Dump it Here

[Skate]

Skate.

 

[Lone Wolf]

I have found making the "PositionScore" random you no longer have a set trade list, and it does indeed become more random. It essentially removes your position score as a source of Alpha from the strategy.

Can be useful to determine whether your entry and exit conditions are robust vs the PositionScore filtering.

If you want to keep the position score in your code while also getting an idea of how robust your system is, you can add an element of randomness into whether you take or skip each signal.

step = Optimize( "step", 1, 1, 1000, 1 );
Buy = buyCond AND Random() >= 0.20;

Random() generates a value between 0 and 1. So in the above, you have a 1 in 5 chance of skipping the trade. So all trades taken are still valid since they are still filtered by your position score, but you now have variance in each run.

 

[Newt]

If you want to keep the position score in your code while also getting an idea of how robust your system is, you can add an element of randomness into whether you take or skip each signal.

step = Optimize( "step", 1, 1, 1000, 1 );
Buy = buyCond AND Random() >= 0.20;

Random() generates a value between 0 and 1. So in the above, you have a 1 in 5 chance of skipping the trade. So all trades taken are still valid since they are still filtered by your position score, but you now have variance in each run.

Strange, but I was pondering if it might be possible to manually introduce a small portion of randomness into Monte Carlo and backtests runs earlier today, and now Lone Wolf you've nicely shown exactly how to do it - thank you!

 

[qldfrog]

Strange, but I was pondering if it might be possible to manually introduce a small portion of randomness into Monte Carlo and backtests runs earlier today, and now Lone Wolf you've nicely shown exactly how to do it - thank you!

This highlight one of the flaw of AB MC.
If your system is very selective, indeed, hardly any difference, so @Lone Wolf option is great.
Have to remember removing it from final code too...?

 

[Skate]

Skate.

 

[MovingAverage]

If you want to keep the position score in your code while also getting an idea of how robust your system is, you can add an element of randomness into whether you take or skip each signal.

step = Optimize( "step", 1, 1, 1000, 1 );
Buy = buyCond AND Random() >= 0.20;

Random() generates a value between 0 and 1. So in the above, you have a 1 in 5 chance of skipping the trade. So all trades taken are still valid since they are still filtered by your position score, but you now have variance in each run.

That is my prefered way of doing monte in AB. Simply export the optimization results into Excel and you can do some great visual/charting analysis of your systems performance. This is much better than doing a single run. Although I'd suggest you push the 1000 value to much higher to get a better perspective. Only thing I'd add is that you're better to use mtRandom() over the regular Random() function. Be very careful about selecting the random comparison value (you use 0.2), choose the wrong value and the number of trades you take will have an adverse impact on your system.

 

[Lone Wolf]

That is my prefered way of doing monte in AB. Simply export the optimization results into Excel and you can do some great visual/charting analysis of your systems performance. This is much better than doing a single run. Although I'd suggest you push the 1000 value to much higher to get a better perspective. Only thing I'd add is that you're better to use mtRandom() over the regular Random() function. Be very careful about selecting the random comparison value (you use 0.2), choose the wrong value and the number of trades you take will have an adverse impact on your system.

Good point on the random value and the number of open trades. I can't weigh in on what value to use as I haven't used it in years. My current system doesn't use position score so I just use the "position score = mtRandom()" Method that @WilsonFisk mentioned earlier.

You are also correct about mtRandom(). Random() would make an array, which you'd then assign to a variable and check the value of that variable on each bar as one of your buy conditions. What I actually did was create and check a random number at time of assigning a value to Buy, no array required.

There is an interesting article on the Alvarez Quant Trading website about using monte carlo in Amibroker that talks about adding a small element of randomness to your trade signals. I haven't tried it, but it might be good if you want to check if you've curve fit your system.

 

[Skate]

Skate.

 

[peter2]

@Skate Seems like you and I are the only ones looking at these extraordinary results from the PANDA.

Starting capital is $100K, so +16K is +16% in 13 or 14 days! We're drooling and no-one else has commented.
I think you've set the bar too high.

 

[lindsayf]

These results and others by Skate are terrific.
The speed with which you take an idea to the market in such a systematic way is really admirable.
And must be so rewarding when the market conditions help with such great starts.
Such nice work and so nicely documented.

 

[Bazzi]

@Skate Seems like you and I are the only ones looking at these extraordinary results from the PANDA.

Starting capital is $100K, so +16K is +16% in 13 or 14 days! We're drooling and no-one else has commented.
I think you've set the bar too high.

I will say it out loud, I wish we can follow the PANDA similar to how Skate did with The Action Strategy. It is magnificent to have 16% in less than two weeks and I am drooling to follow it live to maybe make my money grow that way .. ... I love following a proven strategy which I believe I won't be able to achieve myself!

 

[Rsthree]

I will say it out loud, I wish we can follow the PANDA similar to how Skate did with The Action Strategy. It is magnificent to have 16% in less than two weeks and I am drooling to follow it live to maybe make my money grow that way .. ... I love following a proven strategy which I believe I won't be able to achieve myself!

I've been admiring the spritely Panda myself but the trade along Happy Cat is not too shabby either, only a couple of points behind, albeit over a 5 week period. Being a weekly strategy its probably a better return on level of effort required. But of course, skate is doing all the hard work.

 

[Newt]

Fascinated here too. Following allowing with Happy Cat if proving very educational. Think I've mentioned before - with "skin the game" I'm much more inclined to pay attention to entries, exits, buys/sells and can see Happy Cat is significantly diversified to how I normally (systematically) trade. Along with the recently shared "Pocket Pivot" backtests, very thankful. And still learning......probably forever......

Panda Daily certainly seems to be living up to its predecessor and surpassing.

 

[soren_lorensen]

Agree too, the results are terrific, is there more info on the various systems employed and the approaches used? It would be good build them and backtest them over different periods, i guess some details are contained in this thread but haven't found yet.

Vastly superior to my own systems.

Also very impressed how polite it is in here.

 

[Skate]

Skate.

 

[Skate]

Elves pop up in the strangest places
It won't be my fault if trading doesn't do well today. Bloody hell, he's trading one of my best strategies - so I guess I'll be safe.

Wally
I hope he realises that NTO doesn't get sold until Monday. This little Elf (Wally) is somewhere new each day. I wake up each morning wondering where's Wally. (who started this tradition anyway?)



Skate.

 

[rnr]

Elves pop up in the strangest places
It won't be my fault if trading doesn't do well today. Bloody hell, he's trading one of my best strategies - so I guess I'll be safe.

Wally
I hope he realises that NTO doesn't get sold until Monday. This little Elf (Wally) is somewhere new each day. I wake up each morning wondering where's Wally. (who started this tradition anyway?)

View attachment 115373

Skate.

Hi @Skate,

No need to worry about Wally as it is quite obvious he is a great pianist....with hands on keyboard and feet ready to depress the pedals as required......so why isn't there any music?

I've got it, plain as the nose on your face, yep it's the sheet of music in front of him that's confusing the issue!

Cheers, Rob

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[Skate]

"Pocket Pivot"
As mentioned previously - O'Neil used a "Pocket Pivot" strategy to find initial candidates that were filtered in a discretionary manner. Many times O'Neil refers to a "base formation & strength" of the position within a consolidation period.

The Pocket Pivot concept is an early entry buy point
A Pocket Pivot Strategy can get into a position early before it breaks out of its base. The issue some feel uncomfortable with is that Pocket Pivot points are subjective & can have multiple “pocket pivot points” as positions move higher. There are also multiple ways to calculate the "Pocket Pivots" & as they say "all roads lead to Rome". I've decided on passing up the more elaborate ways to trade Pocket Pivots using minimal throttling allowing the buy condition to do all the heavy lifting. Other than using a strength indicator - the Pocket Pivot code does all the work.

Price/volume footprints
The pocket pivot is often described as a "footprint,". A footprint is a fancy way of saying a buyable "pivot point," or "pocket pivot buy point". Using a Pocket Pivot or pivot points is a simple way (a tool) of buying positions as they progress higher within uptrends, extended from a prior base or price consolidation. Knowing this fact, allows us to enter a position after strength has been confirmed. FYI, there are multiple pivot points to enter in a move. Meaning, there is plenty of pocket pivot buy points & it pays to remember they are not all the same – meaning a strength filter (IMHO) is required to sort the chaff from the wheat - entering from strength within the move.

Something to watch out for
Pocket pivots that occur when a position takes a quick dip south & then goes on to make new highs, now that’s a handy footprint to watch out for.

Skate.