Dump it Here

[Skate]

The Platinum Strategy
Let me explain the inner working of this strategy as it relies heavily upon an ADX indicator for a buy signal which measures the strength of a trend. It's a handy indicator that works perfectly in both trending & range-bound markets. As well as the ADX indicator buy signal "The Platinum Strategy" use a confirming indication of a "Volume Weighted Moving Average" over two different time periods to indicate when a price is trending higher. Both these are conditional on the "Ulcer index indicator" is "Down".

Summary of the Ulcer Index
The Ulcer Index’s real strength is its focus on downside risk only. A gap-up would be viewed with joy, while a gap-down would be viewed with horror. The Ulcer Index focuses on downside risk rather than the upside. The downside risk causes "stress" when trading. The main idea behind the Ulcer Index Indicator is to measure downward volatility & alert when the trade reaches a level of “stress”. The "Stress" indicator is either UP or DOWN.

Thinking outside the box
Nobody that I know uses the "Ulcer Index" to their advantage & this indicator forms part of "The Platinum Strategy". The Ulcer Indicator's sole purpose is to control the drawdown risk (not eliminate the risk) without reducing the profit potential of a strategy.

Skate.

 

[Skate]

Nice to see you back Mr Skate.system trading is now a faily roller coster up down 6k a day quite often aka 2% up or down in a day. Heart attack stuff

@qldfrog that's why I've been prompted to display my style of trading & post how I manage to achieve the results I do. Consistency is the name of the game. By being fully transparent with "The Platinum Strategy" hopefully is the catalysis for new traders to think more deeply about their trading & how simple changes can make an improvement.

Skate.

 

[Skate]

Mechanical System Trading
As traders, I say each to their own. Trading can be cruel at times just because of the ebb & flow nature of stock prices. The semantics of trading has been extensively canvassed not only in this thread but quite a few others as well. The weekly results being posted by other members benchmarks a certain style of trading & it's interesting to see the results each week warts & all.

Trading Styles
Buying when the price is going up & selling it when it doesn't is a simple analogy of my style of trading. You should approach the market in a way that allows you to capitalize on your speed, cunning & flexibility.

Skate.

 

[Skate]

Technical analysis
Technical analysis is often portrayed as a complex set of tools, composed of intricate calculations - combine this with a simple money management technique & I'm sure over time it will dramatically increase your returns.

How?
By simply avoiding substantial losses.

Grasping new information
Personality has a lot to do with new traders’ ability to grasp & properly execute new trading information. What seems natural to many long-term traders seems alien to a beginner. Many new traders make the mistake of bringing a gambling mindset to trading. However, this mindset can wipe out your trading account quickly. If you are serious about trading, then changing this mindset is vital.

Skate.

 

[Skate]

System trading in a nutshell
Trading is predicting the value of a security sometime in the future. You must never forget that the objective of trading is making a profit. Not only does that mean learning a winning trading methodology, but it also requires careful risk assessment, disciplined money management, emotional & behavioural discipline, with the ability to execute a trading plan flawlessly, as if they were an art form.

Skate.

 

[Skate]

The Platinum Strategy
Below are the backtest results of (a) the last 365 days & (b) the last two financial years' backtest results. I should also say that the "Strategy" derives its name from Norgate's "Platinum" Data Subscription package.



Skate.

 

[Skate]

A description of "The Platinum Strategy"
This strategy is a "breakout strategy" that incorporates an "ADX indicator", a "Volume weighted Moving Average" over two different time periods conditional on the "Ulcer index indicator" being down to generate a buy signal.

Ranking signals
The ranking (PositionScore) is more in line (tuned) with the results we are trying to achieve with this strategy. The ranking just takes the lowest price security first, crude but robust with a breakout strategy.

Backtest results
The backtest results displayed above for "The Platinum Strategy" are well within the metrics for a trend following strategy. The metrics aren't pretty on face value but "all in all" they are quite acceptable.

There are no right or wrong signals
There are just trades that work & trades that don't!

Skate.

 

[Skate]

The Platinum Strategy
For full disclosure - for those who are more technical or those who just want to follow along "the parameter setting" of this strategy are on full display. (The parameters should be self-explanatory)

Main parameter settings
(1) It should be noted that each position will be $10k & a maximum number of positions will be capped at 10.
(2) Securities must be in the range of $0.05 to a maximum of $15 to execute.
(3) The breakout lookback period is over the last 20 weeks
(4) This strategy also incorporates a "Take Profit Stop" with a wide 40% Trailing Stop
(5) The "Stale Stop" incorporates a short 3 week grace period to allow for ongoing momentum.



Skate.

 

[MovingAverage]

Welcome back @Skate

 

[MovingAverage]

Norgate's “Platinum subscription”
I've bitten the bullet & subscribed to Norgate's "Platinum Subscription" that makes use of Historical Index Constituents checking that the security was in the relevant index at the time the trade was entered. (Posted Backtests should now accurately reflect trading results)

Skate.

Well worth the investment when developing and evaluating systems--not including historical constituents can have a massive impact (good or bad) on system performance.

 

[Skate]

It's confusing
When something doesn't make sense an explanation is in order. Previously I've displayed an Exploration Analysis Report to display the signal with the number of shares to buy at a pre-set offer to snag the opening price of Monday's auction.

Exploration Analysis Results
These are "The Platinum Strategy" buy signals using the "Exploration Analysis". It's important to limit an "Exploration Analysis" to one recent bar(s) to generate this week's signals.



Exploration Analysis is not equal to a Backtest Report
Exploration outputs (raw) signals & a Backtest outputs trading simulation results.

Backtest Analysis Results
The symbols in backtest output & exploration output may be the same ones or not. Backtester has several features that are not available in exploration. Obviously then, exploration & backtest would produce different (shifted) signals between each other. (it's important to use the date range when running a "Backtest Report" to ensure the trade simulation stays in a defined range - this is important)



Why use an Exploration Analysis for signals
It's easy for me to do some mathematics to achieve the OFFER price & the AMOUNT of SHARE to buy (so my $10k limit is not exceeded) it is another thing to get the PositionScore (the RANKING method) to align. When we were BUYING the lowest price security first it's simple to achieve this by using the "Set SortColumn" feature.

l want to make an additional remark
Amibroker uses the last open to calculate the share price & the number of shares to buy in the "Backtest Report" is "irrelevant" & "an inaccurate assumption" at this stage.

Amibroker recalculates after the open
After Monday's open "Amibroker will recalculate" those numbers (price & shares) once the opening price is known. The reason why I use the "Exploration Analysis" for my calculations is that NO-ONE knows the opening price before the opening & I certainly don't want to be caught buying more shares than my $10k will allow.

Skate.

 

[MovingAverage]

The Platinum Strategy
Let me explain the inner working of this strategy as it relies heavily upon an ADX indicator for a buy signal which measures the strength of a trend. It's a handy indicator that works perfectly in both trending & range-bound markets. As well as the ADX indicator buy signal "The Platinum Strategy" use a confirming indication of a "Volume Weighted Moving Average" over two different time periods to indicate when a price is trending higher. Both these are conditional on the "Ulcer index indicator" is "Down".


Skate.

I'm looking forward to seeing how this system performs. Everything I read about ADX makes it seem like a great indicator. I've tried on countless occasions to integrate it into my live systems predominantly as a filter. But my backtest results are what they are and I've never experienced any positive upside to using the ADX. So really looking forward to following the platinum strategy

 

[Skate]

I'm looking forward to seeing how this system performs. Everything I read about ADX makes it seem like a great indicator. I've tried on countless occasions to integrate it into my live systems predominantly as a filter. But my backtest results are what they are and I've never experienced any positive upside to using the ADX. So really looking forward to following the platinum strategy

A bit about the ADX indicator
The "Average Directional Index" (ADX) shows the "strength" but "not the direction of the price that is trending". Trading in the direction of a strong trend reduces risk and increases profit potential. The ADX rises as the price strengthens into an identifiable trend & falls when the price weakens or consolidates.

Taking advantage of the ADX Indicator
Using the ADX Indicator in isolation limits its usefulness. Stacking & comparing the results of the ADX Indicator from one period to the previous periods ensures strength. In other words, the ADX needs to be higher than the previous bar & that bar needs to be higher than the previous bar before that & so on. Match the increasing ADX with an ATR & ROC filter over the same period & false breakouts are somewhat lessened. (Fake outs are the scourge of a good breakout strategy)

I'll be back shortly
Let me code up an ADX Strategy & I'll run a backtest for you. I'll let you decide if the ADX Indicator used in this fashion can be used as a complete trading strategy.

Skate.

 

[Skate]

The ADX Weekly Strategy
I'm glad I don't have "egg on my face" as the backtest results are reasonable.

Using the ADX Indicator multiple times
Stacking an ADX Indicator on top of each other with an increase over a 10 week period is a key to ensuring there is good strength in the move. I'm sure with more work the ADX could be used successfully as a breakout strategy.

Backtest Results
I've used the previous 365 days for the backtest run to indicate the usefulness of using multiple ADX's.



Summary
I find using multiple indicators enhances a strategy. Using the same indicator multiple times has a similar effect.

Skate.

 

[qldfrog]

I added matching BT periods for my weekly systems in my thread (not to pollute dump it here);
you will see indeed more exposure, and a more risky trading attitude.
With storms roaring around ..This is qld for you, I will stop there but thanks Mr skate especially opening your parameters to the readers.
Have all a great week trading.personally worried by the markets and situation but following my systems..

 

[Skate]

personally worried by the markets

Scary times
And just when I've decided to trade a new strategy, you tell me you're personally worried about the markets. I don't want to crash & burn on a public forum, that's the last thing I want. It's now Sunday, so I better try & find my "Rosary Beads" so I can start praying for divine intervention.

Testing times
Thinking about it a little more, a tough trading environment might be the perfect time to test the robustness of "The Platinum Strategy".

Skate.

 

[Roller_1]

The Platinum Strategy
Below are the backtest results of (a) the last 365 days & (b) the last two financial years' backtest results. I should also say that the "Strategy" derives its name from Norgate's "Platinum" Data Subscription package.

Great, now it will be more accurate with the historical constituents. How about throwing up a 15 year backtest now that you have the data?

 

[Trendnomics]

Great, now it will be more accurate with the historical constituents. How about throwing up a 15 year backtest now that you have the data?

He wont (my main issue with this thread is the short isolated back-test periods posted).

In terms of back-test validity and potential future viability, the Hasard Cat Daily Strategy may just be as valid as any of the other back-tested systems in this thread - the truth lies in applying an actual statistically significant period to the back-tests.

 

[qldfrog]

He wont (my main issue with this thread is the short isolated back-test periods posted).

indeed, I think you should backtest the system on TA of the medieval price of wheat...
We had a long discussion in the past, I believe a backtest more than 4 or 5 y old is rubbish, due to market changes: prorata of qant, exposure to O/S money and electronic trading/super funds weight;
If you think your buy tomorrow will be in any way similar to one in 2008, good luck;
even simple items like inflation;; your lower/higher limit ? do you take cpi into account in your backtest?
It can be done,I am sure but I will not and i somewhat suspect you do not?
let's respectfully agree to disagree.I am sure you can get good results and be happy with 15y backtests; I will not bother anything more than 10y at the very max and testing against 10 or more years of a mega bull market may not be the wisest?

 

[qldfrog]

indeed, I think you should backtest the system on TA of the medieval price of wheat...
We had a long discussion in the past, I believe a backtest more than 4 or 5 y old is rubbish, due to market changes: prorata of qant, exposure to O/S money and electronic trading/super funds weight;
If you think your buy tomorrow will be in any way similar to one in 2008, good luck;
even simple items like inflation;; your lower/higher limit ? do you take cpi into account in your backtest?
It can be done,I am sure but I will not and i somewhat suspect you do not?
let's respectfully agree to disagree.I am sure you can get good results and be happy with 15y backtests; I will not bother anything more than 10y at the very max and testing against 10 or more years of a mega bull market may not be the wisest?

basically I prefer BT against market conditions than duration for the sake of it