Dump it Here

[Cam019]

Oh I love this thread because I am going to disagree with @Skate and many others on this point until the day we die.

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.

Oh my. Where do I begin. Let me see if I can put this in point form to make it easy for readers to digest.

The backtest period is important.

You should be concerned about long term backtests. Usefulness in the short-term is irrelevant. You want to design a system that performs well over a long data set. You cannot code a system to perform well in all market conditions. That's why I want something that performs exceedingly well over a long period of time, that is hard to stomach. Because no one in their right mind would want to be there trading a system that can produce 40%+ drawdowns and has infrequent profits. But, this is the way to make money in the markets.

The more entry and exit conditions you code into a system in addition to optimising your parameters over what I consider to be a miniscule to minimium amount of data, the more you are treading the path of robustlessness.

Can someone please just humor me and put up a backtest of their system that is optimised to recent data and post a up backtest since 1992. I'd love to see it. Let's do it in the name of transparency.

I will never understand the idea of over-optimising your systems to say, 1-5 years worth of data under the guise of oh, "the markets have changed". Yes, the markets have changed, but human behaviour has not.

 

[Cam019]

Performance observed in the recent past may offer little insight into the strategy performance in the short term future.

 

[Skate]

Can someone please just humor me and put up a backtest of their system that is optimised to recent data and post a up backtest since 1992. I'd love to see it. Let's do it in the name of transparency.

I'll show you my Monthly results for the dates below on the "proviso" you do the same with Nick's Version of his Monthly Momentum Strategy.

My question
Is it a deal?

For transparency
Make the portfolio size: $100k
Position Size: 10
Index: ASX All Ordinaries

(a) 1/1/2021 to Now (11 months)
(b) 1/1/2020 to Now (1 year & 11 months)
(c) 1/1/2016 to Now (5 years & 11 months)
(d) 1/1/1992 to Now

You can post first as your strategy has been professionally developed & coded with parameter settings that will trade all markets.

Skate.

 

[Cam019]

I'll show you my Monthly results for the dates below on the "proviso" you do the same with Nick's Version of his Monthly Momentum Strategy.

My question
Is it a deal?

For transparency
Make the portfolio size: $100k
Position Size: 10
Index: ASX All Ordinaries

(a) 1/1/2021 to Now (11 months)
(b) 1/1/2020 to Now (1 year & 11 months)
(c) 1/1/2016 to Now (5 years & 11 months)
(d) 1/1/1992 to Now

You can post first as your strategy has been professionally developed & coded with parameter settings that will trade all markets.

Skate.

Hahahahaha!

Oh Skate.

No, no deal. We need a rehash of the rules.

I'm not asking to compare strategies to see whos performs better on a certain index with certain position sizes. This isn't a pissing contest.

What I'm saying is - I don't believe that optimising a systems parameters over a short window of time will hold up when running a long term backtest on historical constituent data. So, I am asking anyone who is game, post up your short term optimised strategies performance over the long term. If you do - great. If you don't - great.

You can find Nicks strategy results here.

 

[Skate]

Hahahahaha!

Oh Skate.

No, no deal. We need a rehash of the rules.

I'm not asking to compare strategies to see who's performs better on a certain index with certain position sizes. This isn't a pissing contest.

What I'm saying is - I don't believe that optimising a systems parameters over a short window of time will hold up when running a long term backtest on historical constituent data. So, I am asking anyone who is game, post up your short term optimised strategy performance over the long term. If you do - great. If you don't - great.

You can find Nick's strategy results here.

It's not a pissing contest
@Cam019, I'm more than willing to post results showing you how to code for today's market condition "versus" the same strategy trading from 1992. I'm saying trading at the turn of the century, 1900, 1930, 1950 & 1992 was a different era. It's not comparing "like for like"

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.

The two dates are important
This is the time we all struggled to come to terms with the (COVID Flash-Crash). I had to have a rethink & I've suggested in many posts that others should do the same, review their trading strategy.

(a) 1/1/2021 to Now (11 months)
(b) 1/1/2020 to Now (1 year & 11 months)

This is important
The other two time periods is to show that a recent backtest from 5 years ago did perform as expected, whereas 1992 is less relevant.

(c) 1/1/2016 to Now (5 years & 11 months)
(d) 1/1/1992 to Now

You should be concerned about long term backtests. Usefulness in the short-term is irrelevant. You want to design a system that performs well over a long data set. You cannot code a system to perform well in all market conditions. That's why I want something that performs exceedingly well over a long period of time, that is hard to stomach

Summary
I'm sure others would be disappointed as myself that you wouldn't "put up". There is no pressure for you to do so but I'm at a loss why you wouldn't take the opportunity to fully explain why you hold an alternative view to mine. Posting your "Monthly Momentum Strategy" backtest results will go a long way for others to understand where your remarks are coming from. Without displaying your backtest results limits your explanation. Without substance, I'll take your post as a comment rather than an alternative view. You are simply promoting old ideas from an out-of-date book(s). Just because it may have been relevant decades ago doesn't make it true today.

Skate.

 

[Skate]

What I'm saying is - I don't believe that optimising a systems parameters over a short window of time will hold up when running a long term backtest on historical constituent data. So, I am asking anyone who is game, post up your short term optimised strategy performance over the long term. If you do - great. If you don't - great.

@Cam019, we are on the same page as far as "I don't believe that optimising a systems parameters over a short window of time will hold up when running a long term".

Correct
I've stated (we are trading in a different era). What worked many moons ago has a habit of not "stacking-up" trading in today's volatile markets. I'm just telling it as I find it. With advancements in coding, safeguards that are needed today weren't needed years ago. Also, the thinking & trading methodology has come a long way since the "olden" days.

For transparency
Portfolio size: $100k
Position Size: 10
Index: ASX All Ordinaries

(a) 1/1/2021 to Now (11 months)
(b) 1/1/2020 to Now (1 year & 11 months)
(c) 1/1/2016 to Now (5 years & 11 months)
(d) 1/1/1992 to Now

I'll post in the ascending date order
There are a few metrics to consider. The exposure is unacceptably low (33.23%). The return is better than Bank Interest. Overall "Skate's Monthly Momentum Strategy" is not suitable or coded for that period. To have the strategy perform it would need to be curve fitted, & you know what that will do.



Summary
This strategy is not a strategy I would have traded back in 1992.

Skate.

 

[Cam019]

It's not a pissing contest
@Cam019, I'm more than willing to post results showing you how to code for today's market condition "versus" the same strategy trading from 1992. I'm saying trading at the turn of the century, 1900, 1930, 1950 & 1992 was a different era. It's not comparing "like for like"

Skate, I don't need you to show me how to code for "todays market conditions". If the ASX100 established and data was available from the turn of century - I would use it in my backtest too. It is not different. Human emotion/behaviour and liquidity drive markets. So, what your basically saying is that over the span of a mere 121 years, the way humans react to their emotions, react to their feelings of fear and greed, has changed? No chance.

 

[Skate]

"Skate's Monthly Momentum Strategy"
This strategy has been systematically coded for robustness "trading volatile markets" since the (COVID Flash-Crash).

For transparency
Portfolio size: $100k
Position Size: 10
Index: ASX All Ordinaries

(a) 1/1/2021 to Now (11 months)
(b) 1/1/2020 to Now (1 year & 11 months)
(c) 1/1/2016 to Now (5 years & 11 months)
(d) 1/1/1992 to Now

I'll post in the ascending date order
(c) 1/1/2016 to Now (5 years & 11 months). Really, I ask you, how far back do you need to revisit to have meaningful results.



Skate.

 

[Cam019]

@Skate

My SMSF system - (01/01/1992 - 31/12/2021)

 

[Cam019]

Really, I ask you, how far back do you need to revisit to have meaningful results.

As far as the data set will allow you to go.

 

[qldfrog]

Skate, I don't need you to show me how to code for "todays market conditions". If the ASX100 established and data was available from the turn of century - I would use it in my backtest too. It is not different. Human emotion/behaviour and liquidity drive markets. So, what your basically saying is that over the span of a mere 121 years, the way humans react to their emotions, react to their feelings of fear and greed, has changed? No chance.

except that most of trading is done by computers nowadays:
from investopedia:

What Is an Automated Trading System?​

Automated trading systems — also referred to as mechanical trading systems, algorithmic trading, automated trading or system trading — allow traders to establish specific rules for both trade entries and exits that, once programmed, can be automatically executed via a computer. In fact, various platforms report 70% to 80% or more of shares traded on U.S. stock exchanges come from automatic trading systems.1

Thanks god, human react the same, obviously instant access to information vs getting the paper a week later does not matter

 

[Cam019]

except that most of trading is done by computers nowadays:
from investopedia:

What Is an Automated Trading System?​

Automated trading systems — also referred to as mechanical trading systems, algorithmic trading, automated trading or system trading — allow traders to establish specific rules for both trade entries and exits that, once programmed, can be automatically executed via a computer. In fact, various platforms report 70% to 80% or more of shares traded on U.S. stock exchanges come from automatic trading systems.1

Thanks god, human react the same, obviously instant access to information vs getting the paper a week later does not matter

You know humans code those systems, right?

 

[Skate]

Skate, I don't need you to show me how to code for "todays market conditions". If the ASX100 established and data was available from the turn of century - I would use it in my backtest too. It is not different. Human emotion/behaviour and liquidity drive markets. So, what your basically saying is that over the span of a mere 121 years, the way humans react to their emotions, react to their feelings of fear and greed, has changed? No chance.

@Cam019, you're not listening, you have a "closed mind". Just have an "open mind" of what I'm saying & displaying.

Let me show you a graph. "SOMETHING HAS CHANGED"
The recent inflows to equities exceed the combined inflow of the past 19 years. I would say something is different, something has changed over the last few years. What about the investment in "Bitcoin" over the last few years. The value invested in bitcoins was $742.3 billion as of July 29, 2021, & it's even more today.

Trading is different from years gone by
I would say something is different, something has changed over the last few years.



I'll post the other backtest reports to complete the series.

Skate.

 

[Skate]

@Skate

My SMSF system - (01/01/1992 - 31/12/2021)

View attachment 133592
View attachment 133593

Now what about posting the other date periods
(a) 1/1/2021 to Now (11 months)
(b) 1/1/2020 to Now (1 year & 11 months)
(c) 1/1/2016 to Now (5 years & 11 months)

Skate.

 

[Cam019]

@Cam019, you're not listening, you have a "closed mind". Just have an "open mind" of what I'm saying & displaying.

Let me make something really clear for you. Just because someone disagrees with you, doesn't mean they're close minded.

 

[Skate]

"Skate's Monthly Momentum Strategy"
This strategy has been systematically coded for robustness "trading volatile markets" since the (COVID Flash-Crash).

For transparency
Portfolio size: $100k
Position Size: 10
Index: ASX All Ordinaries

(a) 1/1/2021 to Now (11 months)
(b) 1/1/2020 to Now (1 year & 11 months)
(c) 1/1/2016 to Now (5 years & 11 months)
(d) 1/1/1992 to Now

Ascending date order
(b) 1/1/2020 to Now (1 year & 11 months).



Skate.

 

[Cam019]

My SMSF system - (01/01/2016 - 31/12/2021)

 

[Cam019]

My SMSF system - (01/01/2020 - 31/12/2021)

 

[Cam019]

My SMSF system - (01/01/2021 - 31/12/2021)

 

[Skate]

Let me make something really clear for you. Just because someone disagrees with you, doesn't mean they're close minded.

No, No
You have it wrong. We have a different view. I'm in the process of explaining "what you have asked". I'm posting backtest results so others can understand "why" I hold the views I do.

Oh I love this thread because I am going to disagree with @Skate and many others on this point until the day we die.

It's not a contest of ideas
The 'Dump it here' thread is not about "right or wrong" or whether you’re right & I'm wrong - that's not the point or "for that matter" important. When I make a statement, I'll explain why I hold those few. When others have an alternative view, I'm interested in understanding why. Just saying "I disagree" without an explanation helps no one understand your point.

Skate.