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Dump it Here

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Newt said:
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?
Click to expand...

@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.
 
Hi Skate,
several comments below:

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?

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.

Thanks!
 
julo said:
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.
Click to expand...

@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 said:
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Skate.
Click to expand...

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.
 
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 .
 

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.....
 
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.
 
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
 
frugal.rock said:
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
Click to expand...

@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 .
 
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