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
The charts above just show us how good that period coming out of the COVID crash really was for breakout type systems.

I am at the stage now that when I look at back tests that cover the few months commencing February / March 2020, that I look at individual trades, and discount the back test results for the couple of outliers that usually appear.

KH
 

@KevinBB your backtest logic is sound. I've done something similar but have used a "6 month trading period" to capture the downside & evaluate how it responded in bouncing back over the next 3 months. (1st Feb 2020 to 30th June 2020). For the amount of time spent on this project, the efforts have not borne fruit "yet".

Yikes, a 40% drawdown - where's my spew bucket.

Backtest (1st February 2020 to 30th June 2020)
At this stage of its development, the results are not as expected even though I believe the idea has merit.



Skate.
 
Skate said:
Yikes, a 40% drawdown - where's my spew bucket.

Backtest (1st February 2020 to 30th June 2020)
At this stage of its development, the results are not as expected even though I believe the idea has merit.

View attachment 132772

Skate.
Click to expand...

I might be misinterpreting your results, but if the above includes trading pullback when your index filer is off (index price is below the MA) I'm not surprised with that drawdown. My experience with pullbacks (which I assume is a reference to a mean reversion style) is that pullbacks are better traded when the market is trending up (your index filter is on). Intuitively when a market is trending down (your filter is off) stock will keep sliding south and less inclined to pullback. My swing system trades pullbacks and I only ever take positions when the index is trending up--it gets smashed when the market is declining. Do you believe there is a link between pullbacks and a declining market?
 
MovingAverage said:
My experience with pullbacks (I assume is a reference to a mean reversion style)
Click to expand...

Trading pullbacks
@MovingAverage your interpretation has given me food for thought. Let's not confuse trading "Pullbacks" with trading a "Mean Reversion System". Whether the "Index Filter" is "on or off" makes no difference to me. At times trading pullback can be hamstrung by an "index buy filter" & can lessen its effectiveness. With this strategy, "pullback" signals are "only generated" when the "Index Filter" is "off". I work on the theory that if the CCI is greater than zero with the ADX & MACD both falling & the close is above a nPeriod EMA, I'm good to go.

It's worth repeating
The Core Strategy only "Buy breakouts" when the "Index Filter is ON" & only buy "Pullbacks" when the "Index Filter is OFF" meaning they are never taking signals at the same time.

A picture paints a thousand words
The COVID crash period. The yellow rectangular box is the period the "Pullback Strategy" generated buy signals. The aqua rectangle box is the period that the "Breakout Strategy" generated buy signals. The ribbon at the bottom of the chart indicates when the "Index Filter" was on or off. (red = off, Green = on)



Skate.
 
Got it.

I should probably add that by "pullback" I assumed the common reference of a retreat in price (pullback) and hoping to profit from the resulting rebound in price (reverting back to the mean). The typical pullback that results in short term profit taking in a strong up trending stock
 
Hey @Skate, can you run a 20 year backtest for me on the historical constituent data and put up all the stats and graphs? If yes, can you also put up all the stats below max DD that have been cut off too. Thanks!
 
Cam019 said:
Hey @Skate, can you run a 20 year backtest for me on the historical constituent data and put up all the stats and graphs? If yes, can you also put up all the stats below max DD that have been cut off too. Thanks!
Click to expand...

@Cam019 thanks for showing interest in one of my ongoing projects being my "Core Logic Strategy". I'm sorry but I won't be posting additional information at this stage as it serves no purpose as the strategy has been systematically designed to take advantage of "changed" trading conditions since COVID hit in early 2020.

Skate said:
Recent turbulent times have required me to rethink & re-evaluate a new trading methodology.
Click to expand...

Also, the strategy is a work in progress with untradeable metrics "at this stage". I periodically post trading ideas "not for others to follow" but to stimulate thinking. By doing so explains that there is "more than one way" to skin a cat.

Skate.
 

Okey dokey boys and girls. Thing about the dump it here thread is that it "keeps things real". So I'm keeping it real.

After reading this post I thought why not raise this with Nick. I know the guy that codes Nick's systems and was surprised to read about this as he is very experienced and it didn't sound right. After reading @Skate follow up post to @Sir Burr quoted post I thought "this isn't right". I was talking with Nick today and put this to him...."hey some folks on ASF reckon your WTT code has future leaks". You can imagine his response so I'll spare you the detail, but to cut a long story short here is the truth. The original WTT code was designed and offered for sale prior to Norgate offering their historic constituents. Once this became available the WTT was updated to exploit historical constituents. This was NOT a bug fix but an update to access something not previously available via the old Premium data service.

As for future leaks, here is the detail in short. The WTT code only looks ahead to determine if a stock is being delisted and if so will exit the position at the relevant close price. The way this has been coded is such that it does not in anyway exploit future insight for current benefit. Backtests are not inflated.

So before anyone wants to jump on this as the code being bad perhaps we can have some more detail.
 
MovingAverage said:
Okey dokey boys and girls. Thing about the dump it here thread is that it "keeps things real". So I'm keeping it real. (NO YOU ARE NOT)
Click to expand...

Misleading others is not "keeping it real"


So I'm keeping it real
@MovingAverage you have misinterpreted & misrepresented the issue @Sir Burr posted about. He had a genuine issue & rightly reported it to Nick & he received an update after complaining that the code had a "future leak", not once but twice. (TWICE)

Let's set the record straight
There has never been any mention that the issue of a ("future leak") related to Nicks's "WTT Strategy". To be fair you should have not jumped to a conclusion without first reading & understanding @Sir Burr issue.

Read here (my bolding)
Sir Burr said:
After purchase, maybe a year later found issues trading live and the code "had been updated without my knowledge". This "happened twice" with the same code over a few years. If I had said nothing "I would not have received the updated code".
Click to expand...

Also, read here

Moreover
I'm now wondering if my assumption was correct?
Skate said:
20% Flipper
I remember reading your post at the time "assuming" you had purchased the 20% Flipper. This is a perfect example of "how our minds" make up stories to suit a narrative.
Click to expand...

My response to resellers

Summary
Skate said:
If you read one of my posts, read it slowly, don't fall into the trap of "speed reading" as it doesn't give you time to fully understand it.
Click to expand...

Skate.
 
The original post that you posted up referred to a bug being a future leak. This is NOT correct! There is no future leak in the code. Call Nick and he will explain it to you.
 

No, that is not correct, you need to read my posts again "slowly"
Please read my original post where "I was going from memory" - that didn't fail me by the way.

Read this again

Dump it Here

The intention of the code wasn't to be a profit taker, ill put that down to good luck :p . @othmana86 let's not mention the word "luck" again as it flames a different range of opinions. Let's use the words "good fortune" instead of "luck" as it might be more palatable to some. In hindsight, I...
www.aussiestockforums.com

Read This

Nick Radge's Weekend Trend Trader

Quick bump to this thread. Is anyone still trading the WTT and how has the performance been? Planning to do on the US universe, like the extremely simple rules and the logic behind the system makes a lot of sense. I’ve reached out to Nick the last few weeks and he’s been very helpful with...
www.aussiestockforums.com

The confusion may be that @Sir Burr posted his comments (NOT ABOUT Nick's "WTT" strategy) but made his comment in the "WTT thread".

Skate.
 
Late to the party, but many many thanks for showing such graphical detail in these recent thought-provoking work in progress backtests Skate.
 
Newt said:
thanks for showing such graphical detail in these recent thought-provoking work
Click to expand...

Skate said:
I work on the theory that if the CCI is greater than zero with the ADX & MACD both falling & the close is above a nPeriod EMA, I'm good to go.
Click to expand...

Trading a pure Pullback Strategy
Trading a "Pullback Strategy" constrained by an "Index Buy Filter" admittedly gives confidence but (IMHO) it's safe to trade a "Pullback Strategy" no matter how the overall market is travelling. Just for the record, whether the Index you are trading is below a "Simple Moving Average" doesn't mean there aren't positions ripping higher after a pullback.

This is important
If the Commodity Channel Index (CCI) is greater than zero & the close is above a nPeriod (EMA) there is momentum in the move. I'm just saying "don't" buy pullbacks until upward momentum is re-established.

A bit of info on the Commodity Channel Index (CCI)
The (CCI) momentum oscillator identifies cyclical trends, that's a given. The issue that most traders have using the CCI momentum oscillator is that they believe it displays "excessive lag" making it an unreliable generator of buy & sell signals. Well, that's true to a certain extent but using another confirming indicator can alleviate false signals to some degree. This is where an (EMA) indicator attached to a buy condition comes in handy. I'm a believer if the "Close" is above a nPeriod (EMA) & the (CCI) is greater than zero, there is nothing stopping me from executing a "pullback trade".

There are three backtests
The backtest period is from 1st January 2020 to EOT Friday

# 1. The "left" backtest is a pure "Pullback Strategy" with no "Index Buy Filter" (meaning it buys at will, Index Filter On & OFF)
# 2. The "middle" backtest is a pure "Pullback Strategy" at the mercy of an "Index Buy Filter" (only buys new positions when the Index Filter is ON)
# 3. The "right" backtest is a "Mean Reversion Daily Strategy" that has no "Index Buy Filter" (meaning it buys at will, Index Filter On & OFF)

Side by side backtest results for easy comparison




Side by side Equity Curve for comparison




Individual expanded view
"Pullback Strategy" with no "Index Buy Filter" (meaning it buys at will, whether the Index Filter is On & OFF)




Individual expanded view
"Pullback Strategy" with an "Index Buy Filter" (meaning it buys only when the Index Filter On)




Individual expanded view
As @MovingAverage mentioned a "Mean Reversion Strategy" it was only fitting that I throw up a daily backtest over the same period for comparison. The "Mean Reversion Daily Strategy" trades without an "Index Buy Filter" (meaning it buys daily at will, whether the Index Filter On & OFF)




Skate.
 
It doesn't matter what recipe you use to "cook this goose". Regardless of how we buy, break-outs, pull-backs or reversals, a long only system will always be susceptible to a sharp dip in the general market. The consensus drawdown (DD) in all trend following systems is approx 20%. The GTFO exit will exit around this level also. If we try to reduce the GTFO DD we run the risk of a premature and unnecessary exit when the market dips are only 15-20%.

One way long only system traders attempt to reduce the DD is to have systems running across two time frames eg Monthly/Weekly, Weekly/Daily, Daily/Hourly. The system operating in the shorter timeframe will exit before the longer TF system. The normal 20% DD of the LT system will be only 10% when considered with the total trading capital.
 
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...