Dump it Here

[qldfrog]

@Skate or anyone have you ever looked into a dynamic trading system?
That it is the system will act differently depending on market conditions. There’s two examples that I can think of off the top of my head.
Example 1
If Market is rising: use standard trading system
If market is flat or declining: revert to an MR system

Example 2
If market is rising: use standard trading system
If market meets bear condition: trade bear ETFs based on X rules.

some food for thought..

or
If Market is rising: use standard trading system, System 1 is on and gathering hay, system2 in standby
If market is flat or declining: System1 enter a pause mode, no buy just sell
and System2 gets alive;
Many , or just me?, use a set of systems, trying hard to have them disconnected and independent and then check global results on the sum of them
It can get quite messy if you try doing everything in one set of code, even worse to check what is wrong/working

 

[ducati916]

@Skate or anyone have you ever looked into a dynamic trading system?
That it is the system will act differently depending on market conditions. There’s two examples that I can think of off the top of my head.
Example 1
If Market is rising: use standard trading system
If market is flat or declining: revert to an MR system

Example 2
If market is rising: use standard trading system
If market meets bear condition: trade bear ETFs based on X rules.

some food for thought..

Assuming that system 1 is a long only system, then:

The old market adage: 'there is always a bull market somewhere'.

If you accept this, then:

Assuming that your trading universe from where you select your stocks holds stocks/futures/ from all asset classes, stocks, commodities, bonds, cryptos, then, there should be no issues.

In other words, your system will only select securities that (presumably) are displaying upward trends. At the moment we have commodities, oil being the most obvious example, but there are many others. Then you have stocks of producers of commodities that are also bullish, CVX, XOM, CENX (aluminium) etc.

Of course this is a very simplified analysis.

Possibly of interest: https://blogs.cfainstitute.org/inve...isited-moving-averages-above-average-returns/

jog on
duc


jog on
duc

 

[Skate]

In other words, your system will only select securities that (presumably) are displaying upward trends. Of course this is a very simplified analysis.

Possibly of interest: https://blogs.cfainstitute.org/inve...isited-moving-averages-above-average-returns/

Technical Analysis Revisited: Moving Averages = Above Average Returns?
@ducati916 posted a hyperlink to an article about trading moving averages that equals above-average returns. The article revolves around two portfolios that went long the S&P 500 when it traded above its moving average and shorted it when it traded below. One portfolio was constructed based on a 50-day moving average, the other on a 200-day moving average. You can read the article but it's not why I'm making a post today, other than to revisit an alternative trading method to the above.

What's the point
I've hesitated in making another post about trading "Moving Averages" as this topic has been done to death. Sure, you can trade a moving average strategy & make acceptable returns but trading this style comes with risk. Trading moving averages make our job difficult because of the lag but it does a reasonable job of smoothing data.

Skate.

 

[Skate]

Testing out a "moving average" trading idea
Trading "moving averages" is not magical but using two short-term moving averages to define a moving average channel is also not new. Using the lows & highs of the short-term 3-period moving averages creates a band that allows trading that band.

How?
Simply "Buy" when the close is greater than the 3-period moving average of the high & "Sell" when the close is lower than the 3-period moving average of the low. In a nutshell that's the engine that drives this strategy. The returns are above average & with additional work, I'm sure it would turn into a tradable strategy.

3-Year backtest results
16/2/2019 to today 16/2/2022








Summary
It's a simple trading strategy "but" it can also form "part of a buy & sell condition". Using moving averages have their place in trading & their use is only limited by your imagination.

Skate.

 

[Skate]

All trading carries risk

Bitcoin & the mysterious world of cryptocurrencies
Bitcoin & cryptocurrencies, in general, are all built on the enthusiasm of others that don’t have any intrinsic value.

The only thing (Bitcoin) is good for is speculation
It certainly makes an exciting story, one that has become a byword for insanity in the markets that's unlikely to replace national or fiat as negative news causes serious price correction adding to its volatility & instability.

The graphic below has been posted without permission
@ducati916 daily posts hold so much information & at times screen capture to reinforce a point of view, it's for this very reason I'm reposting it today.



Skate.

 

[Skate]

I am interested in crypto, much as I am in Forex, Shorting and Options but have never had the balls to give it a go. I probably never will.

Bitcoin is currently in unchartered territory
Governments & central banks, the latest being Canada have begun implementing unprecedented fiscal & monetary policies to mitigate the effects of cryptocurrencies on the world's financial systems. Government digital transformation is already taking shape putting in measures to discourage investments in such vehicles.

It's a punt. It's a gamble. What it isn't is real.
Crypto's is basically like stock in an empty company that doesn't do anything except promote the sale of its own stock. Crypto's such as Bitcoin is a fool's investment of those who trade hoping to offload it on someone dumber than themself. The mysterious world of cryptocurrencies is exciting at the moment for some - but for those without experience, trading these coins will eventually end in tears. If you are aware of the heightened risk of trading crypto & still decide to trade, well that's called an informed decision & not one I would agree with.

Remember this screen capture?
The capture below is also from one of @ducati916 daily posts that sums up cryptocurrencies precisely.



Skate.

 

[eskys]

Bitcoin is currently in unchartered territory
Governments & central banks, the latest being Canada have begun implementing unprecedented fiscal & monetary policies to mitigate the effects of cryptocurrencies on the world's financial systems. Government digital transformation is already taking shape putting in measures to discourage investments in such vehicles.

It's a punt. It's a gamble. What it isn't is real.
Crypto's is basically like stock in an empty company that doesn't do anything except promote the sale of its own stock. Crypto's such as Bitcoin is a fool's investment of those who trade hoping to offload it on someone dumber than themself. The mysterious world of cryptocurrencies is exciting at the moment for some - but for those without experience, trading these coins will eventually end in tears. If you are aware of the heightened risk of trading crypto & still decide to trade, well that's called an informed decision & not one I would agree with.

Remember this screen capture?
The capture below is also from one of @ducati916 daily posts that sums up cryptocurrencies precisely.

View attachment 137734

Skate.

I don't have the guts or udder in cryto..........by the way, Skate, what you posted about trading makes a lot of sense to me, thank you.

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[Skate]

Skate.

 

[Skate]

Do you use an "Index Buy Filter" or not?
The shootout between the "Flying Bat Strategy" & "Platinum Strategy" over a short 6 month period should determine whether to trade with or without an "index buy filter".

(a) The "Platinum Strategy" has an "index buy filter" that keeps you out of the markets when trading conditions are unfavorable.
(b) The "Flying Bat Strategy" has "no index buy filter".

The real question
Should you trade when the market is non-responsive?

Sitting on your hands
The "Platinum Strategy" is on the super-safe side of trading & will "keep you out" of the markets when the "index buy filter" is (off) or "kick you out" of a position quickly when the position doesn't respond as expected.

Trading constantly "comes at a cost" sometimes
With no "index buy filter" attached to the buy condition "The Flying Bat Strategy" scratches the itch of allowing you to trade on a constant weekly basis. I'm just saying when you have a new car it's hard to leave it in the garage because you just want to take it for a spin every week.

We can't help ourselves
As a trader, we want to trade every week & that's where the "Flying Bat Strategy" comes into its own. Sitting on the sideline twiddling our thumbs is not in our DNA as a trader.

So, should we trade when the market is non-responsive?
I'm saying - "doing nothing is hard to do".

Skate.

 

[MovingAverage]

It's a punt. It's a gamble. What it isn't is real.
Crypto's is basically like stock in an empty company that doesn't do anything except promote the sale of its own stock. Crypto's such as Bitcoin is a fool's investment of those who trade hoping to offload it on someone dumber than themself. The mysterious world of cryptocurrencies is exciting at the moment for some - but for those without experience, trading these coins will eventually end in tears. If you are aware of the heightened risk of trading crypto & still decide to trade, well that's called an informed decision & not one I would agree with.

When high profile celebrities start publicly endorsing crytpo currencies you can be guaranteed it's for fools. But hey, what do I know I'm just an old fart not in touch with modern technology

 

[rnr]

When high profile celebrities start publicly endorsing crytpo currencies you can be guaranteed it's for fools. But hey, what do I know I'm just an old fart not in touch with modern technology

Hi @MovingAverage,

Welcome to the club my friend.
It is worth noting that membership is not all that exclusive however, you will be surprised to learn that the number of members is increasing rapidly.

Cheers, Rob

 

[Skate]

Amibroker Exploration Analysis Raw Signal
For transparency, this is the only signal generated this week





Skate.

 

[Skate]

Skate.

 

[othmana86]

or
If Market is rising: use standard trading system, System 1 is on and gathering hay, system2 in standby
If market is flat or declining: System1 enter a pause mode, no buy just sell
and System2 gets alive;
Many , or just me?, use a set of systems, trying hard to have them disconnected and independent and then check global results on the sum of them
It can get quite messy if you try doing everything in one set of code, even worse to check what is wrong/working

Good thoughts! Thanks

 

[othmana86]

To answer your question - no I haven't
I'm sure it can be done but you would have to work through it as it wouldn't be as simple as you indicate because "switching" raises new questions about the sell condition of remnant positions. FYI, I've made a stack of posts on switching between systems contained in one strategy. Do a search if interested. It might not be exactly what you need but allows you & others to understand Amibroker "switch statement".

Two examples of the Switch Function
1. Switching the Strategy
2. Switching the Exploration Mode

The Switch Strategy
This strategy holds 7 individual strategies. Using the switch function I can select the strategy for Backtesting or Exploration Analysis. By selecting the strategy it sets the unique "Buy & Sell" condition, filters, StaleStop, VolatilityStop, & TrailingStop for that strategy as each strategy is different when it comes to these settings.

Switch Statement

switch Statement

www.amibroker.com

Posts to read

Dump it Here

AmiBroker Param Function The “Param Function” is the handiest feature that I use in my strategy development phase. The “Param function” allows me to switch between my definable parameters. This feature adds a new user-definable parameter to your strategy which is accessible via a Parameters...

www.aussiestockforums.com

Dump it Here

Moreover A picture paints a thousand words. These are a few typical "Pocket Pivot Strategy" entries (no-frills entry at that). The charts below display "pivot points" entries. Skate.

www.aussiestockforums.com

Skate.

Thanks skate.

 

[othmana86]

Bitcoin is currently in unchartered territory
Governments & central banks, the latest being Canada have begun implementing unprecedented fiscal & monetary policies to mitigate the effects of cryptocurrencies on the world's financial systems. Government digital transformation is already taking shape putting in measures to discourage investments in such vehicles.

It's a punt. It's a gamble. What it isn't is real.
Crypto's is basically like stock in an empty company that doesn't do anything except promote the sale of its own stock. Crypto's such as Bitcoin is a fool's investment of those who trade hoping to offload it on someone dumber than themself. The mysterious world of cryptocurrencies is exciting at the moment for some - but for those without experience, trading these coins will eventually end in tears. If you are aware of the heightened risk of trading crypto & still decide to trade, well that's called an informed decision & not one I would agree with.

Remember this screen capture?
The capture below is also from one of @ducati916 daily posts that sums up cryptocurrencies precisely.

View attachment 137734

Skate.

Why does that even matter though? What you are saying would only really matter if you are investing and buying and holding for life.

crypto is 100% a tradeable universe .. more risky yes but definitely tradeable. Risk v reward. It’s speculative sure, allocate a smaller percent of your portfolio trading it.

I’ve seen solid systems with high returns on crypto more than ASX by a mile so are the drawdowns but with overall positive expectancy.

I am not advocating for or against crypto, but it is mainstream with money flowing into it, rightly or wrongly. Crypto.com is a major sponsor for a bucket load of events. F1 as an example, I believe they also have a stadium called crypto.com arena in the US.

It’s value is what you and I agree it is. This really is not too dissimilar to FIAT that’s not backed by any true gold reserves.

anyway that’s just my view. If you think you can make money.. trade it.

 

[Skate]

crypto is 100% a tradeable universe .. more risky yes but definitely tradeable. If you think you can make money.. trade it.

If you are aware of the heightened risk of trading crypto & still decide to trade, well that's called an informed decision & not one I would agree with.

Skate.

 

[Skate]

Enhancing Trader Performance by Brett Steenbarger highly recommended

Enhancing Trader Performance - Brett N. Steenbarger
There are some passages you read that resonate more than others.

Two questions from Brett's book
1. “How do you learn trading basics, undergo the beginner’s frustrations, and still sustain the ability to perform”
2. “How you structure your learning, however, will determine whether trading becomes the worthy challenge or a frustrating obstacle.”

The answer is found in the same book
"If you do not find a style of trading and a trading market that match your talents and interests, you will not spend enough time in the state of flow to supercharge your learning efforts. Nor will you cultivate the second-order competence that will allow you to weather inevitable trading storms. Finding a niche means so much more than simply making money or having fun. It is the discovery of that worthy challenge that energizes you, tapping into your deepest sense of meaning.”

More reading if interested

TraderFeed - Brett Steenbarger, Ph.D.

TraderFeed is a very interesting psychology of trading blog. There are other threads here about this site but they seem to get bogged down into personal opinion. I am hoping just to keep this as a regular upload of his posts without it becoming littered with negativity. It may be of help for...

www.aussiestockforums.com

The Brett Steenbarger thread

Anyone else out there follow Brett Steenbarger? His blog which he updates very frequently is always full of gems. Case in point http://traderfeed.blogspot.com/2009/12/lessons-for-developing-traders-more-on.html

www.aussiestockforums.com

BRETT STEENBARGER'S TRADING PSYCHOLOGY RESOURCE CENTER

Below are resources to help traders become their own trading coaches, improve their trading processes, and develop a positive work-li...

traderfeed.blogspot.com

Skate.