Dump it Here

[qldfrog]

overall behaving quite well against the other systems, the real world so so performance 9% since 01/05 (3 months and a bit is not that bad: I started with v10 and have reached v14 which has been stable and clean for quite a few weeks and does not show sign of repainting.
I will keep this one going

 

[Skate]

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

@qldfrog both backtests are impressive, well done.

With all the backtests submitted so far they confirm that trend trading is a profitable way to trade.

Skate.

 

[Saqeeb]

Keeping with the current theme, below are backtest results of my version of WTT.

Backtest period = 1st January 2020 to 30th June 2020
Portfolio size = $300k
Positions = 20
CBA Commission rate = $6.6

 

[MovingAverage]

@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.

Skate.

Thanks Skate, yes my live trades of this system have been good to me.

You mention the "index filter turning off". My system doesn't use any index filter whatsoever and as I found out in March that causes me a significant mental challenge. I was live trading this system through the first two weeks of March and the trades I took during that time were nothing unusual (winners and losers with no out of the ordinary profits or losses). However, during this time it was hard to avoid all the bad news about global financial Armageddon being upon us so I just stop trading the system despite it telling me to do otherwise--placing long buy orders when the market was falling like lead balloons just did my head in and I couldn't deal with it. I went back to live trading it in the second week of April. Even for system traders it is very easy to say "just trade the system and ignore everything else" but it is a very different thing when you have significant capital tied up in live trades when the market is on an express train south.

That March crash was also a difficult time for me to sit on the side and watch my weekly system--stocks heading south very quickly and knowing the system won't exit for 3-4 days--that takes some serious discipline. That March time frame caused we to modify my weekly stops to help my head deal with those rapid March type crashes.

 

[qldfrog]

That March time frame caused we to modify my weekly stops to help my head deal with those rapid March type crashes.

Do you mean intra week stops, wo waiting for the monday open?

 

[MovingAverage]

Do you mean intra week stops, wo waiting for the monday open?

yup...they they are only triggered in extreme conditions like we saw in March

 

[qldfrog]

yup...they they are only triggered in extreme conditions like we saw in March

I understand, had the same idea before the crash,removed it toato be a purist and lost 20k...
They are now in place for my weekly but very wide SL

 

[Warr87]

and for 1/01/20 to 30/06/20:
View attachment 107267
View attachment 107268

Great result. Even the sharp ratio from both tests us very high IMO.

Interesting and informative results from everyone.

 

[MovingAverage]

I understand, had the same idea before the crash,removed it toato be a purist and lost 20k...
They are now in place for my weekly but very wide SL

My intra week stop is based on a rate of decline over a period of time--meaning it will trigger if there is a rapid decline in a short period of time (like we witnessed in March).

 

[qldfrog]

Just have to be cautious based on your universe, you can not adopt the same SL for a penny stock or CBA
Not directed to above post, just a generic truth for any learmer

 

[MovingAverage]

Just have to be cautious based on your universe, you can not adopt the same SL for a penny stock or CBA

Most definitely - very important. I apply a turnover and volume filter to exclude highly volatile stocks

 

[CNHTractor]

Backtest results of my version of WTT.

Backtest period = 1st January 2020 to 30th June 2020
Portfolio size = $300k
Positions = 20
Commission rate = $29.50

These results are not too dissimilar to @Saqeeb https://www.aussiestockforums.com/threads/dump-it-here.34425/page-184#post-1087587

 

[Skate]

@soso has given me an idea
The "Weekend Trend Trader" or the (WTT Strategy) is a topic worth discussing. For those interested, I'll explain my methodology of constructing a strategy for a beginner to follow along. I'll construct the strategy in such a way so it can be used as a "template" for other trading ideas. In the series of posts, I'll construct the WTT strategy as there is renewed interest.

In the "Dump it here" thread
1. I'll make a series of post about strategy construction in Amibroker
2. I'll explain what Amiboker is in plain English & some keywords
3. I'll do a step-through, a "storyboard" a step-by-step construction of a basic WTT strategy
4. When finished the WTT Strategy will be tradable if you have "Amibroker + a Data supply"
5. I'll make sure the series of posts are understandable even for a beginner to follow
6. I'll make "the series" before posting them & in doing so the series might stay together without interruption

Skate.

 

[MovingAverage]

@Skate (and others) you might find this interesting--performance of my live weekly system trades. This is dumped straight out of Stator and is for open and closed live trades. Sorry, I've removed the Y axis scale for obvious reasons but even so should give you some insight into the performance. The charts are linear. So to explain what this is representing and note I've been live trading this system since Jan 2015:

1. The top green chart is total profit (closed position profit + open position profit).

2. The next graph (red and blue bar chart) shows P&L for each individual trade (obviously green is a winning trade and red is a loosing trade).

3. The next solid grey graph is the number of open positions. The highest level shown is 20 open positions, which is fully invested. I'm using a very simple position sizing technique for this system--max of 20 positions each position being 5% of total portfolio value.

4. Finally, the graph at the bottom is open and close position profit. The blue line represents total profit of all closed positions and the orange line represents the profit of all open positions.

Looking at the green chart you can see my profit is now pretty much back up to pre-March crash levels.

It's great to discuss simulation results--but it's even better to discuss actual live system performance

 

[qldfrog]

Most definitely - very important. I apply a turnover and volume filter to exclude highly volatile stocks

and a demo today, I bought MSB @4.5 initial stop loss set and unchanged for a week at 4.39
SL blown thru today and manually sold just a few sec ago at $3.81 eeekkk
will most likely finish the day higher than my initial SL ;-) 16% loss, in one overnight ownership...
Ok.I stop disrupting Mr Skate feed

 

[Skate]

Backtest results of my version of WTT.

@CNHTractor your version & @Saqeeb version of the "WTT Strategy" would be hard to trade with confidence. The premise behind the strategy is "sound & simple" so it's worthy of constructing.

The constructed strategy
I prefer trading weekly & in the pre-auction, a system of trading that has served me well so that will be my template. Hopefully the strategy will put others on the "Road to Success"

Skate.

 

[Warr87]

My intra week stop is based on a rate of decline over a period of time--meaning it will trigger if there is a rapid decline in a short period of time (like we witnessed in March).

how is that implemented? are you running code daily to look for this?

 

[Skate]

It's great to discuss simulation results--but it's even better to discuss actual live system performance

@MovingAverage thanks for the share, trading is a lonely hobby & without members like yourself posting actual returns others have no way of benchmarking their returns. @qldfrog & @Warr87 are doing the same on a weekly basis. As I've said before "Sharing is caring" & it motivates all of us to strive for better.

The COVID-19 Flash Crash
This "black swan event" has affected us all & it's worthy to explore how we go somewhat to find a way to cushion the blow of the next one.



Skate.

 

[MovingAverage]

how is that implemented? are you running code daily to look for this?

Yes, I'm using Amibroker. I'm trading three different systems over different timeframes so am already doing EOD explores in Ami each night so no big deal to also check in on the weekly each night--it's just "a press of a button".

 

[over9k]

thanks for the share, trading is a lonely hobby & without members like yourself posting actual returns others have no way of benchmarking their returns.

Surely you just compare yourself to the market/indices? As long as you beat the market, you're winning.

I'm about to rotate out of a lot of U.S holdings due to my belief that the exchange rate has a lot of legs to run yet. It's hard to fight both a market and an exchange rate. The way we're going, 90c by christmas is not looking unrealistic.