Dump it Here

[Skate]

I see this as a great opportunity to learn. I would want to analyse and understand why each trade is being placed, as other than a potential reward, blindly following a system would not help me learn. It will be an interesting process, looking forward to it.

DISLAIMER
I want to make it clear that I'll be posting my trades for the purpose of tracking my own system, it's an educational exercise & it should not to be confused with running a signal service for others to follow. The format will be similar to my previous posts displaying the trades I intend to open and close well in advance keeping a accurate record of my progress for those interested in following the journey. The "Dump it here" thread is an educational thread & by displaying the progress of the "Action Strategy" strategy will hopefully help to educate others. So there is no confusion my intentions is for others to follow along not trade along.

Apologies
If my previous posts about the new strategy gave the wrong impression I apologise, the "Action Strategy" will be displayed to keep a record of my progress.

The format
In the next thread I'll post a sample of the format that will be used for educational purposes & it's pleasing others are interested to follow along.

Skate.

 

[Skate]

Disclaimer
This is not a signal service but hypothetically if we turned off the "Index Filter" & the "Action Strategy" started trading on April Fools Day (1/4/2020) how would it be traveling at the moment? - I'd be interested in knowing.

Lets see the signals (with the Index filter turned off)
You would have been Bat$hit crazy to have traded in April - when the odds are not in your favour that's gambling. Just for the exercise I've turned the Index Filter off so you can get a feel how the system takes signals. The system is in profit that comforting to know.



More to come...

Skate.

 

[Skate]

Disclaimer
The next graphic displays the hypothetical signals for Monday as the "Index Filter" is still turned off. There is "no way in hell" I would trade a strategy without protection - that would be foolish.

Sample of what to expect
So the system generates a sample of signals I'll use the hypothetical "Action Strategy" remembering that the "Index Filter is still turned off". With the Index turned off the strategy will generate buy signals when the entry conditions are met. Sell signals are not dependant on the Index Filter, meaning a sell signal is generated when the exit conditions are met.



There are 4 sell signals
There are 4 exit signals listed but as the "Action Strategy" only holds 2 of them (GOR & AGG) those two would be sold at open on Monday. Both (GOR & AGG) at this stage will be exited as winners.

For transparency
All the signals for the "Action Strategy" will be posted well in advance for transparency.

More to follow..

Skate.

 

[frugal.rock]

I'm in. Unless something in the portfolio pops soon (unlikely), don't quite have the full amount to divest yet though. So, some discretion required my part.

@qldfrog
I believe Skate stated he would post extensively before and after trades?

Skate, I am wondering if you have refined the exit / reverse signal from earlier iterations of the current strategy?

(My thoughts go back to the NCZ posted chart from around 6th March, where the price floated down for around 2 weeks with no sell signal.)

Also, as Duc has suggested re volumes, some stocks may not be suitable. Can you let us know what the criteria minimum daily volume is or is that secret? Or has been wisely considered to take a few extra trades without slippage?

F.Rock

 

[Skate]

The "Action Strategy" will start when the first signal is generated
I'll post the signals on Friday night, update night. I'll be placing "my orders" in the pre-auction before Monday's open.

Signals
The exploration displays the (1) ASX code, (2) the amount of shares to purchase, (3) the buy offer for the pre-auction & (4) finally what it will cost me (each investment needs to be under 1k because of the commission cost amount). To action the sell signals (a) I"ll sell all shares if held in the portfolio (b) at the sell offer price in the pre-auction as well. No thinking is required when you are a mechanical systems trader, just actioning the signals as they are generated. Thinking I've found usually complicates trading.

I won't be deviating from our plan
I'll take the signals as given without deviation from my plan. I'll be posting the 'Action Strategy Portfolio' so I can track it's progress where others can follow along.

Losing is part of the game
Don't forget I'm going to lose money, when that happens 'I'll suck-it-up' & not panic. Success is not guaranteed but rest assured I'll will be doing my best.

Remember
Trading is not a sprint but a marathon.

Buying duds
I know 50% of the buy signals will be duds & if all goes to plan I'll take an early hit as any trend following strategy needs time to do its thing.

Complete Scan
I will post the full scan each week that include my buy & sell for "me to action" before the next open. If there is sell listed currently not in my portfolio those signals are discarded, meaning action will not be required.

Trend can last
If the "Action Strategy" snags a good trend it can ride it for quite some time - the duds will be sold quickly. Trading is not a sprint, we make money over time, slow & steady at first than hopefully snowballing from then on.

Message to myself
I'll have good days & bad days, good weeks & bad weeks, it's all about hanging in there, losing is all part of the game so don't become emotional just stick to the plan.

Skate.

 

[Newt]

Sounds like an interesting initiatve Skate. I'll be interested to see how the team goes

 

[Beaches]

I'm not 100% how the auction process works but if a number of people are bidding on a small cap stock then conceivably some may miss out. Moreover I believe Skate uses a limit order so that would narrow the field even more. It will be an interesting process, looking forward to it.

If you are going to buy during the opening auction, it may be helpful to understand how it works.

From 7:00am to 10:00am the market is in Pre Open mode. During this time, orders can be placed but will not trade.

As the orders being placed during Pre Open are not trading, there will be Buy orders that are above Sell orders and Sell orders that are below Buy orders. These orders form the overlapping bids which will be used by the opening auction algorithm.

The ASX uses an algorithm to match the volume and price of all overlapping Buy and Sell orders to calculate and set the opening price. As different Buy and Sell orders are entered into the market from 7:00am to 10:00am, the algorithm is constantly looking at the overlapping bids and a likely opening price will be displayed. This likely opening price gives everyone an idea of where they will need to set their bid in order to get filled at opening.

As a very simple example, if a stock has the following Buy and Sell bids during Pre Open:

Buy Orders
2000 @ 10.51
7000 @ 10.50
1000 @ 10.45
1000 @ 10 44

Sell Orders
1000 @ 10.48
2000 @ 10.49
6000 @ 10 50
1000 @ 10.56
1000 @ 10.57

In the above example there are 2 Buy orders and 3 Sell orders that are overlapping (coloured red). If we assume the ASX algorithm looks at these overlapping bids and calculates the opening price at $10.50, all of the overlapping (red) bids would be filled at $10.50 when the market for TLS opens.

At 10:00am the market commences a staggered opening alphabetically as follows:
10:00:00 - Stocks A - B
10:02:15 - Stocks C - F
10:04:30 - Stocks G - M
10:06:45 - Stocks N - R
10:09:00 - Stocks S – Z

Once each stock opens, it then trades normally throughout the day until 4:00pm when the market goes into the closing auction.

If there are no overlapping bids for a particular stock, then no opening auction occurs. The opening price will be the price of the first trade that goes through after opening.

 

[Skate]

Skate, I am wondering if you have refined the exit / reverse signal from earlier iterations of the current strategy?

@frugal.rock Duc's entry conditions have all been posted in this thread, the exit strategy has been refined from Duc idea privately explained. I'm not saying Duc's ar$e or credibility is on the line as it's my responsibility turning his ideas into tradable "actions". Duc's discretionary ideas have been coded in the "Action Strategy" (mechanical trading system).

Here's the problem
I'm lazy - "The Ducati Blue Bar Daily Strategy", "The Ducati Stop & Go Indicator" & "The Ducati Acceleration Indicator" are uncannily accurate when they are applied to a daily timeframe, the signals are fast & snappy but I prefer to trade weekly raising a whole new set of issues.

Also, as Duc has suggested re volumes, some stocks may not be suitable. Can you let us know what the criteria minimum daily volume is or is that secret? Or has been wisely considered to take a few extra trades without slippage?

You ask about filters
The "Action Strategy" is a Weekly system trading the All Ordinaries - Turnover, Volume, Acceleration, Momentum are some of the filters used to select the best of the best represented in the XAO index. The "Action Strategy" is simple in its execution. How? - by jumping on confirmed trends riding them as long as possible & jumping off when they lose momentum. The major issue with any "confirmation" is that you will never enter at the start of a trend or exit at the top of the trend. The "exit confirmation" guarantees you will give back a proportion of your open profits.

Other answers to your questions
(1) 3% slippage is included
(2) parameter setting & filters are vital to this or any other strategy & the values are adequate to make sure of liquidity, moving in & out of a position is critical
(3) the actual settings, amounts or percentages are not disclosed.

Skate.

 

[aus_trader]

Hi Skate,
It is kind of you to post the trades this new strategy generates. I will definitely be following along and will be happy to selectively place 1k positions on some of the trades generated.

Knowing that your system filter keeps out initiating new trades is assuring. Although I don't do anything complex I also try and stay out of down trending markets like we have just had. I have only just started buying a few selective companies in the "speculative stock portfolio" as you know.

 

[Skate]

will be happy to selectively place 1k positions on some of the trades generated

To be clear i do not intend to trade your results unless they actually match my systems.

I'm glad these comment have been made as "selective selection" won't cut it - system trading is a numbers game. With 50% of the signals being duds selective selection is a sure way to lose money.

Mechanical System Trading
This style of trading is an "all or nothing" endeavour, you are fully in or fully out.

Skate.

 

[Skate]

If you are going to buy during the opening auction, it may be helpful to understand how it works.

From 7:00am to 10:00am the market is in Pre Open mode. During this time, orders can be placed but will not trade.

As the orders being placed during Pre Open are not trading, there will be Buy orders that are above Sell orders and Sell orders that are below Buy orders. These orders form the overlapping bids which will be used by the opening auction algorithm.

The ASX uses an algorithm to match the volume and price of all overlapping Buy and Sell orders to calculate and set the opening price. As different Buy and Sell orders are entered into the market from 7:00am to 10:00am, the algorithm is constantly looking at the overlapping bids and a likely opening price will be displayed. This likely opening price gives everyone an idea of where they will need to set their bid in order to get filled at opening.

As a very simple example, if a stock has the following Buy and Sell bids during Pre Open:

Buy Orders
2000 @ 10.51
7000 @ 10.50
1000 @ 10.45
1000 @ 10 44

Sell Orders
1000 @ 10.48
2000 @ 10.49
6000 @ 10 50
1000 @ 10.56
1000 @ 10.57

In the above example there are 2 Buy orders and 3 Sell orders that are overlapping (coloured red). If we assume the ASX algorithm looks at these overlapping bids and calculates the opening price at $10.50, all of the overlapping (red) bids would be filled at $10.50 when the market for TLS opens.

At 10:00am the market commences a staggered opening alphabetically as follows:
10:00:00 - Stocks A - B
10:02:15 - Stocks C - F
10:04:30 - Stocks G - M
10:06:45 - Stocks N - R
10:09:00 - Stocks S – Z

Once each stock opens, it then trades normally throughout the day until 4:00pm when the market goes into the closing auction.

If there are no overlapping bids for a particular stock, then no opening auction occurs. The opening price will be the price of the first trade that goes through after opening.

@Beaches welcome to our community & congratulations are in order - your first post was very impressive & full of educational value.

Skate.

 

[Skate]

The "Dump it here" thread
It's a timely reminder with the influx of new members to explain the concept behind the "Dump it here" thread. This thread is about expressing new idea & alternative ideas - comments with a different point of view are always welcomed. Whether your view is right or wrong isn't important, what's more important, this thread gives you the ability to express your views "without being ridiculed or challenged".

Experience
Every member enjoys a different level of experience & expertise. When posting think of posting an "alternative view" that has educational value or if you "totally disagree" with one of the posts, explain so others understand your alternative view. (play the point not the person) Being friendly & polite is a unique feature of this thread & disrespectful comments are never welcomed.

It takes time
It takes a lot of time & effort to give a measured response so all I'm asking if you have a question or making a statement detail it precisely, let me understand why you don't understand as playing tennis with others is tiresome, boring & more importantly it wastes our time.

Skate.

 

[Skate]

I'm pushing an agenda
I'm currently pushing the "Systematic Trend Trading" agenda trying to stimulate others to get involved. The point of this recent exercise was to build on knowledge given freely by others. Opportunities in life are a dime a dozen - realising & actioning those opportunities creates the magic.

What am I not seeing
"The Ducati Blue Bar Daily Strategy", "The Ducati Stop & Go Indicator" & "The Ducati Acceleration Indicator" sprung into life from reading & understanding a few posts. Posting about them in various threads was to encourage others to think "what did Skate see that I didn't". I'm just saying others (not all) rarely put knowledge into action. The "Action Strategy" is designed to create a bit of interest & a few bucks for myself along the way.

Before I get off my "soapbox"
When you achieve a "perceived" level of success other quickly ask "how did you do it". When you explain most answer with a dismissive response: "that wouldn't work for me" where their response should have been along the lines of: "how will it work for me" most fail to realise life is like playing the game of pool.

Life is like the game of pool?
Playing pool is not about sinking the ball but "lining up the next shot" - most don't get it.

Skate.

 

[aus_trader]

I'm glad these comment have been made as "selective selection" won't cut it - system trading is a numbers game. With 50% of the signals being duds selective selection is a sure way to lose money.

Mechanical System Trading
This style of trading is an "all or nothing" endeavour, you are fully in or fully out.

Skate.

Oh I see. Thanks for clarifying that Skate.

 

[ducati916]

I'm glad these comment have been made as "selective selection" won't cut it - system trading is a numbers game. With 50% of the signals being duds selective selection is a sure way to lose money.

Mechanical System Trading
This style of trading is an "all or nothing" endeavour, you are fully in or fully out.

Skate.

The film to watch, if you want to really understand Mr Skate's position, is 'Moneyball'.

jog on
duc

 

[qldfrog]

If you are going to buy during the opening auction, it may be helpful to understand how it works.

From 7:00am to 10:00am the market is in Pre Open mode. During this time, orders can be placed but will not trade.

As the orders being placed during Pre Open are not trading, there will be Buy orders that are above Sell orders and Sell orders that are below Buy orders. These orders form the overlapping bids which will be used by the opening auction algorithm.

The ASX uses an algorithm to match the volume and price of all overlapping Buy and Sell orders to calculate and set the opening price. As different Buy and Sell orders are entered into the market from 7:00am to 10:00am, the algorithm is constantly looking at the overlapping bids and a likely opening price will be displayed. This likely opening price gives everyone an idea of where they will need to set their bid in order to get filled at opening.

As a very simple example, if a stock has the following Buy and Sell bids during Pre Open:

Buy Orders
2000 @ 10.51
7000 @ 10.50
1000 @ 10.45
1000 @ 10 44

Sell Orders
1000 @ 10.48
2000 @ 10.49
6000 @ 10 50
1000 @ 10.56
1000 @ 10.57

In the above example there are 2 Buy orders and 3 Sell orders that are overlapping (coloured red). If we assume the ASX algorithm looks at these overlapping bids and calculates the opening price at $10.50, all of the overlapping (red) bids would be filled at $10.50 when the market for TLS opens.

At 10:00am the market commences a staggered opening alphabetically as follows:
10:00:00 - Stocks A - B
10:02:15 - Stocks C - F
10:04:30 - Stocks G - M
10:06:45 - Stocks N - R
10:09:00 - Stocks S – Z

Once each stock opens, it then trades normally throughout the day until 4:00pm when the market goes into the closing auction.

If there are no overlapping bids for a particular stock, then no opening auction occurs. The opening price will be the price of the first trade that goes through after opening.

I believe this is gold information and maybe worth an entry in the dump it pdf?

 

[Aristotle]

View attachment 103178
The next graphic displays the hypothetical signals for Monday as the "Index Filter"
Skate.

Hello Skate, this is my first post. I thoroughly enjoyed reading the first 40 odd pages of your "Dump it Here" Thread. Along the way you mentioned that you use an Amibroker strategy in your trading and that you are happy to make it available on request. I also use Amibroker and I am particularly interested in how you set up and apply your "Index Filter" for Buy and Sell which is illustrated in the table above.

 

[Skate]

Hello Skate, this is my first post. I thoroughly enjoyed reading the first 40 odd pages of your "Dump it Here" Thread. Along the way you mentioned that you use an Amibroker strategy in your trading and that you are happy to make it available on request. I also use Amibroker and I am particularly interested in how you set up and apply your "Index Filter" for Buy and Sell which is illustrated in the table above.

@Aristotle thank you for making your first post in the "Dump it here" thread & reading the first 40 pages is an achievement in itself. Now let's talk about "Index Filters" which can keep you on the right side of the markets (INDEX)

Index Filter
Reference: http://www.amibroker.com/kb/index.php?s=index+filter
@Nina4 gives a good example: https://www.aussiestockforums.com/posts/1039294/

SetForeign
# HINT 1: Make sure SetForeign matches your data format. The examples below show there is a difference.
Premium data format: ( "XAO" )
Old Norgate Data format: ( "$XAO" )
Recent Norgate Data format: ( "$XAO.au" )

Lookback period
# HINT 2: The lookback period is matched to the periodicity of the system being traded. Weekly systems usually have a shorter lookback period than a Daily system.

How do they work
Index filters are basically a line in the sand (Moving Average Line), meaning the line is a Simple Moving Average of the "SetForeign". If the closing price is above the Moving Average (MA) the index filter is deemed to be "on" that signal can decide which other "arrays" come into play, one being the Buy condition.

I hope this helps..

Skate.

 

[Skate]

@Aristotle one of the great features of Amibroker is the ability to turn parameters on or off. The hypothetical signals for Monday were generated by turning the Index Filter off. The "ParamToggle" function allows you to turn parameters on or off. If I had missed that point more information can be found here: http://www.amibroker.com/guide/afl/paramtoggle.html

@Warr87 & @Lone Wolf have been discussing in the "multi-system-analysis-amibroker" thread a feature that I have been using since late 2015 that's worthy of a post.

Combining Strategies
One of my trading systems is the "HYBRID Strategy" that combines three different strategies into one. Each of the three strategy have their own parameters & setting competing for the first entry signal into a trend. The "HYBRID Strategy" is a top little money earner & a constant performer. Lone Wolf made a reference to Joe Marwood's website that explains the advantages of combining different strategies together & worthy of a read. https://decodingmarkets.com/combine-equity-curves-in-amibroker/

Whinge session
After a whinge session about trading multiple systems with correlation "the captain" floated the idea of combining them into one strategy. The task was a massive exercise but in the end it worked out well. This conversation was back in 2015 & if Joe Marwood wrote his article a little sooner than 2017 it would have saved me a lot of work making the job easier.

EXTRACT from the article - 3rd February, 2017 (By Joe Marwood)
"One of the keys to successful system trading is to be able to combine different strategies together. When you are able to combine less correlated strategies, it is possible to smooth drawdown, boost win rate and therefore improve your overall risk-adjusted returns. In Amibroker it is possible to combine equity curves together so you can see what the advantages are. Notice that in the first paragraph above I mention ‘less correlated’ instead of ‘uncorrelated’. That’s because it is rare to find profitable strategies that are completely uncorrelated. But so long as a system has a profitable edge and is slightly uncorrelated, great things can still be achieved"

Footnote
Joe Marwood is a member of the Amibroker forum. Joe's website is worth checking out "for new ideas".

Joe Marwood's website link
https://decodingmarkets.com

Skate.

 

[Warr87]

"Not putting all your eggs into one basket" is a financial cliche, or perhaps "diversification is king". And its a cliche for a reason. In my own analysis I am annoyed that my strategies have the least correlation coefficient of .97 which I thought was way to high. I compared drawdown which gave me much better metrics (low correlation). I hope this will translate too having DD's at different times. My overall CAGR is lower, but so is the MaxDD (my CAR/MDD ratio improves). The high correlation is going to happen if they are trading the same universe and long only. There is certainly value to be gained from running multiple systems.

I intend on giving Joe's website a closer look. His tutorial is quite good.