Dump it Here

[Trav.]

Interesting today is that a sea of red, fln is one of my few green
Who would have thought..one of the reason i actually keep gap up...not found rewarding to eliminate, statiscally in my backtests

Hopefully you are right mate, but you are looking at FLN daily now. If you are on a weekly system then you will need to comment at the end of the week ( same as all of your stocks in that weekly portfolio )

 

[qldfrog]

Indeed, just found it weord one of the only green around, weekly has been slaughtered today around 5pc down while 90 pc pcvested
One daily unchanged and other daily around 4pc down which is high as it is only 50+ pc invested.
Will look on friday
Based on your comments, it means that you believe / tested that gapping up stocks have to be avoided.interesting

 

[Trav.]

Based on your comments, it means that you believe / tested that gapping up stocks have to be avoided.interesting

My original comment about the weekly system is that it covers up gaps shown on the daily charts.

When you look at the Weekly chart you just see the 1 bar up 44%

Then look at the daily chart and on Friday alone it gapped up 17% on the open to close 31% for the day, I will be interested to see if it retraces today as the daily RSI level is at significant levels.

Similar story with WSP

So just an observation that it may retrace as there was no price sensitive announcement released, to act as a catalyst.

You would be a brave person to call any price movements at the moment as the market is all over the place that is why it is interesting to watch to see how it behaves. As mentioned several times I am happy for holders but for me I would have baulked at entering this trade with FLN.

WSP looks a bit weaker than FLN at the moment but we will have to wait and see what happens over the next week or two.

 

[Trav.]

Sooooo, the $64,000 question: Is Amibroker Walk-Forward testing a suitable proxy for Paper Trading?

For me the testing process whether it is backtesting / walk forward / Monte Carlo etc is the easy part, just a click of the button! How easy is that.

The hard part for me is trusting the system 100%, to just sit back and place orders daily / weekly has me looking at announcements / forum posts that ultimately acts as a new positionscore feature ( which obviously is not tested )

So @Linus van Pelt I agree that walk forward testing is as good as you are going to get but are you able to follow the system and by paper trading it then your may get a feel for it, but real life trading of having a loser or 2 in a row is the hard part.

This leads to risk management, if you have done this right then you should be fine and a loser or 2 won't hurt too much, but if you have this wrong you will come unstuck pretty quick, by this I mean that it you have optimised on only Net Profit then the System Drawdown might be unrealistic which will find you checking stock price moves every 30 minutes which is not a healthy way to trade a EOD system.

Something that is coming clear for me is what works for one will not work for another. Only you know what you can handle in regards to risk and you have to be honest with yourself, really honest. I obviously haven't got this right for me yet so I cannot tell you my secret, others might be closer and the diaries are a great insight to some of the struggles people go through.

 

[Chronos-Plutus]

View attachment 105748
Has anyone conducted research on correlation (it would save me a lot of work)
I've been thinking of the correlation between the stock I tend to hold as a trend trader & the high correlation of positions @over9k is currently holding. As a trend trader, is there a way to use negative correlation as an indicator?

Various charts
Looking at the myriad of charts @ducati916 has been posting I'm seeing correlation everywhere. What I'm after is a reverse correlation or more bluntly, a negative correlation between securities & if it can be coded as an indicator. I'm thinking along the lines of using negative correlation in picking the turn of sentiment rather than using a combination of the garden variety indicators.

I’m a trend trader
I trade a multitude of portfolios & each portfolio holds a large number of positions. A portfolio is not diversified simply by holding many securities, I know this, particularly when those positions tend to move in the same direction at the same time. It's the very reason "I win big & I lose big" because of the high correlation of positions.

Evaluation time
With the start of the "New Financial Year" it’s due time for me to evaluate the performance of all my strategies & evaluate whether there is a way to insulate against future shocks, similar to the one just experienced.

They tend to move in unison
Positions in a trend all tend to "move in the same direction" thus having a high "correlation". There are benefits of diversification, I accept this. It would be an advantage in having a suite of positions that don't rise & fall simultaneously.

FYI: Correlation
Correlation is when the prices of shares move in similar directions. Negatively correlation is when the prices of shares move in the opposite direction. A highly correlated portfolio means when one security tanks, those highly correlated will do the same. COVID-19 was a wakeup call because I know now that it was "not the time" to be holding a stack of positions that had high levels of correlation resulting in losing 70% of my yearly profits, it was hard emotionally.

Correlation & negative correlation
To give you an example: Holding all the Australian Banks they are likely to move in the same direction & you may think you’re diversified by holding several of them, but this becomes redundant if they all behave identically. What we need to find is negative correlation stock that behaves exactly the opposite. Why? My thinking is that we could use negative correlation as an indicator in much the same way as we use an Index Filter to our advantage.

I’m open to suggestions

Skate.

Correlation:

I would start with a plot graph of daily portfolio stock price movements as a percentage. On one axis, your stocks/portfolio; on the other axis, over9k stocks/portfolio.

It will just basically highlight who is the more profitable investor over a set time frame and show if you are both correlated in picking winners.

Haven't done this stuff in a decade.

 

[Chronos-Plutus]

Once you have the data and done your plot. Then look or run a regression line for correlation:


https://i1.wp.com/ucanalytics.com/b.../Correlation-Coefficient-and-Scatter-Plot.jpg

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[frugal.rock]

Gday Mr Skate,
Was wondering if you might shed some light on your strategy regarding on how you pick stocks in relation to the SP and bracket ranges?
Have noted a range of stocks in the 10c to 200? cent range, and now noted some buys in a higher bracket range circa $13.
I take it that this is a lower risk style embedded in the strategy for the expected choppy times ahead?
Oh to be a fly on the wall... (instead of trying to be bloody Sherlock!)

 

[Skate]

Gday Mr Skate,
Was wondering if you might shed some light on your strategy regarding on how you pick stocks in relation to the SP? Have noted a a range of stocks in the 10c to 200? cent range, and noted now some buys in

@frugal.rock the price filter is ($0.05 to $15.00) if that is what you are asking.

Skate.

 

[Saqeeb]

Week 22 update on my MAP paper trading portfolio.
After last week's buys this portfolio is fully invested now. The portfolio lost $500.00 last week and the total drawdown is now at $2,945.00.

Next week's buys:
System has generated two buy signals, however, nothing can be purchased as I am fully invested now.

Next week's sells:
No sells this week.

 

[frugal.rock]

@frugal.rock the price filter is ($0.05 to $15.00) if that is what you are asking.

Skate.

Ok, thanks. Was editing post.
Me, slow off the draw!
Any other logic, re the price filter or is it purely a case of what stocks pop up via signal and position score?
Cheers.

 

[Fury]

Next week's buys:
System has generated two buy signals, however, nothing can be purchased as I am fully invested now.

What were the buy signals for out of curiosity?

 

[Saqeeb]

What were the buy signals for out of curiosity?

@Fury, the two buy signals were GGG and IFN.

 

[qldfrog]

@Fury, the two buy signals were GGG and IFN.

Ifn a bit late....look at announcements.

 

[Skate]

Skate.

 

[qldfrog]

As fellow action strategy must be aware by now, BGL (bellevue) has a SPP offer @$1 a share;
I do not know what Mr Skate think about that but what I often do, and did today:
I sell existing portfolio component and have a de facto option to buy BGL at $1 until 4th of august:
I believe I so remove risk and potentially buy more than I had before
Is any of you , inc Mr Skate applying that "strategy" or have I just been too traumatised by the GFC where this resulting in significant gains and risk avoidance

 

[Skate]

As fellow action strategy must be aware by now, BGL (bellevue) has a SPP offer @$1 a share;
I do not know what Mr Skate think about that but what I often do, and did today:
I sell existing portfolio component and have a de facto option to buy BGL at $1 until 4th of august:
I believe I so remove risk and potentially buy more than I had before
Is any of you , inc Mr Skate applying that "strategy" or have I just been too traumatised by the GFC where this resulting in significant gains and risk avoidance

@qldfrog the Action Strategy is a "no thinking strategy" & such I'll be following the signals religiously.

Skate.

 

[over9k]

So in other words skate, it's:

 

[rnr]

Week 22 update on my MAP paper trading portfolio.
After last week's buys this portfolio is fully invested now. The portfolio lost $500.00 last week and the total drawdown is now at $2,945.00.

Next week's buys:
System has generated two buy signals, however, nothing can be purchased as I am fully invested now.

Hi Saqeeb,

Just having a look at where you are at with paper trading your MAP system and I came across the above comment.

At the time of your post you had 18 open positions (out of 20) and no funds available to enter trades for the 2 buy signals.

Hopefully, you immediately started reviewing your system code to see where the error lies!

When you are ready to put real $$$'s at risk you must be in a position where you "own the system (including the code)" so there can be no surprises that will impact on your live trading.

Cheers,
Rob