Dump it Here

investtrader said:

I mean that it would seem that your index filter is really doing the 'trading'. If trades are normally held for that long without a filer it is really mainly just the filter doing the trading it would seem.

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qldfrog said:

You understand that this is very debatable, I would disagree there and efficiency is based on cost, at the extreme, if it costs nothing to trade a lot, do it if the returns or risk justify it.

Then the zero sum game is actually wrong IMHO
Why? With growth of the economy/monetary inflation, the share market will always trend to grow so the buy sell exchanges making the market will always be slightly in profit by a tiny bit
The only real loser is the fact that statistically and on a long enough period, selling actions are always a mistake:
these sold shares will statistically always be worth more in the future
So the principle beyond the famous buy and forget or time in the market sayings
With a limited life expectancy, on an individual basis , it gets harder to justify as this century trend has ups and downs, and may even reverse on a society collapse.
We do not known much about the roman empire stock market trends in its decline ;-)

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MovingAverage said:

Nothing more enlightening than a debate with you @qldfrog ? When I say efficiency I use the term more broadly than just restricted to a cost analysis, which is very important but not the only factor. When I say efficiency I also factor in things like effort, work, risk etc. Here’s a simple example for you, you’ve got two systems and both made you 30% in the past 12 months (forget brokerage and other costs at this stage). To get to that 30% one of the systems only required you place 2 trades per month and overall you had about 25% of your capital deployed (exposure). The second system required you to place 250 trades per month and on average you had around 80% of your capital deployed. I argue that the first system is far more efficient than the second system because It generated the same return using less resources—less of my time to manage trades, less trades per month and less capital (lower exposure).

Don’t get me wrong—I’m not suggesting an efficient system is a profitable system. You referenced buy and hold, yes it’s extremely efficient but the right relatively less efficient mechanical system could beat buy and hold for profit.

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MovingAverage said:

Nothing more enlightening than a debate with you @qldfrog ? When I say efficiency I use the term more broadly than just restricted to a cost analysis, which is very important but not the only factor. When I say efficiency I also factor in things like effort, work, risk etc. Here’s a simple example for you, you’ve got two systems and both made you 30% in the past 12 months (forget brokerage and other costs at this stage). To get to that 30% one of the systems only required you place 2 trades per month and overall you had about 25% of your capital deployed (exposure). The second system required you to place 250 trades per month and on average you had around 80% of your capital deployed. I argue that the first system is far more efficient than the second system because It generated the same return using less resources—less of my time to manage trades, less trades per month and less capital (lower exposure).

Don’t get me wrong—I’m not suggesting an efficient system is a profitable system. You referenced buy and hold, yes it’s extremely efficient but the right relatively less efficient mechanical system could beat buy and hold for profit.

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MovingAverage said:

So the US has a few solid days and some "experts" start claiming the market has found the bottom--we've seen this before and the market lacked conviction.

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Greynomad99 said:

While I remain positive about the market, thoughts of a further drop of say 10% into a bear market and a sea of pain have been growing as international economic conditions continue to erode.

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Skate said:

Summary
Caution is advised.

Skate.

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MovingAverage said:

I find it somewhat crazy that this week's rebound in the US has been lead by a growing certainty and increasing prospects the US economy is slowing and heading to recession and this is underpinning a confidence that the US Fed will not be as aggressive on interest rate hikes I appreciate I have an old school view of the world, but my view of the world is a growing strong economy would spur a rebound in the market, but no...these days an economy on the decline is all the rage. Markets never cease to surprise, hey.

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Skate said:

Summary
Caution is advised.

Skate.

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peter2 said:

I have wondered if the results would be better with a market filter. (p2-asx-swing-trading-pull-backs thread)

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Skate said:

Trading a Trend Trading Strategy & how does an Index Filter operate?
An index filter is your safety net as it will keep you from trading when conditions are unfavourable. It can be as simple as you want it to be. A well-defined filter can lock in profits or stop you from losing more money if your position is underwater. In essence, when an index filter turns off it has the ability to protect your precious capital. When an index filter turns off you have a multitude of choices on what to do next with open positions & it's not limited by the next two examples. Example (a) you can exit all positions or (b) shorten up the "stop-loss" settings "generating" a sell signal sooner than when the index filter is on.

Skate.

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MovingAverage said:

The traditional index filters based on MA of closes work well when the market is in clear up or down trend, but are absolutely terrible when markets move sideways. Interesting times ahead, that's for sure.

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Skate said:

Is there something better than an Index Filter?
An "Index Filter" is normally an SMA of a nPeriod of an Index. Looking outside the box you can elect to use the performance of the share price relative to the index to decide whether a position is taken or not bypassing an "Index Filter" as described by @MovingAverage. Using the Relative Strength of individual positions eliminates this concern raised. When a traditional "Index Filter" is used it discounts positions that are "jumping out of their skin" busting higher.

Maybe an (RSL) might be an alternative
The "Relative Strength Line" (RSL) is described here: https://forum.amibroker.com/t/ibd-relative-strength-line-within-or-not-within-a-consolidation/30863 might be beneficial to "some degree" for those who have Amibroker. Basically the (RSL) represents new highs within a consolidation period.

Simply a stock's "Relative Strength Line" compares a stock's price performance versus the index
Many charting services plot an RS Line along with the stock's price, moving averages, etc. The line is derived by dividing the stock price by the Index value. An upward sloping line means that the stock's price is outperforming the Index.

Using "IBD's Relative Strength Line" has an advantage
One of the key uses of IBD's Relative Strength Line is when it makes a new high (three months, typically) within a consolidation, which shows unusual strength in a stock that can lead to a powerful breakout. Therefore it's a good idea to look out for them!

Skate.

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MovingAverage said:

Not that my live trading uses it now, but a few years back I was using the gradient of the MA slope as an indicator of the index trend instead of whether the day's close was above or below the MA. I should dig out that code and run a few sims to post here.

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Skate said:

@MovingAverage let me beat you to the punch
So there is no "cherry-picking" I've used a backtest comparison for this financial year (1/7/2021 to the end of trade today) My apologies to @qldfrog for the strategy name (it's the name of an old musical band).

Important metrics
I have highlighted a few metrics in red for comparison. I should also say "The Platinum Strategy" is not a slouch by any means, even though the performance of the last 22 weeks has been lackluster.

View attachment 142251

Also
The (Net Profit %) as well as the (P&L for closed trades) should not be discounted in those metrics.

Skate.

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MovingAverage said:

Well those frogs on toast are very intriguing--during this period the XAO has been completely directionless yet your sims show a very impressive 44% net profit, almost too good to be true. I've only quickly looked at your sim result but you've got very short hold time of about 4 bars. So many questions--what universe of stocks are you trading? Have you done any proper MC analysis on that system as I'd love to see the spread. With a 51% win rate I'm curious about the net profit because the avg win is about $1750 but the avg loss is $1190, but mind you the system has done a lot of trades at about 322. To be honest I was expecting to see a bigger spread between the avg win and avg loss for that net profit. Need to get my head around these numbers a bit more, but in the mean time care to share and details of your frogs on toast?

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