Dump it Here

[MovingAverage]

This post is aimed more at the newer traders that may be on the site. If you or your systems have been struggling lately to be profitable, don't be discouraged. It takes time and experience to remain profitable in markets like the present. This is all part of the learning process.

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I feel the pain--H1 of this year has certainly been a grind for two of my systems. Both had a great H2 last year, but boy it's been tough so far this year. I guess it isn't all bad, one system might be down 1.27% but the other is up 6.62%. Let's hope H2 of this year brings home a better result.

 

[qldfrog]

I feel the pain--H1 of this year has certainly been a grind for two of my systems. Both had a great H2 last year, but boy it's been tough so far this year. I guess it isn't all bad, one system might be down 1.27% but the other is up 6.62%. Let's hope H2 of this year brings home a better result.

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If a bad half year is just -1.27%
Can i get your bad returns?

 

[aus_trader]

This post is aimed more at the newer traders that may be on the site. If you or your systems have been struggling lately to be profitable, don't be discouraged. It takes time and experience to remain profitable in markets like the present. This is all part of the learning process.

View attachment 127282

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Certainly been a bit choppy in the main indices as shown in the 1hr chart posted.

When you look at the main constituents though it looks logical. Big end of banking (big4 Inc.), BHP, TLS etc have run hard and could be taking a breather or in technical terms having a consolidation period.

 

[MovingAverage]

I'm generally not one to watch charts, but have recently been watching with interest XJO. Since early June it's just been floating around the support of around 7330. Waiting for something to kick it along

 

[Beaches]

Just because you make money in a strong bull market does not mean you can trade profitably for the next 10 years. Honest appraisal of trading skills is harder than some think.

Michael Norton, a Harvard Business School professor, has done experiments in which he gives study participants general trivia tests, and some of the papers have the answers at the bottom. So the participants first take that test, and then they’re given another one — this one with no answers at the bottom. They’re also asked to predict how well they think they’ll do on this second test, and most of them predict they’ll get an excellent score on this test, as well. “They just think that they’re amazing test-takers now,” Norton said. Even when he’s tried to get them to think more realistically by promising them more money if their predictions are more accurate, people still overestimate their ability. “This process of deceiving ourselves is so strong, and it happens to us so quickly, where we have a twinge of, Maybe I cheated, and then, No, I didn’t, I’m a genius,” Norton said.​

This article originally appeared on Science of Us: The Truth About the Ways People Lie. © 2014 All Rights Reserved. Distributed by Tribune Content Agency.​

The research above applies equally to traders. The real test of your trading skills will be in flat, choppy markets, or bear markets and based on results over a significant period of time.

Thanks to @No Trust for the above article.

 

[qldfrog]

Just because you make money in a strong bull market does not mean you can trade profitably for the next 10 years. Honest appraisal of trading skills is harder than some think.

Michael Norton, a Harvard Business School professor, has done experiments in which he gives study participants general trivia tests, and some of the papers have the answers at the bottom. So the participants first take that test, and then they’re given another one — this one with no answers at the bottom. They’re also asked to predict how well they think they’ll do on this second test, and most of them predict they’ll get an excellent score on this test, as well. “They just think that they’re amazing test-takers now,” Norton said. Even when he’s tried to get them to think more realistically by promising them more money if their predictions are more accurate, people still overestimate their ability. “This process of deceiving ourselves is so strong, and it happens to us so quickly, where we have a twinge of, Maybe I cheated, and then, No, I didn’t, I’m a genius,” Norton said.​

This article originally appeared on Science of Us: The Truth About the Ways People Lie. © 2014 All Rights Reserved. Distributed by Tribune Content Agency.​

The research above applies equally to traders. The real test of your trading skills will be in flat, choppy markets, or bear markets and based on results over a significant period of time.

Thanks to @No Trust for the above article.

Fully aware.
I likealso the latest nick radge video where he favor diversification of strategies.
Some strategy are woeful in choppy market so e outperform in bull market etc
You want to stay exposed as a systematic trader but to be ready to cop it in the chin, you have to be able to reassure yourself by a less catastrophic outcome .
A conservative portfolio for me, and trying system diversification..but if you are long, a crash is a crash nevertheless.
I do not consider myself a good systematic trader but better than a year ago, i started systems got smashed.. in covid crash , did well till end of last year then slow grinding loss till now.hopefully ready for further boom or crash now

 

[MovingAverage]

Just because you make money in a strong bull market does not mean you can trade profitably for the next 10 years. Honest appraisal of trading skills is harder than some think.

Michael Norton, a Harvard Business School professor, has done experiments in which he gives study participants general trivia tests, and some of the papers have the answers at the bottom. So the participants first take that test, and then they’re given another one — this one with no answers at the bottom. They’re also asked to predict how well they think they’ll do on this second test, and most of them predict they’ll get an excellent score on this test, as well. “They just think that they’re amazing test-takers now,” Norton said. Even when he’s tried to get them to think more realistically by promising them more money if their predictions are more accurate, people still overestimate their ability. “This process of deceiving ourselves is so strong, and it happens to us so quickly, where we have a twinge of, Maybe I cheated, and then, No, I didn’t, I’m a genius,” Norton said.​

This article originally appeared on Science of Us: The Truth About the Ways People Lie. © 2014 All Rights Reserved. Distributed by Tribune Content Agency.​

The research above applies equally to traders. The real test of your trading skills will be in flat, choppy markets, or bear markets and based on results over a significant period of time.

Thanks to @No Trust for the above article.

Nice article. IMHO the biggest mistake a lot of newer system traders make is to trade a single system. It is very unlikely that a single system will do well across all market conditions. It’s one of the main reasons I trade 3 very different systems—each does well in a particular and different market condition

 

[Warr87]

Nice article. IMHO the biggest mistake a lot of newer system traders make is to trade a single system. It is very unlikely that a single system will do well across all market conditions. It’s one of the main reasons I trade 3 very different systems—each does well in a particular and different market condition

well that's true, but how many new traders have money to immediately begin with 3 different systems?

also, most trend following systems tend to be correlated, even on different timeframes. Ideally MR and trend, but they are different mindsets. Not necessarily good for a beginning trader.

 

[MovingAverage]

well that's true, but how many new traders have money to immediately begin with 3 different systems?

also, most trend following systems tend to be correlated, even on different timeframes. Ideally MR and trend, but they are different mindsets. Not necessarily good for a beginning trader.

Understand, and yes capital constraint is an issue. Have to disagree, just because systems are trend following does not automatically mean they have a high degree of correlation, different time frames, different entry conditions, different stock universes, different positioning sizing techniques all have a major impact on reducing correlation. Two of my systems are long trend following and the degree of statistical correlation between the two is very low and have deliberately engineered so. Just look at some of my prior live trading posts

 

[Beaches]

For anyone just starting out with their first system, or with capital constraints that don't allow for multiple systems. When the market moves into a phase that is not suitable for that system, the key thing to learn is when to reduce the capital exposure, or stand out of the market until conditions improve.

 

[Warr87]

Understand, and yes capital constraint is an issue. Have to disagree, just because systems are trend following does not automatically mean they have a high degree of correlation, different time frames, different entry conditions, different stock universes, different positioning sizing techniques all have a major impact on reducing correlation. Two of my systems are long trend following and the degree of statistical correlation between the two is very low and have deliberately engineered so. Just look at some of my prior live trading posts

The statistical correlation tends to be strong in a strong downward market. It's either Clenow or Davey who explore this in their books. And it is at that time, when markets are going down, that you want the least correlation possible. My weekly and monthly system are somewhat correlated, though no entirely so. Even my trend following crypto and commodoties that trades mostly on 1H timefarme, become somewhat correlated. so while different timeframes, entries, and universes help with the correlation there is still some there. adding in something like a shorting component is very helpful when it comes to the correlation.

 

[Warr87]

For anyone just starting out with their first system, or with capital constraints that don't allow for multiple systems. When the market moves into a phase that is not suitable for that system, the key thing to learn is when to reduce the capital exposure, or stand out of the market until conditions improve.

well that comes with a filter of some kind. but a systematic trading should just be trading their system. trying to pick and choose when the market isn't good kind of runs contrary to a systematic approach. and trying to do so usually ends in missing the full extent of the rebound.

 

[MovingAverage]

The statistical correlation tends to be strong in a strong downward market. It's either Clenow or Davey who explore this in their books. And it is at that time, when markets are going down, that you want the least correlation possible. My weekly and monthly system are somewhat correlated, though no entirely so. Even my trend following crypto and commodoties that trades mostly on 1H timefarme, become somewhat correlated. so while different timeframes, entries, and universes help with the correlation there is still some there. adding in something like a shorting component is very helpful when it comes to the correlation.

Agree. Not suggesting I’m chasing zero correlation (that is just not possible) but it is possible to reduce to a point where it delivers the desired result of having a good degree of independence between systems—they don’t go up or down in sync

 

[Beaches]

Generally, the when I post in this thread, it is aimed at the very new traders (whether system or otherwise). Sometimes a simple reminder may be enough for the newly minted traders to prevent an account from being blown up. Apologies to those experienced traders (which abound on the site) that may find the posts simplistic.

The hardest thing for experienced traders to realise is how much they have learned and the depth of their knowledge. Things that seem obvious and simple common sense to an experienced trader, is not simple or obvious at all to the new trader.

 

[MovingAverage]

well that comes with a filter of some kind. but a systematic trading should just be trading their system. trying to pick and choose when the market isn't good kind of runs contrary to a systematic approach. and trying to do so usually ends in missing the full extent of the rebound.

something to think about—depending on how you approach trading you might have a different perspective on that. For me I’m all about focusing on managing risk so whether I miss a rebound is not something I factor in. I mean no criticism, but it is often a lazy approach to just trade a system and say I just keep trading through no matter what the conditions are. However, I think someone more focused on risk (like me) can also legitimately say I want to know under what general market conditions my system performs well and if the market is not behaving like that to just turn the system off completely until the appropriate market conditions return. A system is more than just buy/sell signals and part of a system can include factors that are external such as position sizing or should I just turn my system off. I don’t think it is right to say a system trader must trade their system through all market conditions. It may well be appropriate to completely turn of a system. This approach while relevant to single system is also applied across multiple system dependant on market conditions where systems are turned off and all available capital piles on the on system(s). Anyway, just my 2 cents

 

[aus_trader]

something to think about—depending on how you approach trading you might have a different perspective on that. For me I’m all about focusing on managing risk so whether I miss a rebound is not something I factor in. I mean no criticism, but it is often a lazy approach to just trade a system and say I just keep trading through no matter what the conditions are. However, I think someone more focused on risk (like me) can also legitimately say I want to know under what general market conditions my system performs well and if the market is not behaving like that to just turn the system off completely until the appropriate market conditions return. A system is more than just buy/sell signals and part of a system can include factors that are external such as position sizing or should I just turn my system off. I don’t think it is right to say a system trader must trade their system through all market conditions. It may well be appropriate to completely turn of a system. This approach while relevant to single system is also applied across multiple system dependant on market conditions where systems are turned off and all available capital piles on the on system(s). Anyway, just my 2 cents

mmm... Lots of things to think about and great contribution to this thread MA

Great new Logo/Avatar as well compared to the nasty one...

I don't have a full systems approach, but my defense mechanism is to stop buying during major downturns. So didn't buy during the Covid crash until there was some recovery after huge volatility near the bottom. Then we made hay playing the pandemic recovery stocks as we can see from my portfolio.

 

[MovingAverage]

mmm... Lots of things to think about and great contribution to this thread MA

Great new Logo/Avatar as well compared to the nasty one...

But I’m a fan of Red Dwarf and Ace Rimmer is my favourite character ?

 

[Warr87]

something to think about—depending on how you approach trading you might have a different perspective on that. For me I’m all about focusing on managing risk so whether I miss a rebound is not something I factor in. I mean no criticism, but it is often a lazy approach to just trade a system and say I just keep trading through no matter what the conditions are. However, I think someone more focused on risk (like me) can also legitimately say I want to know under what general market conditions my system performs well and if the market is not behaving like that to just turn the system off completely until the appropriate market conditions return. A system is more than just buy/sell signals and part of a system can include factors that are external such as position sizing or should I just turn my system off. I don’t think it is right to say a system trader must trade their system through all market conditions. It may well be appropriate to completely turn of a system. This approach while relevant to single system is also applied across multiple system dependant on market conditions where systems are turned off and all available capital piles on the on system(s). Anyway, just my 2 cents

i'm concerned with managing risk too. it's why i like systematic. if you just trade a system but have nothing that will take it out of the market when conditions are the worst, then you have a problem. as soon as you interact with your system outside of the rules you invalidate the backtesting results, which would then muddle the risk metrics as well. thinking you know the market better than you system would also be considered folly. whether a market is sideways, bear or bull, is often done so from hindsight. so if you are so focused on risk and that is your prime concern, I think I would be a bit worried about the mentality of thinking you know better. though i doubt you meant it that strong. as i've mentioned in my thread on my monthly system, I retain the right to stop my system at any point. one general rule used by system traders is either 1 or 2 standard deviations away from the backtested results.

also, if I pull my system out of the market because I don't think it's the 'right' market conditions, then I have likely pulled out when it is towards the bottom of the market. Then, after it has recovered and is rebounding I decide to go back in, because these are now the 'market conditions' i now consider to be perfect for my system, then I have already lost a lot of the profit that makes the drawdowns tolerable for my own CAGR/MDD metric. if you meant don't trade 'all market conditions', i.e. a trend following system that is in the market as the market is trending downwards (and you're long only), well duh. but almost all robust trend system that are long only wouldn't be in the market in a down trending market.

 

[MovingAverage]

i'm concerned with managing risk too. it's why i like systematic. if you just trade a system but have nothing that will take it out of the market when conditions are the worst, then you have a problem. as soon as you interact with your system outside of the rules you invalidate the backtesting results, which would then muddle the risk metrics as well. thinking you know the market better than you system would also be considered folly. whether a market is sideways, bear or bull, is often done so from hindsight. so if you are so focused on risk and that is your prime concern, I think I would be a bit worried about the mentality of thinking you know better. though i doubt you meant it that strong. as i've mentioned in my thread on my monthly system, I retain the right to stop my system at any point. one general rule used by system traders is either 1 or 2 standard deviations away from the backtested results.

also, if I pull my system out of the market because I don't think it's the 'right' market conditions, then I have likely pulled out when it is towards the bottom of the market. Then, after it has recovered and is rebounding I decide to go back in, because these are now the 'market conditions' i now consider to be perfect for my system, then I have already lost a lot of the profit that makes the drawdowns tolerable for my own CAGR/MDD metric. if you meant don't trade 'all market conditions', i.e. a trend following system that is in the market as the market is trending downwards (and you're long only), well duh. but almost all robust trend system that are long only wouldn't be in the market in a down trending market.

I’m not advocating that turning a system on/off be done on a personal discretionary basis. I agree this would to a degree defeat some of the objectives of systematic trading, but you can certainly apply a systematic approach to turning on/off systems or switching between systems—and that can be back tested and validated.

 

[Warr87]

I’m not advocating that turning a system on/off be done on a personal discretionary basis. I agree this would to a degree defeat some of the objectives of systematic trading, but you can certainly apply a systematic approach to turning on/off systems or switching between systems—and that can be back tested and validated.

definitely agree with you there. you need to define system rules in that respect as to what constitutes a reason to turn it off. there are some fantastic discretionary traders here who do the same thing as well, and if you follow there thread they perform amazingly. the point being that the decisions are still based on rules. i think new traders should be careful and have some rules about what would constitute certain market conditions.

not sure about the others here, but if i'm exploring some ideas i code up some ideas and see if the basic premise works. thats easy. the hard part is determine filters (market condition statements) to turn it on/off and striking a balance between being in the market to take advantage of any rebound and avoid being in a potentially downward market (or being exposed to unnecessary risk). you will sacrifice some profit to reduce your DD. it then becomes a balancing act of finding a level of risk you are comfortable with, but also having a profit that makes your time (and capital) worth it.

let me know if any of you perfect this balance. i'm still trying to figure it out, haha.