Australian (ASX) Stock Market Forum

Dump it Here

Jump to new
Gringotts Bank said:
You conveniently cut out the trade delay.
Click to expand...

No, I didn't.

How about you post a backtest
For the period from the 1st of January 2022 to the 7th of November 2022.
10-position $100k portfolio. (using your ZZ code) to evaluate your results during that period.

Skate.
 
Skate said:
No, I didn't.

How about you post a backtest
For the period from the 1st of January 2022 to the 7th of November 2022.
10-position $100k portfolio. (using your ZZ code) to evaluate your results during that period.

Skate.
Click to expand...
I wasn't expecting this. Is it really that hard to admit you're wrong about something? I feel like I'm talking to a politician!

It's there in black and white:

SetTradeDelays(1,1,0,0);

You removed it in an effort to prove me wrong. Why would you do that? How can you say you didn't remove it when you did?

This whole thing about zigzag in backtesting is such a non-issue. Everyone knows that in most cases zz can be problematic. All I ever said was that if you make the period of the zigzag very small, it essentially becomes identical to ROC(close,1). If you then combine it with a 1 day trade delay, you can safely buy the following day's close. You mitigate the lookahead bias with the delay.
 
Gringotts Bank said:
I didn't even raise the topic
Click to expand...

Yes, you did.

Gringotts Bank said:
ZIgzag is a beautiful indicator, underused imo.
Click to expand...

@Gringotts Bank you raise the issue of the ZigZag Indicator & as I've canvassed this indicator many times before it was not an indicator that I wanted to play tennis with, you or anyone else.

Gringotts Bank said:
You removed it in an effort to prove me wrong. Why would you do that? How can you say you didn't remove it when you did?
Click to expand...

Skate said:
No, I didn't.
Click to expand...

No, the trade delay is embedded in my strategy, meaning it wasn't removed, I had previously said that. I didn't set out to prove you wrong but to explain why this indicator is useless in backtesting & trading.

Gringotts Bank said:
Takes 2 secs to test. Tell me if there's a problem. Note that AB code check will say it references future data, but there's no problem. You're simply buying 1 bar after a trough, and seeling 1 bar after a peak.
Click to expand...

You asked if I would test your code. I did, & I reported my findings.

Let me say it once again
The ZigZag's indicator of its many forms has a major issue being its dynamic nature which is a real disadvantage. Furthermore, the indicator cannot be used in mechanical systems, since the backtesting of such systems should exclude any revisable parameters in order to be valid and accurate.


Gringotts Bank said:
The advantage over ROC(C,1) is that it's easier to compare peaks and troughs for pattern ID, but always SetTradeDelay to (1,1,0,0) if you want to buy troughs and sell peaks. Backtesting is no problem this way.
Click to expand...

I have an alternative view
I maintain "backtesting is a problem". I've said the ZigZag indicator in any form cannot be used in mechanical systems, since the backtesting of such systems should exclude any revisable parameters in order to be valid and accurate.

Skate said:
How about you post a backtest
For the period from the 1st of January 2022 to the 7th of November 2022.
10-position $100k portfolio. (using your ZZ code) to evaluate your results during that period.
Click to expand...

Finally
Are you going to do a backtest & post it for me, as you said, "Backtesting your way is no problem" If not, this concludes this exchange. If you find use in this indicator & you can trade it with an edge, kudos to you. Whereas the ZigZag indicator has "limited" value to me. In a previous post, I explained how to take advantage of this indicator, there are benefits but none that you have described to me.

Skate.
 
Skate said:
Yes, you did.



@Gringotts Bank you raise the issue of the ZigZag Indicator & as I've canvassed this indicator many times before it was not an indicator that I wanted to play tennis with, you or anyone else.





No, the trade delay is embedded in my strategy, meaning it wasn't removed, I had previously said that. I didn't set out to prove you wrong but to explain why this indicator is useless in backtesting & trading.



You asked if I would test your code. I did, & I reported my findings.

Let me say it once again
The ZigZag's indicator of its many forms has a major issue being its dynamic nature which is a real disadvantage. Furthermore, the indicator cannot be used in mechanical systems, since the backtesting of such systems should exclude any revisable parameters in order to be valid and accurate.





I have an alternative view
I maintain "backtesting is a problem". I've said the ZigZag indicator in any form cannot be used in mechanical systems, since the backtesting of such systems should exclude any revisable parameters in order to be valid and accurate.



Finally
Are you going to do a backtest & post it for me, as you said, "Backtesting your way is no problem" If not, this concludes this exchange. If you find use in this indicator & you can trade it with an edge, kudos to you. Whereas the ZigZag indicator has "limited" value to me. In a previous post, I explained how to take advantage of this indicator, there are benefits but none that you have described to me.

Skate.
Click to expand...
I'm disappointed. I thought you knew what you were doing. Anyone with the most basic understanding of coding can see that you made an error and are afraid to admit to it. Either that, or you're just being blatantly dishonest. My code, as posted, is the most simple thing to test. Instead you've decided to twist my words, change the code that I posted into something else entirely, and post an irrelevant wall of words to defend yourself.
 
Last edited:
Gringotts Bank said:
I'm disappointed. I thought you knew what you were doing. Anyone with the most basic understanding of coding can see that you made an error and are afraid to admit to it. It's the most simple thing to test, and you're hiding behind words, words, words.
Click to expand...

Okay, this concludes our exchange.

Skate.
 
@Gringotts Bank maybe it would be a good idea to test it in order to prove it to yourself, I understand that for some things it's hard to believe someone else's results and we just have to prove it for ourselves. @Skate did say that the delay line of code was included in his existing software, but I can see how you may have thought it wasn't because @Skate only clarified this point after his test.
 
DaveTrade said:
@Gringotts Bank maybe it would be a good idea to test it in order to prove it to yourself, I understand that for some things it's hard to believe someone else's results and we just have to prove it for ourselves. @Skate did say that the delay line of code was included in his existing software, but I can see how you may have thought it wasn't because @Skate only clarified this point after his test.
Click to expand...
What do you mean "prove it to myself"? I don't just make random claims without testing them! I've done it, and so I know it's legitimate.

What good does a backtest achieve? That doesn't constitute evidence of any kind. It's completely unrelated to my point. Skate asked for a backtest as a 'strawman' that he knew he could burn (oooh, see? It's not profitable!). He knew I was right, and he knew that if I fell for the strawman, it would give him ammunition. Anything to admit being wrong. I know a politician when I see one.

Rather than just accept what I say (or what Skate says), test it yourself. For all the people that claim to use AB and code up systems, there's a remarkable lack of input from others on this topic. Makes me wonder who's fake.
 
Did Any One of Your Tests do anything TODAY! ??????
This answer is Critical IMO?

eg; Did you buy BHP, today?

Did you Buy Anything else today?

Did you do Anything Today?

What I am asking is that
"Did your back-testing system do anything today"

Well, IMHO
Doing NOTHING in REAL Time is Doing NOTHING! In Real Time

Sorry to say this BUT it is TRUE!

Back-testing is all about what you did YESTERDAY !!!!! and all the Yesterdays beforehand
But
What does your Today's data say for the NOW?
Or
Do we have to wait 3 months to find out what your Data said about "This day's Readings and ACTION?"
XYZ Yacht.GIF
 
Captain_Chaza said:
Did Any One of Your Tests do anything TODAY! ??????
This answer is Critical IMO?
Click to expand...

Not me
I'm sitting on my hands at the moment as the "buy filter" is OFF. As a system trader, it is all about probabilities & not trading knee-jerk reacting to what happened in the last US trading session. The major advantage of system trading 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.

It's all explained in the charts
My buy conditions incorporate a "Percentage Filter" meaning, I only buy when the "Percentage of advancing positions in the watchlist exceeds 50%" & sell when the percentage of advancing positions in the watchlist is under 25%. It's crude & dirty but highly effective & profitable.

BHP.jpg


Captain_Chaza said:
I won the 1st Prize in October (Tipping Competition)
Click to expand...

Winner, winner, chicken dinner
Hey, @Captain_Chaza by winning the tipping competition in October, no one has the right to tell you how to suck eggs. There are so many ways to trade but when you boil it down, we are all trying to do the same thing & that is to make money trading. How we go about it, is up to the individual.

Skate.
 
Trading is simple & uncomplicated
Don't let anyone tell you it's not. It's not rocket science to buy & sell part of a company. The difficult part is finding (a) what to buy (b) when to buy it & most of all (c) when to sell it.

We all seek a profitable way to trade
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.

Skate.
 
When do I buy a position?
When a series of "buy conditions" are met & the index & percenter filters are both on. Instead of using a "simple moving average" (SMA) to determine when a buy signal is generated, I use the "Percentage of the index Filter" in conjunction with an "Index Filter" before a buy signal can be generated. Meaning, both signals need to be "on" as a way to be more selective with buy signals. The indicator uses the 50% ratio of advancing stocks compared to the number of declining stocks to generate the buy signal.

When do I sell a position?
When the exit strategy is activated. The sell signal is generated when this ratio falls below 25%. This is an additional "exit condition" annexed to the "Stale Stop" exit strategy. This "Percentage Filter" parameter forms part of the "Stale Stop" exit strategy that ensures the open position is sold when the percentage of the index is below a certain percentage value of 25%. Using this method concentrates on capital preservation & it's perfect for those that "feel twitchy" or "nervous" when deciding to have a punt.

Skate.
 
Skate said:
1. Brains
Brains are overrated mainly because smart people tend to think logically & have a hard time dealing with a market that ignores what should be painfully obvious. The market is full of emotional participants making illogical decisions most of the time. Also, from personal experience, if you are too analytical, you will be surprised often. Using logic to figure out what the market might do on any given day is a waste of time.

2. Irrational & moody
One of the key advantages we have is knowing that the stock market is irrational, moody, & prone to doing unexpected things. We recognize that we can take steps to profit when the mood is unusually good or run and hide when things become dark and gloomy. As @DaveTrade alluded to, like most other worthwhile things in life, if it were extremely easy to learn & do well, it wouldn’t be so potentially lucrative.

Skate.
Click to expand...


An analogy:

1. You want to build out of lego a sign that says 'profitable system'.

You the individual are an empty box.
Into this box, from reading, studying, YouTube, talking, observing, whatever-it-takes, you fill your box with lego.

From that, you can build your sign.

2. So Benjamin Graham had a quote: 'In the short term the market is a voting machine, in the long term a weighing machine.'

So once you have studied the market, you will accept the above statement as being broadly true. Being broadly true, is an excellent starting point for assembling your lego. When the (a) short term is at odds with the (b) long term, there is opportunity.

Of course the trick is to be able to identify when (a) exists in truth compared to (b). Not as easy as it looks.

Why?

Because of many reasons:

(a) macro factors (completely independent);
(b) micro factors (usually under control);
(c) psychological factors;
(d) structural factors (see micro factors).

There are likely many more and these categories can be further broken down into many smaller sub-categories.

Most probably know what the first 3 refer to. Structural factors are how the big players that control the markets (as much as you can control a market) play the game: the Investment Banks (politically connected) the big Hedge Funds (also politically connected) and the Internationals via SWFs (also politically connected). We'll call these chaps the 'Masters of the Universe. This stuff is usually buried deep in legalese if written down at all. These chaps heavily manipulate the micro factors.

The importance, if you even consider it important, is that when you think that (c) is operative, ie. people have lost their ******* minds, they may well not have: they are simply playing a different game on a field that you are not even aware that exists. A good example of this currently is physical gold/silver as against paper gold/silver.

Your strategy, should tick as many of the 4 boxes as possible. If they tick them all, you will be profitable.

Many of the bigger market participants (in capital terms), we'll refer to them as 'Brawn' follow strategies that are successful in certain market environments. Their brawn however is not linked to brains and they can blow-up spectacularly when the MotU lose control of the markets due to macro factors.

Brains can beat brawn. You simply have to play a different game. You can beat the MotU (although it usually pays to piggyback them) when, as currently, they lose control of the markets due to fighting the macro factors.

jog on
duc
 
Hi Skate, hoping find you well. Absolutely beautiful evening in the north... glorious night

Kind regards
rcw1
 

Similar threads

Garpal Gumnut
Very nice Rain here today
2 3
Replies
42
Views
2K
SirRumpole
SirRumpole
tech/a
  • Poll
Financial Independence (Home Ownership, Super, Long Retirement) not possible for wage earners: What do we need and how do we get it?
8 9 10
Replies
191
Views
15K
divs4ever
divs4ever
ducati916
November DDD
2
Replies
28
Views
2K
divs4ever
divs4ever
basilio
Ozempic: Magic Pill or Devils Bargain?
Replies
10
Views
1K
sptrawler
sptrawler
sptrawler
Competency and trying to maintain standards
2
Replies
27
Views
3K
sptrawler
sptrawler
Top