Dump it Here

[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.

There is no reason to re-invent the wheel
I often hear that markets have changed & new strategies are needed for the new game. Well, the markets have changed but the underlying fundamental rules for success don’t seem to. For all the advancements in technology, the market is still driven by the same two opposing forces, fear and greed. (IMHO) There is nothing new when it comes to trading & some of the old ideas are still relevant no matter how old they are. Changing a good strategy as Warr has done - is half the fun. A strategy that you feel comfortable with gives you the confidence to trade it.

Skate.

 

[Skate]

trading will often not be "easy". How often do we hear people want to become "consistently profitable traders", without defining what they actually means. What timeframe, what DD, what psychological pain, etc. Long term, there is potential for it to be very financially rewarding. There is also a strong theme that you should improve yourself as a person as well as a trader if you embrace continuous improvement, never assuming you "know it all".

Experience as a trader - takes time
You could read hundreds of books, which is exhausting & mentally draining by the way. Understanding what you have just read is another thing entirely. The “Dump it here” thread has become lengthy but it’s what I’ve found important & beneficial to me as a trader.

Skate.

 

[Skate]

The point: Trading profitably is a high performance activity and at the elite level it's predominantly psychological. We know that two people trading the same system can get very different results. The difference is due to the mindsets of the traders. It's been a difficult year for many of us, myself included.

Trading this Financial year
The "virus" has affected so many lives as well as the markets. The COVID-19 flash crash came so swiftly most would not have experienced trading like it. The drop in my portfolio was horrendous. Giving back open profits wasn’t fun. I was luckier than most as I was in a position of holding large profits. The loss at the time "hurt" nevertheless. After trading for 5 years I realise trading is not always peaches & cream, I've also come to realise that “Persistence, Hard-work & Determination” (PhD) is a definite requirement in this game.

Skate.

 

[Skate]

Month 4. Beginning of the 4th month. How time flies by. The system did ok last month. Overall I am happy. There is a marked improvement. Stats are noticeable better than last month. It may seem far fetched, but I am aiming for +20% return by the end of the 12months. I think this is doable (barring any new flash crash). 1.8% may not seem like a lot but the increasing win/loss ratio and profit factor mean its just a matter of time.

It’s not the stats that are important
The takeaway was the positivity behind the stats. Being positive doesn't mean you have to be happy & upbeat all the time but have an understanding that there are better days ahead.

Here is an insight
Contrast & compare - Ladies don’t check out men, ladies check out ladies. Why? Because ladies like to contrast & compare. As communal animals we all contrast & compare at times – it’s a measure of how we are doing & as traders we are no different.

Skate.

 

[frugal.rock]

Being positive doesn't mean you have to be happy & upbeat all the time but have an understanding that there are better days ahead.

Are there better days ahead?
Or is that light at the end of the tunnel really an oncoming freight train?
There may be better days ahead, or these may be the better days.
Know where the alcoves are and maintain access, especially when looking at the "light at the end of the tunnel".

 

[Skate]

Are there better days ahead?

@frugal.rock (IMHO) if we trade wisely I "believe" we haven't seen anything yet.

Opinions are like ar$eholes (everyone has one)
In my opinion, the really good days are still ahead of us. Ask the same question to 10 different traders & I'm sure each answer will be conflicting with the other. Just remember trading is a marathon & markets are constantly fluctuating. Knowing when to get in & more importantly where to get out is the key to trading profitably. I've been trading for 5 years & the more I learn the better I perform. Let me post up my trading results & explain why averaging is so important in keeping you focused & motivated.

Contrast & compare
Long term averages are essential when looking at your overall returns. Good bookkeeping & record keeping is important when it comes to trading. Why? - because how we feel our trading is doing is irrelevant. At times we will make decisions on how we are feeling at that moment - rather than being driven by the facts. Feelings often get in the way of facts.

Big wins & big losses are irrelevant
Consistency is the name of the game as it’s the true measure when it comes to trading & that's where "averaging" comes into play. Statistical results are a "report card" of how one is performing. The longer you trade – the more the results will vary. Averaging should be the benchmark, not individual trading spikes. If this were a school report, it would be a "fail" which is far from the truth. I have circled what is important to me with a few comments noted on the side.

Trading results
The statistics below are an average of my first 5 years of trading. Each year the results vary (which is only natural) but averaging the 5 years gives me a clearer picture of how I'm performing.



Skate.

 

[Skate]

Skate.

 

[Skate]

Skate,
I have a question about (e) "trending universe of stock"

How do we protect ourselves against the next flash crash?
I have posted recently about finding buyable "pivot point," & I use those pivots to enter a position as the engine of one of my strategies. @julo rightly asked about "trending stock". Can we take advantage of trending stock & how do we go about defining what is an uptrend & when do they start?

On the flip side
How do we define the start of a "downtrend"?

Trading the last quarter of 2018 (calendar year) & trading the first quarter of 2020 (calendar year)
Both periods caused real concerns with my trading. I was saved from additional losses both times because of my GTFO filter (albeit a little late). Both periods caused uncertainty that I hadn't experienced before. The drop in my portfolio was horrendous both times even thou the cause of the loss was completely different. At both times the loss really "hurt". I realise trading is not always peaches & cream, but to my way of thinking, there must be a better way of protecting my capital when the next crash appears.

Can we harness what we know?
Back in early 2019, I tried my darndest to apply principles that I already knew & that was "Volume & Trendness" make money, but how do I exit a little quicker than the masses. Ask 10 different traders how to define a confirmed uptrend & how to define a downtrend & I'm sure there would be 10 conflicting replies.

The answer to those questions
Of what defines the start of an uptrend & what defines the start of a downtrend is the task I set myself. I revisited my original work of 2019 again in March 2020 after I felt the Chinese burn of the COVID-19 flash crash. By-the-way the monetary loss in 2020 was much higher than in 2019. I needed to find a genuine solution ASAP & code the solution into a new strategy.

More to follow...

Skate.

 

[Skate]

It's taken 6 months & an additional 8 months to find a solution
I have completed my new strategy - the "BullRush Strategy". I've been rigorously testing the strategy to find its weak points. At this stage, all looks good as my definition of an uptrend seems sound. A defined uptrend with volume is a safe entry point. I've stripped away all filters other than volume as I want to enter the trend as soon as possible once it's been confirmed (basic stuff really).

Next, I had to define the "start" of a downtrend
Defining a downtrend is easier said than done. Trend indicators are so bland & unfortunately "lag" in varying degrees. Trend direction indicators are useful to a degree but sharpness is not one of their strong points & at times unreliable.

The answer was to code a buy & sell signal
The buy signal defines the start of an uptrend with volume & the downtrend defines a "stale exit". Meaning, we enter a position on a defined uptrend & exit the position on a defined downtrend. I consider the uptrend "stale" as soon as my defined downtrend starts. The solution to protecting against the next crash is simplistic in its application - so why did it take 14 months to figure it out?

Example
The example I'll use will be between the "KingFisher Strategy" & the new "BullRush Strategy". The "KingFisher Strategy" is one of my current trading strategies & is no slouch.

Backtest period
1st January 2020 to 3rd December 2020 (until today) - the new "BullRush Strategy" exiting at the first sign of a defined downtrend comes at a cost. The benefits well exceed the additional stock turns.


The next post
Will show how the two strategies handled the recent COVID-19 flash crash?

More to follow...

Skate.

 

[Skate]

Well, let's view how the two strategies handled the recent COVID-19 flash crash
I think I'm on a winner with the "BullRush Strategy"

Protect my capital - was the brief
The "BullRush Strategy" exits at the first sign of a defined downtrend. Exiting quickly at the first sign of trouble results in more stock turns (commission cost) but the DrawDown becomes stomachable. The backtest results display the efficiency in handing a QUICK downturn - no matter the cause.

The COVID-19 Flash Crash Backtest period
The backtest period is from 1st January 2020 to 30th April 2020. The period of the backtest encapulates the flash crash. The period I've used show (a) the leadup to the crash & (b) the recovery after the crash




I'm just saying
I knew there was an answer, coding the answer was the difficult part.

Summary
On face value - the initial brief I had set myself has been achieved. The "BullRush Strategy" appears to be effective in protecting my capital against a quick crash.

Skate.

 

[Roller_1]

Well, let's view how the two strategies handled the recent COVID-19 flash crash
I think I'm on a winner with the "BullRush Strategy"

Protect my capital - was the brief
The "BullRush Strategy" exits at the first sign of a defined downtrend. Exiting quickly at the first sign of trouble results in more stock turns (commission cost) but the DrawDown becomes stomachable. The backtest results display the efficiency in handing a QUICK downturn - no matter the cause.

The COVID-19 Flash Crash Backtest period
The backtest period is from 1st January 2020 to 30th April 2020. The period of the backtest encapulates the flash crash. The period I've used show (a) the leadup to the crash & (b) the recovery after the crash

View attachment 115751
View attachment 115752

I'm just saying
I knew there was an answer, coding the answer was the difficult part.

Summary
On face value - the initial brief I had set myself has been achieved. The "BullRush Strategy" appears to be effective in protecting my capital against a quick crash.

Skate.

G'day Skate

What about in other market regimes? Looks pretty good in this CY, how about the GFC or the choppiness from 2013-17?

Cheers

 

[Skate]

G'day Skate
What about in other market regimes? Looks pretty good in this CY, how about the GFC or the choppiness from 2013-17?

@Roller_1 It's easy to backtest the scenario you have put forward if I had Norgate's Platinum Data - unfortunately, I only have the "Silver Subscription" so my records would be skewed. Also, my Norgate data only goes back for 9 years. (2011)

Choppiness of 2013-17?
Keeping my post on the topic I have uploaded screen captures so you can visualise the two time periods that caused me financial grief.

A recap for others
1. For strategy development using Amibroker you need Norgate's Platinum Subscription package
2. When trading a strategy using Amibroker all you need is the Australian Stocks (Silver Package) - the package I have

Trading the last quarter of 2018 (calendar year) & trading the first quarter of 2020 (calendar year)
Both "highlighted periods" caused real concerns with my trading. The drop in my portfolio was horrendous both times even thou the cause of the loss was completely different. At both times the loss really "hurt". The displays below are of the periods of concern (they are the blue squared area)







The associated XAO Chart (circled)
My equity curve mirror the All Ordinaries







Backtest results
The backtest period as indicated by the date range (1st September 2018 to 30th December 2018)







Portfolio Equity
The backtest period as indicated by the date range (1st September 2018 to 30th December 2018) - the same period




Summary
I confirmed in my previous post the "BullRush Strategy" appears to be effective in both time periods that raised concerns for me with my trading. The drop in my portfolio both times was horrendous. Pain has a way of focusing me. Each post I make champions an idea that's been beneficial to my trading.

Skate.

 

[Skate]

Skate.

 

[soren_lorensen]

Skate, Wow, another system churning out the goods, how many do you trade?

Pity you don't have the survivorship free bias data to run a 10 or 15yr backtest.

 

[2Finn5]

You post some very interesting and thought-provoking graphs and ideas @Skate, and now I have to go look at my current systems now with the suspicion that they could be much improved

 

[Skate]

You post some very interesting and thought-provoking graphs and ideas @Skate, and now I have to go look at my current systems now with the suspicion that they could be much improved

@2Finn5 each post I make champions an idea that's been beneficial to my trading. Seeking improvements in "an already good strategy" is the fun side of trading, especially when the way I trade tends to be a bit boring.

Fiddling
Don't fall into the trap of modifying a perfectly good strategy disguised as strategy improvement. Improvements I've made is to be better prepared for the next major correction.

Worth remembering
"Good is not good when better is expected" & "Happiness is desiring what you have". Understanding these two sayings whilst having an "attitude of gratitude" goes a long way in this life.

Skate.

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[Skate]

A note: I'm always wary about posting my results when I'm in the zone and in sync with the market moves. The results can look too good. Let me remind you that there will be times when I'm not in sync with the markets. Longer-term readers of my threads will remember many times when I've zigged and the market zagged. In the manner of Dr Flippe-Floppe Fly let me revel in my own greatness for a little while.

The different portfolio performances start dates is due to luck. It's just luck that sees the system buy at the start of what turns out to be a great trend. Start later and the system misses the perfect entry. A system with multiple entry strategies will produce subsequent signals to get into this trend. This is a significant factor in the performance of @Skate 's systems.

Skate, Wow, another system churning out the goods, how many do you trade?

@soren_lorensen to answer you vaguely - I trade quite a few strategies seriously & the ones below not so seriously.

I've been called an over-sharer
Sharing information is how we learn. I'm posting actual results of 6 strategies I started trading a few weeks back.

Each portfolio started with $100k (20 X $5k positions)
These six $100k strategies are being traded (live) even though they are still on probation. No strategy is worthy of being traded with "gusto & vigour" until they have proven they can handle it with the big guys. If you are an avid reader of the "Dump it here" thread you will know one, two or even three of the strategies. Rest assured all strategies have proven themselves & have been paper traded with impressive results - so none of them are slouches. How they get their signals is not important "but what is important" is their varying portfolio results over the last three weeks. (they all started trading the same week) Some strategies have performed better than others & are all in profit.

There is never a good time to start trading
Luck & timing plays a significant role in the performance of any portfolio when you start trading live. As they say "there is never a good time to start trading". To a great degree, our success or failure in the market is a function of our luck. We like to think that our results are a direct consequence of our insight & efforts, but the reality is that luck plays a big part in how our systems perform. No matter how smart we are, or how hard we work, we will regularly be hit by circumstances that are unforeseen & unknowable.

Start dates are important
Depending on the starting date of trading a new strategy, this can have a big bearing on the performance outcome of the strategy. Nothing works perfectly in trading so the next best thing is to accept 'that sometimes it works well & other times "not so well". Those that can handle that, tend to do well. I say "just go with the flow". Trading successfully relies on luck & you create your own luck by doing "all the right things".

Here we go
The chart below shows the trading results of the 6 Portfolios mentioned above. Just remember you are not comparing "apples to apples" or even "apples to oranges" but we are comparing one fruit group to another. I should also say, each strategy is uncorrelated to each other.



Skate.

 

[soren_lorensen]

Skate, thanks for detailing, assume you trade them all on ASX only? not US or other markets? we do have good US EOD data from PremiumD and i believe they will be adding a TSX set soon (Canadian market)

Your systems are day/weekly frequency trading but no automated or script running intraday?

Do any of the systems sell short?

cheers