Dump it Here

[Skate]

Side-by-side comparison
There are some that use a "buy condition" to keep you on the right side of the markets whereas others forgo this piece of protection. To be perfectly honest, I fall into both categories as I trade with & without "buy filters" but that is not the point.

Elon Musk
To be fair I wish to make a comment (not a recommendation) about using a "buy filter" as part of your entry trigger. Elon Musk will only put a "rocket" into Space when conditions are optimal.



Summary
These two backtest (the examples) are to demonstrate how using the same strategy performs with a slight variation of a "buy condition".

Hopping down from my soapbox
I've had my say & feel better getting that off my chest.



Skate.

 

[MovingAverage]

Anyone else around here happy to see today's sell off? I'm certainly happy--some good opportunities coming for us breakout long traders.

 

[qldfrog]

Anyone else around here happy to see today's sell off? I'm certainly happy--some good opportunities coming for us breakout long traders.

Happy, no as this will ensure a highly negative eofy result and no chance of quick bucks as most systems fully cash
30k in systems tonight..so all good in a way and options worked only lost 3k today overall for all of investment so no big drama but not happy as it is a given we are heading for more drama, misery, manipulation and Reset implementation/ probably war..
I see the ornding crash as indeed needed but a symptom of the west illness, not a cause.
My SL trigered and only got evn for cheap. And a bit of yen ?

 

[MovingAverage]

Happy, no as this will ensure a highly negative eofy result

It's all about the long term, right?

 

[qldfrog]

It's all about the long term, right?

I still do not see any positive long term .own aim is and has been for a while limiting damages and saving some wealth, not expanding it.
Taiwan is going to fall soon now that the US gov liquify,
the AUD...i was hoping for a kind of resource based saving but last couple of months are clear..we will be hit
And by RE mean and cash, this is my #1 exposure
AUD will fall first then the USD as fiats turn to sxxt..
And market collapse or are closed
i see no refuge.gold silver, i am heavy but once people are hungry in the street, our communists woke leaders will seize whatever is of value for the greater benefit,
Btc showed it is not digital gold.
Really we as the west are f***ed.
i know we deserve it but does not make it pleasant
we got told to preserve power today in qld, Australia, world leader of coal and gas export FFS.
So still hope I will fare better that the average Super fund but that is meagre comfort
I notice an inflation indexed gov aud bond i own fell 10pc tofay, explain that...rate might increase but cpi is so much higher..
Anyway not in a cheerful mood even with 60 and 70% daily increase of some put options today
Strap the seat belts

 

[MovingAverage]

I still do not see any positive long term .own aim is and has been for a while limiting damages and saving some wealth, not expanding it.
Taiwan is going to fall soon now that the US gov liquify,
the AUD...i was hoping for a kind of resource based saving but last couple of months are clear..we will be hit
And by RE mean and cash, this is my #1 exposure
AUD will fall first then the USD as fiats turn to sxxt..
And market collapse or are closed
i see no refuge.gold silver, i am heavy but once people are hungry in the street, our communists woke leaders will seize whatever is of value for the greater benefit,
Btc showed it is not digital gold.
Really we as the west are f***ed.
i know we deserve it but does not make it pleasant
we got told to preserve power today in qld, Australia, world leader of coal and gas export FFS.
So still hope I will fare better that the average Super fund but that is meagre comfort
I notice an inflation indexed gov aud bond i own fell 10pc tofay, explain that...rate might increase but cpi is so much higher..
Anyway not in a cheerful mood even with 60 and 70% daily increase of some put options today
Strap the seat belts

So I guess I’m correct to assume you have a bearish outlook ??

 

[DaveTrade]

I still do not see any positive long term .own aim is and has been for a while limiting damages and saving some wealth, not expanding it.
Taiwan is going to fall soon now that the US gov liquify,
the AUD...i was hoping for a kind of resource based saving but last couple of months are clear..we will be hit
And by RE mean and cash, this is my #1 exposure
AUD will fall first then the USD as fiats turn to sxxt..
And market collapse or are closed
i see no refuge.gold silver, i am heavy but once people are hungry in the street, our communists woke leaders will seize whatever is of value for the greater benefit,
Btc showed it is not digital gold.
Really we as the west are f***ed.
i know we deserve it but does not make it pleasant
we got told to preserve power today in qld, Australia, world leader of coal and gas export FFS.
So still hope I will fare better that the average Super fund but that is meagre comfort
I notice an inflation indexed gov aud bond i own fell 10pc tofay, explain that...rate might increase but cpi is so much higher..
Anyway not in a cheerful mood even with 60 and 70% daily increase of some put options today
Strap the seat belts

Qldfrog you can think on the bright side, some of these things may not happen. We all have our down days but like the markets, down days always turn into up days at some point. I'm going to try to be an optimist, I think that being an optimist might be fun.

 

[qldfrog]

Qldfrog you can think on the bright side, some of these things may not happen. We all have our down days but like the markets, down days always turn into up days at some point. I'm going to try to be an optimist, I think that being an optimist might be fun.

Being optimistic is fun but dangerous..on the other side life is short and there is a limit as to what individuals can do vs bigger than themselves forces.
You can not fight the feds,the market, the Reset or social media/propaganda so live with the flow.

 

[MovingAverage]

Greeting and Salutations Girls and Boys.

Index filtering is a particular interest of mine. I'm sure we are all familiar with the old faithful technique of using an index's close price relative to an MA of the index as a broad entry condition. For long systems the common approach is to take trades while the index's close remains above the MA. This technique isn't the most sophisticated and it certainly has it's short comings but it gets the job done and is easy to code.

I've been thinking about some easy alternatives to the commonly used technique described above, a recent post here from @peter2 prompted me into coding up some simple alternatives to see if they offer a viable alternative. In his earlier post @peter2 made reference to using the total number of stocks trading above their MAs. I've been contemplating exploring a similar technique but was focused on percentage of stocks making a new X week high.

For my initial back-testing I focused on the percentage of XAO stocks making a new 13 week high. Why this, my main live trading is breakout trading of XAO constituents and my hold time is typically 12 weeks or less. So what you're looking at below on the far left is simulation results for a system using a standard index filer. In the middle is the same system with the index filter turned off. On the far right what you see is the system with the standard index filter replaced with a filter based on new XAO stocks making new 13 week highs. For the system with the new filter I basically used a threshold level. If the number of XAO stocks making new 13 week highs was above X percent then the system was on and would take trades. Below that threshold level the system was off and would not take any trades.

Let's look at the results--first pass simulations look promising. There is not a huge difference in the system profit with and without the standard index filtering. When considering the system DD doubled with no index filtering the additional net profit is not (in my opinion) worth chasing. However, with the new index filter (stocks making new highs) there is a very noticeable uplift in system profit. DD with the new filter is still double the standard index filter, but with an additional 120% profit the doubling in DD may well be worth it. I'm happy to take on more DD but the upside better be worth it.

Anyway, the results below speak for themselves so you don't need my detailed commentary on them.

Norgate data provides a great range of broad market sentiment indicators and for these sims I just used their #XAO13WHI.au data in my Amibroker simulations--was very easy. Worth noting that I haven't done any further analysis on this other than an initial single run in AB so not sure if the improved performance is down to random trade selection difference, but preliminary AB sims suggest it is well worth further MC analysis to get a more detailed picture of this change.

Anyhow--if you're looking for an alternative to a standard index filter take a look at the market sentiment indicators offered by Norgate.

Stay classy ASF.

 

[qldfrog]

Thanks MA, that's very interesting

 

[Newt]

Yep, nice work and thanks for sharing MA. Some thoughts (based off assumptions that may be incorrect):

- Looks like a pretty picky (err, elegant ) system - is choosey when it enters as evidenced by 22% exposure filtered, 29% unfiltered
- Gains ....might.... be better for systems with greater normal exposure level
- I really like Norgate 13week >MA150 values and watch them regularly - find is a valuable augment to pure XAO, XSO etc
- Personally prefer a small and long EMA crossover in addition to a threshold buy value (on #XAO13WHI.au)
- In addition to a buy signal, also find some value in "going defensive" if #XAO13WHI.au is at historically high levels and XAO momentum failing

I've also learned how much I love the extra defensive stance and confidence to switch from offensive to defensiive index filters bring - this love affair seems to have begun in April 2020 for some reason. Before then I wasn't a believer.....

p.s. #XAO13WHI.au has helped keep me in cash since early May, trying to weather the storm under a rock until the sun comes out for Long Only traders again. #XAO4WHI.au is similarly useful, possibly bit more nimble.

 

[MovingAverage]

- In addition to a buy signal, also find some value in "going defensive" if #XAO13WHI.au is at historically high levels and XAO momentum failing

Very interesting--will have to look at that more closely

 

[Newt]

Sorry MA, realise now I shouldn't have posted while hungry and smelling amazing smells wafting from the kitchen straight after work. Had my wires crossed above:

- have found value in EMA crossover on 4 or 13 week CUMULATIVE new high/lows in Norgate (e.g. #XAO4WHL.au)
- Find value in % Stocks above MA150 (#XAO%MA150.au) for reinforcing market up periods, and suggesting topping markets with failing momentum

 

[peter2]

Good to see that we're talking more about market internals rather than market indices.

 

[peter2]

Like @Newt I was surprised by the low DD levels seen in the @MovingAverage tables then noticed the low exposure %'s. I assume these parameters are highly correlated. This low exposure level allows some flexibility in the exposure to be included in the system.

I would link the exposure level with current market conditions that are defined by market internals. Rather than an off/on system switch based on an index, the market internals would increase and decrease the level of exposure in the system.

This wouldn't be possible if the system is fully invested most of the time like @Skate's systems.

In this case I'd consider using the market conditions (types) that have been predefined to control the investments between several systems. Back testing would be useful to identify the best market types for each system. There would be an optimal market type for each system whether it's a break-out system, a pull-back system or a reversal system.

Consider the current market, it's not going to provide many break-out setups for quite some time. Reversal setups will be forming first and if the market continues to rally we'll start to see more PB and BO opportunities form.

 

[MovingAverage]

Some here may relate to this

 

[Skate]

Some here may relate to this

View attachment 142932

@MovingAverage the beginner's cycle capture from "Alvarez Quant Trading" really sums up most of us who elect to trade systematically. The capture sparked a memory of one of my previous posts about how to beat the market, an article written by Matt Radtke.

Beat the Market with a Simple SuperTrend Strategy
Matt Radtke from “Quantforhire” wrote an interesting article allowing me to reference his work & hyperlink to his webinar presentation where he describes the process of creating & validating a simple trading strategy using the SuperTrend indicator.

The post can be found here:

Dump it Here

I feel like a dump this morning ...about takeovers. Note my goal as a system trader is to simulate as close to actual trading as possible. Also, I’m not a short term trader. There are two situations for takeovers, firstly holding a stock for a period then taken over (can’t avoid). Secondly, a...

www.aussiestockforums.com

In the next post
I wish to discuss the work Matt Radtke has done on the "Market Meanness Index" (MMI). The (MMI) is based on the median value of a price series. The "Market Meanness Index" (MMI) is only used to detect whether a "trend is trending" & therefore whether the signal from your trading strategy has a good chance of being profitable or not.

Skate.

 

[Skate]

You can never tell
I try not to post on subjects that are boring or dry that make little sense to those who elect to read this thread. Keeping the posts simple & short without going into too much depth allows others to do their own research.

The recent banter concentrates on the entry
@MovingAverage, @peter2, @qldfrog & @Newt have all added to the discussion on when to enter the markets. When the topic of an "index filter" is raised it always sparks interest. Posts that stimulate discussion are so important to this thread as it allows others to add to the discussion or take something away from it.

What Indicator do we use to decide the trend?
Cricky, there is a multitude of filters that handles this job perfectly but using the wrong parameter (the look-back period) of that filter you can go from "Hero" to "Zero" in a heartbeat.

Do you want to know if a trend is really trending?
How do we know if a trend is really trending? Signals from a trend trading strategy are one thing but which signals should be taken & which signals should be let go to the keeper? well, you can use a "Market Meanness Index" (MMI) filter.

Skate.

 

[Skate]

The Market Meanness Index (MMI)
Matt Radtke's version of the (MMI) filter is based on the median value of a price series. The only use of the (MMI) filter is to detect whether a "trend is trending" & therefore whether the signal from your strategy has a good chance of being profitable or not. Its purpose is to help detect whether the market is in a trending mode or range mode & is an excellent filter for trend-following strategies.

Why use a Market Meanness Index (MMI) Filter
For one simple reason, if the market is not trending the (MMI) allows you to skip the signal coming from your trend trading strategy, it doesn't get any better than that.

More info can be found here

The Market Meanness Index – The Financial Hacker

Algorithmic trading with new methods. New indicators, machine learning, and statistical analysis for financial trading and quantitative investing. We use Zorro and R for our algo trading strategies.

financial-hacker.com

Boosting Strategies with MMI – The Financial Hacker

Algorithmic trading with new methods. New indicators, machine learning, and statistical analysis for financial trading and quantitative investing. We use Zorro and R for our algo trading strategies.

financial-hacker.com

Home - Quant For Hire

Strategy & Software Development * Quantitative / automated trading strategy development * Back-testing & statistical analysis * Strategy types: mean-reversion, momentum, trend-following, rotational, etc. * Position sizing: fixed, percentage of equity, risk parity, volatility-based, many others *...

quantforhire.com

Skate.

 

[Skate]

Concentrate on when to exit
Watch this short 3:49 minute YouTube video as it demonstrates why exits are important in today's trading. Having an exit strategy should be part of your trading plan that helps you manage profits & minimise losses. Buying the correct stock is important but it's all to no avail if you do not know when to exit that position. In fact, having a definitive exit strategy is (IMHO) more important than defining your entry.



Skate.