Dump it Here

[Skate]

Skate, thanks for detailing, (1) 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)
(2) Your systems are day/weekly frequency trading but no automated or script running intraday?
(3) Do any of the systems sell short?

Question 1
I assume you trade them all on ASX only? not US or other markets?
@soren_lorensen you have assumed correctly - I only trade the ASX (All Ordinaries).

Question 2
(a) Your systems are day/weekly frequency trading but (b) no automated or script running intraday?
(a) I trade a combination of daily & weekly systems
(b) Correct.

Question 3
Do any of the systems sell short?
No.

Skate.

 

[Skate]

Holidays are off the cards (at the moment)
Mrs Skate’s Holiday money has been sitting idle for over 11 months & today has decided to put her “Holiday money” to work until our holidays are back on the agenda again. (who knows how long that will be)

"Have you got a good strategy"?
Sure, I’ve just the perfect one for you. It’s the Zebra Strategy.
The "Zebra Strategy" doesn’t trade that often & holds good positions longer than a strategy normally would.
"Perfect, that will do, let's give it ago"

With Mrs Skate’s permission
I’m able to track the results of the "Zebra Strategy" & post the weekly results in the “Dump it here” thread. Mrs Skate’s new “Zebra Strategy” goes live on Monday. I’m praying that it makes money as my “meat & veg” just might be on the line.

More to follow

Skate.

 

[Skate]

Trading is not always "peaches & cream"
There are 3 buy signals for Mondays pre-auction that are listed below. 50% of my buys are usually duds with my style of trading. It's also important to remember that new strategies can take time to accumulate into profits.







I'll upload the charts of the three signals so you can visualise the previous buy performance.
Zebra Weekly Chart for ASX (BLX)





Signal (EOF)
Zebra Weekly Chart for ASX (EOF)





Signal (WGO)
Zebra Weekly Chart for ASX (WGO)




Summary
The previous purchase of (EOF) didn't go so well. But as a systems trader, I need to keep taking the signals as they are generated. Nothing works perfectly in trading - sometimes it works & other times "it doesn't" - that's trading for you.

Skate.

 

[Skate]

I happened to take in Chat with Traders podcast#205 this week - Michael Katz from Seven Points Capital.

205 · Day Trading—The Questions You Want Answered w/ Michael Katz

Michael Katz, equities trader and managing partner of Seven Points Capital, returns to the podcast. This time, answering your questions on: Strategy, Trade Management, Development & Prop Trading.

chatwithtraders.com

@Newt posted a hyperlink to a podcast that I highly recommend, it's a must-listen for those trying to figure it out. In this episode, Michael Katz answers questions on Strategies & development, Trade Management, Trader Development & Prop Trading at the end. https://chatwithtraders.com/ep-205-michael-katz/

To listen to others podcasts in the series

Podcast Episodes

All Episodes On this page you’ll find every episode of Chat With Traders podcast. To get notified of new episodes, you may subscribe here. 291: Sam Miesse 291: Small Cap Quant Trader Grows $10K into $3.8M in 3 Years | Sam Miesse 290: Mark Ritchie II 290: Price-Action, Swing Trading Equities from...

chatwithtraders.com

In Australia we've been fortunate to have Aaron Fifield (Chat with Traders) and Andrew Swanscott (Better System Trader) putting out a lot of fantastic material. Better System Trader podcast Steve Ward talks about the inevitable "J curve" to profitability most traders endure and ways of reducing the depth and time in drawdown before (hopefully) establishing sustainable profitability. Better System Trader Episode 164

Another great podcast posted by Newt
In this episode, they speak with Steve Ward who has over 25 years of teaching, coaching & training experience. Steve Ward works with traders, fund managers & banking professionals across the globe. Steve’s work is focused on delivering evidence-based practical strategies & tactics. In the podcast, they discuss a number of performance accelerators in trading. http://bettersystemtrader.com/164-performance-accelerators-steve-ward/

To listen to others podcasts in the series

Home | Better System Trader

90% of traders fail.Be part of the 10% that don't. Join 8,800+ other traders who enjoy weekly trading insights, expert interviews, Sunday Summaries and more. NEW EPISODES JUST RELEASED - see below neW EPISODE RELEASED! Trading Market Phases - with Mish Schneider In this discussion, we dig deep...

bettersystemtrader.com

Kudos goes out to Newt for posting such great educational material.

Skate.

 

[Roller_1]

@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)

Aren't you worried that you are curve fitting your new systems to your selected time period though or your preconceived bias for how the market works? It isn't really unfortunate it is just a 'small' investment in your trading business really in my opinion.

If you test a weekly system from 2018-now it is only approx 150 bars worth of data. Not enough to get a decent sample size of trades imo. I don't think that if someone developed a daily strategy over 6 months of data it could be called thoroughly tested, isn't it a similar situation?
They might be great systems and i hope they are but i just don't understand how you can trust them if/when the market changes again?

 

[Skate]

Aren't you worried that you are curve fitting your new systems to your selected time period though or your preconceived bias for how the market works? It isn't really unfortunate it is just a 'small' investment in your trading business really in my opinion. If you test a weekly system from 2018-now it is only approx 150 bars worth of data. Not enough to get a decent sample size of trades imo. I don't think that if someone developed a daily strategy over 6 months of data it could be called thoroughly tested, isn't it a similar situation? They might be great systems and i hope they are but i just don't understand how you can trust them if/when the market changes again?

@Roller_1 fair enough.



Update
With additional data - there is another buy (MLD)






Skate.

 

[Skate]

I have decided to stay with my original 3 purchases (MLD) has been deleted
I've been thinking, once I post my buy orders they shouldn't be altered. Others who read this thread might not have read the amended post above. So in keeping with this idea - I have deleted (MLD) from the buy list.



Sorry for the confusion...

Skate.

 

[peter2]

There's even more pressure when trading other peoples money. In this case, your wife's holiday money. We all know that if you lose any of it you'll have to replace it. Your wife can't lose. This is going to be your toughest test yet.

You're posting late at night, evidence of the pressure you're under.

 

[ducati916]

Aren't you worried that you are curve fitting your new systems to your selected time period though or your preconceived bias for how the market works? It isn't really unfortunate it is just a 'small' investment in your trading business really in my opinion.

If you test a weekly system from 2018-now it is only approx 150 bars worth of data. Not enough to get a decent sample size of trades imo. I don't think that if someone developed a daily strategy over 6 months of data it could be called thoroughly tested, isn't it a similar situation?
They might be great systems and i hope they are but i just don't understand how you can trust them if/when the market changes again?

Facts: (a) markets go up, (b) markets go down, (c) markets go sideways. From those 3 facts, which never change, how much data is actually required? What we are actually talking about is the ability to recognise when one state changes into another. The big market moves:



Pretty much every move that you would worry about, building a long only system, is encapsulated in 15yrs worth of market data.

Now I don't trade mechanical systems. I don't use software to backtest. Therefore I could be way off base re. the volume of data required. However, what we are talking about is actually human psychology and human psychology coded. We are moving into AI and potentially machines teaching and executing themselves in the market, but we are not quite there yet. Even if we were there, there still remain only 3 available options.

How does more data improve your probabilities?

jog on
duc

 

[qldfrog]

Facts: (a) markets go up, (b) markets go down, (c) markets go sideways. From those 3 facts, which never change, how much data is actually required? What we are actually talking about is the ability to recognise when one state changes into another. The big market moves:

View attachment 115950View attachment 115951View attachment 115952View attachment 115953

Pretty much every move that you would worry about, building a long only system, is encapsulated in 15yrs worth of market data.

Now I don't trade mechanical systems. I don't use software to backtest. Therefore I could be way off base re. the volume of data required. However, what we are talking about is actually human psychology and human psychology coded. We are moving into AI and potentially machines teaching and executing themselves in the market, but we are not quite there yet. Even if we were there, there still remain only 3 available options.

How does more data improve your probabilities?

jog on
duc

Agree and in my view 15y is farrrrrr too much.
I mentioned in my thread i do not backtest on data older than 10y old
Why?
If you are old enough, remember 2005 trading market.
Quant trading? Overseas interests in asx?
Quantitative easing?
None of these existed..or nowhere near as at current level.
What is constant is human nature as Mr Duc stated,and robots trying to emulate that human nature....
So what you want is backtest on down time,up time and going nowhere time.
That should cover your base.
We were even lucky having a recent crash
Note i am mechanical system trader

 

[investtrader]

Duc,

I agree exactly - (a) markets go up, (b) markets go down, (c) markets go sideways. I have spent countless hours curve fitting systems to the data, but that was many many years ago using software way more complicated that Amibroker. It is like searching for the holy grail - more data, more indicators, more rules etc etc etc. Now this may be okay for Medallion, but for just about everyone else it is folly. Just check the performance of hedge funds - absolutely pathetic.
My view is less 'rules' and more about risk mitigation. Just need some way to jump on a trend and then ride it. Take out the noise - way easier on weekly charts and Aussie stocks and suffer some drawdowns which are the price of admission. Look for less 'efficient' markets - good luck system trading the S&P500 for example.
Don't get too hung up on actual backtest numbers - look at the trades and see if they make sense. Then rinse and repaeat over and over - but it gets pretty bloody boring after a while. The only excitement comes from periods like March this year.

Cheers

Gary

 

[Roller_1]

Facts: (a) markets go up, (b) markets go down, (c) markets go sideways. From those 3 facts, which never change, how much data is actually required? What we are actually talking about is the ability to recognise when one state changes into another. The big market moves

Pretty much every move that you would worry about, building a long only system, is encapsulated in 15yrs worth of market data.

Hey Ducati,
i agree that markets do what you stated but HOW they do that is obviously very important and like you said in the last 15 years there have been alot of market cycles, great for seeing how a certain system(s) would react over that period. The data is just a mechanism to validate your views of the market, why not use what is available? Skate is only testing on 2 years of data. i guess it's like seeing one earnings report or whatever fundamental guys read and deciding if it's a good company or not. Like Nick Radge say do you want to make money or save money.

Especially in 2019/20 you could probably put a tight stop on any weekly system and get good results (avoid the crash, ride the boom) but in 2015-18 in might have a 40% drawdown from whipsawing in and out of positions.

i agree with frogs post below about too much data too, i don't know what the experts say but like from said from 2000-2010 the market was a very different place. But ill still test a system from 07-2010 to see how it goes over an extended crash.

Agree and in my view 15y is farrrrrr too much.
I mentioned in my thread i do not backtest on data older than 10y old
Why?
If you are old enough, remember 2005 trading market.
Quant trading? Overseas interests in asx?
Quantitative easing?
None of these existed..or nowhere near as at current level.

 

[ducati916]

Hey Ducati,
1. i agree that markets do what you stated but HOW they do that is obviously very important and like you said in the last 15 years there have been a lot of market cycles, great for seeing how a certain system(s) would react over that period.

2. The data is just a mechanism to validate your views of the market, why not use what is available? Skate is only testing on 2 years of data. i guess it's like seeing one earnings report or whatever fundamental guys read and deciding if it's a good company or not. Like Nick Radge say do you want to make money or save money.

Especially in 2019/20 you could probably put a tight stop on any weekly system and get good results (avoid the crash, ride the boom) but in 2015-18 in might have a 40% drawdown from whipsawing in and out of positions.

3. i agree with frogs post below about too much data too, i don't know what the experts say but like from said from 2000-2010 the market was a very different place. But ill still test a system from 07-2010 to see how it goes over an extended crash.

Mr Roller, I have highlighted/underlined your points that I think merit further discussion.

1. First off, HOW markets do what I stated, is exactly how they do it: (a) they go up, (b) they go down, (c) they go sideways. You introduce the market cycle. With which I agree. However, they also only: (a) they go up, (b) they go down, (c) they go sideways. My point being whatever the market environment, they can only do (a), (b) or (c).

2. Is more data better than less? This is really the question. If it is (and I don't work in this milieu) why is it?

3. Different from what and different how? If we are talking about data points revealing price/date and not valuations, fundamentals, news stories etc. (and that should all already be reflected in the price if we believe markets are efficient over time) surely we only have data that goes: (a) they go up, (b) they go down, (c) they go sideways.

jog on
duc

 

[Skate]

The data is just a mechanism to validate your views of the market, why not use what is available? Skate is only testing on 2 years of data. i guess it's like seeing one earnings report or whatever fundamental guys read and deciding if it's a good company or not.

@Roller_1, all your comments are valid when it comes to Amibroker backtesting. The market is completely chaotic & unpredictable due to the infinite amount of information pouring into the markets second-by-second, let alone "year-after-year-after-year".

Is more data better than less? This is really the question

I'm creating strategies (for my own personal use) with less backtest data & (IMHO) using less data doesn't invalidate my research or backtest results. By "paper trading" those strategies over a period of time will determine if the strategy meets the benchmark to go live. Recent comments about the data required for meaningful analysis varies, such as those you have posted & those posted by @ducati916, @investtrader, @qldfrog & @Warr87 "over the time" are all valid points "in my opinion". The way you handle your own analysis "gives you the confidence" to take a strategy to the next level.

The 'Dump it here' thread is about ideas
I corral my ideas & comments in this thread, ideas that I've found helpful in my trading experience. I'm constantly promoting ideas & sometimes they create a discussion that stimulates us all. Thinking about what is posted is a "valuable part" of this thread & it's a perfect platform for others to express an alternative view or offer a helpful hint. All comments are welcomed, whether the comments are related to system or discretionary trading.

"Skate is only testing on 2 years of data"
Any period of backtesting I post means "Jack" to me & it should mean "Jack" to others as I've previously stated to "ad-nauseam". Price history without "Delisted Equities" & "Historical Index Constituents" causes the inaccuracies in the backtesting results. The results I post should not be relied upon.

We should be all multi-millionaires
Backtesting at times displays outstanding results that "can't" be reproduced in real trading for various reasons. Run a backtest of any good strategy over the last 10 years & we are all multi-millionaires - but in reality, we are far from it.

The 'Dump it here' thread
The 'Dump it here' thread was originally intended to help beginners find their feet, start them off on the right foot (as to say) & is now followed by a few seasoned traders.

Accurate or inaccurate backtesting results
There are times when trading can go south for no good reason that will be unavoidable no matter how good our backtesting results are. Trading has no regards as to how smart we are, or how hard we work, we will regularly be hit by something unforeseen & the next big dip might be just around the corner (who knows).

Trading is Bat-**** scary for beginners & seasoned traders alike
All I'm saying is - "we are not immune to losses" just because we have the "comfort" of a great backtest.

Skate.

 

[Roller_1]

Mr Roller, I have highlighted/underlined your points that I think merit further discussion.

1. First off, HOW markets do what I stated, is exactly how they do it: (a) they go up, (b) they go down, (c) they go sideways. You introduce the market cycle. With which I agree. However, they also only: (a) they go up, (b) they go down, (c) they go sideways. My point being whatever the market environment, they can only do (a), (b) or (c).

2. Is more data better than less? This is really the question. If it is (and I don't work in this milieu) why is it?

3. Different from what and different how? If we are talking about data points revealing price/date and not valuations, fundamentals, news stories etc. (and that should all already be reflected in the price if we believe markets are efficient over time) surely we only have data that goes: (a) they go up, (b) they go down, (c) they go sideways.

jog on
duc

1. although true, it is a pretty narrow view of the world i think just because the market has rose 10% a trading system won't show a 10% rise.
both chart snippets below of the All Ords show a 10% rise. I know what market i would like to be trading a trend system on... probably not the best example because of different lengths but you get my point.


2. More data just gives your more trade examples and different market cycles to test the system on. As i said earlier if it is there why not use it. I think most experienced/ long term profitable traders would agree that it is important to test over a period to get a larger sample size of trades. In the end you want confidence that you have an edge with your money that you are putting at risk.

3. When i said 'very' different that may be incorrect bit i think with the advancement of technology and the other reasons that @qldfrog listed the market has changed somewhat. But i don't think that it makes that data useless.

 

[DaveDaGr8]

How far back you should backtest ??

Here's is an excel snipit of 10 systems backtested 20 years back to Jan 2000.



If you look at the bottom row, clearly the best systems over the full 20 years are WTT_AU, MR_US BB_MR.

However, looking closer at the second bottom row ( last 10 years ) MR_US has almost been the worst performer even though it was the best performer from 2000-2010. Clearly it's not working anymore and it's out of the trading plan. MR_AU also is/ was a poor performer. That's not to say that Mean Reversion systems are dead, the last column ( BB MR) is a mean reversion system that i still trade and works quite well in both ASX 300 and SP 500/1500 ( not shown ).

The top row ( weightings ) shows the weights for the systems that i currently value ( ie, better recent performance ). They're a balance between growth and diversity ( non correlation). The last 2 columns on the right in green are (ave) the Average of the systems, (weight) The return of the systems with weighting applied.

The most important aspect of this picture is that NO system is a clear winner. They almost all have negative years, some have stellar years, some are more volatile, some work better in negative markets.

The chart below shows JUST how much of a mess the market is. All of the systems are profitable, but you would be hard pressed to be comfortable with any single one of them. The black dashed line is the average and green weighted.




To complete the picture here's another sheet showing some basic monthly metrics and how combining them is an effective strategy.



By averaging the systems the losing months drops considerably, volatility is manageable, monthly ave growth is good.

My point is that a lot of insights can be gained by looking at a longer picture and how strategies can fit together into a model. Correlation is not something that can be measured in days, weeks or months but more in years over a broad range of conditions.

As for system development, it is important to pick a time frame, a universe and a goal. 6 months is ample time as markets generally change within 6 months. What is important is that if your system works well for specific conditions, then you need to know when those conditions are met or not and switch that system on or off.

 

[Roller_1]

@Roller_1, all your comments are valid when it comes to Amibroker backtesting. The market is completely chaotic & unpredictable due to the infinite amount of information pouring into the markets second-by-second, let alone "year-after-year-after-year".


I'm creating strategies (for my own personal use) with less backtest data & (IMHO) using less data doesn't invalidate my research or backtest results. By "paper trading" those strategies over a period of time will determine if the strategy meets the benchmark to go live. Recent comments about the data required for meaningful analysis varies, such as those you have posted & those posted by @ducati916, @investtrader, @qldfrog & @Warr87 "over the time" are all valid points "in my opinion". The way you handle your own analysis "gives you the confidence" to take a strategy to the next level.

The 'Dump it here' thread is about ideas
I corral my ideas & comments in this thread, ideas that I've found helpful in my trading experience. I'm constantly promoting ideas & sometimes they create a discussion that stimulates us all. Thinking about what is posted is a "valuable part" of this thread & it's a perfect platform for others to express an alternative view or offer a helpful hint. All comments are welcomed, whether the comments are related to system or discretionary trading.

"Skate is only testing on 2 years of data"
Any period of backtesting I post means "Jack" to me & it should mean "Jack" to others as I've previously stated to "ad-nauseam". Price history without "Delisted Equities" & "Historical Index Constituents" causes the inaccuracies in the backtesting results. The results I post should not be relied upon.

We should be all multi-millionaires
Backtesting at times displays outstanding results that "can't" be reproduced in real trading for various reasons. Run a backtest of any good strategy over the last 10 years & we are all multi-millionaires - but in reality, we are far from it.

The 'Dump it here' thread
The 'Dump it here' thread was originally intended to help beginners find their feet, start them off on the right foot (as to say) & is now followed by a few seasoned traders.

Accurate or inaccurate backtesting results
There are times when trading can go south for no good reason that will be unavoidable no matter how good our backtesting results are. Trading has no regards as to how smart we are, or how hard we work, we will regularly be hit by something unforeseen & the next big dip might be just around the corner (who knows).

Trading is Bat-**** scary for beginners & seasoned traders alike
All I'm saying is - "we are not immune to losses" just because we have the "comfort" of a great backtest.

Skate.

Indeed i have bought many shiny things with 'Backtest' money. =]

"Price history without "Delisted Equities" & "Historical Index Constituents" causes the inaccuracies in the backtesting results. The results I post should not be relied upon."

What happens if we enter a sustained bear market an the systems you are paper trading suddenly show bad returns or worse drawdowns than your backtests, would this invalidate the systems?

I just don't get why you wouldn't want to test on the best data, it's cheap compared to a 20% DD on a $300k account!

I'm sure others are gaining ideas and like you said getting a headstart. I don't want to discredit your ideas or anything i'm sure you are more successful in trading and life than me, i just feel things could be done better in regards to showing beginners best practices.

 

[Roller_1]

How far back you should backtest ??

Here's is an excel snipit of 10 systems backtested 20 years back to Jan 2000.

View attachment 115965

If you look at the bottom row, clearly the best systems over the full 20 years are WTT_AU, MR_US BB_MR.

However, looking closer at the second bottom row ( last 10 years ) MR_US has almost been the worst performer even though it was the best performer from 2000-2010. Clearly it's not working anymore and it's out of the trading plan. MR_AU also is/ was a poor performer. That's not to say that Mean Reversion systems are dead, the last column ( BB MR) is a mean reversion system that i still trade and works quite well in both ASX 300 and SP 500/1500 ( not shown ).

The top row ( weightings ) shows the weights for the systems that i currently value ( ie, better recent performance ). They're a balance between growth and diversity ( non correlation). The last 2 columns on the right in green are (ave) the Average of the systems, (weight) The return of the systems with weighting applied.

The most important aspect of this picture is that NO system is a clear winner. They almost all have negative years, some have stellar years, some are more volatile, some work better in negative markets.

The chart below shows JUST how much of a mess the market is. All of the systems are profitable, but you would be hard pressed to be comfortable with any single one of them. The black dashed line is the average and green weighted.


View attachment 115969

To complete the picture here's another sheet showing some basic monthly metrics and how combining them is an effective strategy.

View attachment 115967

By averaging the systems the losing months drops considerably, volatility is manageable, monthly ave growth is good.

My point is that a lot of insights can be gained by looking at a longer picture and how strategies can fit together into a model. Correlation is not something that can be measured in days, weeks or months but more in years over a broad range of conditions.

As for system development, it is important to pick a time frame, a universe and a goal. 6 months is ample time as markets generally change within 6 months. What is important is that if your system works well for specific conditions, then you need to know when those conditions are met or not and switch that system on or off.

Good post Dave,

there is a new Backtesting software coming out in the next few months that you might be interested in. It's called Realtest and is created by Marsten Parker one of the traders featured in the new 'Market Wizards' book. i've been Beta testing it and it's great for portfolio level backtesting. ie combing systems together and seeing the impacts on a whole portfolio.

I've coded a few different MR systems in it and the learning curve isn't too bad if you've used Amibroker. I will probably convert all my short term systems over to it, much more user friendly and faster for both backtesting and system design imo. I might make a thread for it once it comes out.

 

[Skate]

I don't want to discredit your ideas or anything i'm sure you are more successful in trading and life than me, i just feel things could be done better in regards to showing beginners best practices.

@Roller_1 you have been a one-man band stimulating discussion to bring this docile thread back to life (for a day), thank you.

Previously
In my early days I had Norgate Platinum Subscription for all my strategy development & have posted about this frequently in this thread - today I'm just playing around the edges bouncing & posting new ideas that might be beneficial for others to "think about". In my very first post (back in December 2018) the "Dump it here" thread was a platform dedicated to helping others.

Helping Others
You might want to dump stuff here to help others

"I just feel things could be done better in regards to showing beginners best practices"
On reflection, you have a valid point. Thinking about it on a deeper level leads me to believe helpfulness from more experienced members has been light on the ground. I shouldn't cast wide aspersions because without the input from regular posters this thread would have died long ago. Whether I've fallen short of showing beginners "best practice" isn't the point, if I'm right or wrong isn't important. The important thing is this thread gives new members a vehicle to try & figure it all out. All members have the right to freely express a view or an alternative view without being challenged or ridiculed, the essence of a friendly thread.

As traders, we are all different, enjoying a different level of experience
The sole purpose of this thread is to help others gain knowledge so they can self educate. I've posted & shared my actual trading journey "explaining" what I've found beneficial. The thread is for the exchange of ideas in a friendly manner & over time you value some posters more than others. Some members have the knack of nailing posts accurately & succinctly from a position of experience & knowledge, a position I can only dream of having.

Skate.

 

[Skate]

Skate.