- Joined
- 28 December 2013
- Posts
- 6,362
- Reactions
- 24,248
Skate.
Dump it Here
- Thread starter Skate
- Start date
Skate.
MovingAverage
Just a retail hack
- Joined
- 23 January 2010
- Posts
- 1,315
- Reactions
- 2,565
So here we are...finishing the week near a critical resistance level. Sure hope those thinking we'll keep marching north are right. But to be honest I'm glad I offloaded a number of my longs at close today. Looking forward to next week
- Joined
- 28 December 2013
- Posts
- 6,362
- Reactions
- 24,248
Skate.
- Joined
- 28 December 2013
- Posts
- 6,362
- Reactions
- 24,248
Skate.
- Joined
- 25 July 2021
- Posts
- 867
- Reactions
- 2,192
@Skate what you are doing here displaying the ongoing results of your systems is the ultimate lesson for all about systematic trading. Looking at these two, I like the way that the Platinum Strategy has a flat bottom on it's equity curve, so I can say even at this early stage, it's my favorite.
- Joined
- 28 December 2013
- Posts
- 6,362
- Reactions
- 24,248
@DaveTrade out of the two it's my favourite as well.
1. The Flying Bat Strategy has no Index Buy Filter so it scratches an urge to constantly be in the markets.
2. The Platinum Strategy has an Index Buy Filter & is trades on the side of caution.
Hold time
Also, you will notice that some positions are only held for 1 to 2 weeks as those positions are not traveling as expected. The "Take profit Stop" grabs profits when a limit is reached. The "Stale Stop Exit" is also time-driven that works bar-by-bar.
Summary
The flying Bat is trying as hard as it can without hindrance other than a "Take Profit Stop" as well as a "Stale Stop Exit". The "The Platinum Strategy" is super cautious in selecting positions & the positions entered still meet the buy condition, traveling in the right direction with a set level of momentum.
Skate.
- Joined
- 8 June 2008
- Posts
- 12,781
- Reactions
- 18,689
I would not say favorite: i would say suited to current times.
FB would i am sure make a killing in the post covid boom, etc
As Mr Skate, I have an index looking cautious system : my latest MOA doing quite well since starting whereas my more reckless systems have had heavy losses and are still in serious DD.
One point which surprised me yesterday is that my MOA is liquidating and going full cash on monday.?
Something i was not expecting.will have to check i have no technical or data issues....
- Joined
- 28 December 2013
- Posts
- 6,362
- Reactions
- 24,248
@DaveTrade over time I lost a bit of focus on why I started the "Dump it here" thread in the first place. As the thread has morphed more into "system trading" it's given me the opportunity to discuss in general terms some of my thoughts for those wanting to read along.
A series of posts
I have just finished putting "pen to paper" explaining a few of my thoughts only to realise it's longer than anyone can hold attention these days. I'll chunk the posts for those interested to read my next comment about system trading. Doing it this way may hold interest to some.
Skate.
- Joined
- 28 December 2013
- Posts
- 6,362
- Reactions
- 24,248
Systematic Trading
First off I want to make it crystal clear why I believe systematic trading has a major advantage over all other forms of trading. The major advantage is that all patterns (signals) can be coded in “precise terms” removing the human intervention & all forms of judgment calls that can result in poor decisions.
Skate.
First off I want to make it crystal clear why I believe systematic trading has a major advantage over all other forms of trading. The major advantage is that all patterns (signals) can be coded in “precise terms” removing the human intervention & all forms of judgment calls that can result in poor decisions.
Skate.
- Joined
- 28 December 2013
- Posts
- 6,362
- Reactions
- 24,248
We all seek a profitable trading system using a process we can follow unconditionally
The journey starts by researching a trading method that has been proven to work in the past. Once the idea turns into a process all that is left is to verify that the system will work today as it has in the past.
Choosing a metric for the evaluation & validation
When choosing a metric for validation, stay with the same metric because the comparison between results will be more consistent than jumping from one metric to another "consistency is what we are ultimately after". When we establish the basic trading idea is worthy of additional effort "small refinements" to lift the idea to the next level might be all that is needed for a long-term tradeable strategy.
Skate.
The journey starts by researching a trading method that has been proven to work in the past. Once the idea turns into a process all that is left is to verify that the system will work today as it has in the past.
Choosing a metric for the evaluation & validation
When choosing a metric for validation, stay with the same metric because the comparison between results will be more consistent than jumping from one metric to another "consistency is what we are ultimately after". When we establish the basic trading idea is worthy of additional effort "small refinements" to lift the idea to the next level might be all that is needed for a long-term tradeable strategy.
Skate.
- Joined
- 28 December 2013
- Posts
- 6,362
- Reactions
- 24,248
The interpretation of results will be subjective
Using & swapping between a variety of metrics can skew the validation process & at times vary considerably. I’ve made plenty of posts on how to evaluate a strategy & the metrics that can be used. I even posted about my personal preferences. A quick search is all that is needed.
Let me just give you a heads-up
Traders are very good at selective vision as we see what we want to see without qualifying something that doesn’t fall within our belief system. Meaning we accept what we believe & discard the rest that is contrary to what we want to accept.
Skate.
Using & swapping between a variety of metrics can skew the validation process & at times vary considerably. I’ve made plenty of posts on how to evaluate a strategy & the metrics that can be used. I even posted about my personal preferences. A quick search is all that is needed.
Let me just give you a heads-up
Traders are very good at selective vision as we see what we want to see without qualifying something that doesn’t fall within our belief system. Meaning we accept what we believe & discard the rest that is contrary to what we want to accept.
Skate.
- Joined
- 28 December 2013
- Posts
- 6,362
- Reactions
- 24,248
Let's talk about Metrics for a moment
Metrics are one of the most academic topics about trading systems & there are so many of them that I find it difficult to know which one is more appropriate to evaluate a specific system, it's really quite frustrating at times.
A good metric
There is no better metric is your trading account balance. One peculiar thing I noted in my test results is that a good part of the gains comes from a few stocks that move a lot but that's how a trend-following strategy works. Eliminating the outliers as suggested by a few others can skew the results going from persevering with a handy strategy to discarding a perfectly good strategy.
Skate.
Metrics are one of the most academic topics about trading systems & there are so many of them that I find it difficult to know which one is more appropriate to evaluate a specific system, it's really quite frustrating at times.
A good metric
There is no better metric is your trading account balance. One peculiar thing I noted in my test results is that a good part of the gains comes from a few stocks that move a lot but that's how a trend-following strategy works. Eliminating the outliers as suggested by a few others can skew the results going from persevering with a handy strategy to discarding a perfectly good strategy.
Skate.
- Joined
- 28 December 2013
- Posts
- 6,362
- Reactions
- 24,248
Removing judgment
System trading's main advantage is that it has mathematically defined “precise” indicators that calculate every data bar applying calculations in deciding what to trade when to buy & when to sell.
But all this comes at a cost
Drawdowns are the “Elephant in the room” as there is a level at which everyone stops trading a strategy when experiencing a larger than acceptable level of loss.
A large drawdown is acceptable
But only when Backtesting. Large drawdowns during backtesting are never given a second thought as larger than acceptable drawdowns are like “water off a duck's back” & no real consideration is given to them. Drawdowns are an important metric when your money is on the line. The level of drawdown that you believe you can handle "when your money is on the line" will be tested in ways that you would not have thought possible.
Skate.
System trading's main advantage is that it has mathematically defined “precise” indicators that calculate every data bar applying calculations in deciding what to trade when to buy & when to sell.
But all this comes at a cost
Drawdowns are the “Elephant in the room” as there is a level at which everyone stops trading a strategy when experiencing a larger than acceptable level of loss.
A large drawdown is acceptable
But only when Backtesting. Large drawdowns during backtesting are never given a second thought as larger than acceptable drawdowns are like “water off a duck's back” & no real consideration is given to them. Drawdowns are an important metric when your money is on the line. The level of drawdown that you believe you can handle "when your money is on the line" will be tested in ways that you would not have thought possible.
Skate.
- Joined
- 28 December 2013
- Posts
- 6,362
- Reactions
- 24,248
So what metric is important during the evaluation phase?
Well, it’s not isolated to one metric during the system development process a “baseline” of the risks is more important to be established. It’s darn easy to get wrapped up in the backtest results without due consideration for the risks that you have to endure to arrive at the final profit figure. It's only human to hone in on the “profit” portion first of the strategy because it's the best estimate of future performance.
Signals don’t always work to our advantage
Our trading idea, meaning our “trading rules” & “parameters” we adopt is for the sole purpose to define the pattern that generates our entry & exit signals timing the opportunity to our trading advantage. As system traders, we are seeking to mathematically identify, define & quantify & rank those important signals the best we can.
Trading is not a precise endeavour
Why? because of the immense variables that can change in a heartbeat. For this very reason, is why hard-coded patterns recognition doesn’t always go as planned. After saying this "statics" are definitely on our side, "some of the time".
Skate.
Well, it’s not isolated to one metric during the system development process a “baseline” of the risks is more important to be established. It’s darn easy to get wrapped up in the backtest results without due consideration for the risks that you have to endure to arrive at the final profit figure. It's only human to hone in on the “profit” portion first of the strategy because it's the best estimate of future performance.
Signals don’t always work to our advantage
Our trading idea, meaning our “trading rules” & “parameters” we adopt is for the sole purpose to define the pattern that generates our entry & exit signals timing the opportunity to our trading advantage. As system traders, we are seeking to mathematically identify, define & quantify & rank those important signals the best we can.
Trading is not a precise endeavour
Why? because of the immense variables that can change in a heartbeat. For this very reason, is why hard-coded patterns recognition doesn’t always go as planned. After saying this "statics" are definitely on our side, "some of the time".
Skate.
- Joined
- 28 December 2013
- Posts
- 6,362
- Reactions
- 24,248
Seeking a profitable trading strategy that triggers accurate signals
A trading system is profitable as long as the logic that identifies a pattern that “triggers” the signal consistently precedes a favourable trading opportunity. The relationship between certain patterns that eventuates in a profitable trade is the pattern we need to concentrate on. We also need to understand that not all signals follow through.
Understanding is needed
Using the same code generates a variety of signals but you need to understand that these patterns are the “signals”. It’s also fair to say these patterns have a habit of generating a fair share of "false signals" that is hard to avoid or eliminate. In all fairness "system traders" must do everything to ensure their model recognises persistent profitable patterns & concentrating only on those, that’s our sole purpose as a coder.
Skate.
A trading system is profitable as long as the logic that identifies a pattern that “triggers” the signal consistently precedes a favourable trading opportunity. The relationship between certain patterns that eventuates in a profitable trade is the pattern we need to concentrate on. We also need to understand that not all signals follow through.
Understanding is needed
Using the same code generates a variety of signals but you need to understand that these patterns are the “signals”. It’s also fair to say these patterns have a habit of generating a fair share of "false signals" that is hard to avoid or eliminate. In all fairness "system traders" must do everything to ensure their model recognises persistent profitable patterns & concentrating only on those, that’s our sole purpose as a coder.
Skate.
- Joined
- 28 December 2013
- Posts
- 6,362
- Reactions
- 24,248
Trusting your work
To be blunt, we all have a habit of trusting someone else’s work rather than our own as we believe they know more than us “which may be so” but it’s worth remembering it’s your “money” on the line, not theirs.
Get into the right mindset
Having the correct mindset goes a long way in establishing the right “psychology” needed in this game as trading is as much to do with “psychology” as getting everything else right. Having the right mindset allows you to trust your strategy, to take all the signals when they appear. This mindset will allow you to exit a trade when a “profit stop” is triggered or keep you in a trade when experiencing a large drawdown.
Freedom
Trading a quality system allows you the freedom not to second-guess the strategy & that's priceless. In the end, it comes down to the confidence you have in your work.
Skate.
To be blunt, we all have a habit of trusting someone else’s work rather than our own as we believe they know more than us “which may be so” but it’s worth remembering it’s your “money” on the line, not theirs.
Get into the right mindset
Having the correct mindset goes a long way in establishing the right “psychology” needed in this game as trading is as much to do with “psychology” as getting everything else right. Having the right mindset allows you to trust your strategy, to take all the signals when they appear. This mindset will allow you to exit a trade when a “profit stop” is triggered or keep you in a trade when experiencing a large drawdown.
Freedom
Trading a quality system allows you the freedom not to second-guess the strategy & that's priceless. In the end, it comes down to the confidence you have in your work.
Skate.
- Joined
- 28 December 2013
- Posts
- 6,362
- Reactions
- 24,248
Do not accept traditional wisdom "blindly"
Just because others write about a subject from authority doesn’t always make it right for you & how you go about accepting the associated risks when it comes to your money or financial future.
It’s okay to read about a theory
But blindly believing what you have read has merit without being tested is a recipe for disaster. By all means, test every theory to evaluate its predictive powers. I'm just saying, sometimes what has worked in the past has a habit of not working in the present. The basic idea might be worthy of extra work & a slight parameter shift may be all that is required to make an old idea "new again" bringing it into the new century.
Skate.
Just because others write about a subject from authority doesn’t always make it right for you & how you go about accepting the associated risks when it comes to your money or financial future.
It’s okay to read about a theory
But blindly believing what you have read has merit without being tested is a recipe for disaster. By all means, test every theory to evaluate its predictive powers. I'm just saying, sometimes what has worked in the past has a habit of not working in the present. The basic idea might be worthy of extra work & a slight parameter shift may be all that is required to make an old idea "new again" bringing it into the new century.
Skate.
- Joined
- 28 December 2013
- Posts
- 6,362
- Reactions
- 24,248
Summary
Every trade is a trend following trade no matter the entry criteria. Why? because the price must change in the direction for the trade to be profitable. Trading systems aren’t perfect but that is not the point, the point is that any trading system must be “useful”. I’m first to admit “bad stuff” can happen & usually does. You can even experience larger drawdowns than you are comfortable with but that’s where confidence comes into play with the system you have elected to trade. We seldom get an opportunity to recover from serious mistakes that’s the reason for testing. Mistakes are hard to eliminate but with further “trading education,” they can be reduced somewhat.
It's time for me to hop off the soapbox
Skate.
Every trade is a trend following trade no matter the entry criteria. Why? because the price must change in the direction for the trade to be profitable. Trading systems aren’t perfect but that is not the point, the point is that any trading system must be “useful”. I’m first to admit “bad stuff” can happen & usually does. You can even experience larger drawdowns than you are comfortable with but that’s where confidence comes into play with the system you have elected to trade. We seldom get an opportunity to recover from serious mistakes that’s the reason for testing. Mistakes are hard to eliminate but with further “trading education,” they can be reduced somewhat.
It's time for me to hop off the soapbox
Skate.
- Joined
- 8 June 2008
- Posts
- 12,781
- Reactions
- 18,689
All these points are wisdom, i would just add that we are also working in a dynamic environment.
Markets are dynamic.
What i mean here is:
What was right yesterday may not be tomorrow.and that is a key point, or should be for everyone
Human nature stays the same , i hear some say , but 20y ago, most of the trades were indeed manual, now they are not.
20y, not every worker in Australia was forced to put 10% of his raw income into the mostly domestic share market...now, they do and so on.
What could be a genious strategy 20y ago can be a dud now, and if a strategy works well, it is doomed to be eroded as more people jump onboard...
So be aware there is no final Holy grail solution.
It is a neverending quest
Also, in engineering, systems need a feedback loop to be stable, it is my belief this is the same in system trading
Not that i am nowhere near that magic system
I let more knowledgeable persons carry on from there ?
Markets are dynamic.
What i mean here is:
What was right yesterday may not be tomorrow.and that is a key point, or should be for everyone
Human nature stays the same , i hear some say , but 20y ago, most of the trades were indeed manual, now they are not.
20y, not every worker in Australia was forced to put 10% of his raw income into the mostly domestic share market...now, they do and so on.
What could be a genious strategy 20y ago can be a dud now, and if a strategy works well, it is doomed to be eroded as more people jump onboard...
So be aware there is no final Holy grail solution.
It is a neverending quest
Also, in engineering, systems need a feedback loop to be stable, it is my belief this is the same in system trading
Not that i am nowhere near that magic system
I let more knowledgeable persons carry on from there ?
- Joined
- 24 December 2005
- Posts
- 2,601
- Reactions
- 2,065
Agree with you Skate, with the exception of the testing aspect. All the testing in the world can't beat good old experience and practice. You need to know your comfortable boundaries. I was totally comfortable with large drawdowns recently because I had many years of experience with setting stop-loss levels and knowing how to handle them without incurring an unnecessary loss.
I would think anyone who is starting out or in fact anyone, no matter how experienced should always trade only to the limit of their comfort zone and limit their risk to the amount they are prepared to lose, so there should be no serious mistakes made. Mistakes should actually be viewed as an asset in order to gain greater understanding.
However, just my thoughts and I am not talking about an automated computer system of course!
Similar threads
- Poll
