Dump it Here

[frugal.rock]

Good job Skate!
There's an impressive start to the strategy!
Wouldn't have thought indicator lag would be a worry on a weekly system though...
are you using the strategy for some intraday perhaps Mr Skate?

You know, I was going to cherry pick IGL... but went with PGL. Both were trading similarly.
Wondering if your system chucks out Ausnet tomorrow?

Good to see fruits from your labours, open profit.
Now, how much are these entry tickets?
Where would one start now, if one determined to start following along, for learning purposes?
Cheers.

F.Rock

 

[Skate]

Good job Skate! There's an impressive start to the strategy! Wouldn't have thought indicator lag would be a worry on a weekly system though...are you using the strategy for some intraday perhaps Mr Skate?
Wondering if your system chucks out Ausnet tomorrow?

@frugal.rock, the strategy is performing at the moment but that can spin on a dime if market sentiment drops. Speaking of "Lag" all indicators have a measure & others have it in spades, the longer the look-back period the worst it is. I've done a tremendous amount of work reducing "lag" to an acceptable level & it's woven into the Action Strategy.

Wondering if your system chucks out Ausnet tomorrow?
Why would you think that? - I think most will be wondering what Saturdays update will bring. If I told you it will spoil the surprise tomorrow.

Where would one start now, if one determined to start following along, for learning purposes?
It would be easy to join in at any time if the signals were displayed each week but that's not the point of the exercise. The exercise was to show how we can learn from the generous posts of others.

Important point
I've noticed the number of signals increase exponentially with the current (bullish) market sentiment. It could simply be that more companies are experiencing a tick up in volatility & volume. @ducati916 might like to express an additional fundamental view why.

Skate.

 

[Saqeeb]

Week 15: Update on my MAP paper trading portfolio.

It was a good week for the markets and this portfolio. The XAO rose 4.7% and this portfolio gained 2.4%. Considering the portfolio is only invested close to 40%, this is a good result for the week.

BUYS:
I entered into 1 trade last week, SLR
4 buy signals for this week.

SELLS:
No sells this week

 

[Rsthree]

The website and this thread has been a great learning experience for me since joining in January this year. So a big thank you.

I decided to get back into trading this year after first dipping my toes in the water over 12 or so years ago, and what a surreal time period to get back into it. While I am learning, I'm not sure that this extraordinary period in the market is an ideal proving ground.

I've been paper trading since early April and all good. Using a purely discretionary approach with asomwhat basic and simple trend following strategy the portfolio is up 29%.

My live portfolio is the Action Strategy and so far looking good. Thanks Skate

My dilemma at the moment is that I have $60k coming out of a term deposit and the prospect of re investing in cash at 1-2 % doesnt excite. On the other hand my limited experience in a somewhat crazy market doesn't yet inspire confidence for a more speculative investment. So as an interim, until at least I lose one of my training wheels, I was thinking I should park the cash in something more conservative, like conservative LICs and ETFs. Any pointers and advice from the brains trust here is much appreciated.

I have some more cash becoming available in the next few months so hopefully by then the market will settle a little and I'll have a few more tricks up my sleeve for a more aggressive play.

 

[ducati916]

Important point
I've noticed the number of signals increase exponentially with the current (bullish) market sentiment. It could simply be that more companies are experiencing a tick up in volatility & volume. @ducati916 might like to express an additional fundamental view why.

Skate.

Mr Skate's methodology has at its core a selection process (entry) and an exit criteria for individual stocks. I consider individual stocks as noise. They are more 'news dependent' than the overall market. This is why (my best guess) Mr Skate will hold 40+ stocks (although this latest strategy is potentially lower) as the 'news factor' or noise, is reduced on the overall portfolio. I prefer ETFs for the reduced noise and increased signal.

So the issue raised was how can a fundamental viewpoint add value?

So I hold as one ETF: DFEN. The top 15 holdings are:



Looking back to the last bear market:



This represents government spending. That is secured spending. Signed into law for 2020. For the year 2021 here is the budget proposal:

https://www.defense.gov/Newsroom/Re...od-releases-fiscal-year-2021-budget-proposal/

Military tensions are building between China and the US. There is a new Cold War developing. What will Mr Trump do?

Well we can infer that Mr Trump is a fan of the 'Gipper':



As he (Mr Trump) adopted the slogan.

President Reagan increased US Military spending to the point of bankrupting the then Soviet Union in the first Cold War. History repeating? Even if it isn't and the Cold War II never eventuates, military spending is not going away anytime soon.

Here is XAR (the x1 leverage) ETF of DFEN (x3 leverage)



An example of a fundamental viewpoint to stock/sector selection.

jog on
duc

 

[Skate]

An example of a fundamental viewpoint to stock/sector selection.

@ducati916 previous post from a fundamentalists perspective has slightly altered my opinion on the benefits of "Fundamental Analysis". After reading Duc's post & the Department of Defense (DoD) release paper (which was a real eye-opener) I'm with @Saqeeb, one "Like" per post is certainly not enough.

Duc confirmed holding (ETF: DFEN)
An impressive post from a fundamentalist, his in-depth analysis defends why he is holding (DFEN). The supporting information now gives me a better understanding of "Fundamental Analysis". After studying the graphics & reading the Department of Defense 2021 budget release, holding (DFEN) makes more sense. For those who have no interest in reading the hyperlink, I've condensed the (DoD) release to one paragraph.

Condensed extra from the (DoD hyperlink)
"Department of Defense (DoD). The FY 2021 budget supports the irreversible implementation of the National Defense Strategy (NDS), which drives the Department's decision-making in reprioritizing resources and shifting investments to prepare for a potential future, high-end fight. The President and Congress have placed an emphasis on funding the military. Our budgets over the past three years have allowed us to reverse the decline in readiness"

Skate.

 

[Skate]

Skate.

 

[Skate]

@Lone Wolf awesome stuff mate, works great and thanks for finding a fix. updated version of the AFL attached with fix for aligning foreign plots , Date on X axis, ATH in chart title and another column in the exploration called "Signal" to display buy / sell signal.

Well, I'm impressed with this post: https://www.aussiestockforums.com/posts/1075050/ especially the back & forth banter between @Trav. & @Lone Wolf

An idea
After reading the "amibroker-faq" thread it has given me an idea for a post in the "Dump it here" thread. One of the first Amibroker strategies that I traded live was a basic strategy but effective. It was one of a handful of strategies all being traded at the same time

The Donchian Strategy
There are new members joining every day seeking answers to their questions, some don't know how to ask a good question, so at times it's for us to fill in the blanks. I made over eleven posts referencing Richard Donchian & one of them can be found here: https://www.aussiestockforums.com/posts/1012251/ If you use keywords like (Donchian) in the search feature & include "posted by" (Skate), you will find what you are looking for without too much frustration.

Looking for perfection
For those looking for the perfect strategy, there isn’t one, so in the meantime, why re-invent the wheel – pick an idea that’s been backtested, proven to work & modify the idea to suit the job you want it to achieve.

New to Amibroker
For those new to Amibroker & are searching for a strategy to play around with I'm prepared to give you the original Donchain Strategy that I traded live. It was one of my first attempts at coding & with additional knowledge the learning progressed. My original strategy contained 60 lines of code for a "Backtest" & a similar number for my "Explore" code & the other two codes. In the early days, I kept the coding separate for clarity & they were divided into 4 separate codes: Explore code, Backtest code, Optimisation code & a separate code for Charts, nowadays they are all-inclusive. I find it hard to keep under 1200 lines of code these days, more lines allow finessing of the strategy.

"PM" me
If you are a beginner, struggling with Amibroker & you would like a copy of the Donchain.afl all you have to say is: "Donchian Strategy please, Thanks".

Skate.

 

[Skate]

Donchian channel breakout strategy
I've traded a modified version of the Donchian channel breakout strategy ( the strategy being given away) with great success from the 7th May 2016 to 30th December 2016 making just over $100k. Unfortunately, I no longer trade the Donchian Breakout strategy, not that's it's not a good strategy, it’s because I’ve got better & I can’t trade them all. Richard Donchian was a true pioneer of technical analysis. The fact is that a lot of trading strategies he developed forms the basis of so many other systems used today is an excellent indication of the value of his method.

Backtest Results
"7th May 2016 to 30th December 2016". The Donchian Strategy was a $500k portfolio trading 20 positions @ $25k fixed positions in the pre-auction.





The Exploration Signals
Crude by today's standards, but it did the job.



APX
Each strategy is loaded through an Analysis window project file (.apx file) that holds the information of all the relevant settings.

Skate.

 

[Warr87]

Those are some pretty good returns, nonetheless.

 

[rogerlg]

how do you pm a member

 

[debtfree]

Hi @rogerlg
Near the Top right hand corner of page you will see an envelope, click on it ... click on Start a new conversation ... enter the participant's name into the box, such as: Skate ..... enter Title ... enter Message .... Press Start Conversation

 

[Linus van Pelt]

Anyone that's written and backtested trend following systems would have a very good idea what the parameters Skate lists are for. For those lost or puzzled reading through the parameters post above, could be worth getting into some Nick Radge (Unholy Grails) or Howard Bandy (Blue Owl Press books).

Are there specific Nick Radge or Howard Bandy books you would recommend?

 

[Linus van Pelt]

What did I do after receiving the captains advice ?
I quickly coded up my best three strategies into one system & called it the HYBRID strategy. I went to work backtesting the guts out of the new combined (HYBRID) strategy. I started off fresh with a new system strategy development in place & the rest is history.

What process did you follow when you transitioned from your old system to your new one? Did you wait for sells to be triggered in your old system, and ignored buys in your new system, until you had funds free to pursue the buys in the new system? Etc. until all positions were closed in your old system and placed in your new system?

 

[Skate]

Are there specific Nick Radge or Howard Bandy books you would recommend?

Hi @Linus van Pelt, welcome to our community & thank you for asking a question in the "Dump it here" thread. The books by both authors are worthy of reading. Nick Radge is well respected & talks in plain English that are easy to understand whereas Howard Bandy is more on the technical side.

Nick Radge books found here: https://www.thechartist.com.au/product-category/stock-trading-ebooks/
All of Nick's books area great read & worthy to have in your library of trading books.

Howard Bandy Books found here: http://blueowlpress.com/books/

1. Quantitative Trading Systems
This book discusses trading system development from the perspective of a traditional trading system development platform. It uses the AmiBroker platform exclusively.

2. Modelling Trading System Performance
This book discusses several aspects of risk, including personal risk tolerance, quantification of risk, determination of maximum safe position size (safe-f), and estimation of profit potential (CAR25). It uses any set of trades obtained from any source, with analysis using Excel. It does not use any specific trading system development platform.

Howard's books in order of publication:

• Quantitative Trading Systems was originally published in 2007, revised Second Edition in 2011.
• Introduction to AmiBroker, Second Edition, was published in 2012.
• Modeling Trading System Performance was published in 2011.
• Mean Reversion Trading Systems was published in 2013, revised in 2015.
• Quantitative Technical Analysis was published in 2015.
• Foundations of Trading was published in 2016.

Hope this helps.

Skate.

 

[martyjames]

I'd like to thanks Skate very much for generously supplying me a copy of his Donchian Strategy. As well as being interesting to investigate the actual strategy, as a 'newbie' with Amibroker it is extremely useful to be able to use the system and all its settings, options, filters, stops etc as a 'framework' for setting up my own systems, knowing i haven't made a silly error or overlooked something important.
i was able to generate virtually the same trades for the "7th May 2016 to 30th December 2016" back test screenshot shown above, which gives me confidence i have all the basic settings etc correct.

Cheers
Marty

 

[Skate]

What process did you follow when you transitioned from your old system to your new one? Did you wait for sells to be triggered in your old system, and ignored buys in your new system, until you had funds free to pursue the buys in the new system? Etc. until all positions were closed in your old system and placed in your new system?

Let me explain
The "old systems" as you have put it traded till they died a natural death, meaning the positions were only sold on a generated sell signal because I wanted the fruits of my labour. If I cashed them out early I was at the mercy of the markets. The "new system" kicked into gear from day one & has never looked back, still being traded, it's called the HYBRID Strategy.

Trading side by side
For a period of time all the strategies were trading alongside each other, the only difference was that the "old systems" never executed any new buy signals. Funds were never an issue.

Skate.

 

[Skate]

I'd like to thanks Skate very much for generously supplying me a copy of his Donchian Strategy. As well as being interesting to investigate the actual strategy, as a 'newbie' with Amibroker it is extremely useful to be able to use the system and all its settings, options, filters, stops etc as a 'framework' for setting up my own systems, knowing i haven't made a silly error or overlooked something important. i was able to generate virtually the same trades for the "7th May 2016 to 30th December 2016" back test screenshot shown above, which gives me confidence i have all the basic settings etc correct.

Cheers
Marty

Marty, thanks for the thumbs up & your kind words.

Skate.

 

[Linus van Pelt]

Hi @Linus van Pelt, welcome to our community & thank you for asking a question in the "Dump it here" thread. The books by both authors are worthy of reading. Nick Radge is well respected & talks in plain English that are easy to understand whereas Howard Bandy is more on the technical side.

Nick Radge books found here: https://www.thechartist.com.au/product-category/stock-trading-ebooks/
All of Nick's books area great read & worthy to have in your library of trading books.

Howard Bandy Books found here: http://blueowlpress.com/books/

1. Quantitative Trading Systems
This book discusses trading system development from the perspective of a traditional trading system development platform. It uses the AmiBroker platform exclusively.

2. Modelling Trading System Performance
This book discusses several aspects of risk, including personal risk tolerance, quantification of risk, determination of maximum safe position size (safe-f), and estimation of profit potential (CAR25). It uses any set of trades obtained from any source, with analysis using Excel. It does not use any specific trading system development platform.

Howard's books in order of publication:

• Quantitative Trading Systems was originally published in 2007, revised Second Edition in 2011.
• Introduction to AmiBroker, Second Edition, was published in 2012.
• Modeling Trading System Performance was published in 2011.
• Mean Reversion Trading Systems was published in 2013, revised in 2015.
• Quantitative Technical Analysis was published in 2015.
• Foundations of Trading was published in 2016.

Hope this helps.

Skate.

Sorry for being dense, a bit of information overload.

Let me summarise your answer:

Nick Radge:
Buy and read all the books found here: https://www.thechartist.com.au/product-category/stock-trading-ebooks/

Howard Bandy:
Buy and read Quantitative Trading Systems and Modelling Trading System Performance found here: http://blueowlpress.com/books/

Are the other Howard Bandy books, and their order of publication, irrelevant to my question? Is that correct?

 

[Skate]

Let me summarise your answer:
Nick Radge:
Buy and read all the books found here: https://www.thechartist.com.au/product-category/stock-trading-ebooks/
Howard Bandy:
Buy and read Quantitative Trading Systems and Modelling Trading System Performance found here: http://blueowlpress.com/books/

@Linus van Pelt your summary is 100% correct. I would resist buying Howards books until you have more experience because they are hard to comprehend. The books were listed to answer your initial question.

Skate.