational value was not in the answer. The educational value was in the thinking of what the answer could be. A few days later I detailed the answer in such a way more thinking was required. I felt your frustration then as well. Knowing the answer wasn't important but the thinking exercise was.

Indicators
Systematic traders use indicators to make trading decisions & we all tend to fall into the trap of using our "pet" indicators. Trying out new indicators & ideas may lead us to a better way of thinking about market timing.

Tools
Some traders know, (Duc included) that using one tool is sometimes not enough, using a combination of indicators has the ability to improve any strategy. @peter2 made a great comment confirming some signals are accurate some of the time.

Peter's comments
"The market provides plenty of learning opportunities if you're looking for them. Increases in price, volume and volatility may indicate further price increases. "Sometimes it works and sometimes it doesn't". Managing all the opportunities that we undertake in a profitable manner is key to success"

Skate.

 

[frugal.rock]

When you get a chance Skate, can you look at the NCZ chart around the 6th March?
Am intrigued why the blue bars didn't turn red?
Cheers.

F.Rock

 

[Skate]

When you get a chance Skate, can you look at the NCZ chart around the 6th March? Am intrigued why the blue bars didn't turn red?

@frugal.rock, why didn't the "Red" bars stay "Red" - Or - better still why did the "Red" bar turn "Blue".

The answer
"The Ducati Blue Bar Strategy" compares today price bar to the previous day. I have marked the trigger on the chart (the thick UP white line) to help you better understand. Trading isn't an exact science - system traders rely on the "probability" of being correct - our mathematical edge makes the money (over time)



Skate.

 

[ducati916]

@Newt

Indicators
Systematic traders use indicators to make trading decisions & we all tend to fall into the trap of using our "pet" indicators. Trying out new indicators & ideas may lead us to a better way of thinking about market timing.

Tools
Some traders know, (Duc included) that using one tool is sometimes not enough, using a combination of indicators has the ability to improve any strategy. @peter2 made a great comment confirming some signals are accurate some of the time.

Peter's comments
"The market provides plenty of learning opportunities if you're looking for them. Increases in price, volume and volatility may indicate further price increases. "Sometimes it works and sometimes it doesn't". Managing all the opportunities that we undertake in a profitable manner is key to success"

Skate.

There are myriads of 'indicators', that examine different areas of markets, economies, sentiment, value, timing, etc. There are so many that you can suffer indicator overkill and just end up confusing yourself.

My suite of indicators comprises:

(a) Macro, what is the state of the economy, a 'get ready' to do something, if something happens. This is obviously a longer term indicator that is coarse and granular. I'll probably run this single indicator through a number of different studies however. (Yield analysis)

(b) Inter-market comparisons: (Dollar/Bonds/Commodities/Equity). Looking for confirmation or disconfirmation.

(c) Market internals: these probably number 3 in total, for both tops and bottoms. (Volatility, Put/Call ratios, Advance/Decline).

(d) Chart based: (200EMA/20EMA, Bollinger Bands, MACD).

That's it.

jog on
duc

 

[Skate]

Somehow it seems frustrating

@Newt, I pride myself in exiting a position quickly to protect profits or to limit my loses. Trading a weekly system can sometimes be "frustrating" because of the inherent lag, at other times trading a weekly system can pay dividends by allowing for the daily gyration of the markets to settle by weeks end.

I was thinking like a "crazy person"
In hindsight I felt "frustrated" not being able to find a better solution that would have minimised the loss in my open profits. The market fell so sharply & so quickly I've come to the realisation that my systems did their best. The "crazy man" (my inner self) simmered to the surface "thinking" I have to get "MY MONEY BACK" forgetting the all important mantra: "Open profits belong to the market, closed profits belong to you"

Trading was looking great this Financial year
The "virus" has affected so many lives as well as the markets. I was having a good year taking 8 months to accumulate a good deal of open profits only to see some of it evaporate over a two week period.

Small snippet
This is a small snippet of my "current financial year" (my equity curve) The large drop wiped off nearly 70% off my open profits. The crash came so swiftly, something I had not experienced in my 5 years of trading. But the good news is - I'm fighting my way back.



FYI
I don't care about the mantra -- I want "MY MONEY BACK" & I won't rest till I have it back.

Skate.

 

[Skate]

There are myriads of 'indicators' & you can suffer indicator overkill and just end up confusing yourself.

Caring is sharing
Back in my research days (2014) I was speaking to an author & podcast presenter. Long story short he traded funds for many & after building a friendship he gave me his metastock code that he trades - others might like to make a few comments on. He explained that his trading methodology was kept to the minimum. He did remark that I could share the MetaStock formula amongst friends but not to mention his name or firm. MetaStock coders will see it's pretty basic.

This is a copy of one of his email to me (one of many)
Here you go...Please bare in mind...indicators and systems are just the beginning of building your trading plan. It is all about risk management and trading psychology. If I can assist you please let me know..thank you.

This is his MetaStock code
{ Plots breakout long/short signals }
{ http://www.metastocktools.com }
{ With thanks to Roy Larsen for Init idea }

pds1:=Input("HHV (long) breakout periods", 1,252,21);
pds2:=Input("LLV (short) breakout periods", 1,252,10);
display:=Input("display: signals=1, in-trade binary=2",1,2,1);
x:=Input("use Open=1 High=2 Low=3 Close=4 Volume=5 P=6",1,6,4);
delay:=Input("Entry and Exit delay",0,3,0);

x:=If(x=1,O,If(x=2,H,If(x=3,L,If(x=5,V,If(x=6,P,C)))));
In:=x>Ref(HHV(x,pds1),-1);
Out:=x<Ref(LLV(x,pds2),-1);

Init:=Cum(In+Out>-1)=1;
InInit:=Cum(In)=1;
Flag:=BarsSince(Init OR In) < BarsSince(Init OR Out)+InInit;
In1:=Cum(Cum(In))=1;
Out1:=Cum(Cum(Out))=1;

If(display=1,Ref(Cum(Cum(In))=1,-delay),0);
If(display=1,-Ref(Out1 AND BarsSince(In1)>=BarsSince(Out1),-delay),0);
If(display=1,Ref((InInit AND Alert(InInit=0,2)
OR Flag AND Alert(Flag=0,2)) - (Flag=0 AND Alert(Flag,2)),-delay),Flag)

Kindness of others
After his podcast he told me that I was the only one that approached him for additional information. After building a friendship he was kind enough to send me his 3 books (FREE) & not long after I migrated to AmiBroker.

Skate.

 

[Newt]

Thanks Duc and Skate. You have again given much to think over.

And congrats Skate on your equity curve rebound. There is enough frustration and craziness right now to last a lifetime!

 

[ducati916]

@Newt,

1. I pride myself in exiting a position quickly to protect profits or to limit my loses. Trading a weekly system can sometimes be "frustrating" because of the inherent lag, at other times trading a weekly system can pay dividends by allowing for the daily gyration of the markets to settle by weeks end.

2. I was thinking like a "crazy person"
In hindsight I felt "frustrated" not being able to find a better solution that would have minimised the loss in my open profits. The market fell so sharply & so quickly I've come to the realisation that my systems did their best. The "crazy man" (my inner self) simmered to the surface "thinking" I have to get "MY MONEY BACK" forgetting the all important mantra: "Open profits belong to the market, closed profits belong to you"

3. Trading was looking great this Financial year
The "virus" has affected so many lives as well as the markets. I was having a good year taking 8 months to accumulate a good deal of open profits only to see some of it evaporate over a two week period.

4. Small snippet
This is a small snippet of my "current financial year" (my equity curve) The large drop wiped off nearly 70% off my open profits. The crash came so swiftly, something I had not experienced in my 5 years of trading. But the good news is - I'm fighting my way back.

View attachment 102160

5. FYI
I don't care about the mantra -- I want "MY MONEY BACK" & I won't rest till I have it back.

Skate.

1. This is the conundrum: the grail of maximising profit. (a) Exit too early, lose potential profits, (b) exit too late, lose paper profits. There is no perfect answer. The answer is: psychologically which hurts less; (a) or (b). I am assuming that in backtesting, your answer was (b) but not for the psychological reason, rather, the testing suggested that (b) was the more profitable. Unless you had the data for 1987, or 1929, nothing else has really matched this decline for speed.

For completeness I am an (a) person. Why? Once that profit is in my account, it is mine. I can always re-enter a trade, as a new trade. The other risk management related to exits is I tend to exit long positions on market conditions, rather than on individual stocks. That is quite a significant difference. Why? I started trading in March 2000.

2. Frustration is important. It leads to some hard thinking.

3. You need to consider a system that embraces (a) more and (b) less. The balance will of course be extremely tricky. But you will sleep ever so soundly at night once you find it.

4. It is brutal and I had pretty much the same experience in 2000, except that was not 'open profits' but starting capital.

5. Beware revenge trading (not really aimed at you) a psychological trap for novices.

jog on
duc

 

[qldfrog]

1. This is the conundrum: the grail of maximising profit. (a) Exit too early, lose potential profits, (b) exit too late, lose paper profits. There is no perfect answer. The answer is: psychologically which hurts less; (a) or (b). I am assuming that in backtesting, your answer was (b) but not for the psychological reason, rather, the testing suggested that (b) was the more profitable. Unless you had the data for 1987, or 1929, nothing else has really matched this decline for speed.

For completeness I am an (a) person. Why? Once that profit is in my account, it is mine. I can always re-enter a trade, as a new trade. The other risk management related to exits is I tend to exit long positions on market conditions, rather than on individual stocks. That is quite a significant difference. Why? I started trading in March 2000.

2. Frustration is important. It leads to some hard thinking.

3. You need to consider a system that embraces (a) more and (b) less. The balance will of course be extremely tricky. But you will sleep ever so soundly at night once you find it.

4. It is brutal and I had pretty much the same experience in 2000, except that was not 'open profits' but starting capital.

5. Beware revenge trading (not really aimed at you) a psychological trap for novices.

jog on
duc

Thanks Duc, a nice slightly alternative view to @Skate

 

[ducati916]

On indicators:

(a) You need indicators from multiple markets Equity, Commodity, Bond, Options, Internals;
(b) They must all (or a majority) confirm each other in a timely fashion;
(c) You need a timeframe that allows for a signal, rather than noise;
(d) They must however remain timely, otherwise a waste of time;
(e) They must be robust, not too many false positives;
(f) If they are prone to too many false positives, you will not have confidence in them;
(g) You need a plan, that if you do act on a false positive, what you do next;
(h) A comprehensive understanding of your indicators will reduce or filter the odd false positive;
(i) You actually execute, see (g).


jog on
duc

 

[Skate]

1. This is the conundrum: the grail of maximising profit. (a) Exit too early, lose potential profits, (b) exit too late, lose paper profits. There is no perfect answer

@ducati916, I'm with @qldfrog - What a great post about maximising profits, linked to the timing of the exit. Yes, it's a fine line exiting a position too early compared to exiting a position too late.

Conundrum
The timing of the exit can be very confusing & difficult to solve & overcome. As coders, we are tasked to navigate between the two. I also like the distinction you draw between "potential profits" & "paper profits" exiting early versus exiting late, the wording used was not lost on me.

Grail
As you have used the word "grail" it's only fitting I make an additional reference to Nick Radge's book "Unholy Grails" just for @Newt - quoting a passage from his book.

To add to Duc's post
Returns alone cannot be a benchmark of robustness of any system. CAR/MaxDD is as good as any metric to measure the "Risk adjusted returns"

For completeness
Duc's an (a)
I'm more of a (a) + (b) guy - so lets call me (c)
(c) Exiting a position quickly after confirmation that the move is over to protect profits or to limit my loses - the metric to measure this is CAR/MaxDD

CAR/MaxDD
In english, the Compound Annual % Return / divided by Max. system % drawdown is a good measure to use in the strategy development phase.

System Drawdown versus Trade Drawdown
When running a backtest some get confused how the strategy handles System Drawdown versus Trade Drawdown as both are important. In a nutshell, system drawdown is calculated on entire portfolio, while trade drawdown is calculated on a particular trade.

Just for Newt
This an extract from Nick's book - Unholy Grails: A New Road to Wealth confirming we both value the metric "CAR/MaxDD" the risk-adjusted measure of any trading system.
https://books.google.com.au/books?i...Q6AEwB3oECAwQKw#v=onepage&q=CAR/MaxDD&f=false



Skate.

 

[frugal.rock]

Have just thought I'd like a "Pool" indicator.
By pool, I am thinking of all the ASX sectors combined with the intention of understanding if the market liquidity generally is substantially increasing or decreasing at any particular time. A live indicator.
Is the money flooding in or draining out or just milling around?
I guess it could also be used as a current sentiment indicator, bullish or bearish.

F.Rock

 

[Newt]

2. Frustration is important. It leads to some hard thinking.

jog on
duc

Gold in those last 2 posts thanks Duc

Particularly like this one - nothing wrong with letting some frustration through at times to push you to look for the next tool, strategy, filter, etc....

Thanks for sharing your taking on market regime filters too Duc. Suspect you're right about using market regime more than criteria on individual stocks for exits in tough times.

 

[Newt]

Have to confess CAR/MDD is still a parameter I always check over during system development and review.

Skate, how the h#ll have you got our equity curve heading up again so quick. Can I ask, are those mainly daily positions/systems that have helped you nudge up of DD, or still a majority of weekly ASX?

 

[Skate]

Have just thought I'd like a "Pool" indicator.
By pool, I am thinking of all the ASX sectors combined with the intention of understanding if the market liquidity generally is substantially increasing or decreasing at any particular time. A live indicator. Is the money flooding in or draining out or just milling around? I guess it could also be used as a current sentiment indicator, bullish or bearish.F.Rock

@frugal.rock there is already an indicator to measure if "money is flooding in or draining out" The "Indicator" is called the "Buy and sell pressure indicator" with a smoothed Histogram. The indicator is the work of Karthik Marar & is freely found here: http://karthikmarar.blogspot.com/2012/09/buying-and-selling-pressure-indicator.html - "there is no reason to reinvent the wheel"

Skate, can you look at the NCZ & PGL

A picture paints a thousand words
Study the "Buy & Sell" indicator in action - better still, download the indicator & play with it.













Skate.

 

[ducati916]

@frugal.rock there is already an indicator to measure if "money is flooding in or draining out" The "Indicator" is called the "Buy and sell pressure indicator" with a smoothed Histogram. The indicator is the work of Karthik Marar & is freely found here: http://karthikmarar.blogspot.com/2012/09/buying-and-selling-pressure-indicator.html - "there is no reason to reinvent the wheel"



A picture paints a thousand words
Study the "Buy & Sell" indicator in action - better still, download the indicator & play with it.

View attachment 102181




View attachment 102182








View attachment 102183

Skate.

Mr Skate,

Rather reminds me of the MACD, which provides that lovely divergence indication!



jog on
duc

 

[Skate]

Skate, how the h#ll have you got our equity curve heading up again so quick. Can I ask, are those mainly daily positions/systems that have helped you nudge up of DD, or still a majority of weekly ASX?

@Newt, I trade a lot of systems, some strategies have an "index filter" others don't. I have a "partly dormant system" that seeks under value securities (no, it's not a reversion style system) & it rarely gives signals but of late it has been jumping out of it's skin. Having a large amount sitting on the sidelines the opportunity was too good to pass up, I've aggressively traded the strategy. (with luck so far) The name of the strategy & the finer details is not important or worthy of discussing.

Skate.

 

[Skate]

Skate, how the h#ll have you got our equity curve heading up again so quick

@Newt. I totally agree, I snagged $79k on Tuesday only to give $55k back on Friday, but overall it was a good week all things considered. Skate.

Daily fluctuations
I'm trading aggressively at the moment & my daily swings range between -$60k & +$90k so it's not for the faint hearted.

Some have stopped trading
Traders at the moment are torn between being scared & resentful they are missing out, some have stopped trading altogether waiting for the good times to return while others are fearful that the worst is still to come. (read some of recent posts here on ASF - it doesn't take long to form that opinion)

Perceived value
Good quality companies have been sold down so cheaply representing good value to “me” (if not now, they represent value well into the future). The recent sell off was panic selling without realising the markets around the world won’t be allowed to collapse. If you are interested in which sectors to have a dabble in, read @peter2 thread he lists them for you.

Market timing
Timing the market when volatility is extreme can be done quite easily with a few indicators. The majority of traders are happy to sit on the sideline watching the recent falls without capitalising on the recent spike doing nothing about it. They have felt or experienced value being destroyed without applying a strategy to pick up a few bargains at "basement prices". I’m just picking up perceived bargains. (Bottom feeding for a better word) The bigger the loss traders endure the more likely they are to persist doing nothing just watching from the sidelines.

A timely post

Thank you for the good work you are doing Skate. Markets can be scary in times of big falls (like at the end of 2018) and crashes like this one. I missed the bulk of the recovery that started in 2019 due to staying out of the market because of the fear , having liquidated late 2018. Should've stayed glued to this thread and those of Peter2's as you guys were investing right from the start of 2019 recovery. Although we don't know if the bottom has been reached I think it gives me enough confidence to have a nibble here and there. Cheers and off to do some research to find if there is any diamonds in the rough...

There you go, @aus_trader gets it.

Skate.