Dump it Here

[Newt]

So for $300k, no slippage, All Ords universe, 20 positions on this strategy - on the left below.

On the right for comparison is my older stragey, Full ASX universe, 15 positions trading from mid 2019 (this strategy is so slow to accumulate positions it didn't make sense starting from 1/1/2020 as very positions bought and held up into the Coronacrash.








The older system is a signficantly "wilder" ride but had the surprising fortune to buy into DEG mid April. Frankly I don't think I would have bought into DEG then in hindsight - the lower average longer term CAR, and extra element of "luck" having less positions made that strategy a handful for me to stick with honestly.

Disclaimer - I'm currently half my normal invested capital versus 2019 pre crash size - still being a "woos"

Extra homework this year, comparisons with others, slightly better risk control (DD, average loss etc) leads me to believe I will be more likely to stay true to this latest work. Time will tell.
Peter2 has pointed out how his trading improved when regularly posting - forces one to stay true to what they preach.

 

[Newt]

@Newt
Losing the edge from shared entry/exits would be more of a worry if people actually followed through the system to a Tee. the psychological component of trading is much more likely to erode an edge IMO then technicals.

most people will fiddle or over-ride the system. they wont trust it and think they know best and alter it when it suits. i think people forget that the statistical results of the backtest are only valid for the system you trade. as soon as you start changing the system you have invalidated your backtest results and its now an untested system. (fixing a coding error or similar is different to fiddling with entry/exits/filters. and hopefully those are sorted in paper trading before live trading.)

Very wise words Warr87 - the trader can be a huge risk unless they flawlessly execute the edge and the trades generated. Most people totally under-estimate the work, understanding, confidence, willpower and self-awareness required. Those that have read this far in "Dump it Here" should be getting close.
Have tried to be honest above, but think might still have gone to the dark side with that older strategy. Maybe I'm still not there with reduced capital allocation - arguably just another "fiddle".

 

[Skate]

So for $300k, no slippage, All Ords universe, 20 positions on this strategy - on the left below.
Disclaimer - I'm currently half my normal invested capital versus 2019 post crash - still being a "woos"
Extra homework this year, comparisons with others, slightly better risk control (DD, average loss etc) leads me to believe I will be more likely to stay true to this latest work. Time will tell.
Peter2 has pointed out how his trading improved when regularly posting - forces one to stay true to what they preach.

WOW
@Newt your efforts have been rewarded, those stats are impressive, well done.

Words of encouragement
All I have to do is to get you to revisit "positionsize pyramiding" (ensuring every available dollar is put to work) as increasing the positions in your portfolio past 20 would be a near-impossible task.

Skate.

 

[CNHTractor]

@CNHTractor I'm amazed to learn that you are also trading along with the "Action Strategy". I have a few experienced traders doing the same & personally I was chuffed to learn that they were - it wasn't expected.

Why join in?
I would have expected a few new members wanting to get their feet wet but not seasoned traders. Honestly, I would have found it difficult "if not impossible" to trade along with an unknown strategy, created by "someone" I didn't know, nor would I have ever recommended others to do so either.

Skate.

Yes, I thought I'd join in and see whether I could work out the entries and exits. Apart from looking at exits some weeks ago I haven't really had the time to investigate, in the meanwhile the strategy is performing so I continue, I will at some point double down to look at entries and exits.

 

[Skate]

Yes, I thought I'd join in and see whether I could work out the entries and exits. Apart from looking at exits some weeks ago I haven't really had the time to investigate, in the meanwhile the strategy is performing so I continue, I will at some point double down to look at entries and exits.

@CNHTractor I wouldn't even try to understand the entry & exits as there are so many variables with (1,311) lines of code.

The "Action Strategy"
Trading the "Action Strategy" was an exercise in how to trade systematically without thinking, just following the signals as they come along.

the trader can be a huge risk unless they flawlessly execute the edge and the trades generated. Most people totally under-estimate the work, understanding, confidence, willpower and self-awareness required.

System Trading has huge benefits
@Warr87 nailed it when he said: "Most people will fiddle or over-ride the system they won't trust and think they know best and alter it when it suits".

most people will fiddle or over-ride the system. they wont trust it and think they know best and alter it when it suits. i think people forget that the statistical results of the backtest are only valid for the system you trade. as soon as you start changing the system you have invalidated your backtest results and its now an untested system. (fixing a coding error or similar is different to fiddling with entry/exits/filters. and hopefully those are sorted in paper trading before live trading.)

Fiddling & overriding your strategy
Thinking you know better & overriding signals is a surefire way to disaster. After knowing this, some traders still can't help themselves.

Skate.

 

[CNHTractor]

@CNHTractor I wouldn't even try to understand the entry & exits as there are so many variables with (1,311) lines of code.

The "Action Strategy"
Trading the "Action Strategy" was an exercise in how to trade systematically without thinking, just following the signals as they come along.

Ah ha! Noted

 

[Fury]

I've been trying to formulate a response this morning, but every time a question comes up, I do a search, and end up down the rabbit hole. As an example, going off and searching "blue bars" on here brings up This which I assume is what you're referring to as the Blue Bar strategy?
As a newcomer, I want to understand the "why"... and that seems to open up more questions than it answers at this point in time. The above gives me more to research (ADX, CCI, etc...).
Had to go out and take a walk to clear my head as well.
It's clear I need to do a lot more learning on momentum indicators and work out a way in which i can backtest them.
I am currently using Trading View but it appears it can only do it on a stock by stock basis.
Ami Broker does appear to be very powerful and may be good a path to pursue.

Once again thank you and i'll re-read through all this (and probably have a lot more questions) during the week.

 

[Skate]

I've been trying to formulate a response this morning, but every time a question comes up, I do a search, and end up down the rabbit hole. As an example, going off and searching "blue bars" on here brings up This which I assume is what you're referring to as the Blue Bar strategy?.

@Fury I was referring to the "Ducati Blue Bar Strategy"
@ducati916 has given me a few ideas which developed into a new strategy the "Ducati Blue Bar Strategy". As usual "for me" it's all about jumping on trends & now with a few new ideas from the "Duc" I'm using those indicators to guide when its optimal to buy & sell. I have a simple trading method of riding trends. Everyone would have read the same post but I've taken the gems dropped by @ducati916 & applied the knowledge he generously passed on to everyone.

Explanation
I've used @peter2 idea of colour coding the trend with "Blue Bars" so it's simple to follow along by looking at the charts. The first "blue bar" is the signal bar (the white arrow) & we buy on the "next daily blue bar" at the open (the white square). The position is held till the first "red bar" & sell that position on the open on the next "red bar". It's a simple strategy I have to admit.

Making money is the name of the game
If you only traded one strategy the "Ducati Blue Bar Strategy" buying blue bars & selling the red bars you would be rolling in dough. This strategy is a money-making machine.

In saying this
"A trading system is usually most effective when "implemented consistently". One problem frequently encountered by individual traders is the "difficulty" in following a system. Sticking to a system requires discipline & discipline is often difficult to maintain in the heat of live market action, where "emotions" can rule the day & a trader may be tempted to second-guess his or her system as @Warr87 eluded to earlier".

This is the series of post - the timeline that gave rise to the "Ducati Blue Bar Strategy"
https://www.aussiestockforums.com/posts/1065849/
https://www.aussiestockforums.com/posts/1065921/
https://www.aussiestockforums.com/posts/1066161/
https://www.aussiestockforums.com/posts/1066911/
https://www.aussiestockforums.com/posts/1066996/
https://www.aussiestockforums.com/posts/1067016/
https://www.aussiestockforums.com/posts/1067059/
https://www.aussiestockforums.com/posts/1067241/
https://www.aussiestockforums.com/posts/1067303/

All the information has been disclosed to make a profitable strategy
I've made over 70 posts about the "Ducati Blue Bar Strategy" & if you use the search feature you will find them all. I studied constantly for 3 years (14 hour days) before I placed my first trade. I've condensed what I've found important & condensed the information into one thread. Most won't read the entire thread "as it will take too long" - go figure. At least read my free ebook.

Skate.

 

[Skate]

All my educational posts are in the "Dump it here" thread.
Make the search feature your friend. Before you ask a question do a "search first" [Posted by Skate] the subject in question has most likely been discussed before (it saves going over old ground) If you are unable to find a suitable answer there are members who read this thread are more than qualified to reply to you.

Search the topic [Posted by Skate]



Trading Fundamentals - Skate's Beginners Version eBook
https://www.aussiestockforums.com/posts/1014728/ If you forget the hyperlink to the free eBook it's displayed below my name.

Skate.

 

[Warr87]

I think being consistent and having discipline also comes from some other trading mantras. You are going to lose, and losing is part of the game. Expect loses, particularly at the beginning of trading a strategy. And also realize that 1 in 1000 events such as 2008, or the more recent COVID crash, are far more frequent than the 1 in 1000 events they are described. Trading through the recent COVID crash wasn't easy.

Don't try to be right. The market will do what it will do. It doesn't care if you are right or wrong, and neither should you. Use the data to make an opinion/inference, don't have an opinion and force it upon the market. It's easy for confirmation bias to affect you where the market not behaving as you would like. I think @ducati916 does a great job with his analysis. He doesn't have an opinion either way and lays out the data, making a decision from there.

 

[MovingAverage]

@Skate I've just done a quick backtest of my EOD swing system. The backtest was done using the parameters below you requested.

@MovingAverage I would be interested to see a backtest capture of your strategy with the "Portfolio Equity & Profit Table" during the recent COVID-19 period. The backtest period is from: "1st January 2020 to 30th June 2020" (All ordinaries Index) I've found this 6 month period to be a "stress test" of a trading system.

It would be even better if you would change your parameters to match the ones below
Backtest period = 1st January 2020 to 30th June 2020
Portfolio Size = $300K
Number of positions = 20

Skate.

Given you have requested a max of 20 open position I've assumed you're ok with each position being 5% of total portfolio value (cash and open positions). Given the size of the position I've applied a turnover filter to only take stocks with more than $2mill in turnover. Why $2 mill in turnover? Well it is because I personally wouldn't take a position if the turnover was less than $2 mill. This backtest uses the current trade fee schedule publicly offered by Bell Direct.

I haven't looked at these sim results closely as it's been a long day so not sure all is correct with the sims. I need to call it a day and get to my family now, but I'll take a closer look at my sims tomorrow and re-post new results if necessary. Until tomorrow--take care.

 

[Skate]

@Skate I have a version of the Weekend Trend Trader that I coded some time ago. I think it mirrors the Radge intent. The results were not that exciting for me however it would be interesting to see how some refinements would change performance.

1 Jan2020 to 30 June 2020
View attachment 107169

@CNHTractor thank you for uploading the screen capture for your version of WTT. The $20k Portfolio size can skew the results.

Is it possible
To have another Backtest capture for the same period - 1st January 2020 to 30th June 2020 but with a larger Portfolio Size as @MovingAverage has done above.

Backtest period = 1st January 2020 to 30th June 2020
Portfolio size = $300k
Positions = 20
CBA Commission rate = $29.95

In the meantime
I'll have a read & code my version of the Radge WTT strategy & post the results tomorrow.

Next
I'll modify the original code of the Radge WTT version with refinements as-you-say. By fine tuning the original parameters & settings will prove if there are improvements to be had. You said you would be interested & if you are interested I’m sure others would be as well.

Open invitation
If anyone is trading "nick-radges-weekend-trend-trader" I would appreciate a backtest result being uploaded here using the above parameters.

Skate.

 

[Skate]

I haven't looked at these sim results closely as it's been a long day so not sure all is correct with the sims. I need to call it a day and get to my family now, but I'll take a closer look at my sims tomorrow and re-post new results if necessary. Until tomorrow--take care

@MovingAverage thank you for uploading the Backtest results & with a quick glance the results look better then okay, boarding on being great. The largest loss (maximum trade drawdown) before the Index Filter turning off of $22,883.10 hit hard & would have been disconcerting at the time.

Summary
For a Daily system operating during the COVID-19 flash crash the overall results are very impressive.

Personally
I can’t wait for your update tomorrow.

Skate.

 

[Warr87]

@MovingAverage thank you for uploading the Backtest results & with a quick glance the results look better then okay, boarding on being great. The largest loss (maximum trade drawdown) before the Index Filter turning off of $22,883.10 hit hard & would have been disconcerting at the time.

Summary
For a Daily system operating during the COVID-19 flash crash the overall results are very impressive.

Personally
I can’t wait for your update tomorrow.

Skate.

agreed. those results look pretty good and would fair better than most during that period.

 

[Skate]

Nick's WTT is a simple and robust trend following system. Like all trend following systems it needs bullish market conditions to show it's best results. It will struggle to produce profits when markets go sideways and will produce large draw downs in bearish markets. It's important to understand this before starting any trend following system. Overall you'll get slightly above average returns with the occasional large draw down. You must be comfortable with this and hold through these draw downs. There are a number of tweeks that can be applied to reduce these draw downs but they require more active management and in fact reduce the total profits.

There is chatter on the forum about the "Weekend Trend Trader"
There seems to renewed interest in the "WTT Strategy" at the moment. @TraderJimmy (a new member) is certainly interested.

Information off the Chartist website



A bit of free information off the internet
https://books.google.com.au/books/a...p_read_button&redir_esc=y#v=onepage&q&f=false





The weekend Trend Trader is a simple 20-week breakout system
I've just about finished coding up my version of the WTT strategy & I'll upload some backtest results. Others who own the strategy can check if my backtests results are in the ballpark.

More to follow

Skate.

 

[Skate]

There is renewed interest in the "Weekend Trend Trader"
@peter2 stated: "Like all trend following systems it needs bullish market conditions to show it's best results. It will struggle to produce profits when markets go sideways and will produce large drawdowns in bearish markets". sparked my curiosity. How would have the "WTT" strategy handled the COVID-19 flash crash?

The "WTT Strategy" Backtest results
Backtest period = 1st January 2020 to 30th June 2020
Portfolio size = $300k
Positions = 20
CBA Commission rate = $29.95



Summary
The original WTT backtest results are not that bad considering. Peter nailed it with his summarization of a trend trading system highlighted above. The results are not as bad as @CNHTractor original backtest using a small portfolio size of $20k



I'll make a few modifications to my original WTT strategy & I'll post the results in the next post.
@CNHTractor wanted to see if there were improvements that could be squeezed out of the WTT Strategy. With most strategies, there is always improvements to be squeezed out - even if they are not visible at the time of development.

Skate.

 

[Skate]

The WWT Strategy
I've made a few strategy modification. My version of the WTT Strategy (the code) has not been touched or altered. The improvements are limited to the Index Filter lookback period & Parameters Setting. I have also added an additional moment filter. The results after the improvements are below. The backtest results are acceptable but not pleasing.



@CNHTractor there are improvements to be had
I'll wait for others to post their backtest capture of a real "WTT Strategy" to confirm if I'm in the ballpark. Time will tell.

Skate.

Skate.

 

[CNHTractor]

Is it possible
To have another Backtest capture for the same period - 1st January 2020 to 30th June 2020 but with a larger Portfolio Size as @MovingAverage has done above.

Backtest period = 1st January 2020 to 30th June 2020
Portfolio size = $300k
Positions = 20
CBA Commission rate = $29.95

@Skate will look at posting Backtest as above tomorrow. I will, first, revise my code against Nick Radge's book. I have noted that in the Index I had forgotten to add .au to $XAO in SetForeign code. This did improve result but still negative to your version.

 

[qldfrog]

Hoping not to disturb too much as I am a step behind, only just got time to do the compare with my active system:
Weekly QFDuc backtest
08/08/19 to 08/08/20

with equity curve

 

[qldfrog]

and for 1/01/20 to 30/06/20: