Dump it Here

[Skate]

What's the point of today's posts?
Well, for one It proves none of us have a crystal ball or a strategy that works all the time. IMHO, @peter2 has nailed his style of trading as his main structure is built around capital preservation & his results for the last 12 months demonstrate how successful he has been.

Death by a thousand cuts
Nick on the other hand believes to be profitable you need to remain disciplined & focused on the long game. I'm sure Nick would be doing a bit of soul searching to establish if he could have done better while sticking with the long game. Nick focuses on percentages & goes to extreme lengths to explain the emotional pull concentrating on dollar figures can have on your trading. His advice is to focus on the process & you'll be a much better trader

It’s tough to be a trend follower
The truth is, most traders give up or don’t take the next signal after a series of losses whereas Nick keeps pulling the trigger even after a multitude of losing trades.

Skate.

 

[Captain_Chaza]

Back-testing to me has always been a waste of time as it can only be repeated in the exact same conditions
I did Chemistry in my Matriculation year and as any Chemist will tell you
All testing can only be done in a vacuum
Ie:No Weather and Sea Variations
ie No Climate Change
No Political Changes / Wars
No Covid /Bird Flu and Plagues etc
and then
Most importantly you have the Mental Health of each Captain ,his Crew their Wives and Children ,extended families and close friends

Come to think about it a lot more
"I don't think you could even do a respectable Back-test on trading in a Vacuum"

Crikey!
I hear People in NSW and QLD are experiencing 100 year floods based on statistics and some have had THREE (3) 100 year floods this year

So much for making the same % gains/losses as yesterday/ yester-month yesteryear/ and even decades ago

Has anyone here ever learnt anything from Back-testing?

 

[Skate]

Has anyone here ever learnt anything from Back-testing?

@Captain_Chaza,I definitely have. All my trading strategies are built around the results. The correct procedure in carrying out a Backtest will make a great topic for another day

For all others
The Rugby is about to start. Go the wallabies. The opening was spectacular to say the least.

Skate.

 

[rcw1]

@Captain_Chaza,I definitely have. All my trading strategies are built around the results. The correct procedure in carrying out a Backtest will make a great topic for another day

For all others
The Rugby is about to start. Go the wallabies. The opening was spectacular to say the least.

Skate.

Good morning Skate,
Unfortunately Wallabies, lost to England 21 - 17. Do note however, Ireland beat the All Blacks in a 3 test series on NZ soil. Unbelievable, doesn't normally happen. Great effort to the Irish!!!

Aussie, Michael Matthews claimed the 14th stage of the 2022 Tour de France.

Kind regards
rcw1

 

[entropy]

Thanks for your reply. I didn't listen to the interview and really don't have time to spend on listening.
I have seen how easily criticism can spiral on forums and I was just trying to convey the correct information regarding Nick. Perhaps piling on was too emotive. There are very few traders who trade for real and are profitable and who survive for 25 years or more - Nick is one of them. There is no way he doesn't understand how to build and test a system and the proof is in the doing.
Happy to move on.
Cheers

Thanks for the info, investtrader!
I'm a newby to trading and still have my trainer wheels on so happy to hear Nick is worth listening to.
I will check out his site and add what I can to my knowledge base.
I took quite a few pages of notes from the podcast and from these notes a ticked a few avenues to explore.
For example Nick's focus on "only industrials and not top 100 stocks but within top 500" is worth following up.

At present I am working my way through Dr Bandy's Quantitative Technical Analysis.
I like his rigorous scientific approach to building models and that he speaks from a lot practical experience and that he has high academic qualifications.
So far I have got two models up and running in Python, one that scans many stocks looking for possible candidates.
The other model has a Dashboard that displays some technical indicators and provides Buy/Sell/Do Nothing flags and allows me to focus on a particular stock.
It's early days and I can't brag about any spectacular results yet, just promising results.
If the model loses at least I can say I lost systematically rather than haphazardly!

 

[Skate]

Unfortunately Wallabies, lost to England 21 - 17

It was a great game nevertheless.

Ireland beat the All Blacks

Yes, I nearly fell off my chair when I heard this.

Aussie, Michael Matthews claimed the 14th stage of the 2022 Tour de France

It was a gutsy effort, it was a lesson to us all to "never give up"

Skate.

 

[Knobby22]

Back-testing to me has always been a waste of time as it can only be repeated in the exact same conditions
I did Chemistry in my Matriculation year and as any Chemist will tell you
All testing can only be done in a vacuum
Ie:No Weather and Sea Variations
ie No Climate Change
No Political Changes / Wars
No Covid /Bird Flu and Plagues etc
and then
Most importantly you have the Mental Health of each Captain ,his Crew their Wives and Children ,extended families and close friends

Come to think about it a lot more
"I don't think you could even do a respectable Back-test on trading in a Vacuum"

Crikey!
I hear People in NSW and QLD are experiencing 100 year floods based on statistics and some have had THREE (3) 100 year floods this year

So much for making the same % gains/losses as yesterday/ yester-month yesteryear/ and even decades ago

Has anyone here ever learnt anything from Back-testing?

View attachment 144189

Is there a period in history similar?
Rising inflation, limited trade, shortages, covid disruption, European war.

Maybe the late 70s if you treat strikes as similar to covid, not really though.
Unique times.

 

[JohnDe]

"This country is run by 46 dictators who run pension funds. I’ve got to conform my business practices to suit them – otherwise I get sacked."

That quote is possibly the problem with the whole of the developed world these past 20 years.

Blackmagic Design founder Grant Petty says he will consider a future listing on the Australian Securities Exchange for his trailblazing digital cinema firm, and has revealed for the first time his father’s decades of alcohol abuse that made him financially conservative in both his personal and business lives.

In a wide-ranging interview with The Australian, Mr Petty – who joined The List of the nation’s 250 richest people last year — also launched a broadside against the local funds management industry, which he said “freaked him out” because of its alleged inability to deal with creative businesses like Blackmagic.

“We might list on the market, but it is not a good time right now and the stockmarket people freak me out. This country is run by 46 dictators who run pension funds. I’ve got to conform my business practices to suit them – otherwise I get sacked. How’s that going to work?” Mr Petty said. He added that he had written the accounting system of Blackmagic – a manufacturer of equipment and software for filmmakers, turning over more than $600m, which he co-founded in a South Melbourne garage in 2001 – to make a potential sharemarket listing process for the firm “more streamlined” and with a more “defined process”.

“That will give us the capability of actually operating in a listed environment much, much better, while also still being creative. So I feel like there’s a solution to reconcile the concerns of being listed – to satisfy shareholders – versus the concerns of actually continuing to innovate and take the customer’s point of view, which is more products and more innovation. And how can you mash those together,” he said.

He added, on the local funds management industry: “Those 46 guys are denying themselves a whole lot of wealth because they don’t know how to deal with creative businesses.”

If the company did list – Blackmagic currently has no external investors outside its founders – Mr Petty said he wanted to make a float “a pitch to mum and dads”.

“Being listed you get the opportunity to make a case to normal people and not have concentrations of power based on wealth,” he said.

“It is probably the eventual end point (of Blackmagic). I don’t think the next two years will be a good time. Covid-19 has made the world more unstable. But I have to find a way of reconciling the business world and our world in a mutually beneficial way. I haven’t quite worked out how to do that. That is the requirement for us to be able to list.”

He said Blackmagic, which is headquartered in Melbourne but has offices in California, Britain, Singapore, Beijing, Tokyo, and Osaka, had generated $4bn over the past two decades for the Australian economy.

“It was just wealth we literally created from thoughts and ideas. We didn’t use any property. We didn’t dig something out of the ground. We just created it from ideas and the Australian government paid for it,” he said, in reference to his attendance at Shepparton’s South Tech and later, Shepparton TAFE in regional Victoria. His family also lived in housing commission communities.

While Blackmagic, he revealed, “easily lost $50m in sales” over the past financial year because of the global component supply shortage, it had doubled down on its investment in engineering.

The firm sacked none of its 1500 member workforce during the pandemic and he said he was “pretty happy compared to what other companies are dealing with right now”.

While there were expectations Blackmagic might reach $750m in revenue in the year to June 30 that has just passed, he said they were “still below” that number.

Instead, he said, the annual revenue to June 30 would be up on 2019-20 when Blackmagic nearly quintupled net profit to $72.7m, off revenue up 38 per cent to $522.6m.

“It is definitely below the previous financial year but above 2020,” he said of the latest result.

It is now corporate folklore that Mr Petty’s parents divorced when he was a teenager and he moved from Pearl Beach in NSW with his mother and brothers to an apartment in a public housing block in Elsternwick, Melbourne.

Given his mother had originally come from the country, they then relocated to a housing commission area in Numurkah near Shepparton and he attended Numurkah High School before moving to Shepparton South Tech.

But Mr Petty, who turned 54 on July 8, now reveals for the first time the painful years that led to his parent’s split.

“You get these horrifying news stories where kids were left in the car out front of the pub. That was our childhood. We lived in the car out the front of the pub waiting for Dad to come out. My mum didn’t have a car so she couldn’t literally even get into town to go get milk or anything like that, because he’d wind up in a pub and he wouldn’t come back for hours,” he said.

But Mr Petty’s father was a complex figure. While highly flawed, he was also intelligent. He was a subscriber to The Economist magazine after moving to Australia from Britain when he was 14.

“It was more than just an alcohol problem. It is almost like a weird lower class thing that somehow permeated. He used to say ‘You don’t realise how much freedom you’ve got in Australia, that you’re not constrained by the same things that you are in Europe.’ And I’m thinking ‘Yeah, but you don’t have to be constrained by those things’,” Mr Petty said.

But his father’s alcoholism meant he spent all the money he earned. The Petty family’s clothes where always second-hand.

“Even the scout uniform I had was given to me by lost and found because we couldn’t afford any other stuff. So my mum was so focused on just literally trying to keep the family running. Dad often wasn’t there,” he said.

He recalls he and his siblings had to get out of bed at 6am each morning when he was young to push his father’s bombed-out Toyota Crown sedan down the driveway to get it started just so he could get to work. Mr Petty now owns a Tesla.

“I now definitely try and make sure I do things at a high quality level – like I’m obsessed with quality. Pushing your dad’s car down the driveway as a kid, that’s a pure quality problem. He hadn’t focused on that issue. He just let it run to the absolute worst state a car could possibly be in, where it almost doesn’t even operate as a car anymore. Yet he was paid well,” he said.

Mr Petty said he was actually relieved when his parents divorced. “As a teenager, I started to get really frustrated with the idiotic antics of him becoming drunk and stuff. Mum and I would sit on the front porch and talk. They had their break-ups and then getting back together before the final break-up,” he said.

“I told my mum, before it happened, to get rid of this guy. He’s an idiot. Mum did get rid of him eventually.”

Then when he was in his 20s, Mr Petty said, his father – who lived in a caravan for a number of years before he moved into a pub in Port Melbourne, where his son would often catch up with him after work in the early days of Blackmagic – would ask him for money.

“I had to get tough,” he said. “Every kid has to set some sort of boundaries.”

His father passed away in 2015 when he was in his early 70s after suffering a stroke. As well as being an alcoholic, he was also a chain smoker.

Growing up, Mr Petty said he will never forget going to four different schools in one year in 1978.

It is one of the reasons he and his wife, Indonesian-born Jessie, decided to have children later in life after he had turned 40. They now have a twin boy and girl, aged 13, and a girl aged 9 who he jokes “runs the house”.

He said he and his wife “killed themselves” to get a four-bedroom home in Melbourne’s bayside Albert Park “because I wanted to make sure that once the kids started school, they could stay at that same school their entire school life”. “I definitely make sure that I’m financially conservative. I’ve seen what it’s like when your parents basically spend every cent they have and everything is running at the absolute lowest level it can,” he said.

“So I’m much more conservative when it comes to business financially. That’s what all the coding I do is. It is basically to manage all the numbers and stuff that go through the business. I don’t actually write codes for the products, I write them for managing the company. Because I am just super, super-concerned that the business itself is quite conservative. I do that in my personal life as well. Because I just worry about pushing things to the edge the way my dad did.”

He stresses he has no chip on his shoulder from growing up in housing commission estates.

“I was an electronics nerd, not too socially aware. I was focused on electronics, the world was what it was. No one told me what to do, there was no predefined path. There is a lot more freedom in a lot of ways,” he said.

“If you had a chip on your shoulder and someone told you you had a chip, that would be the worst thing if you had anger. You are going to cut off any path to mentors … I never got that vibe from my parents. You are just looking to the future and the future is more freedom.”

The year 2021 brought Mr Petty unprecedented fame when he debuted on The List, with his 36 per cent stake in Blackmagic valued at $615m.

While he said fame had given his firm invaluable publicity, he described his fellow tech entrepreneurs on The List as a group of “nerds, weirdos and creatives who have done something different”.

“They have survived the community around them from destroying them. That list is just full of strange people who have just not done what they were supposed to do,” he said.

But he is wary of his and his firm’s presence on the list causing any form of vanity.

He constantly reminds his staff of Apple founder Steve Job’s failed decision for a time to wear a bow tie and suit to conform with corporate norms.

“Business people do spend time thinking about power and thinking about running hierarchies of power. If you are an engineer, that’s not the way you think,” he said.

“I have to make sure we don’t start making decisions based on being on that list. It has to be decisions based on what is best for our five to 10-year future. We need to keep investing in what we are doing.”

He reveals that when he debuted on The List, he actually made fun of being a rich-lister with both his staff and children.

“The guys in the office said ‘Wow you are on the rich list’. I replied ‘It is just amazing, it is really nice to be rich, I can’t wait to try fish’,” he said with a wry smile.

He reveals his wife and children have recently moved to a slightly bigger house in Albert Park “because otherwise we would have had to renovate the old one”.

“I tell my kids all the time, If you are learning something new every day, you get smarter,” he said.

“But if you don’t learn something new, every day you just get older.”

DAMON KITNEY
COLUMNIST

https://www.theaustralian.com.au/business/dads-alcoholism-shaped-rich-listers-and-blackmagic-design-founder-grant-pettys-winning-ways/news-story/79fcc9cf273c39a7e5770f2639910826

 

[MovingAverage]

G’day boys and girls—been out of the loop recently and just checking back in. Seems to be a few posts about Nick here. Coincidently I notice from Nick’s twitter feed tonight he isn’t a happy Jan as someone on a “forum” has been slagging off at him…hope it isn’t ASF ?

 

[MovingAverage]

View attachment 144070

Yes @Sir Burr, I have to agree
Nick blatantly misled " 6Fanboi" when he replied that the signals were from his WTT, which stands for (Weekend Trend Trader) BTW & not (DTT) which stands for (Daily Trend Trader). Nick also said it was the (WTT) with a Radge twist. Nah, that's "Bullsh!t".

I may be wrong
But I don't think so. The chart Nick has posted is a mongrelised version of his WTT but trading on a daily periodicity. Just to be clear & their is no confusion, the chart Nick posted in his Twitter feed is a "DAILY CHART". You can also tell by his Index Filter Ribbon colour.

ASIC is cracking down on those who mislead or deceive

Discussing financial products and services online | ASIC

asic.gov.au

Misleading or deceptive (from the hyperlink above)​

The law prohibits conduct that is misleading or deceptive, or likely to mislead or deceive, in relation to financial products or services. It doesn’t matter whether or not you intend to mislead people – it’s about the overall impression your post creates when it’s viewed.

Skate.

I reckon this is the post @Skate ?

 

[Skate]

G’day boys and girls—been out of the loop recently and just checking back in. Seems to be a few posts about Nick here. Coincidently I notice from Nick’s twitter feed tonight he isn’t a happy Jan as someone on a “forum” has been slagging off at him…hope it isn’t ASF ?

Nah, I read all the posts & there is no slagging him off
There isn't anything in the posts that would have upset him. Nick is either a current or former member of this forum & I'm sure he would be the first to correct any misunderstandings or false perceptions of any member. When posting in cryptic ways it's hard to understand a question let alone a response. It doesn’t matter whether or not you intend to mislead people – it’s about the overall impression your post creates when it’s viewed.

I reckon this is the post @Skate ?

@MovingAverage, I remarked that Nick answered "6Fanboi" who by the way is a member of this forum in a misleading way as his answer didn't bear scrutiny in my opinion. I believe the answer was misleading because his answer didn't make sense to me. If it didn't make sense to me, I'm sure it would confuse others. To avoid this I made a series of posts for others to under from where I was coming from.

It's there for all to see
The WTT is a weekly strategy displayed on a daily chart. So does anyone really believe his answer? I'm just saying if you post something on Twitter that's fine as long as what you claim can stand up to scrutiny.

@MovingAverage please give me your take
Looks at the chart & then read Nick's answer & tell me you understand it. I would love to hear your comments.

Read my full explanation here

Dump it Here

@Skate FFX this time instead of LKE - nick doesn't give much away though FFF+ Sorry @soren_lorensen but I have to call bullsh!t on this one For a start that's a "Daily Chart" so it's not Nick's WTT with a Radge tweak. Mate, I can tell you exactly what he has done to his code to achieve that...

www.aussiestockforums.com

Summary
No, I don't think there are any posts that would upset him in any way. It's most likely another forum.

Skate.

 

[Skate]

Is there a period in history similar?
Rising inflation, limited trade, shortages, covid disruption, European war.

Maybe the late 70s if you treat strikes as similar to covid, not really though.
Unique times.

This is a current chart for the ASX, All Ordinaries
I could have picked any index or any individual stock & the chart will all resemble each other in such a way the bars fluctuate "the bars go up & they go down". Pick any chart, any periodicity, or any period in the past & the "bar fluctuations" would all look the same. I could have blacked out the information & one chart would look like all others. Taking advantage of the blue bars & passing on the red is a simple concept when applying your funds in the markets.





Take this one




Or this






@entropy nailed it
If you trade haphazardly you are gambling. Trading systematically gives you a fighting chance.

If the model loses at least I can say I lost systematically rather than haphazardly!

In Summary
Trading is all about riding moves. Technical Analysis tries to time both the entry & the exit.

Skate.

 

[Skate]

The correct procedure in carrying out a Backtest will make a great topic for another day

Don't get fooled by those who post backtest results
Unless the methodology is explained, "what's the use". Backtest results can confuse & mislead easily. Recently I've noticed graphical representation of backtesting of systems over 10 or 20 years & the satistical accumulated profit is around 20 million dollars if not more. @Sir Burr & @debtfree recently discussed the true value of the backtest results when Tax was factored in. It's a good read & the post can be found here.

Dump it Here

This comment was referring to posting signals ahead of time that you are entering After reading the ASIC guidelines I have decided to cease this practice but thanks for the heads up. Skate.

www.aussiestockforums.com

But leaving that aside
I would rather concentrate on why backtesting results are not to be relied on to make you extremely wealthy. Let's face it, we have all done these types of backtests & after a decade or so, it shows that by trading this system you would have accumulated an extreme amount, but in reality, it's rarely the case.

Skate.

 

[Skate]

Backtest & how to backtest has been done to death
I was intending to make a series of detailed posts on how to backtest correctly, then go on to explain how to analyse those results. Also, a separate topic would be to explain why "in sample & out of sample" testing is so important for the usefulness of their results as @entropy recently touch upon. Sometimes an explanation "why" out-of-sample (OOS) results are the only results worth taking notice of.

In saying this
Making a few posts in this manner about system analysis would not only be exhausting to read but extremely boring at the same time. Society is now conditioned to have information presented to them in smaller chunks (sound bites), as it's less time-consuming & easier to absorb because of the short attention span we all tend to have these days.

Skate.

 

[Skate]

Let's start off with "Position sizing" (Amibroker)
Position sizing defines the method that will be used by the "Monte Carlo simulator" during backtest, so be careful with this setting. When backtesting you can use any variety of methods to position size (the size of your next bet) but as a word of warning you use should use the method you are actually intending to trade.

The biggest mistake when backtesting
Is using a "percent of portfolio equity" to position the size of your bet. Why? because after a few years of profitable trading the next size of your next bets will accumulate to an unrealistic figure, an amount you wouldn't be able to execute. I'll post an Equity curve to demonstrate the results achieved using both methods later.

Skate.

 

[Skate]

# Fixed Dollar Size #
Using a fixed dollar amount should be the standard when backtesting as it allows you to maintain a constant value across all bets when opening a trade. Doing it this way the results will be more realistic & achievable.

# Percent of equity #
This uses a defined percent of the current simulated equity value. Be careful when using this setting as it causes the position size to be dependent on profits on previous trades (compounding profits) & creates serial dependence. It may also lead to an extra compounding effect when you have overlapping trades in your original backtest as bootstrap performs trades sequentially (so they don't overlap). For this reason, its use is limited to cases when no overlapping trades occur.



Same Strategy same Backtest
The backtest is from 2015 to today, Why? It's the period I have been trading. It should be easy to spot the difference "Position Sizing" makes to the backtest results. One is realistic where the other isn't.




The Equity Curve comparison
Since 2015, I would have accumulated millions in profit whereas, in reality, this figure would "slightly" differ.



Skate.

 

[Skate]

Best practices
To remove risks of serial correlation affecting the results of Monte Carlo simulation it is highly encouraged to use fixed position sizing (fixed dollar value of trades), so it does not affect the profit/loss due to compounding.

Summary
Just make sure that you use fixed-position sizing for the calculations when backtesting to eliminate the effect of compounding. Eliminating the compounding effect, the results will be accurate, constant, believable & achievable.

Skate.

 

[investtrader]

# Fixed Dollar Size #
Using a fixed dollar amount should be the standard when backtesting as it allows you to maintain a constant value across all bets when opening a trade. Doing it this way the results will be more realistic & achievable.

# Percent of equity #
This uses a defined percent of the current simulated equity value. Be careful when using this setting as it causes the position size to be dependent on profits on previous trades (compounding profits) & creates serial dependence. It may also lead to an extra compounding effect when you have overlapping trades in your original backtest as bootstrap performs trades sequentially (so they don't overlap). For this reason, its use is limited to cases when no overlapping trades occur.

View attachment 144225

Same Strategy same Backtest
The backtest is from 2015 to today, Why? It's the period I have been trading. It should be easy to spot the difference "Position Sizing" makes to the backtest results. One is realistic where the other isn't.

View attachment 144226


The Equity Curve comparison
Since 2015, I would have accumulated millions in profit whereas, in reality, this figure would "slightly" differ.

View attachment 144227

Skate.

I assume for the second run you have used Max Positions also? This also give unrealistic results. The drawdown in later years is wrong IMHO. You have 500k of capital and only investing 100k. Check the exposure figure to confirm.

 

[Skate]

I assume for the second run you have used Max Positions also? This also give unrealistic results. The drawdown in later years is wrong IMHO. You have 500k of capital and only investing 100k. Check the exposure figure to confirm.

@investtrader, thank you for taking an interest in my posts today
I just want to say, in today's posts I'm talking about backtesting, & strategy analysis. I also pointed out that you can fall into the trap of achieving inaccurate, overstated results through one option setting.

I prefer when backtesting to use a fixed dollar amount
But when I'm live trading, I use another method to overcome the issues you have raised. I explained earlier that I would keep this series of posts short & snappy, without going into detail as it just turns people off reading them.

I'm now talking about live trading & position sizing
There are different ways to position size other than fixed dollar amounts when you are trading a live account. The benefits are there when you have a limited supply of trading capital. Like most, I have my way of "rebalancing my position size". Let's call it my next "bet size" as it's less confusing using this terminology. I've made over 20 posts on how I rebalance my next series of bets (with graphics) for those interested. All you have to do is search so I don't have to explain it again.

Amibroker "Exploration Analysis"
Allows you to modify your next bet size with a simple line of code no matter the balance of your outstanding funds not in the markets. Rebalancing is simply calculating the dollar size of the next bet or series of bets & it works both ways, the bet will either increase or decrease according to the trading funds available.

Skate.

 

[Skate]

What is a trading system?
Basically, when it comes to system trading using technical analysis it's simply your trading rules mathematically coded to help you time the entry & when to exit a position. As @investtrader just pointed out there is much more to consider when your money is on the line. But, the best part is you get to create all rules that fit your own risk profile.

Blatant plug
If you are a beginner take advantage of my free eBook if you are thinking about becoming a trader. The eBook, "Trading Fundamentals - Skate's Beginners Version" explains the dangers of trading & a lot more. Also, reading it might give you ideas before you begin your journey. If my eBooks get you excited, keep your interest & read this thread as I'm sure the additional tips from others will help you become a successful trader.

Trading Fundamentals - Skate's Beginners Version (eBook link below)
https://www.aussiestockforums.com/posts/1014728/

Skate.