Dump it Here

Years ago when i first bought the platinum pack, all my systems performed significantly worse. I don't really know how most perform now with/without constituents added as it's not something i generally test. It took a long time to get my systems behaving better.

For those 2 tests, the first one was run setting ASX as the market not a watchlist. $XAO only gives you the top 500 ASX stocks. There's no need to use Norgates constituent time series as we're not filtering to an index, just using/testing the whole market.

The second test is a bit trickier. There are 2 markets that you need to merge, ASX and AU Delisted Stocks. If you go into your NDU and select watchlist library you can create a new dynamic watchlist which i've labelled "ASX FULL & DELISTED". This will give you a full watchlist of 4784 stocks today AND as a bonus, once you do it it automatically updates and is added to Amibroker. Again there's no need to use norgates function as we're just testing on the whole market, not filtering against an index.

I do use "OnLastTwoBarsOfDelistedSecurity" as a buy/sell condition.

If i were to test against XAO,XJO,XKO indexes ( ie when a stock moves in or out of these indexes ) .... then yes i would add norgates constituent function.

If you head to https://www.thechartist.com.au/product/weekend-trend-trader-strategy/ and click on view performance, you can see that Nicks "Test Universe" is ALL ASX stocks current and delisted (3731). Not sure where the other 1000 are but he might prefilter it somewhere, or it's old. So I am testing as he had designed.

P.S. ... I really have just winged it, so if i've made a mistake let me know.

DaveDaGr8 said:

For those 2 tests, the first one was run setting ASX as the market not a watchlist. $XAO only gives you the top 500 ASX stocks. There's no need to use Norgates constituent time series as we're not filtering to an index, just using/testing the whole market.

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Thanks Dave. My mistake. I missed that WTT uses all ASX stocks rather than the All Ords. That explains it for me.

What you did with merging two markets into a new watchlist is interesting. If for some reason you didn't want to do this, you can filter by multiple markets. Change the Category so that multiple entries are "Market", tick "Match any" and you get the 4784 stocks you want.

I had a look, but I can't see where Nick might be getting 3731 stocks from either. He may be using a different delisted list, or as you say, have some other filter in place.

hahaha ... I knew there must've been an easier way to do it.

At least we both got the same number ... so we're either both right or both wrong.

Skate.

Skate.

Skate.

Skate.

Skate said:

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Skate.

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Santa portrait most appropriate?

Skate.

Hi everybody!
I've seen many portfolio performance charts where author compares performance of his strategy to index. Q: It that methodically correct?
I have doubts:
1. when I use adjusted data (dividends, splits etc.), results reflect reinvestment of the dividend payment to the stock, which dividend was payed from. Right?
2. there are no adjustments for index (such as S&P500), but if I held perfect portfolio mirroring S&P, I would receive roughly 3 % annually as dividend yield.
A: So I think, that in that case annual return of S&P should be increased by dividend payments. In other words, buy and hold strategy on S&P500 has annual return 7 % (past 14 years) and therefore I should assume that return, which is used for comparison to other strategies, should be around 10 %. Assuming no commissions. Am I right?
Maybe I am reinventing the wheel, but I would like to confirm / reject this hypothesis.
Thanks for your opinions!

Skate.

Skate.

Skate.

julo said:

I've seen many portfolio performance charts where author compares performance of his strategy to index. Q: It that methodically correct?

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Yes if with the ASX, the All Ordinaries Total Return Index (XAOA) is used.

Lone Wolf said:

I had a look, but I can't see where Nick might be getting 3731 stocks from either. He may be using a different delisted list, or as you say, have some other filter in place.

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Back in the day when I traded the Growth Portfolio and it went for a long slippery slide, resources were removed.
These can be filtered out with Norgate and possibly doing the same with WTT

Skate said:

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Skate.

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I am happy to see Mrs Skate's Zebra warming up at last.
I favor peace within wedlock

Skate.

qldfrog said:

my systems jumped on this one and I even missed one entry this morning as it overshot my entry point

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Year in review
This post was going to be about reviewing my trading results for the last Calendar year because of the Covid-19 flash crash & how it affected my trading. 2020 was a year that highlighted the disparaging difference between the well off & the not so well off, (through no fault of their own) The image of the long Centrelink queues on TV was hard to watch. Financially it was by far my best trading year. Covid-19 provided traders with an opportunity not offered to many others, barring a few businesses. Explaining my trading results in more detail would be puffing & at risk of sounding like "The FLY" without the profanities. Reading @Garpal Gumnut recent post is a reality check for all of us. Read here: https://www.aussiestockforums.com/threads/trading-psychology.14239/post-1105707 & here: https://www.aussiestockforums.com/threads/trading-psychology.14239/post-1105713

I made a post in the AVZ thread that I quickly deleted
The deleted post was an example between a Trading Strategy & a Trading plan. A Trading plan trumps a Trading Strategy each & every time - it's the very reason why @qldfrog missed the signal highlighted above in his post. He missed the signal because of his Trading Plan.

I went on to say in the "deleted post"
In regards to missing a signal, you-win-some, you-lose-some, it's just the nature of how we elect to trade. But missing a trade still hurts to some degree. Selling a profitable trade is harder to swallow than missing a signal when the position recovers on the same day of its exit. See below (OMH) was exited yesterday only to rebound.



Backtesting means Jack
Back in the "old days", (2015) I use to trade the backtest feature of Amibroker using "Add artificial future bar" but soon realised that this method had a few shortcomings as re-balancing was an issue. The main issue using the Backtest feature to trade was that Amibroker took the trade with no consideration of my "Trading plan". A trading plan trumps a trading strategy every time & this is why "Amibroker Backtesting" means Jack.




Trading using the Backtest feature
Trading using the backtest feature looks the goods but coding in a Trading Plan has eluded me. Trading using the backtest takes the signal with no regard to your Trading Plan. Trading using the backtest feature it records the buy signal even though the signal is not taken. When this happens it will never generate another signal if the position is not taken for a variety of reasons. Here is a perfect example from yesterday.

Backtest Signals


Long story short
I missed EMR as it gapped over my 3% premium to the last closing price. My order was purged at the end-of-trading. Being philosophical "you win some, you lose some". It's worth noting that Amibroker Backtest can't be overridden to compensate for missed (not purchased) positions.

Trading using the Explore feature
I trade using the explore feature as it displays the vitals I'm after. In a previous [post] I explained, Mick Doohan, (who won five consecutive 500cc World Championships) when he arrived at a new track, he wanted to know two things (1) Which way the track ran (clockwise or anticlockwise) & (2) What was the lap record. I trade much the same as I want to know three things (1) What to buy, (2) How many shares to buy & (3) What price to offer in the pre-auction. It's simple & clean. This is the post I'm referring to, I'm biased but it's a good read - https://www.aussiestockforums.com/threads/dump-it-here.34425/post-1014594

Exploration Signals


Exploration Analysis
This style of trading generates all signals & not limited to "position sizing" - a definite advantage.

Skate.

@Skate, We are admirers of your trading systems you established and tweaked. Would you consider having it similar to "thechartist" making it available to subscribers to have it auto trade (Like IB API) to remove our emotion factor in trading?

Thanks, Bazzi

Bazzi said:

@Skate, We are admirers of your trading systems you established and tweaked. Would you consider having it similar to "thechartist" making it available to subscribers to have it auto trade (Like IB API) to remove our emotion factor in trading?
Thanks, Bazzi

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@Bazzi I have a stack of great trading systems & trade many of them. All my original systems were developed when I had the equivalent of today's Norgates platinum subscription. If I was trading back in 2008 when the GFC hit it would have turned out to be a "non-event" for me, meaning I would have had a great year trading my systems in 2008 & a tremendous 2009.

Trading in 2011 was entirely different
Trading in 2011, my systems were neutral - all breaking even or making a few dollars which were pleasing, (2011) is my benchmark year.

Trading in the first quarter of 2020
2020 with the Covid-19 flash crash was not a concern at first as my strategies weathered 2008 & 2011 nicely, falsely giving me a sense of security - believing I'd be ok no matter what. @bigdog gave me an early heads up to what was about to happen. Being a staunch system trader I would follow the system & trading plan without even blinking. To my dismay, I lost some serious coin in two short weeks of trading. This was the first time I was disappointed with my coding efforts in not protecting me against unforeseeable circumstances. It was the first time my wife felt uneasy with trading as it was a lot of money to lose in such a short period.

The HappyCat & Panda Strategies
I'm trading these strategies & posting the results live as a forum exercise for those trying to understand what is required to trade successfully. The Action & Zebra strategies were also a forum exercise to demonstrate how hard it is to trade a small portfolio. Trading small "if managed correctly", is a "foot in the door" to experience trading for the very first time.

What I'm trying to say
Losing my money doesn't worry me but if you were to lose one dollar of your money because trading one of my systems - it would be devastating for me. A cross too heavy to bear.

Sir Burr said:

Back in the day when I traded the Growth Portfolio and it went for a long slippery slide, resources were removed.

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Would you consider having it similar to "thechartist" making it available to subscribers?
No, never.

Skate.