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Gee, its going to be tough getting a statistically significant backtest for so few trades over such a long timeframe DaveTrade.
Dump it Here
- Thread starter Skate
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Yes not a lot of trades. I'm looking to see how the trades that I'm using will perform in another period of the market, I may get even less trades, I may get more. The trades are sound in that they have their own edge but if I need to have a larger sample to feel confident before going live then I'll have to run them on another market to get it. Good point. Thanks for your feedback.
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No need to re-invent the wheel
I was sent a BBO strategy from a well-respected member recently & I was amazed how well it performed. Thinking about how the strategy was coded just goes to prove how robust this type of strategy is. The Bollinger Band Breakout is a simple idea & easily implemented. Many trade a variation of the BBO strategy because it's a trusted workhorse that works across all time periods. The BBO is a brilliant idea of John Bollinger.
The Bollinger Band Breakout
The BBO uses the upper band to indicate the momentum & strength of the breakout. Bollinger Bands are two lines that show the volatility of the market, extremely comparable to support & resistance levels. The bands automatically widen when volatility increases & contract when volatility decreases. These bands measure deviation. This is the reason why they can be very helpful in diagnosing trends. There are multiple uses for Bollinger Bands & I use them as a part of my "StaleStop" exit strategy.
Skate.
I was sent a BBO strategy from a well-respected member recently & I was amazed how well it performed. Thinking about how the strategy was coded just goes to prove how robust this type of strategy is. The Bollinger Band Breakout is a simple idea & easily implemented. Many trade a variation of the BBO strategy because it's a trusted workhorse that works across all time periods. The BBO is a brilliant idea of John Bollinger.
The Bollinger Band Breakout
The BBO uses the upper band to indicate the momentum & strength of the breakout. Bollinger Bands are two lines that show the volatility of the market, extremely comparable to support & resistance levels. The bands automatically widen when volatility increases & contract when volatility decreases. These bands measure deviation. This is the reason why they can be very helpful in diagnosing trends. There are multiple uses for Bollinger Bands & I use them as a part of my "StaleStop" exit strategy.
Skate.
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The Chartist BBO Strategy 10-Years On
www.thechartist.com.au
www.thechartist.com.au
Recently published July 20th, 2021
"One of the most popular strategies was the Bollinger Band Breakout (BBO) strategy named “One of the Top 10 Trading Systems of All Time” by Futures Truth and remains a popular trend following strategy. The Regime Filter hasn’t added a great deal of benefits in the last 10-years, but as we saw in 2008, it certainly did come in handy by cutting the drawdown substantially".
The article prompted numerous questions
The first was, “Being busy I prefer to trade weekly charts. How does the BBO Strategy perform on that time frame?”
Great question
"All in all the BBO Strategy has proven itself to be effective across different time frames and markets".
Skate.
The BBO Strategy 10-Years On
It's been 8-years since Unholy Grails was released.One of the most popular strategies was the Bollinger Band Breakout (BBO) strategy.
www.thechartist.com.au
Membership
We trade with you. The Chartist provides insightful, robust stock market strategies and research for the ASX and US stock markets.
www.thechartist.com.au
Recently published July 20th, 2021
"One of the most popular strategies was the Bollinger Band Breakout (BBO) strategy named “One of the Top 10 Trading Systems of All Time” by Futures Truth and remains a popular trend following strategy. The Regime Filter hasn’t added a great deal of benefits in the last 10-years, but as we saw in 2008, it certainly did come in handy by cutting the drawdown substantially".
The article prompted numerous questions
The first was, “Being busy I prefer to trade weekly charts. How does the BBO Strategy perform on that time frame?”
Great question
"All in all the BBO Strategy has proven itself to be effective across different time frames and markets".
Skate.
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Versions of the BBO Strategy
We all tend to have our own unique version of John Bollinger's idea & it's at the "very heart" of my "BBO Strategy". I prefer to trade the strategy weekly.
Skate's BBO Strategy
My version of the strategy incorporates an Index "Buy Filter" as well as a "Take Profit Stop" that relies heavily on a "StaleStop" exit strategy. The backtest results over the last two years aren't too shabby but that's not the reason why I'm posting the backtest report. The reason is to display the "comparison" between the number of "signals" for each exit type.
730-day Backtest
The backtest period is for the previous 730-days (2 years of trading to be exact). This period starts on 24/11/2019 making sure it incorporates the COVID flash-crash.
Summary
Difficult times required a rethink - this is where a take profit stop can into its own. Out of 110-trades, the "Take Profit Stop" resulted in 33 exits. The "Stale Stop" resulted in 39 exits. A trailing stop only exited 28 times. When there is a good number (33%) of exits resulting in taking profits it's a fair indication of the robustness of the strategy.
Skate.
We all tend to have our own unique version of John Bollinger's idea & it's at the "very heart" of my "BBO Strategy". I prefer to trade the strategy weekly.
Skate's BBO Strategy
My version of the strategy incorporates an Index "Buy Filter" as well as a "Take Profit Stop" that relies heavily on a "StaleStop" exit strategy. The backtest results over the last two years aren't too shabby but that's not the reason why I'm posting the backtest report. The reason is to display the "comparison" between the number of "signals" for each exit type.
730-day Backtest
The backtest period is for the previous 730-days (2 years of trading to be exact). This period starts on 24/11/2019 making sure it incorporates the COVID flash-crash.
Summary
Difficult times required a rethink - this is where a take profit stop can into its own. Out of 110-trades, the "Take Profit Stop" resulted in 33 exits. The "Stale Stop" resulted in 39 exits. A trailing stop only exited 28 times. When there is a good number (33%) of exits resulting in taking profits it's a fair indication of the robustness of the strategy.
Skate.
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Do you have to be a member - where is the offer listed please?
No, I don’t think have to be a member. He sent an email out this afternoon. He said “stay tuned for more information”. I’ll PM you once he sends more details.
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Received email this morning from The Chartist
Black Friday is here and The Chartist is offering 50% off all Turnkey Trading Systems* with the coupon code BlackFriday2021. Simply enter the coupon code on checkout.
Hurry, this offer is valid for four days only.
Nick
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Skate.
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Skate.
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Dammit Skate, you must be running a more aggressive trailing/stale stop for winning trades in tough markets and giving the losers a bit more room to run!?
Must compute, new data, must compute........
Must compute, new data, must compute........
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Dammit Skate, you must be running a more aggressive trailing/stale stop for winning trades in tough markets and giving the losers a bit more room to run!?
Must compute, new data, must compute........
Bloody Hell, what's going on?
Why has "The Platinum Strategy" decided to sell profitable positions? To be honest both positions have simply run out of steam. The first chart (ABR) is the "Weekly Chart" & on face value its looks ok with a minor pullback. But the issue will be more telling using the "Ducati Daily Blue Bar Chart"
"Ducati Daily Blue Bar Chart"
Now let's view the "Ducati Daily Blue Bar Chart". Starting back as far as Tuesday (ABR) simply ran out of steam. If we were trading a "Daily Strategy", we would have exited at the open on Wednesday.
Now let's talk about (AVZ)
The Platinum runs an Index Filter that drives the trailing stop. When the Index is UP, the strategy has a 40% Trailing Stop. The Red/Green ribbon denotes when the Index Filter is "on or off". The trailing stop (line) is also plotted on the chart. When the "Trailing Stop" line is "RED" it denotes a 40% trailing stop. When the Index Filter turns "OFF" the "RED" Trailing Stop turns from a "RED" line to a "PINK" line. Unfortunately, the "PINK" exit arrow denotes that the position has been taken out by a 10% Trailing Stop.
Let's double-check
Using the "Ducati Daily Blue Bar Chart" the "RED" daily bar confirms momentum has decreased since Wednesday & confirmed as an "exit" on the next bar, & that will be Monday at the open.
Summary
Even though the positions have been kind. Both strategies "know" the good times are over at the moment.
Skate.
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To answer a question
I received two similar questions: "Why aren't the positions (IMU), (INR) & (PPS) not being sold"?
Charts
As there was interest I thought I would post the reply for others to understand. Well, the 3 positions IMU, INR, PPS were so close to exiting but just missed out. You could exit these positions if you like as I expect them to be sell signals next week. But I prefer not to make judgment calls nor override the strategy. Do it once & you'll do it again & again & again.
1. (IMU)
2. (INR)
3. (PPS)
Summary
The good thing about trading the signals from the "Exploration Analysis" is that this method displays all the "RAW" signals.
Skate.
I received two similar questions: "Why aren't the positions (IMU), (INR) & (PPS) not being sold"?
Charts
As there was interest I thought I would post the reply for others to understand. Well, the 3 positions IMU, INR, PPS were so close to exiting but just missed out. You could exit these positions if you like as I expect them to be sell signals next week. But I prefer not to make judgment calls nor override the strategy. Do it once & you'll do it again & again & again.
1. (IMU)
2. (INR)
3. (PPS)
Summary
The good thing about trading the signals from the "Exploration Analysis" is that this method displays all the "RAW" signals.
Skate.
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The flash-crash on Friday was horrendous to all system traders
Trading at times can be downright annoying because we are not immune to a sudden shift in market sediment. The markets do change but the underlying rules for success don’t seem to. It is still driven by the same two opposing forces, fear, & greed. Companies have not changed since Friday, & now it's all systems go today. Trying to figure all this stuff out can be frustrating.
Let's not try to make trading complicated
Using logic to figure what the market might do on any given day is a waste of time in my opinion. Over-thinking is an overrated attribute when it comes to trading. Smart people tend to think logically & have a hard time dealing with a market that ignores what should be painfully obvious. The market is illogical at times & if you are too analytical, you will be surprised often.
Skate.
Trading at times can be downright annoying because we are not immune to a sudden shift in market sediment. The markets do change but the underlying rules for success don’t seem to. It is still driven by the same two opposing forces, fear, & greed. Companies have not changed since Friday, & now it's all systems go today. Trying to figure all this stuff out can be frustrating.
Let's not try to make trading complicated
Using logic to figure what the market might do on any given day is a waste of time in my opinion. Over-thinking is an overrated attribute when it comes to trading. Smart people tend to think logically & have a hard time dealing with a market that ignores what should be painfully obvious. The market is illogical at times & if you are too analytical, you will be surprised often.
Skate.
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Why do traders lose at trading?
The answer is that we are humans not machines. When it comes to trading you need to be clinical, "resist being emotional". Trading emotionally makes us trade irrationally. We are not wired to trade successfully. To overcome that weakness you have to have a system in place or a trading strategy. Having a system or strategy to trigger an action without debate adds value & allows you to sleep at night.
There is nothing new when it comes to trading ideas
There has been a debate over the last few months about the usefulness of a backtest. The differing opinions relate to the time period of a backtest to achieve meaningful results "is the contentious issue". Personally, I favour test results over the last 4-5 years because to "me" it offers a more reliable evaluation framework. Backtest over a longer-term period often spanning 15-20 years as far as I'm concerned becomes less relevant to trading in these difficult times. System traders would be better served concentrating on the process that adds value to the portfolio than anything else.
Skate.
The answer is that we are humans not machines. When it comes to trading you need to be clinical, "resist being emotional". Trading emotionally makes us trade irrationally. We are not wired to trade successfully. To overcome that weakness you have to have a system in place or a trading strategy. Having a system or strategy to trigger an action without debate adds value & allows you to sleep at night.
There is nothing new when it comes to trading ideas
There has been a debate over the last few months about the usefulness of a backtest. The differing opinions relate to the time period of a backtest to achieve meaningful results "is the contentious issue". Personally, I favour test results over the last 4-5 years because to "me" it offers a more reliable evaluation framework. Backtest over a longer-term period often spanning 15-20 years as far as I'm concerned becomes less relevant to trading in these difficult times. System traders would be better served concentrating on the process that adds value to the portfolio than anything else.
Skate.
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The backtest period is important
When you concentrate too much on long term backtests metrics to construct a strategy its usefulness in the short-term can be stifled. Performance results can be like “chalk & cheese” when conducting an evaluation over massive time frames. Performance observed in the past may offer little insight into the strategy performance in the short term. All I'm saying, markets have changed over the last 20 years.
Skate.
When you concentrate too much on long term backtests metrics to construct a strategy its usefulness in the short-term can be stifled. Performance results can be like “chalk & cheese” when conducting an evaluation over massive time frames. Performance observed in the past may offer little insight into the strategy performance in the short term. All I'm saying, markets have changed over the last 20 years.
Skate.
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Trend followers get the same signals
Two "trend following strategies" usually receive similar signals but can exhibit substantial short-term performance differences. Why is that?
Strategy evaluation
I'm not convinced that one strategy is better than the other without gathering more information. Indeed, even strategies with nearly identical construction rules & long-run average returns can deviate meaningfully through time. The lesson for mechanical system traders is to remain cautious when interpreting past performance results.
A simple starting date in the short term can heavily impact the strategies performance
A strategy needs to be evaluated over different markets & time periods to average the results. Confidence in a strategy is the first step in the process of deciding to take the strategy to the next level of evaluation.
Skate.
Two "trend following strategies" usually receive similar signals but can exhibit substantial short-term performance differences. Why is that?
Strategy evaluation
I'm not convinced that one strategy is better than the other without gathering more information. Indeed, even strategies with nearly identical construction rules & long-run average returns can deviate meaningfully through time. The lesson for mechanical system traders is to remain cautious when interpreting past performance results.
A simple starting date in the short term can heavily impact the strategies performance
A strategy needs to be evaluated over different markets & time periods to average the results. Confidence in a strategy is the first step in the process of deciding to take the strategy to the next level of evaluation.
Skate.
It's our human nature, knee jerk reaction to the hammer knock.
What a wise saying in your first paragraph. Will change some wordings but keeping to your wise idea n sending it to serious gamblers, hoping to save some souls.
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