Dump it Here

[Skate]

Skate.

 

[frugal.rock]

lack of attention to details

G'day Skate,
Just a little detail, the headings of your columns for daily Vix strategy are mismatched to the results... (cumulative and daily results are crossed)

I don't like to highlight inattention to details as it doesn't bring me joy, however attention to detail is critical to what I do, generally on a daily basis. If I get things wrong, there's the potential for million dollar lawsuits further down the track.

In this case, the headings are generally irrelevant, the data is all I concern myself with.
Thanks Skate. ?

 

[peter2]

My apologies also, I noticed the error in the headings and forgot to mention it.

 

[Skate]

G'day Skate, Just a little detail, the headings of your columns for daily Vix strategy are mismatched to the results... (cumulative and daily results are crossed) ?

My apologies also, I noticed the error in the headings and forgot to mention it.

Thank you
The column headings have been corrected.

Skate.

 

[Skate]

Skate.

 

[Skate]

One reason why people that are successful in one endeavour have difficulty becoming successful in trading could be due to them overlooking the years of learning, effort and experience that they gained in order to be successful. They wouldn't forget that they started at the bottom and worked their way up, but now that they are successful, their business or endeavour is easily maintained with minimal effort. Not many realise that trading is a very competitive business. Not only do they want to start trading at the top level, they assume that they only need put in a minimal effort to be successful. Only the few with ambition and motivation to work towards their trading goals will get there.

True today as it was in 2008
@peter2 made a post back in 2008 that until recently I hadn't read. If I didn't find his post interesting or educational I wouldn't repost it here "in full without permission".

You're not smart enough

Now I have your attention the thread should be named "Your not smart enough for short Cuts because its not what counts" From a discussion in the Beginners - Introduce yourselves! thread I thought I would start a discussion about something that I have always found a little strange. Why...

www.aussiestockforums.com

"One reason why people that are successful in one endeavour have difficulty becoming successful in trading could be due to them overlooking the years of learning, effort and experience that they gained in order to be successful. They wouldn't forget that they started at the bottom and worked their way up, but now that they are successful, their business or endeavour is easily maintained with minimal effort. Not many realise that trading is a very competitive business. Not only do they want to start trading at the top level, they assume that they only need put in a minimal effort to be successful. Only the few with ambition and motivation to work towards their trading goals will get there"

Successful trading is not guaranteed
It’s a major disappointment that many traders don’t make any money. Trading is stressful & emotional when your money is on the line. It takes an enormous amount of time & effort to be a consistently profitable trader as you are required to develop the necessary skills & attributes. It doesn’t matter how disciplined or confident you are, if you don’t have a “robust simple trading method”, you won’t be successful. Forums are full of traders who are losing money because they have no plan & little self-discipline. Traders who lack the required discipline are the traders who go on to break the rules, even rules they set themselves. Breaking your trading rules & drifting away from your trading plan starts one of many bad habits.

In a nutshell
Trading is a very emotional experience & emotions can sometimes sabotage the best of plans, even when trading is travelling nicely it’s difficult to follow the plan. Most losses are not the result of a poor plan, but the failure to follow that plan. Those who trade well have already been well educated & prepared.

Skate.

 

[Skate]

Skate.

 

[Skate]

Periodicity when it comes to Trading & Reporting
The Daily VIX Strategy has been paper trading for 4 weeks now or 20 trading days. There are a few points that I would like to make about trading & reporting on a daily basis. Trading a daily strategy in the pre-auction involves under 20 minutes a day & that includes the administration of trade movements in Share Trade Tracker. The time involved each day is not an issue but it requires you to be involved every day. As an analogy, I'll use pet ownership. A pet requires daily care & attention but when you go on holidays they can become an issue.

Daily Trading carries more emotions & involvement
Daily administration carries emotions as you are constantly reminded of the daily volatility of the markets whereas weekly administration is more of "how did we go" this week.

The VIX Daily Chart - daily volatility is clearly shown
Trading affects everyone differently & I'm thinking - "is it useful to record the daily fluctuations of the markets". If you look at the blue line in the chart below & imagine the line represents your emotions - could you handle it - trading daily.





The Daily VIX Chart displayed "Weekly" - using a weekly chart smooths the daily volatility
Using a weekly "how did we go this week" type of chart takes away the erratic visual behaviour of trading daily



Skate.

 

[Skate]

The start of the HappyCat project has been delayed another week
The new project is rearing to go but due to the "Index Filter" of the strategy being "off" - no new signals are generated.

Skate.

 

[Skate]

It's unhealthy
Doing the - "What If" - after a position is brought or sold during the heat of trading is unproductive & it can mess with you quick smart. Doing the "What if's" when trading is never encouraged as doubt can fester into anger & anguish.

On reflection
The Action Strategy was "closed out" due to the enactment of the (GTFO Filter) but on reflection, I was wondering - how would the "Action Strategy" be travelling if the GTFO Filter wasn't included in the strategy. The GTFO filter measures the average against the speed of a move compared to the overall Index being traded. As with any trading, nothing is perfect but by following your system 100% of the time has proven to be more beneficial than fiddling with personal intervention. Trading is all about consistency.

What if the "Action Strategy" didn't have a GTFO Filter
If I was wondering how the strategy would have performed over the last two weeks without the GTFO Filter - there may also be others who are wondering the same thing.

How would have the strategy performed without the GTFO Filter?
The trading results are below with the GTFO Filter removed.






The "Action Strategy" without the GTFO Filter






For comparison - The "Action Strategy with the GTFO Filter included










Summary
There is a difference between the results. The Action Strategy cashed out with a healthy 27.2% profit whereas if the strategy kept trading without the GTFO Filter there would be currently "7 open positions" & a profit of 32.8%.

Did the GTFO filter work as designed?
Heck yeh! - Capital preservation is the name of the game. It's better to be safe than sorry.

Skate.

 

[Skate]

Skate.

 

[peter2]

Loved your post showing the daily volatility versus reporting the results weekly. I even gave you the gold star for good content. It's very hard to not be influenced by our recent results. Monitoring results of a daily system once a weekly distances us from that daily volatility. This can only be a good thing. A daily system won't break down in 5 trading days, but a person can become stressed in that time (especially if there's other things happening in your life).

Loved the suggestion of monitoring a daily system, weekly. It's much easier to do this if the daily procedures are automatic and mechanical (no discretion).

Did the GTFO filter work as designed?
Heck yeh! - Capital preservation is the name of the game. It's better to be safe than sorry.

I've no doubt that it worked as programmed, but is the programming right?
IMO the GTFO exit triggered prematurely. You will only know this by researching all prior instances of the GTFO triggers and the effect of each one (individually) on the overall performance. Yep, that's a lot of work.

Action Strategy vs the VIX Strategy. You know my preference. I love the Action.
Ditch the GTFO as a daily system should be able to exit quick enough to protect itself.

You're still the man @Skate

 

[Chronos-Plutus]

I am getting the feeling that if the Central Bankers don't reassure the markets this week; then we are going back to March levels.

I am ~56% cash, ~22% equities and ~22% physical precious metals at the moment.

 

[aus_trader]

I am getting the feeling that if the Central Bankers don't reassure the markets this week; then we are going back to March levels.

I am ~56% cash, ~22% equities and ~22% physical precious metals at the moment.

I thought they were pretty addicted to it by now...

 

[Skate]

Skate.

 

[Skate]

@frugal.rock, a "WOW"

Daily Volatility
Watching the daily volitility can sometimes play with your emotions. Every trader needs to remember that trading is a marathon not a sprint. Some days are lemons whereas other days are lemonade. Meaning there will be good days as well as bad. Accept this fact & you are half way there to getting your emotions under control.

Emotions
I recently made a post about "imagining" that the equity curve (the line) as your "emotions" & if you could handle trading & reporting daily. If you are highly strung & let your emotions get the better of you - "is it better" - to trade daily & report weekly as the equity curve is smoother. Hopefully, this smooths out your emotions as well.

Peter's summary
@peter2 has a way of summarising my posts & as usual, he's spot on the money. In addition to Peter's comments I wish to make two additional points:
(a) Some are more detached from trading than others &
(b) Some have a long term vision & are not distracted from short term results.

It's very hard to not be influenced by our recent results. Monitoring results of a daily system once a weekly distances us from that daily volatility. This can only be a good thing. A daily system won't break down in 5 trading days, but a person can become stressed in that time (especially if there's other things happening in your life). Loved the suggestion of monitoring a daily system, weekly

Skate.

 

[Newt]

As Nick Radge says, "Next 1000 trades".

After even another 50, suspect your equity curve for the Daily VIX strategy will (at first glance) appear much smoother Skate. Totally agree, very easy to forgot or not understand the emotion what each blip up and down in the equity curve represented and felt like when taking in the "big picture" at a later date.....

 

[Chronos-Plutus]

As Nick Radge says, "Next 1000 trades".

After even another 50, suspect your equity curve for the Daily VIX strategy will (at first glance) appear much smoother Skate. Totally agree, very easy to forgot or not understand the emotion what each blip up and down in the equity curve represented and felt like when taking in the "big picture" at a later date.....

VIX has a mild negative correlation to the DJIA over a 5 year weekly close.

 

[Skate]

I receive my share of messages & emails
I've recently received a few messages from members who are eager to trade along with the new "HappyCat Strategy". The "Action Strategy" was an exercise to confirm if it was possible to follow signals blindly if you have confidence in a strategy. I don't know if those who traded along had confidence in me or the strategy or maybe it was a combination of both. The "Action Strategy" turned out to be a "trade along" exercise whereas the "HappyCat Strategy" will be a "follow along" exercise with $100k on the line.

The HappyCat Strategy
I'll be reporting on this strategy twice a week. Friday's post will as usual "the week's results" - more of a "how did we go" for the week type of post. Mondays post will be - "after the close" & I'll report the Buys & Sells conducted in the pre-auction.

What's stopping me from taking the signals a day latter?
I was taken aback with this comment at first but soon realised one of the trading systems in my HYBRID strategy does exactly this (the signal is delayed an extra bar) & works well. Taking a signal a day late, "would it really matter that much?" when trading weekly periodicity. I was asked a direct question - "if the signal is sound for Monday why wouldn't the signal be okay to trade in Tuesday's pre-auction?".

I was stumped for an answer
Would it really matter if you took a signal a day late?

This got me thinking
I conducted such an "exercise" with the results from the recently retired "Action Strategy" & compared them over a short 18 week trading period. The results are in & I'll post the results shortly.

Skate.

 

[Skate]

This is the results from trading the "Action Strategy as designed




"What if" - we traded the signals the next day
I trade Monday in the pre-auction & the Buy signal is good for a day only. I conducted the exercise of - "What if" - Mondays signals were actioned in Tuesday's pre-auction & "would it make much of a difference?" (if any). There was a slight difference but nothing that mattered all that much.




The original "Action Strategy" results
$5,446 or 27.2% return on investment

Trading the "Action Strategy" with a "one day delay"
$5,968 or 29.8% return on investment

I'm calling it - "line ball"
Trading the strategy a day late made little difference over a short 18 week period. The small difference could have gone either way as trading is not an exact science.

The difference in the Equity curve



Summary
Comparing the two columns above, the returns are negligible. The weekly results are within the margin of the original returns. Basically the results trail each other so taking a signal a day late to me "makes little difference". It's easy to backtest this scenario if you have Norgate's Platimum Data - unfortunately I only have the "Silver Subscription" so my records would be skewed.

Skate.