Dump it Here

[qldfrog]

Definitively not a matter of being right or wrong, look NXT lately yet would likely lock my silverware before inviting their mgt at home.
It is a matter of following/preempting the lemmings but jumping aside before the cliff drop.
Has been and is still the game

 

[Newt]

So, do you think it might pay to "get with the program" ?
Have been observing algo behaviour lately.
With yesterday's volume and price action on PDI, algorithms definitely were involved. Seems like it's going to carry on today... today will see some big winners and probably bigger losers... Possibly a good short trade developing...?
Either way, am watching only.

However, FAU has been showing modest signs of improvement.
Hoping it's a stunt double of PDI...
Seems relatively unknown for the time being.
FAU thread dormant, until now.
https://www.aussiestockforums.com/threads/fau-first-au-limited.34043/

F.Rock

Definitely Frugal, BUT, just be aware you'll have to become a competent moderately successful and disciplined trader before you can hope to create consistently profitable code that emlulates your trading "modus operandi".

For most of us, that learning period is roughly 2 - 20 years

 

[frugal.rock]

Definitely Frugal, BUT, just be aware you'll have to become a competent moderately successful and disciplined trader before you can hope to create consistently profitable code that emlulates your trading "modus operandi".

For most of us, that learning period is roughly 2 - 20 years

At the moment, am settling for partially incompetent, slightly susuccessful undisciplined trader status.
Still learning daily and know that I know that I don't know much, but after a year of trading and circa 1200 trades, it's make or break time.
I should review trades more often, the bad ones I mean.

Oh, the "get with the program" thing was a pun ... to do with the automated algo/ bot discussion comments.
Recognition of algorithms trends is something I have been having some success with. Some are very touchy to trading interference, occasionally presenting opportunity.

F.Rock

 

[Skate]

Wow. PDI Predictive. This has been in my watchlist for a while. Expected a gap up on open...didn't expect 200% on open, and definitely didn't expect a high over 800% up.Wow.

For most of us, that learning period is roughly 2 - 20 years

@ducati916 has been active on the thread recently & passed on a few "gems". "The Ducati blue bar strategy" has the uncanny ability to pick some great moves. Recently it picked the move of "PDI".

It gets off quick
Looking at the chart you'll notice when "The Ducati blue bar strategy" generates a signal that doesn't follow through it get off the position quick smart - the most recent breakout of "PDI" has been captured by "The Ducati blue bar strategy" proving systematic trend trading still works in bearish markets.

Recent posts
I've recently posted about "The Ducati blue bar strategy" & the "Duc Indicator" both brilliant ideas. Since Duc has dropped those gems I've been hard at work trying to develop them further. We have all been given the same information about "The Ducati blue bar strategy" but I'll bet you pounds-to-peanuts not one reader is running with the idea.

Chart
I'll post up the chart of "PDI" snagging the recent breakout. Looking at the chart it was on every move & quickly hoping off when the move didn't follow through.



Skate.

 

[peter2]

Yep, it picked the move in PDI but who trades this sort of micro crap stock?
The strategy has probably indicated hundreds during the current market rally. We can't buy them all.

I'm not interested in looking at a strategy that acts like a mean reversion system. The average length of the trades shown in your back-tests was a little over two bars. Please don't call this a trend strategy.

 

[Skate]

Yep, it picked the move in PDI but who trades this sort of micro crap stock? The strategy has probably indicated hundreds during the current market rally. We can't buy them all. I'm not interested in looking at a strategy that acts like a mean reversion system. The average length of the trades shown in your back-tests was a little over two bars. Please don't call this a trend strategy.

@Peter, I displayed "The Ducati blue bar strategy" to demonstrate that it picks turning points within a trend, whether it be a trend continuation or a start of of a new uptrend. "The Ducati blue bar strategy" is definitely not a "Mean Reversion" system. Admittedly in its raw form it picks many positions daily but with additional parameter settings with a refined PositionScored the strategy is showing potential.

Definitely Frugal, BUT, just be aware you'll have to become a competent moderately successful and disciplined trader before you can hope to create consistently profitable code that emlulates your trading "modus operandi". For most of us, that learning period is roughly 2 - 20 years

@Newt, after watching the video posted by @Trendnomics recently I got the distinct feeling as a Systematic Trend Trader I might be wasting my time believing the price moments are just random. If price movements are really random - I've sure capitalised on some of the moves.

Better System Trader Podcast
After listening to Greg Morris, a trader using "Technical Analyst" restored my faith in systemic trend trading. If you have watched the video it pays to balance both sides of the argument by listening to Greg Morris to understand the tools he uses with great success.

Listen to Greg Morris
http://bettersystemtrader.com/031-greg-morris/

Systemic Trend Trading Works
Most members on the forum are seasoned traders with many more years of experience than I have as my experience is limited to 5 years. Systemic Trend Trading has been kind to me over these years. The "PANDA Strategy" acknowledged by @peter2 as a handy performer so I'll use that strategy as an example. The backtest is over the last "4 complete calendar years".

Backtest settings
Portfolio Size - $300k
Number of Positions - 20
Position Sizing - $15k (no re-balancing)
Backtest period - 1st January 2016 to 30th December 2019

FYI
The "PANDA Strategy" isn't shabby at all with a low maximum drawdown percentage as a nice additional feature.

I'm saying - it's doable
Beginners who are reading this post take heart, with a lot of work it can be done.






It takes time
To get the strategy to this level of consistency it's taken countless hour in development & many more hours refining the system.

Skate.

 

[frugal.rock]

Yep, it picked the move in PDI but who trades this sort of micro crap stock?
The strategy has probably indicated hundreds during the current market rally. We can't buy them all.

Who trades any sort of crap stock that has become an insto's flavour of the day?
The insto then the market.
Around $20 million traded each day, from nothing to something.
An instant pop up gambling den IMO.
Unless you're already holding a
stock that gets favoured by insto action, buying is a pure gamble...
Dangerous.
However, for purely intraday TA traders, is it a crap stock?
Probably, because as you say, there's been plenty of opportunities lately.
I didn't trade it as the risk level was/ is unacceptable to me.

F.Rock

 

[Skate]

Yep, it picked the move in PDI but who trades this sort of micro crap stock? The strategy has probably indicated hundreds during the current market rally. We can't buy them all. I'm not interested in looking at a strategy that acts like a mean reversion system. The average length of the trades shown in your back-tests was a little over two bars. Please don't call this a trend strategy.

@peter2 re-reading your comments about "The Ducati blue bar strategy" I believe they were unkind.

4 year Backtest
I've just completed a backtest over the last 4 years as per my previous PANDA Strategy. I'm posting a backtest "to overcome a confusion" others may have gathered from your comments.

Stats
1. Average winning bars held over a 4 years period = 10.89 Bars/days
2. Number of bars in the largest win = 22 Bars/days
3. Number of bars in the largest loss = 2 Bars/days
4. Average annual return percentage (over a 4 years period) = 20.95%

Difference of opinions
Peter our opinions differ at this stage but "IMHO" the strategy has potential to be developed. For those reading a "beginners thread" it might be a perfect entry into strategy development to understand how markets move - that's all.




All the comments I've made in the "Dump it here" thread are to encourage others - passing on information that I found helpful or interesting in my journey.

Skate.

 

[frugal.rock]

I had a crap day. Didn't really trade.
One buy.
Portfolio down 5.8% today alone, was 1% off 0% drawdown prior.
So seeing things like PDI really piss me off.

 

[Joe90]

I'll post up the chart of "PDI" snagging the recent breakout. Looking at the chart it was on every move & quickly hoping off when the move didn't follow through.

I'm going to call complete BS on this one. You've got five buys signals on some 1/2c festering canker of a speccie and you're claiming you detected a breakout that occurred ~10days after the last buy signal? Utter bollocks.

Please post some afl code to show everyone interested how the system supposedly works so we can evaluate it properly for ourselves.

 

[peter2]

@Skate My apologies if you were unsettled by my post.

When you first displayed the PDI chart as an example of the "The Ducati blue bar strategy" it was in reply to a members request to see it on PDI. That was reasonable.

When your posted the PDI chart again as a "gem" of an example, well, that I didn't like because I felt that PDI was a poor choice to use as an example. I like @Joe90 's description of the stock very much.

Re: your recent back tests. I've had another look at them and I'm sure that the average trade length is ~2 bars. Now I'm wondering if those back tests were to show the effectiveness of the "Duc indicator" as an entry signal only and all trades were exited after two bars to test if the indicator was worth more research. It didn't read that way as you mentioned normal exit strategies were used.

Why are all the back tests showing the average trade length of 2 bars ?

The stats of your PANDA back test are more like a trend strategy (W% < 50% and average trade length of winners twice that of the losers). The good old PANDA may not need any assistance from the Duc Indicator.

 

[Skate]

I'm going to call complete BS on this one. You've got five buys signals on some 1/2c festering canker of a speccie and you're claiming you detected a breakout that occurred ~10days after the last buy signal? Utter bollocks. Please post some afl code to show everyone interested how the system supposedly works so we can evaluate it properly for ourselves.

@Joe90 I believe you are missing the point or have jumped to a conclusion without knowing why the post was made. Let me try to background the strategy & why the chart was posted in the first place taking each comment in order.

1. "I'm going to call complete BS on this one"
You called BS because I posted a chart of "PDI" a security that @frugal.rock had made a few posts about in this & another thread. If you read his posts on "PDI" it's obvious he is emotional disappointed for missing the breakout. If you read my post I had remarked that there were many breakouts that didn't follow through. Also with the strategy parameter setting the position wouldn't have been taken & I never claimed or inferred this, the post was for @frugal.rock.

2. "You've got five buys signals on some 1/2c festering canker of a speccie and you're claiming you detected a breakout that occurred ~10days after the last buy signal? Utter bollocks"
Let me explain again - the chart was posted for @frugal.rock as it was a security he was following. As far as claiming that "The Ducati blue bar strategy" detected a breakout - the strategy did detect the breakout (obvious as shown in the chart above)

3. "Please post some afl code to show everyone interested how the system supposedly works so we can evaluate it properly for ourselves"
Hey Joe, I've discussed this all before, don't make me go over it again, how about you go back & read a few posts because you have made post displaying a poor attitude.

The 'Dump it here' thread
The sole purpose of this thread is to help others gain knowledge. The thread is for the "exchange of ideas, not a contest of ideas".

Snide remarks
I've found some members can't help themselves by posting to point-score at every turn, belittling or ridiculing others & in my opinion it's not the way forward. We are a community of like minded people who have common interests & goals. All members who are at different stages & levels of experience can still make a contribution to this thread if they have the desire to help others.

Before posting T.H.I.N.K.
T - is it true?
H - is it helpful?
I - is it inspiring?
N - is it necessary?
K - is it kind?

Reads these posts before you respond
https://www.aussiestockforums.com/posts/1065849/
https://www.aussiestockforums.com/posts/1066161/

ducati916 posted ↑
"I am aware of the 'algos', are often visible during low volume periods that is not enough to break the 'trend' that is tied to a volatility measure. The programmers use multiple inputs that I believe is 'volatility' & Value Funds, will not buy long into high volatility. Their buying, creates a bottom in the market that pushes volatility higher so "volatility and cash/volume are two inputs". Given that your systems are cycling you in and out of stocks, from your perspective, I agree the entry is almost irrelevant as you buy high to sell higher. In this scenario, the exit is all encompassing. Your GTFO trigger seemed to work as well as anything and better than most. You will (obviously) have to programme into your systems some form of indicator. (Volatility & Volume) within a trend"

Duc's key words.
1. "Volume"
2. The trend is tied to a "volatility measure" taken from the VIX or "other sources"
3. So "volatility & volume" are the two inputs

"The Ducati Daily Blue Bar strategy"
The strategy was quick to code using Duc's key words because he stripped trading back to the bare basics "volatility & volume" the drivers of a trend. Once again it proves "simple" works. Joe if you have something that helpful to add I'm all ears

The "Dump it here" thread
Making a stupid comment is unhelpful. Posting an alternative view is better than leading off in a confrontational manner as you did. I don't want to be rude but I find it very difficult to educate an idiot, was that the response you were after from me.

Skate.

 

[Skate]

@Skate My apologies if you were unsettled by my post. When you first displayed the PDI chart as an example of the "The Ducati blue bar strategy" it was in reply to a members request to see it on PDI. That was reasonable. When your posted the PDI chart again as a "gem" of an example, well, that I didn't like because I felt that PDI was a poor choice to use as an example. I like .

@peter2 lets put this conversation into context. @ducati916 has been posting educational information in the "Dump it here" thread that I appreciate. It's hard to fill content that's educational while entertaining. Duc recently posted a few of his fundamental ideas in what he looks for when taking a position. I condensed his post & listed his key words. I coded a new strategy from those two words - "volatility & volume" the drivers of a trend. The two words formed the entry condition, Duc never mentioned an exit condition so for simplicity I exited when the entry condition was no longer being met. I used "Blue & Red" bars so others could follow along without any dramas. The exercise was to take a suggestion & turn it into a system & display some backtest results.

I made a few comments
"The Ducati Daily Blue Bar strategy" is a simple strategy buying the first "blue bar" & selling the first "red bar" it simple & surprisingly effective. I'm first to admit the strategy needs further development.

New Trading Idea
With all trading ideas we are trying to tilt the odds of success in our favour by buying into trends whilst minimizing our losses. Buying good companies at the "right time" & getting off quickly "at the right time" when it all goes wrong is the simplicity of the system.

Educational exercise
"The Ducati Daily Blue Bar strategy" & the "Duc Indicator" were two ideas generously shared by @ducati916. I profited from his advice where others just want to make unhelpful snide remarks.

The good old PANDA may not need any assistance from the Duc Indicator.

The PANDA Strategy sets a new level handling complex mathematical gymnastics thrown at it. The GTFO & the "Duc indicator" aren't required as PANDA handles the job nicely by itself.

I'm not interested in looking at a strategy that acts like a mean reversion system. The average length of the trades shown in your back-tests was a little over two bars. Please don't call this a trend strategy.

I'm going to call complete BS on this one. You've got five buys signals on some 1/2c festering canker of a speccie and you're claiming you detected a breakout that occurred ~10days after the last buy signal? Utter bollocks.

Poor form
I considered both the posts above unhelpful & certainty not in keeping with the polite nature of the "Dump it here" thread. This thread is not a contest of idea but an exchange of ideas. Being right or wrong is not the point. This thread gives everyone a platform to express an alternative idea, view or opinion. Snarly remarked don't lead to a friendly exchange.

Skate.

 

[ducati916]

1. Yep, it picked the move in PDI but who trades this sort of micro crap stock?

2. The strategy has probably indicated hundreds during the current market rally. We can't buy them all.

3. I'm not interested in looking at a strategy that acts like a mean reversion system. The average length of the trades shown in your back-tests was a little over two bars. Please don't call this a trend strategy.

1. Can't really comment on this as it is an ASX stock and I don't follow ASX (where really pretty much all of your stocks, in comparison to US, are micro-caps).

2. True. You need to add some form of filter. My understanding from this thread and looking at you system trader chaps, is that you all do this already. Therefore if a stock not meeting your criteria is thrown up, it would simply be discarded...correct?

3. Again, really referencing the US: (a) that is the correct observation. In the US a 'mean reversion' trade is exactly what happens across all time frames, especially in ETFs and Indices, Futures. VWAP is a very popular indicator and trading a reversion to that indicator is all many (daytraders) will undertake. Other longer term traders also use it. The 'key' is calculating just how stretched is stretched for a snap back. Mr Skate's code seems to have quantified that via entries. Possibly an 'optimised' exit would be (rather than first red bar) when the snap back hits the 20 day EMA (or some-such). Again, I'm sure Mr Skate could code that and test it.

jog on
duc

 

[ducati916]

Who trades any sort of crap stock that has become an insto's flavour of the day?
The insto then the market.
Around $20 million traded each day, from nothing to something.
An instant pop up gambling den IMO.
Unless you're already holding a
stock that gets favoured by insto action, buying is a pure gamble...
Dangerous.
However, for purely intraday TA traders, is it a crap stock?
Probably, because as you say, there's been plenty of opportunities lately.
I didn't trade it as the risk level was/ is unacceptable to me.

F.Rock

Mr Rock,

So the last couple of posts have indicated some frustration with the markets. Totally understandable. It has been a difficult patch.

Now this thread is dedicated (largely) to systems, coding, automated decision making. It tends to be (although by no means necessary) long only.

Coding would send me to sleep.

There are however lots of different ways to approach the market, although you would have to trade the US, the ASX simply does not have the depth, liquidity or variety to implement other strategies. Strategies such as:

(a) A variety of Options strategies: I have linked 2, but there are many more to consider;



(b) These chaps list loads more:
https://www.tastytrade.com/tt/


I use the following 3 strategies:

(c) I have not seen any examples of this on the internet: gamma scalping. Big advantage, market neutral. Had you had a position on leading into this crash, you would have made so much money your head would spin. Utilises Black/Scholes model.

(d) Equity based trading I use almost exclusively ETFs. While I can do the Fundie thing, it is far too time consuming. Trading a basket of stocks is less risky than trading individual stocks for a number of reasons, which I won't bother detailing here. Too slow, use the leveraged ETFs. Here you are looking at longer term holds and trading partial positions based on fluctuations. Leverage adds to the number of fluctuations and the number of opportunities. Just a form of rebalancing really.

(e) Pairs trading. Big advantage, market neutral.

jog on
duc

 

[ducati916]

To succeed in the markets, one needs to overcome this mindset and reverse it (however you can)! Systems, discretionary methodology, quant, fundie, it matters not.



jog on
duc

 

[aus_trader]

Interesting read of the above posts Duc, especially regarding your ETF trading. I was just having a look at the inverse ETFs. The one I was looking at seems like a scam, see below:


The reason I say it is because I don't think you can make money buying it for longer term even if the market went down for a long time. It's already at the low's while the S&P500 has barely pushed up half way from the selloff.

What do you think ? Do you use these type of ETF's ?

 

[qldfrog]

We have all been given the same information about "The Ducati blue bar strategy" but I'll bet you pounds-to-peanuts not one reader is running with the idea.

I send the peanut, you send the pounds?
Involved in serious work based on the Gems Duc sent.

Just a few months ago, my bband based second system was already working on bband (Volatility) AND volume, it was good enough to start putting money in.
i found better entries and it has been replaced but was better than my first system a year and a half ago
Following @ducati916 and your posts, i have reactivated this research.
But only 24h in a day...
I spent most of my day yesterday tending to my bees...
People are reading and appreciating some of the teases if only to trigger more of our own research.
I know i am not alone as i discuss this with other ASF posters
So thanks @Skate and @ducati916

 

[ducati916]

Interesting read of the above posts Duc, especially regarding your ETF trading. I was just having a look at the inverse ETFs. The one I was looking at seems like a scam, see below:

View attachment 102348
The reason I say it is because I don't think you can make money buying it for longer term even if the market went down for a long time. It's already at the low's while the S&P500 has barely pushed up half way from the selloff.

What do you think ? Do you use these type of ETF's ?

Short answer no. I don't use the inverse (short) ETFs. If I am going short, I use Options (Puts). Options allow a fixed risk position. I don't have to monitor particularly closely, carries lots of leverage (far more than x3) and allows far more flexibility re. hedging the position.

One thing you need to bear in mind when placing a trade, are volatility levels, Options are prone to IV crush.

jog on
duc

 

[Bazzi]

View attachment 102138
Start Date: 18th March 2020
Portfolio Capital: $120,000
Positions in the Portfolio: 8
Fixed Position Sizing: $15,000

View attachment 102139
1. TNE @ $7.00 for 2142 shares on the 18th March 2020
2. PPH @ $2.99 for 5016 shares on the 23rd March 2020
3. BTH @ $0.47 for 31914 shares on the 25th March 2020
4. NXT @ $7.94 for 1889 shares on the 25th March 2020 - # SOLD 9th April 2020 @ $8.46
5. PNV @ $1.53 for 9803 shares on the 25th March 2020
6. NAN @ $5.45 for 2752 shares on the 27th March 2020
7. SLC @ $0.54 for 27777 shares on the 27th March 2020
8. NCZ @ $0.076 for 197368 shares on the 27th March 2020

View attachment 102140

View attachment 102141




View attachment 102142




View attachment 102144




View attachment 102145


View attachment 102146

Skate.

Hi @Skate , Just curious if you got an update to the open positions of the Ducati Strategy?

Also do you see EOS & AD8 are at a good entry point?
Thanks!