Dump it Here

[Skate]

Why crystal balling never works
Our mind tricks us into thinking we are using the "crystal ball" on the "left" but in reality, we are using the one on the "right". Knowing this, I want to make a few posts about my previous topics (thinking & memory) & bring them into relevance.

I know it's difficult
New members sometimes find the information posted difficult to follow or understand & frustration quickly follows. The process sometimes seems simple but the concepts are not easy to follow. It's up to us all to make the difference & for myself, I'm going to take up the challenge in the next few posts.

Keeping all my posts in the one thread
Recently I posted about how we have lost the art to memorise which is a bad trait we have fallen into. We need memories to recall information that's important when it comes to trading. Jumping to conclusions is another bad trait, especially as a trader.

Skate.

 

[Skate]

So much information to read
We fail to absorb what we have just read let alone memorising & storing the important stuff (sometimes by speed-reading). I want to make it easier for you to recall information (as far as my posts are concerned) in the "Dump it here" thread. There are a few ways I propose to do it. (a) Visual Recall referencing a subject by using a graphic (b) Search the thread using "Keywords"

Keywords
I always reference a preceding passage with a title so you better understand what's coming. Recalling information is difficult at best, I use "CHUNKING" of information into short passages for this reason. Another reason for "CHUNKING" my posts, is so you don't get exhausted before you start reading.

How to use keywords?
By referencing the passage title with my "avatar" you will subconsciously store the information which will help in the search for information at a later date. In the next few posts, I'll give practical examples of what I'm eluding to.

How to use the search feature
[keyword] + [Skate] + [Search this thread only]

BINGO!
Finding information will be quick & simple. If you have a question, search for the answer first as I've covered most things already. Only after you haven't got a satisfactory explanation, then ask the question. By searching first you will remember better.

Skate.

 

[Skate]

When the Amibroker logo is used
There will be information about Amibroker. If the subject is "irrelevant to you" feel free to pass reading the post. For those using Amibroker, the post will either reference general information or a download.

My posts will be supplementary to:
Amibroker-FAQ: https://www.aussiestockforums.com/posts/15657/
Amibroker-tips-and-tricks: https://www.aussiestockforums.com/posts/1073951/
Amibroker-CBT-help: https://www.aussiestockforums.com/posts/1077075/
Amibroker-system-backtesting: https://www.aussiestockforums.com/posts/1076918/

About Amibroker
AmiBroker is equipped with a powerful formula language allowing you to write trading system rules, define your own indicators & custom commentaries. The hyperlinks better explain the language, giving you a detailed reference of built-in analysis functions. It also shows how to use AFL-tools such as automatic analyser (AA).
http://www.amibroker.com/guide/AFL.html

Alphabetical list of all AFL functions (431 in total)
http://www.amibroker.com/guide/a_funref.html

Understand how Amibroker works
http://www.amibroker.com/guide/h_understandafl.html

Skate.

 

[Skate]

When the Norgate logo is used
There will be information about Norgat Data or Premium Data. If the subject is "irrelevant to you" feel free to pass reading the post. For those using Norgate Data, the post will reference general information about Norgate.

Previously posted
I made reference in @qldfrg "qldfrog-weekly-skate-inspired-system" & in @Trav. "amibroker-tips-and-tricks" about the nuance of Norgate Data. I realise not all members read all threads so it's worth repeating the differences here. (for readers of this thread)

Addendum for Norgate Data users
Heads Up - about 18 months ago Norgate made the (.AU suffix) mandatory for all new subscribers of Australian data to avoid support issues. Older subscribers don't have a suffix & changing subscriptions can also raise an issue without you noticing the change in data format.

1. Old Subscribers to NDU = $XAO (old data feed format)
2. New Subscribers to NDU = $XAO.au (new data feed format)

Pad & Align
Make sure the correct data format matches.

Also, I made a follow-up post here
https://www.aussiestockforums.com/posts/1069294/

Premium Data
"Norgate's old legacy format" (MetaStock format) you are using the correct format for the All Ordinaries "XAO".

The problem with a bit of history
If you subscribed to (NDU) both Australian + US stocks originally you would have had a (.AU) suffix. If you were an Australian-only subscriber then there would be no (.AU suffix). This optional suffix arrangement resulted in causing an issue, especially when a (AU+US) subscriber dropped a US subscription then all of their Australian stocks lost their suffix. It broke various watchlists that had been created, it also broke the formulas that were relying on a suffix being present. So to overcome this problem about 18 months ago Norgate made the (.AU) suffix mandatory for all new subscribers of Australian data to avoid the confusion.

Using Norgate Data (NDU) instead of Premium Data
With AmiBroker significantly-enhanced capabilities Norgate Data (NDU) capitalises on this by adding additional features well beyond those in Premium Data, so it pays to migrate over.

There is a catch (with regards to historical data)
There is one very important difference, with my original Premium Data I purchased historical data separately. NDU works as a subscription-only model and historical data cannot be purchased separately. The historical data is in the old legacy format (MetaStock format) meaning, they are not compatible.

Skate.

 

[Skate]

Amibroker SetOption template by Bruce Robinson
This is a modified version of Bruce Robinson's template as some settings are only accessible via "setoption" & not listed in the (AA) settings. It's recommended to control settings using an (AFL) rather than the Settings dialogue whenever possible. (the reason for uploading the template)

Skate.

 

[Skate]

How to change from a Candle Chart to a Bar Chart on the fly
Amibroker's standard "Price Chart" is a "Candle Chart" where I prefer to have a "Bar Chart" (personal preference) I have uploaded a "Price Chart" (AFL) that allows changing from a Candle Chart to a Bar Chart on the fly.





The "Price Chart" as a "Bar or Candle Chart"
Save the (AFL) to the "Basic Chart" Folder as shown below. The Price chart is a "Bar Chart" by default.







How to change from one type of chart to another style
I've made the Price chart as a "Bar Chart" by default. The instructions to change from one type of chart to another is on the graphic below. As the "Bar" is selected the "Price Charts" is displayed.







How to change from a Bar Chart to a Candle Chart
I've made the Price chart as a "Bar Chart" by default. The instructions to change from one type of chart to another is on the graphic below. As the "Candle" is now selected the Candle "Price Charts" is displayed.




Skate.

 

[Saqeeb]

Week 17: Update on my MAP paper trading portfolio.

Another losing week for this portfolio

BUYS:
I was only able to enter into 2 out of the 3 buy signals, PPG and AYS. The other buysignal was Z1P that zipped off on open and never traded at my maximum offer for the day.

No buy signals this week

SELLS:
2 sells this week. CAN and AEF

 

[Willzy]

Hi all,

I know this is probably not the thread to use but couldn't find a better alternative. I'm wondering if anyone out there is using the specific techniques / systems taught in H_Bandy's book Quantitative Technical Analysis?

I know its not everyone's cup of tea but it's been something I've been dabbling with for the last year or two. I've taken a very simple strategy often used in mean reversion (the basic rsi model) and used a combination of H_Bandy's example python code and my own to try and find stocks (predominantly US) that can be traded with such a system.

The python code cycles through a watchlist picking each stock individually optimizing on inSample data to find a good rsiPeriod, entryLimit and exitLimit then tests those settings out of sample.

Obviously some stocks are just no good at all but others look like this the one below attached below.

I was trading several of these systems at the same time on a MT5 demo account and all was great the first six months looked amazing.... well until COVID cleaned house!

Just want to know if anyone else is doing something similar with python (basic models or machine learning)

Happy to have this moved to a new thread if necessary.

Cheers!

 

[ducati916]

Since Mr Skate identified that the ASX followed the US VIX, here is the $VIX:EWA chart:



The circle indicates the break in trend and that the $VIX was about to move higher. That was the signal for short term traders (daily systems) to exit or at least lighten. No-one really expected (although we probably should have) the size of the 1 day move.

Keep at least half an eye on it, it will keep you out of big trouble.

jog on
duc

 

[Skate]

Market sentiment, market direction indicator
I recently received a "PM" about another concept to determine market sentiment or market direction. It's the "canary in the coalmine" indicator. To get a grasp of the concept, even though the strategy is rotational, the canary market indicator can be adapted to any system type.

Introducing Protective Asset Allocation
Protective Asset Allocation (PAA) is a new provident long only tactical investment strategy that combines a dual momentum approach with a vigorous capital preservation routine. The key elements of PAA are:

(a) Dual momentum-based timing and selection mechanic
(b) Innovative crash protection routine through protective momentum
(c) Support for separate “risk-on” and “risk-off" universes

To read more
https://indexswingtrader.blogspot.com/2016/04/introducing-protective-asset-allocation.html#:~:text=Introducing Protective Asset Allocation,based timing and selection mechanism

Abstract
Since the financial crisis of 2008 and the recent (end of 2015) pullback, investors are searching for less risky investments. Therefore, there is a growing demand for low risk/absolute return portfolios. The paper describes a simple dual-momentum model (called Protective Asset Allocation or PAA) with a vigorous “crash protection” which might fit this bill. It is a tactical variation on the traditional 60/40 stock/bond portfolio where the optimal stock/bond mix is determined by multi-market breadth using dual momentum.

Read more here
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2759734

Download the paper
https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2764043_code1935527.pdf?abstractid=2759734&mirid=1

Reposted the hyperlink without permission
Thanks must go to the ASF member for forwarding the link.

Skate.

 

[Skate]

It's hard to decide what to post
With new members joining ASF it’s been my experience that they have a desire to learn. Most don't understand that trading is a "critical skill" in building enough wealth to eventually retire or additional funds in retirement.

Why are they thinking about trading?
Most start to realise current investments are sub-par & the returns are getting less & less with each year that passes. There are more thinking about trading with fewer getting around to doing it. Those that do usually start to trade have a lack of understanding of how to enter/exit the market & consequently, often go broke. Most don't realise there are a few different ways to enter the markets. Traders will pigeon hole themselves using (a) Technical Analysis or (b) Fundamental Analysis. When discussing Technical Analysis verses Fundamental Analysis it shouldn't be a debate about right or wrong but methods to achieve the same end game.

What’s your style?
Trading styles are similar to religions, only slightly less combative (although I’ve seen some discussions get quite heated) however. Whether you use Fundamental Analysis or Technical Analysis doesn't matter - one is not right & the other is not wrong, that's not the point of discussing them. Technical analysis & Fundamental analysis are often seen as opposing approaches to analysing securities, but many traders have experienced success by combining the two techniques.

Skate.

 

[Skate]

Trading System
To succeed in the financial markets you need to have some kind of "trading system" in place, whether it’s Discretionary trading, Fundamental Analysis or Technical Analysis, it’s up to you. The amount of time you want to dedicate to trading will determine how much research you might do & how closely you monitor your holdings, will determine which method you will use.

What criteria should you use to pick a stock?
Well that the 64 million dollar question, you can either use fundamental analysis (the study of balance sheets, PE ratio, P&L statements, also researching any known facts about the company or you can use technical analysis (the study of charts). I prefer technical analysis as I believe all that is known about a company, the fundamentals of the company have already been factored into the share price.

In the next post
I plan to upload an (AFL) file of a simple "Weekly Breakout Trend Following Strategy" for new members who have purchased Amibroker to help them understand coding a little better. The strategy is full of "comments" for a better understanding.

"Skate's 260 Period Weekly Breakout Strategy"
This strategy buys into growth & in the direction of the markets. The strategy has a few adjustable parameters & fixed settings. Charting is using a "Bar Chart" as the (default). You can select a Candle Chart if prefered.

Skate.

 

[Skate]

Skate's 260 Period Weekly Breakout Strategy
The strategy uploaded is a weekly "Trend Following Strategy" buying when a stock is making a new "High" in the direction of the market "buying into growth".

Skate's 260 Period Weekly Breakout Strategy (standard Settings)
Portfolio Capital: $20,000 ($20k Inital Equity: User-definable parameter, accessible via "Exploration Parameter Settings" - changes are reflected immediately)
Positions in the Portfolio: 20
Variable Position Sizing: $1,000 (User-definable parameter, accessible via "Exploration Parameter Settings" - changes are reflected immediately)
Note: Variable Position Sizing allows for rebalancing.

Backtest Results (2019 Calendar year)






Backtest Results (2019 - 2020 Financial Year to Date)



Exploration Analysis
The Exploration Analysis is used to generate the Buy & Sell Signals

The Exploration Analysis displays the pre-auction trading values
Quantity of shares to buy
Buy offer with a 3% premium
Total costing ($) value

Exploration Analysis (example display)



(APX) File
Please load the (AFL) strategy using the (APX) file.

Disclaimer
The strategy is supplied "as is" & coded quickly as an example only & it shouldn't be traded.

Skate.

 

[fiftyeight]

Market sentiment, market direction indicator
I recently received a "PM" about another concept to determine market sentiment or market direction. It's the "canary in the coalmine" indicator. To get a grasp of the concept, even though the strategy is rotational, the canary market indicator can be adapted to any system type.

Introducing Protective Asset Allocation
Protective Asset Allocation (PAA) is a new provident long only tactical investment strategy that combines a dual momentum approach with a vigorous capital preservation routine. The key elements of PAA are:

(a) Dual momentum-based timing and selection mechanic
(b) Innovative crash protection routine through protective momentum
(c) Support for separate “risk-on” and “risk-off" universes

To read more
https://indexswingtrader.blogspot.com/2016/04/introducing-protective-asset-allocation.html#:~:text=Introducing Protective Asset Allocation,based timing and selection mechanism

Abstract
Since the financial crisis of 2008 and the recent (end of 2015) pullback, investors are searching for less risky investments. Therefore, there is a growing demand for low risk/absolute return portfolios. The paper describes a simple dual-momentum model (called Protective Asset Allocation or PAA) with a vigorous “crash protection” which might fit this bill. It is a tactical variation on the traditional 60/40 stock/bond portfolio where the optimal stock/bond mix is determined by multi-market breadth using dual momentum.

Read more here
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2759734

Download the paper
https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2764043_code1935527.pdf?abstractid=2759734&mirid=1

Reposted the hyperlink without permission
Thanks must go to the ASF member for forwarding the link.

Skate.

This is something I have spent quite a bit of time on lately. Well mostly annoying a few people on here and then following their links/advise.

HUGE topic with many many different variables to consider.

I am definitely at the learning what I don't know on the Dunning Kruger curve

 

[Movendi]

Can someone explain after 4pm what's the reasoning behind these large orders way beyond the market price?
You can see a $1.7mil sell order at $5.92 when market closed at $6.24.

 

[Skate]

I'm torn
I wanted to upload a "Bollinger Band Daily Strategy" described & coded in "Urban Jaekle & Emilio Tomasini" new book (Trading Systems 2nd Edition). I've finished coding "Urban's Daily Bollinger Band Breakout Strategy" & frankly I'm unimpressed. I'm torn whether to upload "Urban's Daily Bollinger Band Breakout Strategy" or whether I should upload a Bollinger Bands version I've just coded as an alternative or should I upload both.

Why upload a Bollinger Band Strategy?
Bollinger Bands by John Bollinger has the ability to protect a trader against black swan events. The recent "COVID-19" Virus crash & similar events like these are always just around the corner. "Systemic Trading Systems" using Bollinger Bands will help guide you through the murky waters showing you what it takes to be among those that survive. "Skate's Bollinger Bands Weekly Strategy" is one example using a weekly periodicity where Urban Jaekle new strategy "Urban's Daily Bollinger Band Breakout Strategy" trades on a daily time frame that should be quick to respond to the changing market sentiment, "but falls short in that area for me".

This is an extract from Urban Jaekle's new book (that sounds great)
Urban Jaekle's Bollinger Band code is disclosed in his new book & his system logic is familiar to many. Urban Jaekle book explains how you can build a winning trading system. It is an insight into what a trader should know & do in order to achieve success in the markets. It shows you why you don't need to be a rocket scientist to become successful.

Urban's Daily Bollinger Band Breakout Strategy
Urban Jaekle's Bollinger Band code is certainly different & "not one I would trade" but it's a new approach to system development & portfolio optimisation. Urban Jaekle & Emilio Tomasini new book (Trading Systems 2nd Edition) is still a good read.

Should I upload
1. Urban's Daily Bollinger Band Breakout Strategy or
2. Skate's Bollinger Bands Weekly Strategy or
3. Should I upload both?

Skate.

 

[over9k]

View attachment 104883

Can someone explain after 4pm what's the reasoning behind these large orders way beyond the market price?
You can see a $1.7mil sell order at $5.92 when market closed at $6.24.

https://thebull.com.au/17821-how-do-i-get-an-order-filled-before-the-open-of-the-market/

To have your order executed on the open your bid/offer has to be such that the order executes during the Opening Auction phase. The opening phase is essentially where all orders that have been placed outside of market hours overlap in price and volume. Orders placed before 7am and after 4.10pm on ASX trading days are considered orders outside of market hours. Think of it as an open auction where everyone that has a bid or offer is listed on a board. The highest bidder and the lowest seller will trade as their prices overlap. The computerised system also takes into account the volume of bids and offers and determines at what price the first trades will occur at. Essentially it is an algorithm which determines how much stock will trade at the open and at what price through simple supply/demand balancing using both the price of sell & buy orders as well as volume for each. This is where "indicative price" comes from. A similar calculation occurs at the end of trade at 4.10pm. Orders after 4pm also queue up for 10 minutes until 4.10pm for the closing phase where the algorithm determines the close price for the day and the last trades for the day are executed.

So this guy is basically saying "computer, at the open, negotiate the best prices you can get above 5.92, and sell for them".

 

[martyjames]

Hi Skate

Learning a lot from you and your system uploads - thanks. Upload both if possible please

cheers

 

[Skate]

Hi Skate, Learning a lot from you and your system uploads - thanks. Upload both if possible please

Okay, I've had a positive response for both strategies to be uploaded
I'll post both (AFL) codes tomorrow. There has been renewed interest in the Bollinger Band Strategy because of Urban Jaekle's book (Trading Systems 2nd Edition). I thought with the recent "COVID-19" Virus crash it would be the ideal time to test his Bollinger Bands Strategy using his methodology. If others are interested the Bollinger Band code is free on his site: https://urban-stocks.com/en/codes but requires modification to suit our markets. The strategy also requires different parameters, filters & setting that might be the reason why the backtest results are unimpressive.

Norgate Data
Others who have a "Norgate subscription" with the "function for survivorship" might like to code the strategy for comparison to mine as "my subscription level" lacks those functions for survivorship bias.

Urban Jaekle's new book - Bollinger Band System (chapter 9 of his book)
"Urban's Daily Bollinger Band Breakout Strategy" code is listed below

1. // https://norgatedata.com/AmiBroker-usage.php */
   
   /*include all Norgate functions for survivorship free backtests */
   
   #include_once "Formulas\Norgate Data\Norgate Data Functions.afl";
   
   /* General settings */
   
   index = "$SPX"; /* choose index which you test;
   
   don't forget this to set also in backtester settings "pad and align"!
   
   e.g. Norgate symbols $SPX=S&P500, $SP1500=S&P1500,
   
   $NDX=Nadaq100, $DJI=DowJones 30, $RUT=Russell 2000,
   
   $RUA= Russell 3000, $XAO.au = Sidney All Ordinaries 500
   
   more see https://norgatedata.com/data-content-tables.php; */
   
   /* Strategy parameters */
   
   NumberPositions = 20;
   
   /* Number of positions which you can hold at the same time*/
   
   BollTopPrds = 180;
   
   /*compare with Appendix 1. Futures: default = 60 */
   
   BollingerTopWidth = 3.5;
   
   /* For entry, compare with Appendix 1. Futures: default = 2 */
   
   BollBottWdth = 0.5;
   
   /*For exit, compare with Appendix 1. Futures: default = 2 (for shorts) */
   
   IndexFilterLength = 300; /*set Filter Length*/
   
   ScoreLength = 300; /*Score lenght */
   
   BollBottPrds = BollTopPrds; /*same length for both bands*/
   
   SetOption("MaxOpenPositions", NumberPositions);
   
   SetPositionSize(100 / NumberPositions, spsPercentOfEquity);
   
   InitialEquity = 100000;
   
   CommissionAmount = 0.25;
   
   /*this means 0.25% at entry AND 0.25% at exit of a position */
   
   SetOption( "InitialEquity", InitialEquity );
   
   SetOption( "CommissionMode", 1 ); /*1 = percent, 2 = fixed */
   
   SetOption( "CommissionAmount", CommissionAmount );
   
   RoundLotSize = 0;
   
   /* 0: fractional number of shares are allowed */
   
   /* Preparation for Entry and Exit */
   
   indexFilter = NorgateIndexConstituentTimeSeries(index);
   
   upperBand = BBandTop(C, BollTopPrds, BollingerTopWidth);
   
   LongEntry = C >upperBand /* Price is above the upper Bollinger band */
   
   AND Ref(C<upperBand, -1)
   
   /* Price the day before is below the upper Bollinger band */
   
   AND indexFilter;
   
   /* make sure you have the correct stock universe */
   
   LongExit = C < BBandBot(C, BollBottPrds, BollBottWdth);
   
   /* price is below the bottom Bollinger band */
   
   /* Market index filter. Allow positions only when index is in uptrend,
   
   defined by a simple moving average of 300 days*/
   
   SetForeign(index);
   
   /*Norgate $SPX, $SP1500, $NDX, $DJI, $RUT=Russell 2000,
   
   $RUA= Russell 3000, Sidney All Ordinaries
   
   (Australian stock market) $XAO.au
   
   see here https://norgatedata.com/data-content-tables.php;
   
   */
   
   IndexDownTrend = C < MA(C,IndexFilterLength);
   
   /*IndexDownTrend = LinRegSlope(C, IndexFilterLength) ;
   
   // another possible option to define trend */
   
   RestorePriceArrays();
   
   /* In the case you get many different signals, buy the
   
   stocks with the highest momentum over the last 300 days first*/
   
   Rank = 100 + Ref(ROC(C, ScoreLength),-1);
   
   PositionScore = Rank;
   
   /* The entry and exit trigger */
   
   Buy = Ref(LongEntry,-1)
   
   /* Price is today above the Bollinger band */
   
   AND !Ref(IndexDownTrend,-1);
   
   /* Index Filter: Don't enter new positions in a bear market */
   
   Sell = Ref(LongExit,-1)
   
   OR DateTime()==GetFnData("DelistingDate")
   
   /* sell if stock is de-listed */
   
   OR !indexFilter ;
   
   /* sell if stock has to leave the index */
   
   BuyPrice=SellPrice=Open; /* Buy and Sell on the next days open;
   
   Close instead of open could improve performance */
   
   Short = Cover = 0;
   
   /* for visualisation, optional */
   
   /* Plot(C,"Close", colorBlack, styleCandle);
   
   Plot(BBandTop(C, BollTopPrds, BollingerTopWidth),
   
   "BollEntry", colorGreen, styleThick);
   
   Plot(BBandBot(C, BollBottPrds, BollBottWdth),"BollExit"
   
   , colorRed, styleThick);
   
   Plot(ma(CLOSE, BollTopPrds),"MovAvg", colorBlack, styleThick); */
   

Till tomorrow

Skate.

 

[Joe90]

Hi all,

I know this is probably not the thread to use but couldn't find a better alternative. I'm wondering if anyone out there is using the specific techniques / systems taught in H_Bandy's book Quantitative Technical Analysis?

I know its not everyone's cup of tea but it's been something I've been dabbling with for the last year or two. I've taken a very simple strategy often used in mean reversion (the basic rsi model) and used a combination of H_Bandy's example python code and my own to try and find stocks (predominantly US) that can be traded with such a system.

The python code cycles through a watchlist picking each stock individually optimizing on inSample data to find a good rsiPeriod, entryLimit and exitLimit then tests those settings out of sample.

Obviously some stocks are just no good at all but others look like this the one below attached below.

I was trading several of these systems at the same time on a MT5 demo account and all was great the first six months looked amazing.... well until COVID cleaned house!

Just want to know if anyone else is doing something similar with python (basic models or machine learning)

Happy to have this moved to a new thread if necessary.

Cheers!

Hello Willzy, Dr. Howard's methods have always interested me. I suggest you start your own thread, your posts will just get buried under a load of irrelevant blather in here.