Dump it Here

[Skate]

From the number of posts and backtest results posted, I'm pretty sure most accept that the weekly is the way to go. If you can't sleep at night, have to watch the market, etc: your risk is too high or you have no idea what you're doing.

@ducati916, what a timely post.
Those following along with the "Action Strategy" would now start to realise how stressfree trading a weekly strategy is. Most times it's boring & slow, nothing much to do other than to execute the trades as they come along.

Trading the trend (Systematic Trend Trading)
Trends can last longer than most traders realise & till the trend bends or stagnates it's still our friend. It pays not to be trigger happy & following your trading plan & strategy "is a given".

Price differential
I'm not a fancy trader, I jump on confirmed trends & hop off in a timely manner looking for the next ride. Trends are happening in all timeframes & "the regularity they form" is nothing short of astounding, picking the strong movers is the secret. Knowing when to hop-on & hop-off is the tricky part of trading. Buying quality won't cut it these days, the purchase "needs to be timed". Timing is everything in this game.

Skate.

 

[Richard Dale]

To me, it doesn't look like Norgate Data Functions.afl is complete, compared to the extra/fundamental data available in the URL above. Plus all the variable names in the code are prefixed with "Norgate", none of which are noted in the Norgate URL as the variable names.

The general overview of the data available is here:
https://norgatedata.com/data-content-tables.php

Each charting/analysis app has different ways of accessing the data. For AmiBroker, accessing fundamental data is available two ways:
1. Via the in-built fields within AmiBroker (viewable in the Symbol Information window, also accessible via the AFL function GetFnData.
2. Via a call to the function NorgateFundamentals() using AFL code.

The in-built fields are populated as described here:
https://norgatedata.com/amibroker-database-layout-content.php

For access to more of the fundamental fields see here:
https://norgatedata.com/amibroker-usage.php#fundamentals

For certain subscriptions, the "Extras" data is provided as additional symbols.

I'm not aware of any data points that can't be accessed.

Cheers,
Richard.

 

[frugal.rock]

The general overview of the data available is here:
https://norgatedata.com/data-content-tables.php

Each charting/analysis app has different ways of accessing the data. For AmiBroker, accessing fundamental data is available two ways:
1. Via the in-built fields within AmiBroker (viewable in the Symbol Information window, also accessible via the AFL function GetFnData.
2. Via a call to the function NorgateFundamentals() using AFL code.

The in-built fields are populated as described here:
https://norgatedata.com/amibroker-database-layout-content.php

For access to more of the fundamental fields see here:
https://norgatedata.com/amibroker-usage.php#fundamentals

For certain subscriptions, the "Extras" data is provided as additional symbols.

I'm not aware of any data points that can't be accessed.

Cheers,
Richard.

Any chance of "Special Package" pricing for ASF members Richard ?
Thanks

 

[martyjames]

Hi Skate

Did you post back tested results for The Ducati Blue Bar Strategy or the Action strategy (which is the tweaked version of the former)? I know you have said you dont give too much credence to such, but im interested to hear how you gain confidence to trade your strategies with long term back testing and strategies walk forward etc

Cheers
Marty

 

[Skate]

Hi Skate. Did you post back tested results for The Ducati Blue Bar Strategy or the Action strategy (which is the tweaked version of the former)? I know you have said you dont give too much credence to such, but im interested to hear how you gain confidence to trade your strategies with long term back testing and strategies walk forward etc

Cheers
Marty

@martyjames these days I backtest to get the desirable parameters & filters setting. I’m not looking for the best backtest results but “consistency of results” over a multitude of indexes.

Confidence
The backtest period always starts with the previous 365 days. Once that’s bedded I backtest over a multitude of date ranges. My Norgate Data subscription level doesn’t allow for survivorship bias. Without sounding cocky, after spending many (years) of Monte Carlo & backtesting you get a feel of what works & what doesn’t.

Share Trade Tracker
The advantage of using this software it allows “shortcutting” of the paper trading period with 100% accuracy. Share Trade Tracker also allows “pyramiding of position sizing” a backtest feature lacking with Amibroker. Another issue with Amibroker, it can’t backtest a “trading plan” only a trading strategy. A trading plan versus a trading strategy, there is a difference.

Skate.

 

[Richard Dale]

Any chance of "Special Package" pricing for ASF members Richard ?

This isn't something we're likely to offer. There's plenty of reasons why this is the case - it does work for some products/services where there's not really any differentiation between product/service specifications and there's lots of competition (e.g. gas/electricity utilities, refrigerators, hard drives etc.) but our product is particularly unique.

We have only provided limited discounts in the past to users that have assisted us in alpha/beta testing, or to users that are converting from our legacy environment (Premium Data).

Cheers,
Richard.

 

[frugal.rock]

Cheers Richard.
Doesn't hurt to ask. Have to live up to my name!

 

[martyjames]

Thanks for the reply Skate. I'll have a look at Share Trade Tracker. Im always interested to see how my systems perform in bear markets and collapses like the corona crash and if i can handle the DD. Ive just about finished my own weekly system which looks pretty strong in all market conditions (famous last words..!). Like you and others have commented, i do like the minimal time required to action the weekly system as opposed to my daily system.

cheers

 

[over9k]

Surely it would make sense to have some kind of "significance" or "change" threshold when it comes to trading frequency?

I don't have a set schedule, I just trade when I deem it appropriate. There's been a whole stack of dips over the past few weeks that have been excellent opportunities to buy into for example. Some of them have been close to one another, some more spread out. All have seen some kind of correction after their initial chaos however - every dip's bounced back a bit, every spike's corrected, and well within a week too...

If you've analysed your market/sector properly and say, know things are going to be choppy for a bit but pick back up, you don't even need to actually watch the news & wait, you can just put good-till-cancelled orders in at whatever% below current asking price and they'll just fill automatically whenever some chop occurs. Just look at webjet over the past 5 days for example https://www.google.com/search?q=asx:+web&rlz=1C1CHBF_en-GBAU732AU732&oq=asx:+web&aqs=chrome.0.69i59l2j69i58.2191j0j7&sourceid=chrome&ie=UTF-8

That's a ~10% swing down and then back up just in the past 5 days. If you traded weekly you'd have gone nowhere, but if you were expecting some significant chop and had some orders in at 5 or 7 or 9% below market or something you'd have made, well, 5 or 7 or 9%, in just a few days.

Surely this is bread & butter stuff?

 

[Skate]

I don't have a set schedule, I just trade when I deem it appropriate. There's been a whole stack of dips over the past few weeks that have been excellent opportunities to buy into for example. Surely this is bread & butter stuff?

@over9k, that’s an excellent post.

Buy low & sell high
I hear this touted all the time but no one ever tells you how to do it. It’s the same with “it’s bread & butter stuff” sound great but it’s not easy for those who don’t know.

I just trade when I deem it appropriate
I wish to make a “Mrs Browns Boys” reference - “that nice”.

Statements need to be qualified
When you make a statement like “I just trade when I deem it appropriate” in a “Beginner’s Educational Thread” the statement needs to be qualified.

Why?
So others have an understanding how “you do it” but importantly “if they can do it” & apply it as part of their trading plan. I’m a systematic trend trader using technical analysis so your trading style is fresh & new for the “Dump it here” thread.

Let me channel Pauline Hanson
Please Explain (in detail) so no one needs to ask a follow up question.

Skate.

 

[qldfrog]

May the pupil challenge a bit the Master @Skate?
IF and that is a big IF you do not have a full time job/activity AND are free to enter daily orders AND if you have a system running at a click of a button AND the market is especially volatile AND you pay reasonable brokerage,
then you can take advantage of this intra week changes with a daily system vs a weekly one;
I would not bother in a smoother market but we can gain more opportunities AND reduce DD;
In BT at least, my DD is much lower on my daily system than on my weekly (similar algorithm on different time frames)
There is a little bit of extra stress as you have to update your data , pass order before each open, and yes you can get in out in in a week but it also brings serenity against potential crash
So I prefer my weekly system but am happy to play with daily right now as well (money wise, I am 40% daily vs weekly)
A last advantage, it can take a long while to detect issues with a weekly system: a month is just 4 rounds whereas on dailies, you get 5 times more data and opportunities to detect issues/validate changes.

 

[Skate]

May the pupil challenge a bit the Master @Skate?
IF and that is a big IF you do not have a full time job/activity AND are free to enter daily orders AND if you have a system running at a click of a button AND the market is especially volatile AND you pay reasonable brokerage,
then you can take advantage of this intra week changes with a daily system vs a weekly one;
I would not bother in a smoother market but we can gain more opportunities AND reduce DD;
In BT at least, my DD is much lower on my daily system than on my weekly (similar algorithm on different time frames)
There is a little bit of extra stress as you have to update your data , pass order before each open, and yes you can get in out in in a week but it also brings serenity against potential crash
So I prefer my weekly system but am happy to play with daily right now as well (money wise, I am 40% daily vs weekly)
A last advantage, it can take a long while to detect issues with a weekly system: a month is just 4 rounds whereas on dailies, you get 5 times more data and opportunities to detect issues/validate changes.

Weekly versus trading a Daily system
@qldfrog, I’ve often said, "if it works for you, it's right for you". There are merits trading in both time frames but for "me" I prefer & feel more comfortable trading a weekly system, it also reduces the workload & the day to day stress of constantly trading. Imagine handling close to a hundred positions (93 to be precise) each day. Or the confusion of handling a mixture of weekly & daily positions, heaven forbid.

The Action Strategy as an example
Those following most likely would like to see more action (pardon the pun) but trading "my way" is slow & stress-free. A 20 positions portfolio is easy to fill. Placing your order over the weekend in the pre-auction, easy peasy. The rest of the week is your own.

Did I tell you I'm a lazy bugger?
I've traded Daily systems in the past with success but I had to check for signals "every day", let alone actioning them. "I ain't got time for that". It's not about having the time it's about being tired to a job.

"The last advantage, it can take a long while to detect issues with a weekly system"
That's not an issue as sometimes it's beneficial to have a "weekly smoothing effect" rather than "jagged daily volatility".

Weekly performs better, less work, less commission, less stress
Let's take the example I posted earlier today (APT) & you decide if you had the option, would you trade it as a Daily System or Weekly? I rest my case.

Trading (APT) on a Daily timeframe
In & out, in & out, rinse & repeat. (that's a lot of work for one position)







Trading (APT) on a Weekly timeframe
It's a "no brainer" for me



Skate.

 

[over9k]

Well I basically trade when I'm confident enough that I've figured *something* out. E.g my asx portfolio is overwhelmingly travel/aviation and gold mining stocks and my U.S one is what I call "stay-at-home tech" (tech which enjoys an increase any time people stay at home, e.g due to a pandemic). I'll tell you my play over the past month:

I know/observed/realised/discovered/figured out a few things:

First, that it takes roughly 3ish weeks from infection for the infection to be reflected in the data.

Second, that travel and almost the entire aviation industry have been all but shut down, i.e seen the largest collapses.

Third, Australia and New Zealand did manage to contain the virus whereas the United States did not, which means that with a simple understanding of exponentials we can know that the U.S WOULD see a 2nd wave and Australia/New Zealand would not and would in fact be able to reopen properly months before the United States could.

Fourth, that markets across the board are almost invariably reacting negatively to any spike or increase in virus data, but some sectors are obviously reacting far more or less dependent on the sector obviously. I.e that some are far more volatile.

Fifth, that markets across the board almost invariably react positively to reopening news in the same varied fashion that they drop to virus increase news.

Sixth, that events which incur significant amounts of human contact like memorial day weekend or protests, no matter what the country, would undoubtedly spread an infection massively.

Seventh, that goverment(s) the world over were desperate to reopen their economies even if they hadn't contained the virus.

Eighth, that state and municipal governments have the power to both seal state borders and close down isolated areas of infection and thus play "whack-a-mole" with infection outbreaks, which would enable travel "bubbles" intra-national.

Ninth, that it takes 14 days of negative test results to be absolutely confident of a lack of infection, so zero cases for 14 days would, assuming no more cases were reported, mark the beginning of the end of the lockdown.

Pooling this together told me firstly that we would see reopening announcements in a titanic tug-of-war with any spikes in virus data, thus could expect enormous volatility whenever this occurred, and secondly that we could expect this volatility roughly 3ish weeks after any event which spread the virus occurred, e.g george floyd riots/protests or memorial day weekend.

I confirmed my thoughts by simply waiting to see the results of the first virus spike announced and a lot of stocks just fell off a cliff. ONE guy who was at the protests in melbourne was all it took for asx armageddon, same as just that one spike in cases in the U.S (which was the beginning of the end of the curve flattening) and something similiar occurred.

From there, I just put a bunch of lowball good-till-cancelled orders in and layered them (some at -4%, some at -6%, some at -8% and so on) and they've just autofilled whenever the market's dropped and then I've done the inverse with sell orders at +4, +6, +8 and so on.

So I've basically just traded the chop - every time there's chop, my orders are filled. Some of it has been so wild that iirc it was friday before last that we had a 4% swing just between morning & afternoon.

I've also sat on *some* of it to keep as a long position that I've been gradually growing lately too. Net, that position's basically flat at the moment, but I've made a killing trading the volatility as I've described above.

 

[qldfrog]

Well I basically trade when I'm confident enough that I've figured *something* out. E.g my asx portfolio is overwhelmingly travel/aviation and gold mining stocks and my U.S one is what I call "stay-at-home tech" (tech which enjoys an increase any time people stay at home, e.g due to a pandemic). I'll tell you my play over the past month:

I know/observed/realised/discovered/figured out a few things:

First, that it takes roughly 3ish weeks from infection for the infection to be reflected in the data.

Second, that travel and almost the entire aviation industry have been all but shut down, i.e seen the largest collapses.

Third, Australia and New Zealand did manage to contain the virus whereas the United States did not, which means that with a simple understanding of exponentials we can know that the U.S WOULD see a 2nd wave and Australia/New Zealand would not and would in fact be able to reopen properly months before the United States could.

Fourth, that markets across the board are almost invariably reacting negatively to any spike or increase in virus data, but some sectors are obviously reacting far more or less dependent on the sector obviously. I.e that some are far more volatile.

Fifth, that markets across the board almost invariably react positively to reopening news in the same varied fashion that they drop to virus increase news.

Sixth, that events which incur significant amounts of human contact like memorial day weekend or protests, no matter what the country, would undoubtedly spread an infection massively.

Seventh, that goverment(s) the world over were desperate to reopen their economies even if they hadn't contained the virus.

Eighth, that state and municipal governments have the power to both seal state borders and close down isolated areas of infection and thus play "whack-a-mole" with infection outbreaks, which would enable travel "bubbles" intra-national.

Ninth, that it takes 14 days of negative test results to be absolutely confident of a lack of infection, so zero cases for 14 days would, assuming no more cases were reported, mark the beginning of the end of the lockdown.

Pooling this together told me firstly that we would see reopening announcements in a titanic tug-of-war with any spikes in virus data, thus could expect enormous volatility whenever this occurred, and secondly that we could expect this volatility roughly 3ish weeks after any event which spread the virus occurred, e.g george floyd riots/protests or memorial day weekend.

I confirmed my thoughts by simply waiting to see the results of the first virus spike announced and a lot of stocks just fell off a cliff. ONE guy who was at the protests in melbourne was all it took for asx armageddon, same as just that one spike in cases in the U.S (which was the beginning of the end of the curve flattening) and something similiar occurred.

From there, I just put a bunch of lowball good-till-cancelled orders in and layered them (some at -4%, some at -6%, some at -8% and so on) and they've just autofilled whenever the market's dropped and then I've done the inverse with sell orders at +4, +6, +8 and so on.

So I've basically just traded the chop - every time there's chop, my orders are filled. Some of it has been so wild that iirc it was friday before last that we had a 4% swing just between morning & afternoon.

I've also sat on *some* of it to keep as a long position that I've been gradually growing lately too. Net, that position's basically flat at the moment, but I've made a killing trading the volatility as I've described above.

All this edges on the fear of the virus, but as Europe demonstrates now, it will evaporate and your edge will lessen.
.you talk about Armageddon? Is that Victoria, how many people died, are in hospital?
Population are ready to play the game and say we are so scared
as long as they are being thrown money for nothing.if this stops,
The " who cares, what about me " will take over and only real cost/virus effect will matter and they are negligible.
We are in a lockdown decision economic crisis, not a medical one..even in the US.
Parts of Italy, France and Spain, ,NY are the only real medical crisis and even so not dramatic.
Once reality and voters power reestablish, the edge will lessen.
You played the public psyche and hysteria well, kudos there.
Make sure you see the wind change coming.
After do not correlate facts with a narrow selection of virus only causes
If Biden chances increase, market will head lower, we may see a rotation of favourite sectors..
I do not deny the system shock just gone thru, whatever the reason, we live in a different world today

 

[qldfrog]

Apologies you said ASX Armageddon...my mistake..

 

[frugal.rock]

Mr Skate,
A few questions if I may?;

Q1. Iress and Amibroker.
A first port of call enquiry, do you know if Amibroker can get data from Iress system?

Q2. System Development.
In consideration of developing a system, can you give any tips for a scalable system that can be used monthly, weekly, daily, intradaily?

Q3. Bar Timeframes
Do you know what the minimum bar timeframe is for Amibroker and is this dictated by Amibroker and or Norgate data limitations?

I refer to ASX:ATH which went absolutely nuts yesterday.
I thought to have a chance of quick success using a Amibroker system, bar sizes of maybe around 20 seconds (give or take) were in order, as the SP ranges/volumes (volatility) within a minute were incredible!

If you felt inclined, and as a learning experience, can you consider analysing ATH on yesterday's trading?
It was a very unusual experience and makes me think there may be some extra parameters and strategy to consider in building a one stop shop/turn key style system strategy, that is likely to work under incredibly extreme conditions as well as all "normal" conditions.
Much obliged.

Your (and Duc's) ex Gratia gift of time will be forever remembered.
If there is any way I can "repay" said time, please don't hesitate to ask.

 

[Skate]

Mr Skate, A few questions if I may?; If you felt inclined, and as a learning experience, can you consider analysing ATH on yesterday's trading? Your (and Duc's) ex Gratia gift of time will be forever remembered. If there is any way I can "repay" said time, please don't hesitate to ask.

@frugal.rock let me answer your questions in order.

Q1. Iress and Amibroker. A first port of call enquiry, do you know if Amibroker can get data from Iress system?
Amibroker can use a local database so I guess it would be possible for those who know-how. Most data feeds are listed below that require a plug-in to use the propriety format of the data supplier. They often say "All things are possible with Amibroker" that I wouldn't refute.



Q2. System Development. In consideration of developing a system, can you give any tips for a scalable system that can be used monthly, weekly, daily, intradaily?

Coding a strategy
Let me give you an analogy - I don’t care how often you read a Boeing 747 instruction manual or even a Helicopter instruction manual – I can guarantee you that in the end, you will not be a good pilot – even if you get it off the ground there would be no guarantee that the plane or helicopter would be safe under your control. This is exactly where my coding ability is, weak at best & amateurish at worst - reading something doesn’t mean I understand it.

My position hasn't changed & I'm certainly not qualified to offer any meaningful help.

Q3. Bar Timeframes - Do you know what the minimum bar timeframe is for Amibroker and is this dictated by Amibroker and or Norgate data limitations?
With a live data feed combined with Amibroker, all things are possible. Neither products lack limitation.

If you felt inclined, and as a learning experience, can you consider analysing ATH on yesterday's trading?
@peter2 would be the perfect guy to analyse (ATH) as well as many others, otherwise, I'd just be making up a story.

Your (and Duc's) ex Gratia gift of time will be forever remembered. If there is any way I can "repay" said time, please don't hesitate to ask.
Hitting the [Like] button is all that any poster hopes for. When I post I'm just repeating information I already know in the hope of motivating others wanting to learn more. @peter2 words below nailed it.

Use the "like" button. If there is a post that you really like or it contains some interesting or helpful information, please thank the poster by hitting the like button. The "like" button creates an alert that lets the poster know that someone likes a post that you did. It's a compliment and we all like to receive them. When I receive a few likes and I've been fortunate to receive many, I'm more likely to provide further information on the "liked" topic. To those new members, who don't want to post. Please thank the contributors that you like to read.

Skate.

 

[qldfrog]

Mr Skate,
A few questions if I may?;

Q1. Iress and Amibroker.
A first port of call enquiry, do you know if Amibroker can get data from Iress system?

Q2. System Development.
In consideration of developing a system, can you give any tips for a scalable system that can be used monthly, weekly, daily, intradaily?

Q3. Bar Timeframes
Do you know what the minimum bar timeframe is for Amibroker and is this dictated by Amibroker and or Norgate data limitations?

I refer to ASX:ATH which went absolutely nuts yesterday.
I thought to have a chance of quick success using a Amibroker system, bar sizes of maybe around 20 seconds (give or take) were in order, as the SP ranges/volumes (volatility) within a minute were incredible!

If you felt inclined, and as a learning experience, can you consider analysing ATH on yesterday's trading?
It was a very unusual experience and makes me think there may be some extra parameters and strategy to consider in building a one stop shop/turn key style system strategy, that is likely to work under incredibly extreme conditions as well as all "normal" conditions.
Much obliged.

Your (and Duc's) ex Gratia gift of time will be forever remembered.
If there is any way I can "repay" said time, please don't hesitate to ask.

@frugal.rock , please think about any real chance of intraday play, if 20s counts, you will always be behind the big players who work in the ms, they actually know about your trade before it is executed and can even outbid/underbid you if it is seen worthwhile; I would not think about trading anything below a day trade from an amateur setup..so much against you unless you are in a very narrow niche
my view only

 

[qldfrog]

Weekly versus trading a Daily system
@qldfrog, I’ve often said, "if it works for you, it's right for you". There are merits trading in both time frames but for "me" I prefer & feel more comfortable trading a weekly system, it also reduces the workload & the day to day stress of constantly trading. Imagine handling close to a hundred positions (93 to be precise) each day. Or the confusion of handling a mixture of weekly & daily positions, heaven forbid.

The Action Strategy as an example
Those following most likely would like to see more action (pardon the pun) but trading "my way" is slow & stress-free. A 20 positions portfolio is easy to fill. Placing your order over the weekend in the pre-auction, easy peasy. The rest of the week is your own.

Did I tell you I'm a lazy bugger?
I've traded Daily systems in the past with success but I had to check for signals "every day", let alone actioning them. "I ain't got time for that". It's not about having the time it's about being tired to a job.

"The last advantage, it can take a long while to detect issues with a weekly system"
That's not an issue as sometimes it's beneficial to have a "weekly smoothing effect" rather than "jagged daily volatility".

Weekly performs better, less work, less commission, less stress
Let's take the example I posted earlier today (APT) & you decide if you had the option, would you trade it as a Daily System or Weekly? I rest my case.

Trading (APT) on a Daily timeframe
In & out, in & out, rinse & repeat. (that's a lot of work for one position)

View attachment 105454





Trading (APT) on a Weekly timeframe
It's a "no brainer" for me

View attachment 105455

Skate.

I fully understand your view and am MUCH more comfortable trading a weekly system.One point which is system based and can swing me one way is the ramp -up speed:
if a weekly system increases exposure by 2 or 3 net positions a week.[.was the case for one of my earlier attempt], it takes 2 months to be fully exposed, during that time, the money/soldiers are not working ;-) and the peak trend benefit bypassed..first half 2019....
On the other end , if the exposure is quickly achieved, this does not matter anymore and weekly is much easier on mind/wallet.
It is clear you have a very good position scoring which allow you to sort the good from the bad of prolific selection..I have no such luck/expertise..maybe my efforts should go in a more open buy selection, with emphasis on the position scoring..that should allow me back in weekly.
We are always slave of our past experiences in today's decisions

 

[peter2]

@frugal.rock Systems for multiple time frames.

You would have heard the term that the markets are "fractal". Basically this means that the price patterns that form on the 1 minute chart, form in all other time frame charts. A system that uses price patterns can be used on all time frames.

Systems that use indicators have to contend with the lag and on smaller time frames have to be able to identify the signals from the noise. It's a careful balancing act and that's why so many people find the weekly time frame ideal for their purposes.

re: ATH: It's so very rare that the ASX halts trading as a circuit breaker. It's very common in the US markets on the smaller priced stocks. I do not trade stocks are have been locked by a circuit breaker halt. They can go either way when they resume trading.