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Dump it Here

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It almost seems "normal" to have a couple of share positions up or down by 15 or even 25% in a day lately. Maybe I should stop doing daily portfolio updates but its an old habit now.

Noticed an advert for anti-shorting petition come up recently.
Howard B would say price series are definitely not "stationary" in current climate!
 
Indeed
Portfolio from 11am +5k to -600 at close yesterday
So 3% variation during the day
But today was so so for me
Basically flat, just a few hundreds
Indeed, can confirm very high variability..obviously not owning much asx20 but still
 

I want to talk about timing & luck when it comes to trading
Beaches said:
Make it simple and more realistic for yourself and trade as you usually would
Click to expand...
peter2 said:
If the HappyCat System is one you're considering using in the new year then I'd suggest using a portfolio size that is closer to the one you intend to use (if the system proves itself going forward).
Click to expand...
frugal.rock said:
Would love to see; (a) conduct the paper-trading in the "Dump it here" thread & report weekly as per the "Action Strategy" & (c) start fresh from tomorrow as the generated signals are below (so there is no fudging)
Click to expand...

The exercise to paper trade the "HappyCat" strategy
Straight off the bat, after reviewing the backtest & Share Trade Tracker results I'm expecting the "HappyCat Strategy" to be my very best work so far. I was at a crossroad last week trying to decide whether to conduct my paper-trading exercise in the "Dump it here" thread or conduct it in private. I asked if the start date should align with the "Action Strategy" or start afresh. Even the value of the portfolio had to be decided on. With input from members, I decided to keep the start date inline with the "Action strategy" but was convinced by @Beaches & @peter2 to trade a portfolio size that would mimic how I would trade this strategy live. I had decided on the conditions how I was going to paper trade the strategy but @frugal.rock at the last moment threw a spanner in the works as he preferred the strategy to be started fresh from last Monday. As this was a poor trading week for a momentum strategy it's only fitting I should display the records if I started the "HappyCat Strategy" fresh from this week & make a post about timing & luck.

Start dates are important
Depending on the starting date of paper trading, this can have a big bearing on the performance outcome of the strategy. I've published results for the "HappyCat Strategy" (5th June start) & now will post the "HappyCat Strategy" (v2 with a 27th July starting date in the next post). Having different start dates makes a difference in the short term but in the long term, they should reflect each other as all systems need time to do their thing. Luck & timing plays a significant role when comparing portfolios over the short term.

Looking for long term trends
Paper trading has the ability to find & qualify long term trends. The issue with long term trending systems is that they are hard to qualify as the returns could be down to sheer luck or maybe just the start date - all this just adds complexities to its evaluation.

Luck
All systematic traders need to be aware of the significance of luck when they start trading. As an example, system traders who started their systems early this year got hammered with the COVID-19 flash crash & they were just unlucky to start when they did. After any major drop, traders are normally fearful to get back in. Restarting to trade again also relies on a degree of luck to kick them off on the right foot. Another failure will make it even harder next time - "if there is a next time".

Abandoning a strategy too quickly
When strategies are not performing as expected or don’t follow the backtest results we tend to start fiddling & modifying a perfectly good strategy disguised as a trading strategy improvement. The development stage of a system is when these measures are crafted & certainly not during the paper trading phase.

Next
I'll post up some captures as an example of why timing & luck plays such an important role when it comes to trading. The results are disappointing bearing in mind that the only difference between the strategy is (a) the start date & (b) a slightly different logo to differentiate between the two.

@qldfrog remarked recently about trading "Not every week is sugar and lollipops"

Skate.
 
Hi Skate

Your last post is very timely for me as i started trading my weekly system at the beginning of July so i know how important the start date is.
Can you post the backtest results of the Happy Cat strategy for the last year ( i know you have limited data and dont give too much credence on back test results) if possible?

I have to say im liking trading a weekly system (as opposed to daily) - i find it far more relaxed (so far).

Cheers
Marty
 

@martyjames I was unsure what you are referring to when you said "the backtest results of the Happy Cat strategy for the last year" so I'll post a few dates.

# This is the last Financial year





# This is the last 365 days - one year backdated from today





# This is the 2019 Calendar year





# This backtest is from 1st January 2020 to end-of-trade Friday



Skate.
 
Thanks for the V2 once only report Skate.
Conversely, my "Stoic Slightly Stonky Strategy" is up 26.6 % from commencement around 23rd June after a non stoic reset and a pay off of the credit card.

This last week has seen most of the rise with BUD and THR being the main contributors. EN1 was going well but has retraced a little, still holding as it's a long term business.
Bought BUB this week before I saw it was a sell by system here. Not worried, as also a long termer.
Lucky timing or fundamentals inclusions? Both. Cheers.
 
frugal.rock said:
Thanks for the V2 once only report Skate.
Conversely, my "Stoic Slightly Stonky Strategy" is up 26.6 % from commencement around 23rd June after a non stoic reset and a pay off of the credit card.
Click to expand...

@frugal.rock - the 23rd June 2020 HappyCat Results. (36.87%) - yes timing & luck is everything when trading (trading skills being less so)



Skate.
 
Thanks for the correction Skate. The conversely bit was aimed at this last week, definitely a lucky week and the market may still "taketh" my open profit yet.... but that's the rise and fall of the tide's.
 
Many thanks Skate. Amazingly low DD in calendar 2019 6.9% - a great trend following year. Since starting beginning of July im up 3% as of now, but was initially down about 3.5%. Once day last week was up intra day 9%, 2 days later back to 3%!

cheers
 
martyjames said:
Many thanks Skate. Amazingly low DD in calendar 2019 6.9% - a great trend following year. Since starting beginning of July im up 3% as of now, but was initially down about 3.5%. Once day last week was up intra day 9%, 2 days later back to 3%! cheers
Click to expand...

@martyjames that's exactly what instigated the post here: https://www.aussiestockforums.com/posts/1085800/ for those who didn't read my post.

Why did a massive day turn into a good day?
Swings & roundabouts, it's hard to keep up. I've come to the conclusion that's it's usually too late to figure out what causes the prices to move & profit from it trading a weekly system. The markets can be very unpredictable even when using technical analysis as the guide. Who really knows what the markets are going to do as most times nothing seems to make sense. The logical explanation would be that traders are very bullish or bearish at the moment & at the same time. I was starting to think the price follows market sentiment & now realise that sometimes, prices move in the opposite direction of the sentiment, go figure. I'm currently thinking that the market is moving on technical setups due to the massive number of algorithms that now control trading as "I have no other explanation". Maybe the changes in price could still be due to “emotion” I know emotion is a powerful driver of the markets & panic buying & selling can create massive inefficiencies but reasoning that goes into stock analysis is becoming less relevant (IMHO). But there is light at the end of the tunnel as overtime, prices generally recover back to where they originally started to fall & even continue to move up, thank god.

Skate.
 

1. Remember we are still in an elevated Vol. environment. Daily moves are still amplified compared to 'normal' metrics. The same things still make prices move. (a) The macro-environment, (b) the sector specific fundamentals and (c) the individual fundamentals of the stock. If the fundamentals of a sector are considered to be optimal, then price will move a long way past those fundamentals. Tech. being an obvious example, gold currently. Momentum is measured by any number of indicators. It is a different game. Momo Vol. is always higher (in normal circumstances) in an elevated Vol. environment, it is higher again. My guess is that your systems are written in such a manner as to look (in normal circumstances) for momentum based trades. The system(s) are still finding them: just at an elevated Vol., hence the positions as a portfolio, are far jumpier than they would normally be.

2. I think T/A is the starting point. Internals are the next step. Macro-analysis being either the starting point or finishing point.

3. This is where macro is so important. If you 'knew' that the market was going up, then intra-day volatility is less of an issue. Markets operate pursuant to macro drivers. Sure day-to-day stuff happens, a news story spooks the little guy or whatever. Individual stocks will jump to their own narratives, earnings, etc. What are the big drivers of stocks, commodities, currencies, bonds, etc. Then what are actually looking at and for, totally changes. You are looking for stretch points and contractions within a trend. Stretch points are sells or hedges, contraction points (what we just had) is an opportunity to really load up for a big move. Think 2009 - 2020. There were 3 or 4 contraction points along the way of that huge move to take profits and reload. My system (if you could call it that) is measured (usually) in years. The big macro drivers do not flippe-floppe: they are huge and powerful. The 'virus' is not the origination of a new world order, it is a transient blip. On the other hand, the China/US issue could, like the US/Soviet issue, impact the macro trend if it continues to escalate.

4. Buy the rumour sell the news has been the tactic ever since there have been markets. One of the best recently:



5. In the US that is true. Many (most) are intra-day. They go flat overnight, or enter at the close to exit at the next day open. Hence the crazy moves that then collapse in a day or two, up 500% in a day etc. You are increasingly going to see this sort of thing though: https://www.institutionalinvestor.c...e-Best-Market-Neutral-Funds-Is-Run-by-a-Robot

6. Analysis of the aggregate is still consistent. Individual stocks (smaller caps. particularly) can be easily manipulated. Hence why I prefer ETFs. Money flow worldwide is also changing the nature of individual bourses. US style is coming (gradually) to your local. You additionally have this issue anyway: your system (I think buys momo) therefore when a sector goes hot, gold atm, you'll be triggered to buy loads of gold based stocks. Why not increase the position size and just buy the ETF? If you want the added juice, just use a x2/x3/x4 leveraged one.

7. Back to the fundamentals, once the froth becomes yesterdays news.

jog on
duc
 
For the follower of this thread and the mostly momentum based systems:
I did look at Mr LeDuc suggestion:
Trading ETF instead of specific stocks and my own searches/backtests on the ASX where not that successful:
a disclaimer, as i am no expert and my systems are nowhere near as good as Mr Skate, others might find different outcome but for me:

yes, using a realm of ETFs (basically all ETF I could find in the last 5 y or so), on the ASX, I could catch trends...but the results were decent if compared to a term deposit, pitiful by our own standards and i quickly dismissed the idea;
using leveraged ETF is very exciting but on the ASX, they are VERY few
SO in the US, I would give it a go, but sadly not really usable here was the end result of my quest.
I did this 2 months ago or so but doubt this has changed
It is possible to toy a little bit with that and my Pure volatility does but overall , sadly the is and will remain a side play
if you look at the results of our weekly/daily systems, a lot of the money is made by a few high performers that are let run. since 01/07 on my daily system looking at realised profits:
69.6% MNS
34.8% YOJ
24% NZM
45% IFN
101% BRN
64.4% HAS
22% AMA
the rest below 20% with one loss at 35% other mostly around 10% ish
 

in a visual way realised profit loss in % per trade since 01/07
and that gives you a so far 16% return in one month.Hard to do that with ETFs if not leveraged and wo a crystal ball.
Hope it helps
 
Strategy Bloating
I'm the biggest offender. Back in the old days (2015) I was lucky to string a few lines of code together & looking back the coding was robust & sound. The original coding is still the foundations of my current trading strategies but with additional bloatware to make me feel safer when my money is on the line. I guess as an analogy it's the equivalent of wearing 5 condoms when having sex, sure the protection is in place but the sensitivity is lacking, thus the real enjoyment of trading is diminished somewhat.

My Momentum Strategy
In 2015 I was trading like a mad man, trading multiple strategies at once & I was confident in doing so. As you get more experience at trading you tend to be more cautious & start battening down the hatches by adding another layer of protection. In your mind, you are creating additional layers dressed up as strategy improvements. All those years ago I was using "Momentum Indicators" to get the job done. The results trading my old "Momentum Strategy" were pleasing at the time (2015). Trading back then if "I didn't lose money" it was considered a "good day".

Lately I've been reminiscing
I've been dusting off a few of my old strategies. My new "HappyCat Strategy" being a momentum strategy got me thinking. Back in 2015, I was trading my old momentum strategy that used a momentum indicator that got me thinking, what if I was to substitute my momentum code instead of using a momentum indicator. FYI - my base code is the foundation of all my current trading strategies.

The backtest results
Well, blow me down - the lean strategy is impressive. It uses an "ApplyStop" instead of a "LoopingStop", the looping code also contains a 'StaleExit' & a "GTFO" filter all being driven by a "Rate of Change Filter".

More coding is better - RIGHT
My HappyCat Strategy contains 1,337 lines of codes, meaning it's no lightweight. My old "Momentum Strategy" with my new momentum code inserted weighs in at a merger 168 lines of code. I'm starting to wonder if need to wear 5 condoms. I know or "I used to know" simplicity works. When you strip back trading it's all about trading the price differential, knowing when to get in & when to get out. Money management takes care of the rest.

Skate.
 
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