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Thank you Skate for all your great work. Plenty to analyse and think about.
Dump it Here
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MovingAverage
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IMHO this is part of the problem with simulating systems....you might see a DD of 20% and think that is ok, but in reality I doubt very much that someone who has worked very hard for years to scrape together $100,000 then to put it into the market would be comfortable seeing their $100,000 shrink to $80,000 not know when things will turn around. It is a real mental battle to plow on placing your system trades when you keep getting loss after loss.
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Looking at percentages
If you view backtests in percentages you become quickly conditioned & accepting. A drawdown of 20%, yeah, that's acceptable & let's face it, we have all made the same remark at one stage or another.
But convert percentages to dollars
20% converted to dollars takes on a new meaning so don't let percentages fool you into a false sense of security.
Percentages are relevant to the size of your portfolio.
(a) On a $20k portfolio, 20% is bearable but trading a larger portfolio it can be devastating & hard to swallow.
(b) On a $100k portfolio, 20% takes on a new meaning as @MovingAverage mentioned in the previous post
(c) Trading a $1m or $2m portfolio 20% becomes very relevant indeed. That's $200k & $400k of your funds "GONE"
Skate.
MovingAverage
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Spot on!
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Please note that the covid crash gave a good indication of your behaviour, i consid that as my validation test:
Lost all of my wins plus more.i think i pass:-(
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Update
I have been asked for a comparison of how "Skate's Modified WTT Strategy" compares to the twitter feed of The Chartist. (the uploaded version)
Charts
I previously uploaded the charts for comparison between my "Tesla" version of the "WTT Strategy" but not "Skate's Modified WTT Strategy" that was uploaded in the "Dump it here" thread for members to evaluate.
Comparison uploads
I have included "The Chartist" Twitter feed capture & inserted it into the LH top corner of the upper chart. The signals that matched are circled.
The lower chart is "Skate's Modified WTT Strategy"
For comparison, the lower chart is "Skate's Modified WTT Strategy" the strategy that has been uploaded for forum members to evaluate. The signals are very close to the Chartist Twitter Feed, proving the uploaded "Skate's Modified WTT Strategy" maybe basic in construction but when it comes to performance it's a handy strategy to have. Simplicity sometimes works.
The charts below are self-explanatory
The charts have been marked-up so there is no further explanation is needed. In a nutshell "Skate's Modified WTT Strategy" is worthy of further evaluation.
Summary
"Skate's Modified WTT Strategy" signals are very close to "The Chartist Twitter Feed" & the performance may be slightly better than the original. Sometimes, good enough is good enough.
Skate.
MovingAverage
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I'm always cranky no matter what the market does so don't let that be your indicator
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This reminds me of the Jerry Parker interview on Chat with Traders that I re-listened to again last night (one of my absolute favourites). Jerry says in that interview that the Turtles were told that if they made money, but they weren't following the rules, that they'd be in trouble, but if they lost money, and they were following the rules, they'd probably be okay.
So in my mind, there is really only one question. Were you following the rules?
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I definitively did till my systems were all out..not quick enough in retrospective but isn't it always easier post facts.
The weeks where no signal were given gave me more time to review code ,add better gtfo and actually build fully different concepts
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Which is why the value allocated initially should only represent a small % of total net worth initially. It is easy to increase the % once you are educated and confident in your systems and methodology, impossible to reduce once you have lost 20%. I would say further that you should never go too much past that initial % until you have traded your first crash/bear market. Until you have successfully navigated that, you simply don't understand what you will experience.
jog on
duc
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Is everything working correctly in your code skate? I just noticed on the SLR chart you have been in that position for a long time, and there was no exit flagged during the crash. Also the CEL chart.
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The sell condition requires two confirmation in tandem. The exit is conditional on an (and ) statement. Using an (or) statement the exit is conditional of either being met. Others may have a different view.
Skate.
MovingAverage
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Happy FriYay all,
So with all this recent discussion about weekly systems thought I'd share the current performance of my live weekly trades. The graph below is the unit value of my portfolio (not $$ value) and it tells a lot about how my real weekly portfolio is tracking. This is from the start of the year. You can see the Covid draw down which corresponds to an overall system draw down of around 15%. Pretty much all of that draw down has been recovered. The past month certainly has seen it's ups and downs but overall tracking in the right direction. Would love to hear how other live weekly portfolios are tracking.
Cheers MA
So with all this recent discussion about weekly systems thought I'd share the current performance of my live weekly trades. The graph below is the unit value of my portfolio (not $$ value) and it tells a lot about how my real weekly portfolio is tracking. This is from the start of the year. You can see the Covid draw down which corresponds to an overall system draw down of around 15%. Pretty much all of that draw down has been recovered. The past month certainly has seen it's ups and downs but overall tracking in the right direction. Would love to hear how other live weekly portfolios are tracking.
Cheers MA
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@MovingAverage another great post. By sharing your equity curve it allows others to benchmark their trading. Well done (boarding on being impressive)
Skate.
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Skate.
MovingAverage
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1. IFN - 17916 @ $0.89
2. SPT - 10,338 @ 1.38
3. WAF - 13,888 @ $0.93
1. PYC - 125,000 Shares @ $0.12
2. NST - 1,022 @ $14.67
3. BBN - 3,504 @ $4.28
Skate.
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Skate.
MovingAverage
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@Skate I'm interested to note you're re-balancing. So am I correct to assume that if any of your open positions drop to below 5% of total portfolio value then you will buy more to get it up to 5% and that if an open position is more than 5% of total portfolio value you will sell down whatever is required to get it to 5%? I've always found this difficult to model in AB sims.
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