Dump it Here

[Skate]

Hi Skate - the casual reader would think your strategy development days are far from over from the number of strategies both weekly and daily you've mentioned this year!
Unless of course most were hatched years ago and only "matured" recently?

@Newt, I do have a few strategies waiting to be traded that were developed a few years ago.

Within a few weeks
I’ll be trading 3 new strategies. 2 of the strategies have passed the paper trading period with flying colours.

Daily VIX Strategy
The Daily VIX Strategy is the third strategy in question that I intend to trade at the same time. The VIX Strategy has completed only 9 weeks so far of the paper trading period but I’m itching to throw a daily system into the mix.

It’s been tough
The last 9 weeks has not been all smooth sailing but the VIX Strategy has performed & it’s worthy to be put to work.

Skate.

 

[julo]

Hi Skate,
several comments below:

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@peter2 thank you for your suggestion. I have poured over my development notes of the "HappyCat Strategy" & found a version of the strategy that had the highest "probability for profitability". This version of the strategy was quickly discarded for a few reasons.

Profits are not the measure of the tradeability of a strategy
Trading is a constant trade-off between (a) annual return versus the drawdown & (b) the number of round trades over a trading period.

I partially agree, but based on your backtests results I would rather go for 53 % annual return with 86 trades than only 8 % return with 39 trades. I suppose that results for longer period would bring very different results [in (a)] and that's why you are trading HappyCat strategy w/o Breakdown exit. Or?

Improvements
The "HappyCat Version" of the strategy that I'm trading sits in the goldilocks range of returns.

Ramping up the returns of the "HappyCat Strategy"
When chasing higher returns a modified version trades its head off. Why? because the exit is a breakdown (the reverse) of the original buy condition. What this means in English is the exit is dependant of the buy condition being FALSE or for visual representation, it's when the ribbon turns from blue to red. This sounds simple & clean but positions are not given time to mature into profitability. Personally, I prefer to give each position a bit of slack. I prefer to sell a position dependant on a few different parameters being met.

Backtesting
I've said backtesting means "Jack" but in this case, I'll throw up a backtest report to indicate how often this version trades over a short period of time (1st July 2020 to the end of trade today). Over a longer period, the trade count expands exponentially.

Can you explain in more detail? I doubt that with longer period the trade count expands exponentially. Because if your trading system does not change its behaviour in time, trade count should be proportional (linear) to time period.

The breakdown exit version of the "HappyCat Strategy"
When the buy condition is TRUE a position is entered & when it's FALSE the position is sold. This strategy doesn't finesse the exits but rather exits when the buy condition is no longer TRUE.

Crude, fast & effective
Is one way to describe the BreakDown version of the strategy but I couldn't trade it - No way!

If I may say
As a systematic trader, chasing the "highest returns" is not the name of the game.

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Skate.

Thanks!

 

[Skate]

Can you explain in more detail? I doubt that with longer period the trade count expands exponentially. Because if your trading system does not change its behaviour in time, trade count should be proportional (linear) to time period.

@julo the trade count is driven by volatility & exiting when the ribbon turns red (basically an on & off switch) that doesn't finesse the exits. The HappyCat Strategy uses an index filter which controls the looping trailing stop - not when the position is taken.

F.Y.I
At the individual level "volatility of individual positions can whipsaw you in & out of those positions quick smart" & exiting is relative to the length of period the position is being traded.

The HappyCat Strategy being traded in the "Dump it here" thread
The HappyCat version I'm actually trading holds positions over the longer-term (see the chart below) & the exit is not dependant on the volatility turning off.

The HappyCat discarded Strategy - Why? because of whipsawing
The buy & sell position is dependant on the ribbon (Volatility) turning off & on (Blue to Red). As an example: When the buy condition is TRUE a position is entered & when it's FALSE the position is sold. This strategy doesn't finesse the exits but rather exits when the buy condition is no longer TRUE causing the strategy (that has been discarded) to trade its head off.

Volatility Ribbon
When the ribbon turns red (SELL) When the ribbon turns blue (BUY) - the commission would be a killer to the strategy let alone the work involved constantly driving the strategy.



Skate.

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[Warr87]

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Skate.

For some reason my account is negative. I just checked and the majority of my fills are close to what you have. I guess the few that are a few % off have caused the difference. i guess i can either set my limit order to your fill price or just continue. I am just buying at the market open on Tuesday. For the rest following on, are you experiencing the same thing? (It's not much of a difference, system is at -0.2% which is nothing and I have experienced much worse in every system I have tested on live data.)

 

[Skate]

For some reason my account is negative. I just checked and the majority of my fills are close to what you have. I guess the few that are a few % off have caused the difference. i guess i can either set my limit order to your fill price or just continue. I am just buying at the market open on Tuesday. For the rest following on, are you experiencing the same thing? (It's not much of a difference, system is at -0.2% which is nothing and I have experienced much worse in every system I have tested on live data.)

@Warr87 there will be short term differences, sometimes better & sometimes a little worse. The HappyCat Strategy has been trading for a heartbeat in "difficult times", the strategy will take time to mature rotating out of low performing positions. Trading the signals without thinking or intervention will be the yardstick for profitability.

Suggestion
Continue buying at the market open on Tuesday with a (-/+) 3% premium of Monday's closing price.

Skate.

 

[Warr87]

Don't worry skate, I intend on still trading it. Just like my own MAP strategy, it takes a bit for the low momentum losers to be cut and for it to take off. I remain confident that it will perform well in the long run.

and every 1 of my current live strategies (my Super ASX300 & MAP) dropped today. still not the kind of market most of us here would like.

 

[Rsthree]

Don't worry skate, I intend on still trading it. Just like my own MAP strategy, it takes a bit for the low momentum losers to be cut and for it to take off. I remain confident that it will perform well in the long run.

and every 1 of my current live strategies (my Super ASX300 & MAP) dropped today. still not the kind of market most of us here would like.

I think we had too smooth a run on our previous live trade strategy, so rightly so this one should exercise all the attributes of live trading. I'll take it all on board as good training .

 

[Newt]

@Warr87 there will be short term differences, sometimes better & sometimes a little worse. The HappyCat Strategy has been trading for a heartbeat in "difficult times", the strategy will take time to mature rotating out of low performing positions. Trading the signals without thinking or intervention will be the yardstick for profitability.

Suggestion
Continue buying at the market open on Tuesday with a (-/+) 3% premium of Monday's closing price.

Skate.

I'm grateful for opportunity to follow as closely as a day later, and agree with Skate the variations to date are within the variations discussed at the beginning (when Skate did backtests on the affect of a one day delay). Personally I'm at -0.1% following the 3% off Mon close premium (or at least was on Friday close). We're really just down in the noise floor for returns/DD at the moment.

The first live week had a very lively Mon, particularly in a couple of the first basket of stocks from memory. Not too concerned, but not having checked too closely, also slightly relieved to hear others in the red still.....

 

[Newt]

p.s. Its interesting how much more you pay attention when you have skin in the game - finding it fascinating watching the entries and sorts of stocks Skate is sniffing out in much greater detail than usually apply. Being more of a "buy on established momentum" trader, its interesting roughly watching the low'ish correlation between Happy Cat and my own TF strategy. Hoped this might be the case, but fascinating to see it unfold in real time. Long term Dump It Here readers will be aware Skate likes to jump on every new trend early and hit the exit at first sign of faltering.

Obviously huge correlation in that both approaches are trading ASX All ords, but does appear to be some "diversification" benefit at this point, and will be interesting to see what plays out over coming months.

 

[frugal.rock]

G'day Skate,
With your testing of the current HC system, where a slight advantage was found, for the theoretical buying on Tuesday open, was selling also tested on Tuesday open?
To buy on Tuesday open and sell on Monday open, I would expect, would provide a further advantage. Not hard stats, just my guess...
Cheers

 

[Skate]

G'day Skate,
With your testing of the current HC system, where a slight advantage was found, for the theoretical buying on Tuesday open, was selling also tested on Tuesday open?
Cheers

@frugal.rock, yes the testing was done with a "one day delay" on the buy as well as the sell. Meaning the buy & sell signals from Friday were executed in Tuesday's pre-auction instead of Monday pre-auction.

Buying on Monday
I’ve noticed buying on Monday’s - the open can sometimes have over-enthusiastic traders willing to buy positions at a premium. After the markets settle the position will normally (not always) pullback losing a bit of its opening value.

Buying on a Tuesday
The market on Tuesday is a settled market (lacking the enthusiastic buyers that were evident on Monday). My research indicates buying on Tuesday makes no difference. Over the longer term, the profitability is either higher or similar when trading Fridays signals on a Tuesday.

Skin in the game
Having skin in the game you will tend to ride the strategy emotionally. All systems take time to develop & the HappyCat is no different as it’s just the nature of this style of trading. If we follow the system religiously it gives us the best chance of profitability.

Skate.

 

[Warr87]

@frugal.rock, yes the testing was done with a "one day delay" on the buy as well as the sell. Meaning the buy & sell signals from Friday were executed in Tuesday's pre-auction instead of Monday pre-auction.

Buying on Monday
I’ve noticed buying on Monday’s - the open can sometimes have over-enthusiastic traders willing to buy positions at a premium. After the markets settle the position will normally (not always) pullback losing a bit of its opening value.

Buying on a Tuesday
The market on Tuesday is a settled market (lacking the enthusiastic buyers that were evident on Monday). My research indicates buying on Tuesday makes no difference. Over the longer term, the profitability is either higher or similar when trading Fridays signals on a Tuesday.

Skin in the game
Having skin in the game you will tend to ride the strategy emotionally. All systems take time to develop & the HappyCat is no different as it’s just the nature of this style of trading. If we follow the system religiously it gives us the best chance of profitability.

Skate.

I agree that monday tends to be a bit more enthusiastic. i have been sending my orders as MRKT orders on Tuesday and they have been within 0.005 for most positions that you got filled. This is nothing, even on a larger scale. And to be clear, I wasn't doubting the happy cat strat. was more making an observation and curious as to the other traders. even if it bombed i would only be able to blame myself .

 

[Skate]

Skate.

 

[Warr87]

Another rough day. All of my strats lost approx 2% today too. lol

 

[Skate]

Skate.