Dump it Here

[qldfrog]

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Skate.

How is Mrs Skate handling the negative results so far?
Isn't it a play you can not win?
If a success..expected...
If a failure, blames ahead?

 

[Skate]

How is Mrs Skate handling the negative results so far?
Isn't it a play you can not win?
If a success..expected...
If a failure, blames ahead?

@qldfrog, Mrs Skate fully realises negative returns early are to be expected as it takes time to fill a strategy & become profitable. Mrs Skate also realises the amount of work that goes into every one of my strategies. The success of the "Zebra Strategy" is expected by both of us.

Strategy failure
Failure of this strategy will be caused by "unexpected" trading conditions & hopefully not because of the "inadequacies" of the strategy.

It's tough
It's hard trading for most of us at the moment & its been a real slog these past few weeks.

Trading a low $20k portfolio with $10 commission is not helping
The round trip is 2%, ouch!! - early days yet. Short term results are not the measure of any strategy. Trading is a "marathon, not a sprint"

Women traders
I've found women to be better traders as they are able to handle the riggers of trading much better than us macho men, they can handle the emotional side of trading - much, much better. Also, women shine under pressure. Well, mine does.

Skate.

 

[Newt]

Couple of days late, but happy 2nd anniversary for your Dump it Here thread Skate.

I know my trading eyes are quite a bit wider from all the knowledge shared by all those that have contributed. Thanks for taking the time everyone to pay back what you've been taught, learned, or figured out never to do again!

Cheers! ? ? ? ? ?

 

[lindsayf]

@qldfrog, Mrs Skate fully realises negative returns early are to be expected as it takes time to fill a strategy & become profitable. Mrs Skate also realises the amount of work that goes into every one of my strategies. The success of the "Zebra Strategy" is expected by both of us.

Strategy failure
Failure of this strategy will be caused by "unexpected" trading conditions & hopefully not because of the "inadequacies" of the strategy.

It's tough
It's hard trading for most of us at the moment & its been a real slog these past few weeks.

Trading a low $20k portfolio with $10 commission is not helping
The round trip is 2%, ouch!! - early days yet. Short term results are not the measure of any strategy. Trading is a "marathon, not a sprint"

Women traders
I've found women to be better traders as they are able to handle the riggers of trading much better than us macho men, they can handle the emotional side of trading - much, much better. Also, women shine under pressure. Well, mine does.

Skate.

How is $20 round trip 2% of $20000?

 

[Skate]

Couple of days late, but happy 2nd anniversary for your Dump it Here thread Skate.

I know my trading eyes are quite a bit wider from all the knowledge shared by all those that have contributed. Thanks for taking the time everyone to pay back what you've been taught, learned, or figured out never to do again!

Cheers! ? ? ? ? ?

@Newt thanks for those kind words. Bouncing & sharing ideas is how we all learn. I've also benefitted from priceless gems others have contributed.

Skate.

 

[stasisbr]

I'd say 10 positions, each 2k,

 

[Skate]

How is $20 round trip 2% of $20000?

@lindsayf, thank you for allowing me to clarify my previous statement.

Calculations
The calculation was done on the "bet size" not the "portfolio size"
CommSec has a commission rate of $10 for purchases of $1,000 & under (that's why we can't re-balance this portfolio)

My simple maths
1% of $1000 = $10
Bet size = $1,000
$10 commission on $1,000 = 1%
To buy & sell cost $20 on $1,000 (round trip = 2%)

Scenario
The calculations are done on $1,000 position sizing - if the position was a loser the commissions stay the same but result in a "larger commission percentage".

On the flip side
If the position is a winner the commission goes from $10 to $19.95 - CommSec is the winner by a country mile. This is the reason why "trading a small portfolio" is behind the eight-ball from the get-go.

Skate.

 

[ducati916]

Mr Skate,

Is there a 'system' hiding in here?



This data is only tracked for the 1 week post IPO. Seems an ideal holding period. Possibly long term they continue on their merry way. Or not. But for a 1 week holding, interesting. Possibly @peter2 might have some ideas as I know he trades the US also.

jog on
duc

 

[Skate]

Mr Skate, Is there a 'system' hiding in here?

@ducati916, this question is beyond my "pay grade".

As you have asked a question I feel that I should at least respond
There is not a Technical analysis system that I know of that can take advantage of an IPO listing. In the secondary market, Technical analysis takes advantage of price movements looking for market inefficiency with no regards to the true value of the company but it’s perceived value. The perceived value is whatever a person is "willing to pay".

Fundamental analysis looks for an underpricing of the IPO
Fundamental analysis helps figure out if the companies IPO price is valued at a discount (lower than you believe it is worth). Fundamental analysis is the vehicle of choice as past earnings can be valued. The price movement in the first week (IMHO) can be explained by either (a) the IPO's inaccurate pricing methodology, (b) incomplete disclosure of the fundamentals of the company or (c) something other than public knowledge. The IPO "initial" price is a "guesstimate of value" but once it goes to the secondary market it's open slather a "free-for-all" with no buying or selling restrictions. The secondary market "price" (value) is always correct by consensus.

Technical Analysis
With more trading data the scrutiny of the technical analysis comes into its own. In my opinion, there is no "system" hiding in the "captures" you have uploaded.

Skate.

 

[peter2]

Re: the apparent success of the US IPO's. The Fed and low interest rates are fueling the constantly rising US markets. These conditions are making the probability for instant success by an IPO very high. ASX IPOs have not had the same success. Many are trading below their opening day's price.

My systematic approach would be to spread the IPO capital across as many IPOs as possible to ensure buying into the better ones.

 

[ducati916]

@ducati916, this question is beyond my "pay grade".

As you have asked a question I feel that I should at least respond
There is not a Technical analysis system that I know of that can take advantage of an IPO listing. In the secondary market, Technical analysis takes advantage of price movements looking for market inefficiency with no regards to the true value of the company but it’s perceived value. The perceived value is whatever a person is "willing to pay".

Fundamental analysis looks for an underpricing of the IPO
Fundamental analysis helps figure out if the companies IPO price is valued at a discount (lower than you believe it is worth). Fundamental analysis is the vehicle of choice as past earnings can be valued. The price movement in the first week (IMHO) can be explained by either (a) the IPO's inaccurate pricing methodology, (b) incomplete disclosure of the fundamentals of the company or (c) something other than public knowledge. The IPO "initial" price is a "guesstimate of value" but once it goes to the secondary market it's open slather a "free-for-all" with no buying or selling restrictions. The secondary market "price" (value) is always correct by consensus.

Technical Analysis
With more trading data the scrutiny of the technical analysis comes into its own. In my opinion, there is no "system" hiding in the "captures" you have uploaded.

Skate.

Mr Skate and @peter2 thanks for the response. So I have undertaken some really intensive research (4 examples) which suggest a methodology, if any were particularly interested. Here are the 4 stocks: 2 winner, winner chicken dinner and 2 losers.



The IPO lists at $5. Day 1 shoots up.



Lists at $20, day 1 shoots up.



A loser: lists at $6, day 1 shoots up, day 2 fail (but still above IPO price).



Lists at $5.90 and day 1 collapses.

So on this truly representative sample a system emerges: Check listing price. Day before pre-market (night before) place order 10% above listing price (or whatever) close of trading day 1 sell.

This is simply a variation of the bracket orders we used to place in my prop. days. We were generally closed out by lunch-time.

jog on
duc

 

[peter2]

For those who are interested in the performance of ASX IPOs. The 61 Financial website has some nice looking charts. Recent IPOs

 

[julo]

@stasisbr, the backtesting was conducted on the "All Ordinaries" XAO.

@Skate
Your backtest is on XAO including past constituents? I was testing several trending strategies on 'XAO current' vs 'XAO current + past' on period 01/01/2020 till now and there is really huge difference in performance. Of course I expected different results, but not such big difference.
For the sake of completeness, I ran tests also on S&P to confirm @investtrader statement (post #4307) and results were poor as expected.

 

[Skate]

Your backtest is on XAO including past constituents?

@julo, my backtesting is done without "Norgate's Index Constituent" being an inaccurate reflection of the results. I upload backtests (usually a recent period) for a comparison of results between strategies. I've made over 100 posts acknowledging that without (Norgate's Index Constituent) the results mean "JACK" & shouldn't be relied upon. It was an intentional decision to downgrade from a "Platinum" Subscription to "Silver". My strategy development days are over & the Platinum Subscription was in excess of my current needs.

Strategy Development
It should be noted - the development of all my strategies was conducted using the "Platinum Subscription" package that included Historical Data with "Current and Past watchlist".

@willy1111 thank you for doing this backtest for me. Looking at the comparison between the backtests with & without (Norgate's Index Constituent) the results are "chalk & cheese", being miles apart. The backtest results confirm it pays to have the Norgate's Platinum subscription when developing a new strategy.

@CNHTractor your follow up post confirms @willy1111 sentiment about the inaccuracies of backtesting results when you are not using Norgate's historical index constituents. Note to self, "refrain from posting backtests in the future"

F.Y.I
1. For strategy development using Amibroker you certainly 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

What I should have done
I should have uploaded a comparison between what I "know" of Radges WTT settings & parameters & compared it to my version of his strategy (which I might do later today). When I posted the 12 steps in constructing a strategy using the WTT Strategy as an example. A few members who purchased Radges WTT Strategy explained the setting differences - I posted those differences so others weren't confused.

How about
Would you be kind enough to upload the WTT results without using "Current and Past watchlist" for a direct comparison to the results I posted previously? - I'll do the same when I get a break from trading today.

Skate.

 

[Skate]

How about
@julo, would you be kind enough to upload the WTT results without using "Current and Past watchlist" for a direct comparison to the results I posted previously? - I'll do the same when I get a break from trading today.

Important
The backtesting results below are without "Norgate's Index Constituent" but gives a direct comparison.

@julo here are the differences between my WTT code & what I know of Radges WTT parameters
1. My version of the WTT Strategy "Index Filter" uses a lookback period from 20 weeks == The Radge "WTT strategy" uses a 10 week lookback period for the Index Filter
2. My version of the WTT Strategy the "Trailing Stop" is set at 20% when the Index Filter is ON == The Radge "WTT strategy" uses 40% when the Index Filter is ON
3. My version of the WTT Strategy uses a moving average as an additional exit == The Radge "WTT strategy" only uses a "Trailing Stop Exit" driven by the Index Filter.
4. My version of the WTT Strategy uses a "Price Filter of (min $0.05 & Max of $10.00) == The Radge "WTT strategy" uses a (min $1.00 & Max of $100.00)
5. My version of the WTT Strategy also uses additional filters & exit criteria that I don't discuss.

#1. Backtest comparison - 1st January 2020 to 21st December 2020 (today)
Skate's version of the Weekend Trend Trader (WTT) Strategy "versus" Radge's Weekend Trend Trader (WTT) Strategy





#2. Backtest comparison - 1st July 2020 to 21st December 2020 (today)
Skate's version of the Weekend Trend Trader (WTT) Strategy "versus" Radge's Weekend Trend Trader (WTT) Strategy


Skate.

 

[investtrader]

I actually don't think that is a direct comparison. You are using a different universe - low price shares. I know that price leverage can improve it a lot.

 

[Skate]

I actually don't think that is a direct comparison. You are using a different universe - low price shares. I know that price leverage can improve it a lot.

The backtest
As @julo has confirmed, backtesting without "Norgate's Index Constituent" the results are inaccurate. To somewhat alleviate this I posted a direct comparison of the two (with their respective parameters)

It gives a comparison (maybe not a direct comparison as you have said)
@investtrader the comparison was between two strategies using their respective parameters. I agree, using different parameters & filters will give differing results. I've used the same PositionScore in both as I'm not sure what PositionScrore the Radge WTT Strategy uses these days.

Genuine Backtest (WTT)
It would have been great if others posted their results using the genuine Radge's WTT Strategy.

Skate.

 

[othmana86]

Hi skate. @Skate I’ve been testing out your WTT code and playing around with some figures etc. I’m not new to coding just new to Amibroker. Albeit my coding skills are very limited. So just fiddling.
I noticed something which i can’t explain so hoping you may be able to.

Using your Standard wtt code , I used the explore button to get me signals for a particular week. In this case let’s say 20th jan 19 to 25th jan 19. I get about 4 buy signals. When I click on the backtest with the exact period, I get about 8. 4 exactly the same as “explore” plus another 4. What’s the deal that?

I am going to assume that would not accurately resemble live trading which makes the backtest redundant..

thoughts?

 

[Skate]

Hi skate. @Skate I’ve been testing out your WTT code and playing around with some figures etc. I’m not new to coding just new to Amibroker. Albeit my coding skills are very limited. So just fiddling.
I noticed something which i can’t explain so hoping you may be able to.

Using your Standard wtt code , I used the explore button to get me signals for a particular week. In this case let’s say 20th jan 19 to 25th jan 19. I get about 4 buy signals. When I click on the backtest with the exact period, I get about 8. 4 exactly the same as “explore” plus another 4. What’s the deal that?

I am going to assume that would not accurately resemble live trading which makes the backtest redundant..

thoughts?

@othmana86 that sounds strange. Check your AA Setting & make sure (1) you have the correct index suffix for your data supplier, (2) you have Pad & Align checked & (3) Add artificial future bar is checked.





If all fails
Check if the signals are the same using "1 recent bar(s)" - The issue would be a settings issue I'm sure.



Skate.

 

[Skate]

Skate.