Dump it Here

[Skate]

Moreover
A picture paints a thousand words. These are a few typical "Pocket Pivot Strategy" entries (no-frills entry at that). The charts below display "pivot points" entries.


















Skate.

 

[Skate]

Skate.

 

[Skate]

I've traded a "Pocket Pivot Strategy" with pleasing results (in the past)
My latest version of the Pocket Pivot Strategy goes somewhat of alleviating the issues that have caused me grief in the past - "that I have previously posted about" saving me going over old ground.

Shootout
I consider the "HappyCat Strategy" to be one of my best strategies (if not the best) so I'll be using the HappyCat as the benchmark.

The Pocket Pivot Strategy
I've been paper trading my latest version of the "Pocket Pivot Strategy" to compare the results to the "HappyCat Strategy".

Both strategies are performing "at-the-moment"
Let's not forget - trading has been kind to all sorts of trading strategy at the moment - because of the roaring Aussie market.

Same period & value
By doing a direct comparison - I'll be comparing apples to apples - even though as strategies are "apples & oranges".

Skate.

 

[Skate]

Versus








Summary
To close to call with 7 & 8 weeks respectfully of trading.

All I'm saying
Using "pivot points" aka a "Pocket Pivot Strategy" is worthy of a second & third look. The idea behind the strategy is sound - boarding on being a "rock-solid" way of entering a move.

Skate.

 

[peter2]

Your description of the pocket pivots matches what I look for to get into a trade before it breaks-out. I prefer to see above average volume but don't always get it. I prefer the bar to be larger than normal and trigger a range move, don't always get it. I like to see it trigger the ROC but don't always get it either. This variability is what makes this pattern tricky to identify. Wait a few bars and it's easy to see them in hindsight. Occasionally we'll see an obvious PP as it is also a high volume bullish break-out bar.

If your code can identify them with an efficacy of >70% then you're going to do very well. I'll order one dose of your PP vaccine please.

 

[Skate]

variability is what makes this pattern tricky to identify

@peter2 you have nailed it again. Coding the "Pocket Pivot Strategy" has been a pain in my side for a few years. I've struggled no end.

My latest version of the "Pocket Pivot Strategy" was frustrating to code & by persisting I've ended up with another handy strategy.

I'm currently pleased with its performance so far. (only time will tell)

Skate.

 

[Newt]

Don't know how much your willing to share Skate, but as you know, PP's are close to my heart and very interested in your latest interpretation of this pattern. O'Neill and his "disciples" were probably the first time I could quantitatively believe there was a reproducible, visible, edge that had the potential to be coded into Amibroker for systematic trading, then statically reviewed for validity.

My thoughts on elements you may or may not have chosen to incorporate (only talking entry conditions here), and regardless of daily/weekly etc:

a. Price making (or close to making) new highs in X bars
b. Volume > high bear bar volume (or possibly any bar's volume) in last X bars
c. Volume > MA(V, X bars)
d. Pricing risking above recent contraction (very tricky to specify - e.g. short term volatility below long term for X bars and ROC of price relatively flat
e. Price starting to move higher strongly (e.g. bullish bar(s) where range > recent average size/volatility/SD)
f. Above medium or long term MA of price
g. ROC not down, but may be starting to rise (typically not in strong upward trend or entry is more a typical momentum play)
h. Other more general criteria (e.g. Price, average market turnover)
i. Not in a strong market downtrend (Index filter)
j. Position Score for filtering trades


Clearly a decent position sizing (money management) and exit is required to augment a worthwhile entry, but speculating on entry logic for now.


p.s. While I'm giving you the 3rd degree, did this latest PP interest begin after Peter2's comments on the risk on entry for certain new Happy Cat positions? (BSE I think - will have to check back)

 

[Newt]

Oh - didn't see you've posted all those graphs earlier today - will have to do some catching up....

 

[peter2]

I may have posted this pdf before. It's freely available from the authors.

 

[Newt]

Have seen the summary before, but very timely - thanks for sharing Peter2.

 

[Skate]

The weekly RCL charts shows the "pocket pivot" that we're discussing in @Skate's thread.
The blue arrows in my charts indicate the high volume bullish bars. Some of them are pocket pivots.

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"



Skate.

 

[Skate]

Have you ever wondered why some strategies perform better than others?
When trading two different strategies the entry & exit is determined by the buy & sell conditions.

Trading is like having "stray sex"
The more condoms you apply the safer you "perceive to be" but the "tradeoff" is reduced sensitivity.

With trading
The more levels of protection you add to your strategy the safer you "perceive to be" but the "tradeoff" is two-fold, more stock turns & reduced drawdowns at the cost of reduced profits at times.

It's a struggle
Trading is treading a fine line between accepting the risk versus the perceived rewards.

Comparison
Once the "Pocket Pivot Strategy" enters a position it will not execute an exit till either one of three conditions is met. The "KingFisher Strategy" on the other hand is a bit of a "scaredy-cat" exiting when any of the seven exit conditions are met.

The "Pocket Pivot Strategy has three exits.
(1) Pivot exit
(2) Volatility exit
(3) Two-stage Trailing exit

Whereas my "KingFisher Strategy" exit strategy has the full suite
(1) Stale Stop Default Position exit
(2) Stale Stop Period exit
(3) GTFO exit
(4) Stale ROC Negative exit
(5) Stale Stop Hit Timer exit
(6) Volatility exit
(7) Two-stage Trailing Stop

How the "KingFisher Strategy" handled (RCL)
There is no-way the "KingFisher Strategy" will give any position extra wriggle room.



Skate.

 

[Skate]

From another perspective
The daily "Panda Strategy" has a habit of jumping on & off breakouts. Simple, crude but effective.



Skate.

 

[julo]

Please Note (it's critical to the CAM Strategy)
(a) The CAM system works well in a positive trend & generates a tremendous amount of Buy signals.
(b) PositionScore is critical to the CAM strategy success.
(c) In a BEAR market the CAM Strategy performance suffers with large drawdowns.
(d) The idea of my StaleStop exit is in place for the protection against large drawdowns.
(e) It’s mandatory to apply the CAM trading strategy to a trending universe of stock.
(f) Skate's modified CAM strategy uses a unique set of parameters with additional filters because the standard CAM rules are not enough to maximize the odds of profit.

For better Results
Nonetheless, to maximize your odds, you can apply the strategy to a preselected watchlist of securities that demonstrate trendiness.

Skate,
I have a question about (e) "trending universe of stock": in my opinion it is the same as having an extra buy condition which confirms/detects trend. Or am I missing something?
Thanks!

 

[Skate]

Skate,
I have a question about (e) "trending universe of stock": in my opinion it is the same as having an extra buy condition which confirms/detects trend. Or am I missing something?
Thanks!

The CAM Strategy
@julo your logic is sound as "parameters & filters" formulate your buy condition. The idea behind the CAM Strategy is valid - but in its current form, it's lacking in a few departments. I trade a modified version of CAM strategy with a unique set of parameters with additional filters because the standard CAM rules are not enough to maximize the odds of profit. If you don't have any attachment to money - trade the CAM Strategy in a falling market & you will soon realise its shortcomings.

The heart of the strategy
camUP = ( ( adxRising == True ) AND( macdRising == True ) ); // Uptrend
camPB = ( ( adxRising == False ) AND( macdRising == False ) ); // Pullback
camDN = ( ( adxRising == True ) AND( macdRising == False ) ); // Downtrend
camCT = ( ( adxRising == False ) AND( macdRising == True ) ); // CounterTend

NOTE
The CAM Strategy works well only when the trend is positive at the individual level (at the stock level). The CAM Strategy doesn't rely on an Index Filter as it's not required when using "The heart of the strategy" conditions displayed above. Using the basic rules above to filter the trades is not enough to maximize the odds of profit, it's super critical to apply this trading system to stocks that clearly demonstrates trendiness.

Google search
If you do a google search there are a plethora of "Trend Direction Indicators" that you can add to the CAM Strategy. A rate-of-change (ROC) indicator is a momentum-based indicator that measures the percentage change in price. You can use the (ROC) as a trend indicator & it's easy to use. There are also much simpler ones to try.

Look for my uploaded templates
I have uploaded 12 steps to code a base system - search for (The procedure to code the WTT Strategy will be in 12 easy steps to follow) & read the comments as well. With trading & coding, nothing comes easy. It's a distinct benefit to possess a (PhD) - PhD is an acronym for Persistence, Hard-work & Determination

Skate.

 

[Skate]

Tricks of the trade
This is a neat trick that I use in my development phase to (a) check a strategy against a strategy (b) parameters against parameters & (c) quickly swap charts to visualise the buy & sell positions to gather how effective the changes have been. Using the same chart you can quickly switch between versions of the strategies & instantly see the changes. Switching is instantaneous & you are not swapping from one chart to another. (the signal change)

How is it done?
I code 4 different systems into one strategy or 4 different versions of the same strategy into one. I use the "Param" feature to simply switch ( strategy )
ChangeStrategy = Param( "Change Strategy Here", 1, 1, 4 );

Example
The first two switches are shown out of four. I code up to 4 but the amount isn't limited.





Backtesting is made simpler & chart swapping is even easier
@Trav. may elect to do a post - how to code using the (switch) feature - as the possibilities with Amibroker is limitless.

Skate.

 

[Warr87]

The CAM Strategy
@julo your logic is sound as "parameters & filters" formulate your buy condition. The idea behind the CAM Strategy is valid - but in its current form, it's lacking in a few departments. I trade a modified version of CAM strategy with a unique set of parameters with additional filters because the standard CAM rules are not enough to maximize the odds of profit. If you don't have any attachment to money - trade the CAM Strategy in a falling market & you will soon realise its shortcomings.

The heart of the strategy
camUP = ( ( adxRising == True ) AND( macdRising == True ) ); // Uptrend
camPB = ( ( adxRising == False ) AND( macdRising == False ) ); // Pullback
camDN = ( ( adxRising == True ) AND( macdRising == False ) ); // Downtrend
camCT = ( ( adxRising == False ) AND( macdRising == True ) ); // CounterTend

NOTE
The CAM Strategy works well only when the trend is positive at the individual level (at the stock level). The CAM Strategy doesn't rely on an Index Filter as it's not required when using "The heart of the strategy" conditions displayed above. Using the basic rules above to filter the trades is not enough to maximize the odds of profit, it's super critical to apply this trading system to stocks that clearly demonstrates trendiness.

Google search
If you do a google search there are a plethora of "Trend Direction Indicators" that you can add to the CAM Strategy. A rate-of-change (ROC) indicator is a momentum-based indicator that measures the percentage change in price. You can use the (ROC) as a trend indicator & it's easy to use. There are also much simpler ones to try.

Look for my uploaded templates
I have uploaded 12 steps to code a base system - search for (The procedure to code the WTT Strategy will be in 12 easy steps to follow) & read the comments as well. With trading & coding, nothing comes easy. It's a distinct benefit to possess a (PhD) - PhD is an acronym for Persistence, Hard-work & Determination

Skate.

my current modified paper trading of the CAM strat is trading either the PB or UP (I removed the CT entry), using a shorter length of ADX for direction confirmation, and using a ROC momentum ranking. The ranking certainly adds to the effectiveness of the strat.

From 1/1/2020 to Today, 30/11/2020 (Daily)

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[Skate]

Skate.