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Dump it Here

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Skate said:
I'm calling it - "line ball"
Trading the strategy a day late made little difference over a short 18 week period.
Click to expand...
It appears that if extrapolated out further over time, an extra small edge is found?

What if.... signals are generated on a Monday evening, and taken/traded on Tuesday open.
(My hypothesis... unproven)
You must enjoy a long weekend Skate?
Cheers.
 
CNHTractor said:
the Jim Berg code
Click to expand...

@CNHTractor raised the name "Jim Berg" a skilled trader that went on to win the non-public Investor Journal trading competition in 2002 using his "Volatility based trading system".

Some get their "Noses out of joint"
When code is used that is attributed to another without public acknowledgement or recognition seems to upset some. My personal view differs because if the code is freely distributed on the internet it belongs to everyone. Sometimes code snippets lose importance when combined with others snippets that we all seem to collect & use over time.

In my case
I have used one line of "Jim Berg" code (the entry condition) - the rest of the code is freely available.

Volatility based trading system
A volatility-based trading system developed by Jim Berg helps identify volatility that we can use for our entry signal. Like most good trading systems it is not complicated but the stock must be in an uptrend. The strategy is designed to trade in the pre-auction & the signals are generated using the "Exploration Analysis"

The system
Jim Berg's system uses volatility, actually, he uses 2 times the Average True Range of the last (10) days for the entry signal. The (ATR) volatility identify where to enter the trades & hopefully make a reasonable amount of profit - well that's the plan at least.

The exit
I've used a vanilla envelope Moving Average exit that has been well tested & suitable for this style of trading.

No Index Filter
Also, I should point out this is a Daily Strategy that has no reliance on a "Buy or Index Filter" as it purely enters a position on volatility.

Upload
"Skate's Version of Jim Bergs Daily Volatility Strategy" is uploaded for educational purposes for ASF Members who have Amibroker & a reliable data source. I've used the new Norgate Updater (NDU) format for the data - you need to change the format (suffix) if it is different from your data supplier. "Pad & Align" in the settings need to be adjusted to format (suffix) of your data supplier as well.

Skate.
 

Attachments

  • Skate's Version of Jim Berg Daily Volatility Strategy.afl
    11.5 KB · Views: 94


Private messages
I've been thinking about a private message I received on Friday. Most messages I receive have normally 3 parts to the message body & this recent message followed along with the same format. From the get-go, I should mention that this member was the first to congratulate me on maintaining the "Dump it here" thread for a complete year. My two year anniversary of this thread is quickly approaching.

Today I want to post about the word THREE
So you have a better understanding of my next series of posts - let me use the analogy of "life" - there is a:
1. Beginning
2. Middle
3. End

Members post
Most private messages I receive usually display varying levels of:
1. Appreciation
2. Criticism
3. Helpfulness

Friday's PM
The private message I received on Friday contained three points that were the inspiration for this post. The message started with:
1. The first paragraph contained an appreciation for the "Dump it here" thread
2. The next paragraph confirmed that my posts will stick around to help others in the future
3. The last paragraph was advice on how to improve "Share Trade Tracker". The improvement will be incorporated in the next release of the program.

To the member
1. Thank you
2. Thank you
3. Thank you

Skate.
 


I'm concentrating on THREE today
The next series of posts will contain three of something. To keep the posts short, I won't go into depth as it's more productive to think about things.

Staying with the private message theme
Those who contact me about trading, tend to ask me the same few questions in a variety of ways:
1. When should I buy?
2. What should I buy?
3. When should I sell?

The answers to those 3 questions
The answer to those three questions have already been canvassed in detail but most:
1. Don't have the time to read the entire "Dump it here" thread to find the answers
2. Nobody reads yesterday's news
3. They are after a quick answer - that they will quickly forget - in my opinion

Skate
 


Trading is easy
1. Trading is easy, everyone can do it - making money when trading is the difficult part
2. Trading consistently is hard to maintain even at the best of times
3. To keep pulling the trigger when the going gets tough is even harder

Recent trading has been a struggle
1. Using the (VIX)
2. To trade the (XAO)
3. The equity curve displays how emotional it can be at times

1. Using the VIX
The white box displayed in the chart below is the trading period of "Skate's Daily VIX Strategy" - Using the VIX to decide when to enter a position is not always accurate but at times it's the best we have. I've found using the "VIX" is as good as any other method to enter a trade. Money management incorporating a sharp exit handles the rest.






2. The All Ordinaries XAO (during the trading period)
Trading is difficult at the best of times - trading is even more of a challenge when the markets are in a downtrend






3. The equity curve displays how emotional it can be
Trading is not all peaches & cream. We all as traders tend to focus on the destination without realising the journey has its many challenges.



They say
Things come in threes

Skate.
 


Confusing the three "P's"
Trading successfully depends on having a firm understanding of the three "P's" as they are often confused.
1. Percentages
2. Probability
3. Profitablility

PhD
Profitable traders are required to have (PhD)
1. Perseverance
2. Hard-work
3. Determination

Skate.
 
Skate said:
Trading is easy
1. Trading is easy, everyone can do it - making money when trading is the difficult part
2. Trading consistently is hard to maintain even at the best of times
3. To keep pulling the trigger when the going gets tough is even harder
Click to expand...

And to those 3 questions: why is that the case and why is a mechanical system one way to overcome this difficulty? So the answer lies in how a mechanical system is built and executed. It is built through applying a strategy to past market data. Then, you trade it. You trade it by not questioning it.

What you totally ignore is the news feed.

I have noticed that discretionary traders pay far too much attention to the news and are invariably caught out by it. The news is unimportant or already factored in (take your choice).

How are they caught out?

Through 'Representative Conjunctions': P(A) or P(B) has a higher probability than P(A+B). (A) is the news and (B) is the market's interpretation of the news. So we as discretionary traders, if we think that we can trade the news or interpret the news, are constantly in the domain of P(A+B) which carries the lower probability. Mechanical systems are in the domain of P(B). An example TSLA: Remember tech/a buying TSLA at $800/share? I thought he was mad. Valuations, any number of logical arguments could be put forward, yet, TSLA rose and rose and rose. I was overly influenced by P(A), whereas, if simply I had traded P(B) I could have made a lot of money.

The conjunctive is the word "and" which is represented mathematically by +. The word "or" is disjunctive. Traders need to trade disjunctives and you would hope they choose P(B) and not P(A).

The other factor re. P(B) is the law of large numbers. Now markets don't have enough numbers to fully qualify, but: (a) Indices are easier to trade than (b) sectors which are easier than (c) individual stocks. Adjust your probabilities accordingly. Of course as your probabilities change up or down, so to will your profit probabilities (returns) and risk (losses).

Trading in this manner is hard. It is hard because you will enter trades that make no logical sense to you. Enter the market in late March? Madness. Buy TSLA at $800? Madness. Your system has just lost 5 trades in a row...I knew they were bad trades, and now when trade 6 appears, you don't take it: P(A+B).

jog on
duc
 


I'm getting excited
My new project - the "HappyCat Strategy" is close to starting this Monday.

Start dates are important
The starting date of any new strategy will have a big bearing on the performance outcome. Beginners need to remember all strategies take time to develop, so let's be patient with the performance of my new project – the HappyCat Strategy.

Uncertainty
None of us knows what's going to happen next when trading but what I do know is that "it's vital that we follow our trading rules consistently" otherwise it can destroy the strategies edge. The profitability of the HappyCat Strategy relies on timing the exit with consistency as there are will be an abundance of entry opportunities.

Skate.
 
Will it be similar to action strategy, do you accept followers?
With the PPOR move, i have had to distance myself a bit from the forums.
The advantage i found with the action strategy is that i have a whole personal aka excel record of the week to week strategy and buy sell actions and so can do things like comparison with actual knowledge of what happened later on and so validate or not some of my own strategies
Was also good at keeping me focused on my other strategies thru the ups and down
 


Background
I've previously explained the working of the "HappyCat Strategy" but as a refresher, the strategy uses volatility & momentum to enter & exit positions. There is a multitude of indicators that can help identify the direction, strength, momentum & volatility but the HappyCat uses only two indicators (ROC & ATR) to keep the strategy simple. Typically, the “HappyCat Strategy” analyses momentum & volatility near the top & bottom of a price range helping to identify where to enter & exit a trade. The two indicators even focus on the volatility & momentum during price consolidation & retracements which is a new idea for me.

There is a series of criteria that are used to signal a trade
The primary criteria for the HappyCat to be successful, the positions must be in an uptrend meeting or exceeding conditional parameters to generate a buy signal. The HappyCat Strategy will struggle if the markets decide to trend lower after the position is taken.

Skate.
 
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