MovingAverage
Just a retail hack
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Dump it Here
- Thread starter Skate
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Overstatement
Looking at the equity curve of my last two years of trading I'll have to change "consistency of returns" to "decent returns". It just goes to prove, even when you "believe" you trade a hand full of decent strategies you're not immune to the volatility of the markets.
Skate.
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if this can help you, you are not the only one to have suffered during that period
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Constantly striving for perfection
Sometimes "good enough is good enough" but "good enough is not good enough" when better is expected.
Strategy improvements
As traders, we are constantly seeking to improve our trading by "fiddling" with those strategies "disguised as improvements", otherwise, we wouldn't read a ton of books or cruise this forum for hours. In my strategy development days, I had 3 computers running 24/7 driven with the desire to find the "perfect" strategy.
Skate.
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What did I achieve in 3 years looking for the perfect strategy?
Sleep deprivation - I was sleep-deprived for most of that period, that's what I achieved. If I could go back in time - I would tell my younger self to "slow down the learning process" & "concentrate more on making money" - instead of trying to learn everything all at once.
Strategy development
After three years I started to actively trade those developed strategies. My actual trading results fell well short of my Backtests results. Don't get me wrong I was profitable but not to the level I was expecting. I was expecting the "fruits of my labour", to be a lot more than what I achieved.
The penny dropped
All the learning was for naught when it came to controlling the emotions I soon started to experience. Understanding the emotional side of trading was the motivation behind the "Dump it here" thread.
Skate.
Sleep deprivation - I was sleep-deprived for most of that period, that's what I achieved. If I could go back in time - I would tell my younger self to "slow down the learning process" & "concentrate more on making money" - instead of trying to learn everything all at once.
Strategy development
After three years I started to actively trade those developed strategies. My actual trading results fell well short of my Backtests results. Don't get me wrong I was profitable but not to the level I was expecting. I was expecting the "fruits of my labour", to be a lot more than what I achieved.
The penny dropped
All the learning was for naught when it came to controlling the emotions I soon started to experience. Understanding the emotional side of trading was the motivation behind the "Dump it here" thread.
Skate.
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How do I get ideas?
I'm still driven to develop new trading ideas & (post them) but now I take a more mellow approach (these days). This forum has given me the inspiration to code a lot of my current strategies. The "Sphere Strategy" being the most recent after reading one of @peter2 (2016) posts. The performance after a few weeks is a bit "lacklustre" but that's to be expected - as all trend trading strategies take time to do their magic.
I have a theory
If I don't test what I've learned, how do I know if they have an application in my trading?
I'm truly happy
My definition of true "trading" happiness is ‘desiring’ to trade the strategies I have!!
Skate.
I'm still driven to develop new trading ideas & (post them) but now I take a more mellow approach (these days). This forum has given me the inspiration to code a lot of my current strategies. The "Sphere Strategy" being the most recent after reading one of @peter2 (2016) posts. The performance after a few weeks is a bit "lacklustre" but that's to be expected - as all trend trading strategies take time to do their magic.
I have a theory
If I don't test what I've learned, how do I know if they have an application in my trading?
I'm truly happy
My definition of true "trading" happiness is ‘desiring’ to trade the strategies I have!!
Skate.
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Discarding a good strategy
I personally find today "people in general" lack tolerance & patience. It's the same when it comes to trading. I spend an enormous amount of time developing a new strategy & if I'm not patient "allowing it to unfold" - what's the point.
The Hybrid Strategy
This 40-position strategy had its distractors - but heck, it made good money. This is why I posted the idea of combining strategies. Admittedly, some ideas resonate with some more than others but "when there is a lack of tolerance" for an idea it can only result in failing to understand the other side of the theory.
The Action Strategy
A simple & clean idea that I got from @ducati916 posts. When "smart bunnies" (Easter reference) talk - I have a habit of listening. At times it's not their words but the ideas behind the words. Duc's idea was so good I put my money behind it.
The HappyCat Strategy
Another forum idea - using volatility & momentum to enter & exit positions (simple & clean). There is a multitude of indicators that can help identify the direction, strength, momentum & volatility but the HappyCat uses "only" two indicators (ROC & ATR) keeping the strategy simple to implement. I should also say - the HappyCat Strategy is currently struggling because of the sideways trend of the markets.
Skate.
I personally find today "people in general" lack tolerance & patience. It's the same when it comes to trading. I spend an enormous amount of time developing a new strategy & if I'm not patient "allowing it to unfold" - what's the point.
The Hybrid Strategy
This 40-position strategy had its distractors - but heck, it made good money. This is why I posted the idea of combining strategies. Admittedly, some ideas resonate with some more than others but "when there is a lack of tolerance" for an idea it can only result in failing to understand the other side of the theory.
The Action Strategy
A simple & clean idea that I got from @ducati916 posts. When "smart bunnies" (Easter reference) talk - I have a habit of listening. At times it's not their words but the ideas behind the words. Duc's idea was so good I put my money behind it.
The HappyCat Strategy
Another forum idea - using volatility & momentum to enter & exit positions (simple & clean). There is a multitude of indicators that can help identify the direction, strength, momentum & volatility but the HappyCat uses "only" two indicators (ROC & ATR) keeping the strategy simple to implement. I should also say - the HappyCat Strategy is currently struggling because of the sideways trend of the markets.
Skate.
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Skate.
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Long weekend viewing (1 of 4)
I'm suggesting if you get any spare time over the long weekend break watch the 4 short videos that Martyn Tinsley has produced. Martyn embarks on a journey to challenge the "backtesting status quo" that prevails among system traders that are often discussed in this thread. (BTW, he is well-credentialed)
The first video (3:6 minutes)
In the first video (in the series of 4), Martyn highlights the pitfalls of herd-mentality with regards to "backtesting & optimization", which will prove to be extremely informative. The first of 4 videos introduce one of the major challenges that face system traders - the fact that "sub-optimal" parameter values.
Optimising parameters
Traders often struggle to optimise their systems in order to find parameters with the most effective edge. This often results in the systems losing money in practice, especially when traded on a live account. Without understanding this fully, traders are likely to continue choosing the wrong parameters to trade.
Parameter values that provide no edge at all often appear to perform in optimisation as if they do
Every trader needs to be very aware of this anomaly. Parameter values with little or no edge can often produce far better results in optimization than the parameters that offer the best edge, & the best chance of success in the long term. If you’re not careful, it will be these sub-optimal values that you choose to trade.
1. Why a true trading edge is a scarce commodity?
Skate.
I'm suggesting if you get any spare time over the long weekend break watch the 4 short videos that Martyn Tinsley has produced. Martyn embarks on a journey to challenge the "backtesting status quo" that prevails among system traders that are often discussed in this thread. (BTW, he is well-credentialed)
The first video (3:6 minutes)
In the first video (in the series of 4), Martyn highlights the pitfalls of herd-mentality with regards to "backtesting & optimization", which will prove to be extremely informative. The first of 4 videos introduce one of the major challenges that face system traders - the fact that "sub-optimal" parameter values.
Optimising parameters
Traders often struggle to optimise their systems in order to find parameters with the most effective edge. This often results in the systems losing money in practice, especially when traded on a live account. Without understanding this fully, traders are likely to continue choosing the wrong parameters to trade.
Parameter values that provide no edge at all often appear to perform in optimisation as if they do
Every trader needs to be very aware of this anomaly. Parameter values with little or no edge can often produce far better results in optimization than the parameters that offer the best edge, & the best chance of success in the long term. If you’re not careful, it will be these sub-optimal values that you choose to trade.
1. Why a true trading edge is a scarce commodity?
Skate.
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Long weekend viewing (2 of 4)
If you found the first video informative, you'll be "eggcited" by the next "eggselent" 6-minute tutorial. I apologise for using a few "Easter puns".
Understanding why some parameter values provide no edge
Martyn Tinsley demonstrates how parameter values that provide no edge at all often appear to perform in an optimisation as if they do. Every system trader needs to be very aware of this anomaly if they are to obtain profitable parameter values. By watching these 4 YouTube videos you'll understand why traders are likely to continue choosing the wrong parameters to trade.
2. Is your trading backtest a 'Stochastic Illusion' or a 'Real Edge'?
Skate.
If you found the first video informative, you'll be "eggcited" by the next "eggselent" 6-minute tutorial. I apologise for using a few "Easter puns".
Understanding why some parameter values provide no edge
Martyn Tinsley demonstrates how parameter values that provide no edge at all often appear to perform in an optimisation as if they do. Every system trader needs to be very aware of this anomaly if they are to obtain profitable parameter values. By watching these 4 YouTube videos you'll understand why traders are likely to continue choosing the wrong parameters to trade.
2. Is your trading backtest a 'Stochastic Illusion' or a 'Real Edge'?
Skate.
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Long weekend viewing (3 of 4)
If you found the first two videos informative, the third video in this series will "knock your socks off". In this 8-minute tutorial Martyn demonstrates how parameter values with little or no edge can often produce far better results in "an optimisation" than the parameters that offer the best edge, & the best chance of success in the long term.
Choosing ineffective parameter values
If you are not aware of this phenomenon then you could be choosing ineffective parameter values from your optimisations. If you’re not careful, it will be these "sub-optimal values" that you choose to trade that will bring you undone when trading live. This short video is a "must watch".
3. Random vs Long-Term Edge
Skate.
If you found the first two videos informative, the third video in this series will "knock your socks off". In this 8-minute tutorial Martyn demonstrates how parameter values with little or no edge can often produce far better results in "an optimisation" than the parameters that offer the best edge, & the best chance of success in the long term.
Choosing ineffective parameter values
If you are not aware of this phenomenon then you could be choosing ineffective parameter values from your optimisations. If you’re not careful, it will be these "sub-optimal values" that you choose to trade that will bring you undone when trading live. This short video is a "must watch".
3. Random vs Long-Term Edge
Skate.
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Long weekend viewing (4 of 4)
If you found the first three videos informative, the third video in this series will be just as captivating. In the last tutorial, Martyn shed light on where the edge sits on the probability spectrum, & what needs to be done to identify trading strategies that have it.
You need an Edge
The most basic thing you need to be a successful (profitable) trader is an edge, an advantage in your trading that produces a positive net profit over the long-term. This edge is the culmination of all your research, planning, execution, & state of mind while managing your portfolio. The more you read & (watch), the more you will become interested in trading. We have all made dumb mistakes when starting out, that is just being a beginner.
4. The Probability Distribution of your Trading Edge
To be a successful trader
Trading is a marathon, not a sprint. If you are new to trading, please make an effort to read my ‘Dump it here’ thread from the very first post as it may save you many years of self-education. It's a big ask, but if you have the slightest interest in learning to trade (profitably) it may be just worth the effort. (at least grab a copy of my free eBook https://www.aussiestockforums.com/posts/1014728/)
Skate
If you found the first three videos informative, the third video in this series will be just as captivating. In the last tutorial, Martyn shed light on where the edge sits on the probability spectrum, & what needs to be done to identify trading strategies that have it.
You need an Edge
The most basic thing you need to be a successful (profitable) trader is an edge, an advantage in your trading that produces a positive net profit over the long-term. This edge is the culmination of all your research, planning, execution, & state of mind while managing your portfolio. The more you read & (watch), the more you will become interested in trading. We have all made dumb mistakes when starting out, that is just being a beginner.
4. The Probability Distribution of your Trading Edge
To be a successful trader
Trading is a marathon, not a sprint. If you are new to trading, please make an effort to read my ‘Dump it here’ thread from the very first post as it may save you many years of self-education. It's a big ask, but if you have the slightest interest in learning to trade (profitably) it may be just worth the effort. (at least grab a copy of my free eBook https://www.aussiestockforums.com/posts/1014728/)
Skate
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A good strategy takes time to develop
Those new to trading are very concerned about finding a strategy that works quickly while at the same time quickly dismiss a good strategy that refuses to display early gains. At times, simple trading rules have often become the foundation of a good strategy.
The Sphere Strategy
This "Sphere Strategy" came from a post about back in 2016. With a small twist, I approached the idea from a different angle. Paper trading this (crazy) idea is important to determine if the idea will have an edge (over time).
Skate
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Traders always overcomplicate their trading
As humans, we have a tendency to overcomplicate everything we touch & it's no different when it comes to our trading. But (IMHO) trading doesn't need to be complicated but, we have a habit of complicating something that should be simple. Every trading strategy will have losing trades but if the strategy is profitable in the long run - what does it matter.
Follow your plan
Mechanical Trading can be a simple endeavour if you are disciplined, follow the rules, & stick to the trading plan. Trading this way, allows you to place your order & go on about your life. When you have a fully tested strategy there is no need to second-guess or fiddle with the signals.
The complexity of psychological forces at work in the market
Panic, depression, euphoria, the entire emotional spectrum takes on a new intensity when "your money" is on the line. These emotions can generate similar strong feelings in you causing you to react unnecessarily at times - that is, to buy or sell because of emotions you are feeling.
Skate.
As humans, we have a tendency to overcomplicate everything we touch & it's no different when it comes to our trading. But (IMHO) trading doesn't need to be complicated but, we have a habit of complicating something that should be simple. Every trading strategy will have losing trades but if the strategy is profitable in the long run - what does it matter.
Follow your plan
Mechanical Trading can be a simple endeavour if you are disciplined, follow the rules, & stick to the trading plan. Trading this way, allows you to place your order & go on about your life. When you have a fully tested strategy there is no need to second-guess or fiddle with the signals.
The complexity of psychological forces at work in the market
Panic, depression, euphoria, the entire emotional spectrum takes on a new intensity when "your money" is on the line. These emotions can generate similar strong feelings in you causing you to react unnecessarily at times - that is, to buy or sell because of emotions you are feeling.
Skate.
Hello all
I am reaching out to the pros here. how would one code the following:
if the price is = to or > than the buy price by 100 percent. i.e 100 percent profit. close the trade at next candle.
This is exactly the same as the applystop function:
amount = 100; // 100% profit
ApplyStop( stopTypeProfit, stopModePercent, amount, True );
I would like to do it without the applystop function; as the applystop doesnt spit out trades in explorer.
The reason i ask. i was in an open position and at the end of the week was %140 percent profit. Really nice. my system didn't trigger a sell for any reason, which is fine. However, come into this week, the prick came back to about 40 percent profit only. Triggered a sell this week, but i almost feel like it should of closed last week. "dont be greedy" type mentality. It could be a better system i think.
Using the apply stop function to test the methodology my CAR increased by 10%, so the idea is worth exploring.
any help is appreciated
I am reaching out to the pros here. how would one code the following:
if the price is = to or > than the buy price by 100 percent. i.e 100 percent profit. close the trade at next candle.
This is exactly the same as the applystop function:
amount = 100; // 100% profit
ApplyStop( stopTypeProfit, stopModePercent, amount, True );
I would like to do it without the applystop function; as the applystop doesnt spit out trades in explorer.
The reason i ask. i was in an open position and at the end of the week was %140 percent profit. Really nice. my system didn't trigger a sell for any reason, which is fine. However, come into this week, the prick came back to about 40 percent profit only. Triggered a sell this week, but i almost feel like it should of closed last week. "dont be greedy" type mentality. It could be a better system i think.
Using the apply stop function to test the methodology my CAR increased by 10%, so the idea is worth exploring.
any help is appreciated
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I have a lot of similar tickers in my buys...
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Hello all
I am reaching out to the pros here. how would one code the following:
if the price is = to or > than the buy price by 100 percent. i.e 100 percent profit. close the trade at next candle.
This is exactly the same as the applystop function:
amount = 100; // 100% profit
ApplyStop( stopTypeProfit, stopModePercent, amount, True );
I would like to do it without the applystop function; as the applystop doesnt spit out trades in explorer.
The reason i ask. i was in an open position and at the end of the week was %140 percent profit. Really nice. my system didn't trigger a sell for any reason, which is fine. However, come into this week, the prick came back to about 40 percent profit only. Triggered a sell this week, but i almost feel like it should of closed last week. "dont be greedy" type mentality. It could be a better system i think.
Using the apply stop function to test the methodology my CAR increased by 10%, so the idea is worth exploring.
any help is appreciated
@othmana86 the way I handle additional exit conditions is to bundle them up & attach the additional exit condition to a looping trailing stop as a (Stale Stop). @Trav. is the man that can help you code your idea (if he has the time).
Ideas
If I don't test ideas, you will never know if they have an application?
Have a read here
Dump it Here
I have been and continue to be interested in what @Skate calls his "Stale" stop-loss. I had no idea how to code such a thing, but the idea seems sound. I currently have a few stocks that initially trended strongly higher, but currently are operating in a range. They do seem stale. I'm...
www.aussiestockforums.com
Skate.
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if you have a weekly system and want to exit within the week, a bit complicatedHello all
I am reaching out to the pros here. how would one code the following:
if the price is = to or > than the buy price by 100 percent. i.e 100 percent profit. close the trade at next candle.
This is exactly the same as the applystop function:
amount = 100; // 100% profit
ApplyStop( stopTypeProfit, stopModePercent, amount, True );
I would like to do it without the applystop function; as the applystop doesnt spit out trades in explorer.
The reason i ask. i was in an open position and at the end of the week was %140 percent profit. Really nice. my system didn't trigger a sell for any reason, which is fine. However, come into this week, the prick came back to about 40 percent profit only. Triggered a sell this week, but i almost feel like it should of closed last week. "dont be greedy" type mentality. It could be a better system i think.
Using the apply stop function to test the methodology my CAR increased by 10%, so the idea is worth exploring.
any help is appreciated
But otherwise just add an EXIT:
Sell=Sell OR C>=BuyPrice*2;
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not tested..
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