This is a mobile optimized page that loads fast, if you want to load the real page, click this text.

Dump it Here

Jump to new
Is there any harm in posting back-tests that at least cover the GFC? Doesn't take that much more time or computing power.

But I know over longer periods (+15 years), almost all of the systems presented here under perform (PLEASE prove me wrong).

Long term trends in equities are long term trends in equities - they haven't changed much since the 1980's (I know, as my system that I've traded day in day out, for over 8 years, still performs similar to backtests from the 1980's).

Anyways, good luck to all the cherry-pickers and connect-the-dot champions of this thread.
 
then yes, we need the historical data, i do not have them so any 15y BT would be biased to the point of irrelevance.we can agree there?
as for long term trend in equities remaining the same, sure but i am not trading these with a weekly system, monthly maybe or multiple weeks sure
 
To please Mr @Trendnomics , a lollypop and fairy floss BT:
since 1/01/2007 which should cover GFC, wo historical data and completely irrelevant IMHO:
QFDuc v23 corrected:
and for a bit of pr0n trading:

Yeahhh
for the new members arriving here, there is as much probability for this to happen, as there are for me to become the next supermodel ;-)
 
Roller_1 said:
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?
Click to expand...

Explanation
First off, yesterday was a busy day for me that delayed my reply. Contrary to the view posted by @Trendnomics I make it a point to answer all posts directed to me. I've also read @qldfrog valid points about lengthy backtest periods & how they become less relevant as time passes.

Times have changed
The markets are completely chaotic since Covid. They have become unpredictable due to the vast influx of new traders resulting in an infinite amount of information pouring into the markets second-by-second, let alone "year-after-year-after-year".

I also remarked
That "as a system trader, it's all about building a robust (as opposed to optimal) trading strategy that can withstand multiple outcomes. Since "COVID-19" trading has somewhat changed in as much that profits can “dissolve” so quickly that has to be addressed. Without adapting I'm positive "frustration" will eventually lead to faulty thinking & poor results" in my previous post.

The Platinum Project
As there was confusion why the markets have thrown system traders a curveball since "COVID". It's this very reason that has prompted me to make a few posts explaining why there is a need to build robust trading strategies as opposed to "optimal" systems. Adapting to these current "irrational" markets is the key to ongoing profitability. The Platinum Strategy is trying to address this.

Full disclosure
I posted my parameter setting with a condensed explanation about what drives the signals (the engine) of the strategy with the indicators I am using.

Horses for courses
Also, I wish to make a large DISCLAIMER - "The Platinum Strategy" has been developed to withstand the riggers of trading since the "Covid period". Before this period there was not a need to use a "Take Profit Stop" (that stifles profitability) or the use of the "Ulcer Index Indicator" as a prerequisite for a buy condition. In saying all this the 15-year backtest report posted below should be viewed in this light. It's all about "dancing to the music being played". I'm sure Olympic competitors use different shoes for different events. As an example, the shoes worn by a 100-meter sprinter are certainly different from the shoes used by a marathon runner"

15 Year Backtest
As requested a 15 year backtest of "The Platinum Strategy". All I'm saying is that this strategy has not been developed to trade before COVID.



Red Boxing on the Backtest Report
I've marked two areas on the backtest report (a) Low Exposure (17.46%) that directly contributes to the annual return. A low exposure also results in a low drawdown of (-7.87%). This proves trading is a trade-off between the amount of risk you are prepared to accept for the corresponding reward.

Summary
"The Platinum Strategy" has been built around the premise of what I've learned about trading since Covid. The Platinum Strategy has morphed into a defensive rather than an aggressive strategy.

Skate.
 
Trendnomics said:
He wont (my main issue with this thread is the short isolated back-test periods posted).
Click to expand...

@Trendnomics that's a fair enough comment. In the past, I've not had the data set (Norgate's Platinum Data) to post an accurate backtest of which I have acknowledged many times. But each backtest was to compare & contrast using the same data set I had at the time.

Bloody COVID
The "virus" has affected so many lives as well as the markets. The COVID-19 flash crash came so swiftly most would not have experienced trading like it. The drop in my portfolio was horrendous. Giving back open profits wasn’t fun. I was luckier than most as I was in a position of holding large profits. The loss at the time "hurt" nevertheless. I've made over 80 posts on Covid & a couple of posts how I adapted since.

Norgate's “Platinum subscription”
@Roller_1 asked if I would post a longer period backtest for "The Platinum Strategy" as I've recently resubscribed to Norgate's "Platinum Subscription". You for one should know that I answer all questions directed to me whether they are seeking further clarification or questions relating to my methodology.

Robust trading systems
Since Covid, all things have changed & trading is no exception. I posted a strategy (my interpretation) on how to trade during these uncertain times. I made full disclosure of the indicators & parameters of "The Platinum Strategy" giving my rationale behind building a robust (as opposed to optimal) trading strategy. "The Platinum Strategy" has been systematically designed to withstand multiple outcomes.

Since "COVID-19"
Trading has changed somewhat as "profits" can “dissolve” quickly, a problem I'm trying to address. Without adapting I'm sure most traders would be experiencing poor results. Posting about a new strategy starting today was my way of explaining how I adapted that's all. By nature, I over share but without sharing private details the information I post would be vague at best.

The 'Dump it here' thread is about ideas
I'm creating strategies (for my own personal use) & "over the time" @Roller_1 & yourself have always made valid points relating to backtesting. The way I handle my own analysis "gives me the confidence" to take a strategy to the next level. All I'm saying is that "we are not immune to losses" just because we have the "comfort" of a great backtest.

Ideas to stimulate thinking
I corral my ideas & comments in this thread, ideas that I've found helpful in my trading experience. I'm constantly promoting ideas to stimulate a different way of thinking. Thinking about what is posted is a "valuable part" of this thread & it's a perfect platform for others to express an alternative view or offer a helpful hint. All comments are welcomed, whether the comments are related to system or discretionary trading.

Accurate or inaccurate backtesting results
There are times when trading can go south for no good reason that will be unavoidable no matter how good our backtesting results are. Trading has no regard as to how smart we are, or how hard we work as we'll regularly be hit by something unforeseen. To quote @qldfrog the next big dip might be just around the corner (who knows).

I value those who post
It has not been lost on me that roller has made 29 valuable posts & you have made 16. That amount of posts indicates an interest in the thread even though our trading ideas or views sometimes don't align.

Skate.
 

There is no way I would have responded in the same considered manner as you @Skate. My response would have been confined to two pointed words: one starting with G and the other with F

I like your posts and they always spur on some interesting thoughts for me to explore as I am sure they do with others. The fact that you don't back-test over 50 billion years of data doesn't bother me. What is important is that your posts continue to highlight interesting topics and cause folks (at least me) to stop, think and see if I can take bits and pieces from your system and research them further in my own context to see if I can improve and expand my current approach to trading.

There's a saying about criticizing, complaining and condemning...any fool can do it.
 
Skate said:
It's all about "dancing to the music being played".
Click to expand...

First of all Skate I'd like to thank you for your writings, they are intelligent and thoughtful, I will even say caring. The part of your system that most traders would find hard to cope with is the consecutive losses and although I can see that you have addressed this to a degree in your one year test result we all know that anything can happen going forward. This may be an area to tighten up on if possible. I know very well, in trading, every decision or setting involves some sort of a trade off.
 

It's hard to pick winners
@DaveTrade trading is tough at the moment & most are affected. I developed an Indicator a few years ago at the end of 2018 (a time that fooled some of my systems) I've overcome the issue using the "Ulcer Index" to my advantage turning it into an indicator. I'm a risk-averse trader & wouldn't be as profitable without it annexed to my buy condition & "StaleStop" exit strategy.

Getting out is when you make the money
I want to avoid another discussion on the importance of the entry versus the exit but comparing positions using the Ulcer Index Indicator (that only measures the downside risk) is very important.

I've never discussed the working of my "StaleStop" exit strategy
My trading portfolio is large to me (over $2.6m) & drawdown percentages become "irrelevant" when handling large sums. A 20% drawdown on a $20k is acceptable but not on $2.6m. The drawdown needs to be controlled at all costs without reducing the profit potential of any of my strategies.

Summary
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".

How do I use the Ulcer Index indicator?
Generally, when the price of a position goes up, the Ulcer Index goes down & when the price goes down, the level of the index goes up. The main idea behind the Ulcer Index Indicator is to measure downward volatility & alert when the trade reaches a level of “stress”.

The Ulcer Index Indicator manages my "StaleStop" exit strategy
The methods of implementing the Ulcer Index Indicator are simple & "more than just an idea" to me. The indicator is an early warning that there's a chance of retracement. The Ulcer Index Indicator calculates the downward risk the (bad risk) that really matters.

How does it work?
It’s simple really when the price of a position goes up, the Ulcer Index goes down & when the price goes down, the level of the index goes up. I only place an order when the Ulcer Index Indicator is lower than (5) & sell when the Ulcer Index goes above (5).

What is the Ulcer Index Indicator?
The Ulcer Index Indicator attempts to estimate the “stress” of a position by estimating price retracements. The indicator is based on the notion that downward volatility is bad, but upward volatility is quite good. It increases in value as the price moves farther away from a recent high price & also falls as the price rises to new highs. The indicator is calculated over (8) weeks for a weekly strategy. FYI - I have not coded a daily indicator. (all posted in my parameter setting of "The Platinum Strategy")

How to Calculate the Ulcer Index?
The indicator is all about calculating the level of risk by estimating how far a stock price has fallen from current highs. The maths is simple as the Ulcer Index can be calculated in a few steps. I won't bore you with the mathematics but maybe it's "food for thought".

Skate.
 
Have you ever wondered why some traders are luckier than others?
I hope my explanation of how I use the "Ulcer Indicator" helps you better understand why some traders are luckier than others. Indicators play a big part in my trading & they have certainly helped me. As a footnote, @MovingAverage made a great post recently in the "Dump it here" thread explaining how to analyse the results of your system. Personally, it was a great read.

Metrics
I've highlighted two areas of a backtest that carry more weight for me in deciding whether to keep developing a system, a system that you could trust trading live. (1) "Maximum System Drawdown percentage" & (2) the "Ulcer Index". Both should be low. A low drawdown & low Ulcer index should go hand in glove to give you the confidence to trade the strategy.

Think like a trader
Unfortunately, I think like a businessman, not a trader. When you strip back trading, it's all about trading the price differential, knowing when to get in & when to get out (that's the tricky part). They say you can't time the markets but in my opinion, timing is everything in this game. As a coder, (more of a fiddler to be honest) I'm always looking for indicators that get me in & out of a position with the most degree of safety. False breakouts are a pain for trend traders & there are indicators that go some way of addressing this.

Not again
I've been taken to task each time I explain why the exit is more important than the entry as I'm a firm believer that the exit determines the profitability of the position. The "Ulcer Indicator" that I have created allows me to exit a position sooner rather than later. Using a variety of exit conditions allows me to get as close as possible to the goldilocks exit period. Timing the exit has become so critical to be profitable these days.

I should also say
There is nobody I know who uses the "Ulcer Index" to their advantage let alone turn the "Ulcer Index" into a stress indicator.

Skate.
 

Thanks, I appreciate. Given that this is classed almost as a day trading strategy (5574 trades over ~15 years = ~372 trades/year = ~1.4 trades/day), the validity and accuracy of back-tests are reduced significantly (with OR without delisted historical data), due to: slippage, minor data anomalies, liquidity, evolution of HFT, etc.

One has to be brave to be day trading as a retail investor - far too many apex predators in the day trading ecosystem.

SO we are actually in agreement on this back-test.
 
Further to mr @Skate insights, I have to say i have recently reduced the volatility on one of my systemS, trade off ..just by increasing the min SP.
Not by that much but a share bought at 4.8c will happily jump up and down 10% or more daily..you do not have this with bhp?
And if you have a daily system but do not day trade hour by hour,vit can wreck havoc in current conditions
So my view is that we should have dynamic systems, especially nowadays..and this is where @Trendnomics and i are world apart..
Obviously, this is different if you buy 1 parcel a month and go back to your golf or beach lounge.
And i acknowledge dynamic means being one war behind..always..
But hey, i live in a country buying submarines to be delivered in 20y?
To each his own..
 
This is something I often think about @Skate. It all depends on how you define a trader, but to me a trader is someone that has a strong focus on individual trades. As a system trader I make a concerted effort not to--as a general rule--get too bogged down in specific trades. I make a specific effort to focus on the bigger picture in the overall systems' performance and for that I probably try to think a bit more like a businessman than trader. Businessman in the sense I keep focusing on the bigger picture as to how my systems are performing instead of specific trades.
 
qldfrog said:
So my view is that we should have dynamic systems
Click to expand...
Absolutely agree on this. This is something I've been experimenting with a bit lately.

What seems to be the widely accepted common approach to system trading is backtest and refine over a period of time...then set and forget your system parameters. A dynamic system can just be as simple as, for example, adjusting a parameter at the end of every six months then forward trading based on that and then repeat every six months. This would certainly fit with your "recent data" approach.

I've taken one of my live systems and done just that using walk-forward. While it needs more analysis initial results look promising, significant corrections in the market (such as we experienced in March) can make things more challenging for the systems.

I
 
Last edited:

G'day @Skate, one of the things that I'm really interested in investigating is understanding the impact that certain company fundamental data has on the performance of my systems. This interest was spiked by a post made by @Trav. sometime ago where he used AB to look into analyzing certain fundamental data of companies. This fundamental data comes with Norgate's premium data and is extremely interesting and I think has some potential opportunities for us system traders. As we all know it is very common for system traders to adopt a simplistic approach of applying their systems to a particular index (e.g., ASX200), which is nothing more than targeting your system to stocks of a certain market cap. However, I've often wondered about focusing my systems on stocks that meet other criteria aside from market cap--maybe apply a system to stocks with certain EPS, PE ratios, div. yield, EBITDA and so on and so on. Just flagging this in case you might have an interest now that you've got Norgate's premium. Oh, and just in case you're not already aware, AB's info window contains all of this fundamental data and you can access it directly via AFL in AB.
 

@MovingAverage over the years I have looked into most ways to understand what drives the price of a stock higher & how to capitalize on this price differential "sometime in the future". I nearly went crazy in the early years trying to figure out all this stuff. The intention of the 'Dump it here' thread was to help new traders understand the perils of trading & hopefully help them shortcut their educational journey. A journey without knowledge has severe financial & emotional consequences. I hope the contents of this thread give them a fighting chance of success.

I had planned to make a lengthy post as it might be of interest to other
But these days members like to read short snappy posts with concise information. My previous post on "The Platinum Strategy" unfortunately didn't fall into this category as I want to supply enough information so my reasoning & methodology could be understood.

When it's all said & done
I just trade with the herd using a trend trading strategy. I don't know of any better "bang-for-buck" or a simpler "time-efficient" way to trade.

Question time
I'll ask a few questions & answer them myself. Once you read the answer it will become evident my trading style is bare-bones & sometimes I believe - "Good enough is good enough"

What am I buying?
No idea & frankly I don't really care. As long as the security is not under a takeover offer or under a deed of arrangement "it's a buy".

Why are you buying it?
Simply because the strategy (Amibroker) generated a buy signal.

Are you worried about buying a DUD?
Nope, I know 50% will be losers, that's Trend trading (the average win rate for this type of strategy is around 40-45%)

When will you sell the position?
When the strategy (Amibroker) generates a sell signal & not before - it's as simple as that.

Summary
I've never found "fundamental analysis" to be all that helpful, but that's just me. Also, I wouldn't have the time or skill to trade like @peter2 or @frugal.rock. that's for sure.

Skate.
 
You must log in or register to reply here.

Similar threads

R
My strategy/plan going forward
Replies
19
Views
1K
divs4ever
Very nice Rain here today
4 5 6
Replies
105
Views
5K
farmerge
  • Poll
Financial Independence (Home Ownership, Super, Long Retirement) not possible for wage earners: What do we need and how do we get it?
11 12 13
Replies
258
Views
21K
Smurf1976
November 2024 DDD
2 3
Replies
53
Views
6K
ducati916
Ozempic: Magic Pill or Devils Bargain?
Replies
10
Views
2K
sptrawler
Menu
Log in
Register
Cookies are required to use this site. You must accept them to continue using the site. Learn more...