Dump it Here

[Warr87]

Very nice. The day strategy I am papertrading with python + IB is actually a modified CAM strategy. The CAM strategy is a solid strategy IMO. My version: daily, only trade PB and Trends (removed the CT condition), and modified the ranking to a purely momentum position score.

 

[Skate]

I'm feeling very satisfied with the work I've done in this portfolio.

In my opinion
@peter2 has nailed it. Having satisfaction with the effort you have put into trading successfully is the key that keeps you going, always striving to be better.

It’s about being realistic & having an understanding that we are probably only ever going to be "average traders" at best "but that’s okay".

You would expect me to say something similar
In my opinion "I've nailed it as well". As a self-declared perfectionist, I've come to terms with being an "average trader" something that was hard to swallow in the early days knowing the amount of effort I've put in. Don't get me wrong as a systematic trader - I'm doing ok.

How the big boy's trade
Major trading firms invest in outstanding companies at attractive prices. By doing so they are exploiting competitive advantages in order to continually earn returns on their investments. They are extremely focused on the fundamentals of the business value, on risk-adjusted returns rather than any benchmark we as "average traders" use. They are the "Ocean liners" of trading where we are the "speed boat" - having the ability to turn on a dime.

I'm posting a snippet of an equity curve of one of my portfolios. I'm doing this to reinforce a point that two people trading the same system can get very different results. It's been a difficult year for many of us, myself included. It's immensely satisfying to see the results of that patience and focus work out so well.

An insight - benchmarking
@peter2 post above has been sliced & diced to reinforce my next point. Posting actual trading results give others a benchmark of sorts. In business, it's all about percentages, so our focus is directed at turnover. Trading is very similar in many respects as it's all about probabilities. Focusing on a win rate is a poor metric. My winning percentage is less than a coin flip & if it was a school "report card" it would have a big red "F" circled on it - as a fail. The "Win/Loss" ratio should be the area of focus.

My trading report card - the last two calendar years
I'm posting one of my better portfolios to reinforce the point I was making in the previous sentence. The results are from a good strategy that has had a considerable amount of my time allocated to it - proving my point of being an "average trader" is okay. I've withheld the profit & loss amounts but included the commission paid in the last two years, proving "CommSec" is the real winner in this trading game. The graphic below is from the last two calendar trading years (1st Jan 2018 to 13th November 2020) - well for nearly two years. In the last two calendar years, the last quarter of 2018 & the first quarter of 2020 were difficult periods but I realise trading is a long game, a marathon not a sprint.



Trading is a tough gig - by any metric.

Skate.

 

[Warr87]

You say "average trader" but I suspect your sharpe ratio (or other metric) is better than a hedge fund. Your CAR is probably much higher too. One thing I think people forget about us vs. the big guys is that we are managing our own money so we can take on greater risk and therefore greater returns. A fund that suffers a 20% drawdown isn't going to have many clients left, lol. Whereas for us, we keep going knowing withdrawing funds right there would kill our ability to reclaim loses.

I do enjoy this forum to help with the benchmarking. When I'm in a drawndown or have a bad week, there is comfort knowing that others are in the same boat. That is, my loses aren't an aberration.

 

[Newt]

I haven't come across any other public forums where ideas and actual trading performance are shared so openly. The last 3 years have certainly been demanding, but also a crucible for learning and improvement if you're willing to do the hard yards. Very inspired by the ongoing drive for improvement here.

If you guys are "average", then I'll be perfectly happy just to be "bit below average" as long as the long term equity curve is upwards.

 

[qldfrog]

In my opinion
@peter2 has nailed it. Having satisfaction with the effort you have put into trading successfully is the key that keeps you going, always striving to be better.



You would expect me to say something similar
In my opinion "I've nailed it as well". As a self-declared perfectionist, I've come to terms with being an "average trader" something that was hard to swallow in the early days knowing the amount of effort I've put in. Don't get me wrong as a systematic trader - I'm doing ok.

How the big boy's trade
Major trading firms invest in outstanding companies at attractive prices. By doing so they are exploiting competitive advantages in order to continually earn returns on their investments. They are extremely focused on the fundamentals of the business value, on risk-adjusted returns rather than any benchmark we as "average traders" use. They are the "Ocean liners" of trading where we are the "speed boat" - having the ability to turn on a dime.



An insight - benchmarking
@peter2 post above has been sliced & diced to reinforce my next point. Posting actual trading results give others a benchmark of sorts. In business, it's all about percentages, so our focus is directed at turnover. Trading is very similar in many respects as it's all about probabilities. Focusing on a win rate is a poor metric. My winning percentage is less than a coin flip & if it was a school "report card" it would have a big red "F" circled on it - as a fail. The "Win/Loss" ratio should be the area of focus.

My trading report card - the last two calendar years
I'm posting one of my better portfolios to reinforce the point I was making in the previous sentence. The results are from a good strategy that has had a considerable amount of my time allocated to it - proving my point of being an "average trader" is okay. I've withheld the profit & loss amounts but included the commission paid in the last two years, proving "CommSec" is the real winner in this trading game. The graphic below is from the last two calendar trading years (1st Jan 2018 to 13th November 2020) - well for nearly two years. In the last two calendar years, the last quarter of 2018 & the first quarter of 2020 were difficult periods but I realise trading is a long game, a marathon not a sprint.

View attachment 114688

Trading is a tough gig - by any metric.

Skate.

Your quote about brokerage is quite frightening
With the same trades, my brokerage costs would be half
So 10k saved
Not that my broker is perfect as i can not add a buy order unless i have the cash available which means in switch days, i might have to wait for executed sales before entering buys
But I know comsec was ready to match the 10$ a trade when i asked..
So maybe just ask,? the 10k saving can be redirected to the asf legal fund or a charity of your choice if you wish to and if you do not need the cash?

 

[qldfrog]

I haven't come across any other public forums where ideas and actual trading performance are shared so openly. The last 3 years have certainly been demanding, but also a crucible for learning and improvement if you're willing to do the hard yards. Very inspired by the ongoing drive for improvement here.

If you guys are "average", then I'll be perfectly happy just to be "bit below average" as long as the long term equity curve is upwards.

Same here mr Skate was the trigger to my renewed effort on systems, so much to learn from the interactions here.i am nearly 4 months behind with the big move just completed..so many ideas I am looking forward to hot steamy summer days where i will be stuck inside and so have time to work back on systems

 

[Warr87]

I haven't come across any other public forums where ideas and actual trading performance are shared so openly. The last 3 years have certainly been demanding, but also a crucible for learning and improvement if you're willing to do the hard yards. Very inspired by the ongoing drive for improvement here.

If you guys are "average", then I'll be perfectly happy just to be "bit below average" as long as the long term equity curve is upwards.

lots of good ideas and discussion! I definitely wouldn't have progressed so quickly without the help of a few members here.

In one of my trading books (i think it was 'How to Day Trading for a living') it mentioned the necessity to be engaged in a community. performance noticeable dropped when they tried to act alone.

 

[Skate]

Frustration is important. It leads to some hard thinking.

My best strategy going into 2020 was my "Weekly PANDA Strategy"
I've made many posts about my best strategy "The Panda Strategy" it was a consistent performer that wasn't too shabby. When the strategy was stress-tested with the recent COVID-19 panic selling, the exit was slow to react. The strategy fell well short of my expectations reacting too slowly.

IMO the PANDA system is one of the best I've seen. It works brilliantly in mildly bullish markets and kills it in fully bullish markets. It's a seriously good system.

The Panda Weekly Strategy was quickly shelved for maintenance
Up until COVID hit my Panda Strategy was a stellar performer - the idea behind the strategy is still valid but in its current form slow too exit. I have been working hard to sharpen how it picks downturns quicker - it's been a frustrating and annoying process & my coding effort over the last eight months wasn't rewarded as expected. Maybe it's not that I'm annoyed with myself rather it's "frustration" that I couldn't find a more responsive weekly exit.

Repurposed
The Panda Strategy has been repurposed as a "Daily" strategy. Backtesting has shown periodicity is not a concern as the entry strategy is valid across multiple time frames.

Trading the "Panda Strategy"
The Panda strategy entry condition stays the same but the exit strategy has a reworked that quickens "fivefold" eliminating my major concern. I now have two daily strategies. As I'm no longer making daily reports of "Duc-VIX Strategy" - the Daily Panda will be something new to report on. Live trading of my repurposed "Daily Panda Strategy" has a portfolio limited of $100k just in case it falls short of the backtesting results.

The Daily Panda Strategy started last week
To keep the thread active & fresh I'm prepared to post daily updates so others can follow its progress. I've made a ton of posts about the entry condition of the Panda Strategy saving me from explaining it all again. (Search: Panda - posts by Skate if interested) The exit strategy is primarily a wide trailing stop with a looping volatility exit as an absolute fail-safe.

Skate.

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[Skate]

Weekly versus a Daily system
There are merits "trading" in both time frames but for "me" I still prefer a weekly system - I'm a believer if it works for you it's right for you & there are merits trading both. Trading the VIX & Panda strategies has been an eye-opener. Trading daily allows you to (1) exit mid-week instead of hanging out till the end of the week - (2) allows you to take advantage of mid-week moves for a quicker entry into a trend.

Exits are important
After watching the markets these past few weeks adding a volatility exit to my strategies - simply works. Over the last two years, I've raised the question around the "entry versus the exit" scenario & which is considered more important when it comes to the profitability of any trading plan. I still hold the position that the "exit" is where the money is made. I now have to concede the entry is also significant - otherwise, each strategy performance would mirror each other.

Skate.

 

[Skate]

Trend following is a system proven
I’m dumbfounded that there are so many ways to bet on the share market but over a long period I've found it’s much easier to go with the trend rather than fighting against it.

Trends come & go
It pays to be vigilant when trading trends as they come & go with great regularity. Getting into a confirm trend "locks you out" of the early gains, sad I know - but I've come to realise "it's better to be safe than sorry". Looking back at the VIX daily trading equity curve (the line graph) bears out the daily volatility we all have experienced during the past 8 months. It's worthy to remember "trends" can & do change on a dime because they are fueled by greed. Whatever metric or indicator you use to "confirm a trend" - educate yourself thoroughly to understand how your chosen indicator works. All indicators are not created equal & they all display a certain degree of lag.

Consistency of signals is important
You need to thoroughly test each indicator, understanding that the "consistency of signals" is the primary concern. Consistency is the metric that should be used - rather than the profit or profit percentage. You need to test each indicator before you start trading "because" when your money is on the line - things can get complicated very quickly bringing emotions to the surface that you never knew existed.

You need to "condition yourself"
Having the correct mental attitude allows you to think clearly under pressure when things start going south. The way you respond under pressure is the essence of trading successfully - getting your emotions in check can be "tricky to master" but not impossible to do.

Skate.

 

[Skate]

Trading strategies vary in performance
Some strategies are better suited to certain market conditions than others, that's a given. I'm now a believer that you can have the best of both worlds trading a few different strategies & timeframes.

In essence - traders want to know
(1) what to buy
(2) when to buy &
(3) when to hop off the ride.

All three elements are important
If you can nail these three you are halfway there in developing a handy strategy, however, the profitability of a strategy depends on doing a few other things precisely.

I've elevated the "entry" to "significant"
Most traders concentrate on the entry believing if the "right" stock is bought at the "right" time all will work out in the end. In my experience, the correct timing of the exit is where the money is ultimately made. Cutting losing trades early & holding better positions is the secret of being a profitable trader. Alternative views have already been expressed in this thread that "buying" is most important to successful trading. Recently I've changed my thinking & now have elevated the entry to "significant" however, with mechanical trading, timing the "exit" is still the hardest part.

Skate.

 

[Skate]

Skate.

 

[Skate]

I've been thinking
Posting the daily results of my Panda Strategy is nothing but a pure indulgence for me. I'm now wondering if there is any educational value in doing so.

Posting daily results keep the thread active
(1) I'm unsure if others would track the Panda Strategy other than @peter2 or
(2) alternatively, members might be interested in benchmarking their daily strategy against one of my live systems as @Warr87 mentioned in a previous post or
(3) others may be interested in following along each day to see if the strategies trade successfully or not. Who knows.

Skate.

 

[Warr87]

I'm finding it useful. You giving us another strat to follow has prompted me to check the progress of my daily strat thats being papertraded (it's being run through python script so don't have a daily performance system setup just yet). I have labled it a failure. It is breakeven after approx 3months. The backtest over the same period would have yielded +16%. I was having issues with the calcs being performed in python matching to the values that AB was giving me. I'm not experienced enough to work it out right now. But with your daily systems update, I've decided to move my papertrading to manual (AB + Share Trade Tracker). I don't have an extra chart setup in STT like you do, so it will make showing results harder.

You could also do a weekly review if daily is too much?

 

[drewdubs]

I've been thinking
Posting the daily results of my Panda Strategy is nothing but a pure indulgence for me. I'm now wondering if there is any educational value in doing so.

Skate.

The daily/weekly reporting uploaded by yourself and others is certainly beneficial to me Mr Skate, particularly through the volatile periods we've been having. I have found it useful to assist in benchmarking performance of my mechanical trading system against the community and is pushing me to keep searching for little improvements that I believe would otherwise take longer to contemplate.

The reporting of the Daily VIX system when there was a string of daily losses, and the surrounding commentary provided by yourself and others was also invaluable. I learnt a lot. This really tested my system exits and entries once again, as well as my resolve to keep following a consistent, methodical approach as per the generated signals.

Thanks to you and the many others for contributing your time, knowledge and experience.

 

[soren_lorensen]

thanks for uploading/updating, certainly very interesting, where does your dashboard with all the key performance metrics come from?

cheers

-soren