Dump it Here

[Skate]

Been there - done that
New traders spend a lot of time researching, reading articles, books & searching the forums looking for the best trade entry, with little or no effort in structuring an exit plan or a trading plan in general. Finding entry conditions as I said previously is a dime-a-dozen exercise. Whether the entry is based on trend breakouts or pullbacks within a trend or trend continuations it doesn't matter. There are multitudes of reasons to enter a trade, knowing when to get out is the "most" important.

Entries & Exits
Talking about just two parts of the strategy without even raising the idea of money management, position sizing or risk management is not doing justice to a system.

Confidence
A trading strategy that times the "entry & exit" with good money management, position sizing & risk management than you have a strategy you can trade within your trading plan.

Time & Skill
Trading "mechanically" solves both issues that beginners face. If you have a good strategy, (in your opinion) you'll trade it with confidence the main ingredient in this game.

Skate.

 

[Skate]

The benefits of trading a mechanical system are "consistency of signals"
If you can trust your signals, it gives you the confidence to keep pulling the trigger & no intervention (skill) is required.

I only want to buy into a confirmed trend
All traders want to get on the move quickly, any breakout will do that displays price & volume (that's a given) but where I differ is in my approach to getting off the ride. Traders can have the sharpest entry but if they stay on the ride too long all their good work is for nought.

From my experience
Traders experience difficulties deciding when the ride is over. I'm not concerned about grabbing profits - I'm concentrating on timing the exit with consistency & if I can achieve this the money will flow. Different strategies require different exits, it's about dancing to the music being played. Not one exit works for every strategy.

We as humans are really good at one thing
"Selecting only the evidence that supports what we want to believe"

Enough said..

Skate.

 

[Newt]

We as humans are really good at one thing
"Selecting only the evidence that supports what we want to believe"

I agree

(wait a moment....!???? )

 

[Skate]

Keeping the thread active
I've been a bit slack lately & stopped posting new ideas. Without stimulating new ideas, we tend to close off our minds to all things market-related. I have recently been reminded that a loss of inquisitiveness stifles the learning progress.

Shooting the breeze: The idea is to start a portfolio of large caps. The spec portfolio has done very well but while that was progressing nicely I've missed out on some very good moves in the large cap stocks. Looking at the charts of ANZ (other banks), BHP/RIO and FMG, I see opportunity missed.

Been there & done that (back on the 27th March 2020)
Investing can sometimes be mentally easier to handle than trading & IMO, the opportunity Peter referred to has passed. Fear & uncertainty at times can lead to poor judgment about timing. There is a suite of strategies that can highlight mispriced positions.

Dump it Here

Hello Skate, None of what I use is based on Ehlers work or indicators. This is something that I have been working on for 15 years originally based on the work of Hurst and James Maggio and has undergone a lot of trial and error. As mentioned to a reply in another thread about repainting. One...

www.aussiestockforums.com

Investing rather than trading
@Smurf1976 without even realising has given @bfhoon some really sound investing advice to make a profit over a 3-5 year period, opportunities like these don't come around all that often. @bfhoon has already stated: "Eventually I would really like to have a fair bit of money tied up in the ASX that could potentially earn me at least 50 to 60K after tax via dividend payments at least $800,000 invested for that kind of return" I've recently invested $800k equally in ANZ, BHP, CBA & MQG - @Smurf1976 calls them "beaten up large caps" which is a good analogy. If those 4 positions can reclaim their former glory over the next 2 years with dividends along the way they have the potential to represent a good risk/reward investment that will not only meet @bfhoon's criteria but hopefully exceed it - only time will tell.

Going over some old posts
Peter has dropped so many gems over time & sometimes "What's old is new again". The post below is from 2016 & the logic is sound - but "with a twist", it has the potential to be something fresh & new.

Entry: We won't buy when price is going down. We wait for price to go up and close above an entry trigger. The entry trigger is based on a 2 or 3 bar count back level off the higher swing low. This trigger level is similar to a 1.5(2) x ATR(10) increase off the higher swing low. There's a few possibilities here. We could use a 2bar count back line (CBL) on the daily chart (popularised by D Guppy) OR we could use a 123Low setup using the 1hr chart.

That's given me an idea
I'm now shooting the breeze "using Peter's catchphrase". What if we took Guppy's idea that Peter posted about & used it in another way? Let's say, using a lookback period of 1 month (4 weeks) for the entry? Clean & crisp - with recent data to work with.

It seems simple
The premise of the twist - If the current bar is between the High & low of the previous 4th bar (not counting the current bar) - the position is considered to be stable. Next, if that bar is displaying early signs of momentum - it confirms the buy setup. Filters & parameters will take care of the rest.

Skate.

 

[Skate]

Inspiration & new ideas
Moreover, I've made a series of posts recently about how easy it is to get into a trend. Trends are happening all the time no matter what the market is doing. I've also explained "Index Filter" keeps you on the right side of the markets. I'll use an Index Filter as the basis of my initial stop loss only, throwing caution to the wind.

The new trading idea has limitations
Confirmation of the signals set a high bar at times but nether-the-less, signals do come along "but not with abundant regularity".

The "Sphere Strategy"
I would like to say it a work in progress but in reality "ideas" keep rotating as my thinking process is most likely different from most. I could paper trade this idea (in private) but what would be the fun of that.

I'll post the weekly paper trading live (so there is no fudging of results)
With additional thread content, prior signals & charts will give a select group something to follow. All ideas start somewhere & with paper trading, I have no idea if the "Sphere Strategy" will be ultimately a tradeable strategy.

The portfolio
For ease of following along, I will use a standard $100k (20 position portfolio)

Skate.

 

[Skate]

Skate.

 

[Skate]

Fear & uncertainty at times can lead to poor judgment about timing. There is a suite of strategies that can highlight mispriced positions.

Let's talk about opportunities
Value investing is a timing-related issue. What looks good one week can be a "terrible buy" the next. Remembering, this statement works both ways.

I find ... his shared CV19 views alarming on every level. Actions, views on future and understanding of PAST events.

@kahuna1 made that statement on the 3rd April 2020 & fair enough the statement was valid then.

@kahuna1 got this one right. MFG has significantly underperformed over the past six months.
Something has seriously gone wrong with this fund manager.

No arguments here
Peter's comments "are true" but that doesn't mean it's not a good buy (at the moment) if you are a value investor.

I'll put it on record
Recently, I've had two bites at (MFG) the first for 7,868 shares & the other for 5,277 shares. Why? because I'm a systems trader & my Bee Strategy has it as a roaring buy.

Performance is the measure of MFG success, and maybe attracting too much money, and the fees that flow, has trapped them.

About Company Performance
I have to agree with @Dona Ferentes at the company level - but - I would like to take the opportunity to add my twist.

About Strategy Performance
Strategy performance is measured in the price differential between the buy-in price & the selling price.

Skate.

 

[Skate]

The other side of the coin - MFG is currently a buy
What I hope to achieve is to give a sense that (MFG) at this time is a worthy buy (well I think so) only time will tell. When you are reading my reasoning all I say is be objective, rather than jumping to conclusions. First off, I'll have to admit Magellan Financial Group share price is down after the fund manager gave its monthly Fund Under Management (FUM) update for February 2021.

Strengthening my position - an article by - Jaz Harrison
Jaz is a keen investor who loves to thoroughly poke holes in an investment idea before it has a chance of making it into her portfolio. Jaz invests for the long-term and doesn't sweat the small stuff. She strongly believes that empowering people with knowledge is the best way for them to take charge of their finances, which is exactly the approach she takes with her own money and investments.

Jaz goes on to say - I think the Magellan share price is a buy
The Magellan share price has suffered in the wake of this inflation/interest rate sell-off. It has dropped over 30% since 20 November 2020. Some of Magellan’s investments haven’t grown recently, but this is a very "short-term horizon" in investment terms.

However, there are also a number of attractive features about Magellan
Magellan continues to see Funds Under Management (FUM) inflows. Magellan’s new investments – Guzman y Gomez, Barrenjoey, and FinClear – are all doing well. If you read the Australian Financial Review, you might have seen that Barrenjoey seems to pinch a quality individual from other local investment banks at least once a week.

Another reason to think that Magellan can be a solid performer
Magellan has a high dividend payout ratio. Fund managers don’t need to keep much capital to grow, so Magellan can pay large dividends to investors – this adds to the total shareholder return, without impacting growth much. Magellan currently has a trailing partially franked dividend yield of 5.1%. Using earnings estimates on Commsec, it’s valued at under 14 times the projected earnings for the 2023 financial year. So, that positive.

So, why update you on Magellan?
There was chatter on the Magellan thread "that's" falls outside my current thinking. In my opinion "Magellan" has positioned itself for long-term gains. I'm counting on Magellan recovering to its previous glory & if it does "capital gains" will be jumping off the screen. (that my end Game)

Skate.

 

[Skate]

The benefits of trading a mechanical system are "consistency of signals"
If you can trust your signals, it gives you the confidence to keep pulling the trigger & no intervention (skill) is required.

The idea is to start a portfolio of large caps. The spec portfolio has done very well but while that was progressing nicely I've missed out on some very good moves in the large cap stocks. Looking a the charts of ANZ (other banks), BHP/RIO and FMG, I see opportunity missed.

peter2 said: I've missed out on some very good moves in the large-cap stocks, I see opportunity missed.

Final word
I'm just saying most opportunities have been lost but (MFG) is still ripe for the picking. Investing for the long term can be very rewarding & mentally easier to handle than trading.

How will (MFG) pan out?
Only time will tell & time is on my side.

Skate.

 

[peter2]

The benefits of trading a mechanical system are "consistency of signals"

If I may be so bold as to modify this statement to; The benefits of trading a mechanical system are "consistency of exits".
After all, isn't it the exits that make the money.

 

[Wilham]

Hi all,

Thanks everyone for your contributions to this thread, so much interesting information and discussion!

@Skate, I hope this post fits within the dump it here ethos.

I've been back testing a version of a BBO from unholy grails (nothing new here haha) and have made some modifications to it to lower the draw downs I feel quite significantly. I was hoping to get some pointers and/or constructive criticism of the backrest report or things I should consider to determine if this strategy is robust? I appreciate there is a limit to information in the backrest report.

At a high level the system:
- buys a Bollinger bands break out
- exits when the lower band is broken or exits with a market filter
- uses a trailing stop that also changes tightens with a market filter

Back test details:
Start: 100k
Positions: 2% of equity, haven't limited max open positions
Commissions: 0.25% to allow for some slippage
Universe: norgate platinum ~1992 to present all ords including delisted

Current thoughts:
1. Trade volume is high, ~1 per day
2. Winners don't run, I think this is linked to the low DD characteristics but investigating it
3. It didn't open new trades Feb-Jul 2020 which I'll like to try improve.

I've gained so much from this forum over the years of lurking, hopefully this can be useful to others as well.

 

[Skate]

@Skate, I hope this post fits within the dump it here ethos.

@Wilham thank you for posting. This is exactly the right thread for you & your post.

Looking at the backtest report, thinking "What if" or "if only"
At face value, the figures look great in your backtest report but the story it tells is minimal. Forget about being a multi-millionaire as per the report (that wouldn't have happened) but concentrate on using the report to find improvements hidden within the parameters that you have used. Using a Bollinger Band Breakout Strategy profitably is dependent on the deviations of both bands, the lookback period within the periodicity that you elect to use.

There are a few suggestions
1. I would prefer to see a backtest for the calendar year for 2011- that is my first benchmark with system development.
2. I would also like to look at the Monte Carlo report & concentrate on the Annual Return report. (now that tells a powerful story)

Bollinger Band "Background" for others
Bollinger Bands a technical indicator developed by John Bollinger. The indicator forms a channel around the price movement. The channels are based on standard deviations & a moving average. Bollinger bands can help you establish a trend's direction, spot potential reversals & importantly monitor volatility. All of this can help you make better trading decisions if you follow a few simple guidelines.

The Basics
Bollinger bands have three lines, upper, middle & lower. The middle line is a moving average of prices. There is "no magic moving average number", so it's important that the moving average (the middle line) aligns with the techniques & strategy being traded. The upper and lower bands are drawn on either side of the moving average. The distance between the upper and lower band is determined by standard deviations. (these parameters & "others" are critical to the profitability of the strategy)

Skate.

 

[Skate]

@Wilham I've made multiple posts on the Bollinger Band Breakout Strategy & recently uploaded some Amibroker code.

The Bollinger Bands theory has merit
(a) The bands track market volatility, prices are relatively high when prices are at the upper band and relatively low when they are at the lower band.
(b) Powerful signals that usually follow Bollinger band squeezes make Bollinger Bands an important tool for all traders
(c) Bollinger Bands indicator has been a technical tool that continues to be of immense value to many traders.

Urban's Daily Bollinger Band Daily Breakout Strategy
When I read comments from Urban Jaekle's book (Trading Systems 2nd Edition) I was doing cartwheels with excitement & couldn't wait to test Urban's Bollinger Bands Strategy using his methodology. Urban's Daily Bollinger Band Breakout Strategy is rather disappointing. It should be noted that the Bollinger band code supplied on his website is basic without being a trading strategy. In my opinion Urban's Daily Bollinger Band Breakout Strategy shouldn't be traded - not even with "counterfeit money"

Bollinger Bands Weekly Breakout Strategy
I'll upload "Skate's version" of Urban's Bollinger Bands Weekly Strategy so you can do a similar backtest. The strategy uploaded is a rough & dirty interpretation of Urban's methodology & not guaranteed to be error-free. (I've commented on the code for readability). The "BBO" code has been extracted from Urban Jaekle's new book that has been disclosed in full on his website.

Uploading & comparing the results
Taking the time to do a backtest & upload the results of "Skate's modified" interpretation of Urban's BBO code & comparing the results should be an interesting exercise for others to view.

Would I trade the uploaded Strategy?
No way !!

All I'm saying
Bollinger Bands is a trading idea & it pays to understand "oils ain't oils"

Skate.

 

[Wilham]

@Wilham I've made multiple posts on the Bollinger Band Breakout Strategy & recently uploaded some Amibroker code.

The Bollinger Bands theory has merit
(a) The bands track market volatility, prices are relatively high when prices are at the upper band and relatively low when they are at the lower band.
(b) Powerful signals that usually follow Bollinger band squeezes make Bollinger Bands an important tool for all traders
(c) Bollinger Bands indicator has been a technical tool that continues to be of immense value to many traders.

Urban's Daily Bollinger Band Daily Breakout Strategy
When I read comments from Urban Jaekle's book (Trading Systems 2nd Edition) I was doing cartwheels with excitement & couldn't wait to test Urban's Bollinger Bands Strategy using his methodology. Urban's Daily Bollinger Band Breakout Strategy is rather disappointing. It should be noted that the Bollinger band code supplied on his website is basic without being a trading strategy. In my opinion Urban's Daily Bollinger Band Breakout Strategy shouldn't be traded - not even with "counterfeit money"

Bollinger Bands Weekly Breakout Strategy
I'll upload "Skate's version" of Urban's Bollinger Bands Weekly Strategy so you can do a similar backtest. The strategy uploaded is a rough & dirty interpretation of Urban's methodology & not guaranteed to be error-free. (I've commented on the code for readability). The "BBO" code has been extracted from Urban Jaekle's new book that has been disclosed in full on his website.

Uploading & comparing the results
Taking the time to do a backtest & upload the results of "Skate's modified" interpretation of Urban's BBO code & comparing the results should be an interesting exercise for others to view.

Would I trade the uploaded Strategy?
No way !!

All I'm saying
Bollinger Bands is a trading idea & it pays to understand "oils ain't oils"

Skate.

Cheers skate, I'll run some additional testing including your code and try provide a comparison for those interested in future.

Personally I'm not interested in total profit etc. After slippage and mostly taxes it's pretty irrelevant imo.

I'm not too familiar with Monte Carlo in amibroker yet, will do some further reading. Some kind of walk forward testing would be good too, guessing returns/DD will be heavily influenced by year of commencement.

Wilham

 

[qldfrog]

Cheers skate, I'll run some additional testing including your code and try provide a comparison for those interested in future.

Personally I'm not interested in total profit etc. After slippage and mostly taxes it's pretty irrelevant imo.

I'm not too familiar with Monte Carlo in amibroker yet, will do some further reading. Some kind of walk forward testing would be good too, guessing returns/DD will be heavily influenced by year of commencement.

Wilham

If I may
instead of trying a period 1992 to present, work on a recent year;
In 1992, was there many qant around?, fast trading? were Central bank covering your asses?
what I mean is you try to compare the performance of a ferrari in 2020 against the speed of a roman charriot in a mud track in 10BC..
totally irrelevant IMHO;
I would dare saying testing anything before 2006 and expecting a relevance in 2021 is a folly;
Anyway:
then try to run and compare with 2011 as per Monsieur Skate; the 2019 crash?
how does your system behave and handle the crash then the recovery ?
what about the yoyo period we have had since nov 2020 to now basically?
We are REALLY lucky to have many types of markets within the last 2 y..use these to your advantage
PS I noticed you have a 42% exposure during some of the longest bull market in history,
if not during that given period, when would your system get in ? A bad sign IMHO
also: std error: 1986636?????
what does the MC show?

 

[Wilham]

@Wilham I've made multiple posts on the Bollinger Band Breakout Strategy & recently uploaded some Amibroker code.

The Bollinger Bands theory has merit
(a) The bands track market volatility, prices are relatively high when prices are at the upper band and relatively low when they are at the lower band.
(b) Powerful signals that usually follow Bollinger band squeezes make Bollinger Bands an important tool for all traders
(c) Bollinger Bands indicator has been a technical tool that continues to be of immense value to many traders.

Urban's Daily Bollinger Band Daily Breakout Strategy
When I read comments from Urban Jaekle's book (Trading Systems 2nd Edition) I was doing cartwheels with excitement & couldn't wait to test Urban's Bollinger Bands Strategy using his methodology. Urban's Daily Bollinger Band Breakout Strategy is rather disappointing. It should be noted that the Bollinger band code supplied on his website is basic without being a trading strategy. In my opinion Urban's Daily Bollinger Band Breakout Strategy shouldn't be traded - not even with "counterfeit money"

Bollinger Bands Weekly Breakout Strategy
I'll upload "Skate's version" of Urban's Bollinger Bands Weekly Strategy so you can do a similar backtest. The strategy uploaded is a rough & dirty interpretation of Urban's methodology & not guaranteed to be error-free. (I've commented on the code for readability). The "BBO" code has been extracted from Urban Jaekle's new book that has been disclosed in full on his website.

Uploading & comparing the results
Taking the time to do a backtest & upload the results of "Skate's modified" interpretation of Urban's BBO code & comparing the results should be an interesting exercise for others to view.

Would I trade the uploaded Strategy?
No way !!

All I'm saying
Bollinger Bands is a trading idea & it pays to understand "oils ain't oils"

Skate.

Hi Skate, thanks for providing the code. I've done some comparison tests as you can see below. Only change I made to your AFL was to add a "gonetogod" sell exit when delisted as I'm using current and past XAO consistuents.

1992 to present


2008 only


2011 only


2020 to present


I also did annual runs for each year from 1992 to 2020 as well for my system only:


I'm running a monte carlo analysis currently so will aim to upload some details on that tomorrow.

 

[Wilham]

If I may
instead of trying a period 1992 to present, work on a recent year;
In 1992, was there many qant around?, fast trading? were Central bank covering your asses?
what I mean is you try to compare the performance of a ferrari in 2020 against the speed of a roman charriot in a mud track in 10BC..
totally irrelevant IMHO;
I would dare saying testing anything before 2006 and expecting a relevance in 2021 is a folly;
Anyway:
then try to run and compare with 2011 as per Monsieur Skate; the 2019 crash?
how does your system behave and handle the crash then the recovery ?
what about the yoyo period we have had since nov 2020 to now basically?
We are REALLY lucky to have many types of markets within the last 2 y..use these to your advantage
PS I noticed you have a 42% exposure during some of the longest bull market in history,
if not during that given period, when would your system get in ? A bad sign IMHO
also: std error: 1986636?????
what does the MC show?

Hi qldfrog - thanks for taking the time to reply.

My thought process was that if I could design a system that performed well over a longer period of time in totality, as well as individual years.. or periods eg this year. I would be better than targeting solely recent data as it would have exposure to more market types. I do agree with what you are saying, but would be interested on your thoughts?

I ran 2006-2020 and 2019-2020 out of interest as well. As you pointed out with my exposure my parameters pull up my stops and elimates new entries when the market filter is heading 'bearish' quickly. There are multiple flatline periods below where this is evident. This is still a WIP system so that is something I will look at investigating but I'm not concerned currently if I can generate a 'decent' return given my low exposure (maybe naively?).

This system doesn't utilise scaling either, so I've been toying with how to add 1-2 scale-ins with the hope of doubling down on winning trades.. however I doubt it will be so easy



Happy trading

 

[Wilham]

I'm by no means experienced with MC simulations, I ran 1000 instances using positionscore from Harro26 here.
PS=Optimize("Postion Score",1,1,1000,1);
PositionScore = Random()*PS;

Will add my thoughts later today when I have time.

 

[othmana86]

I'm by no means experienced with MC simulations, I ran 1000 instances using positionscore from Harro26 here.
PS=Optimize("Postion Score",1,1,1000,1);
PositionScore = Random()*PS;

Will add my thoughts later today when I have time.

View attachment 121432

Hey man
Are you using position score as part of your code if you are or planning to then that isn't the best method.
i used a different method which was posted by @LoneWolf which works really well. Have it as part of your buy method. Just be very careful, make sure you take it out of your production code. made the mistake many times and had a few WTF is going on moments.

step = Optimize( "step", 1, 1, 1000, 1 );
Buy = cond1 AND Random() >= 0.20

I found the best way to differentiate between strategies is to plot CAR v MDD as below. CAR is X and MDD is Y. Green strategy 1 blue strategy 2.

 

[Wilham]

Hey man
Are you using position score as part of your code if you are or planning to then that isn't the best method.
i used a different method which was posted by @LoneWolf which works really well. Have it as part of your buy method. Just be very careful, make sure you take it out of your production code. made the mistake many times and had a few WTF is going on moments.

step = Optimize( "step", 1, 1, 1000, 1 );
Buy = cond1 AND Random() >= 0.20

I found the best way to differentiate between strategies is to plot CAR v MDD as below. CAR is X and MDD is Y. Green strategy 1 blue strategy 2.View attachment 121441

Thanks for the tip, I'll have a look using your version. Yes, I do use a simple position score to preference lower priced stocks (forget who suggested this if I'm honest). I found this had a noticeable but minor effect on car but just removed it for simplicity with the MC Sim.