Dump it Here

Roller_1 said:

I added the following line
Allocation: S.StartEquity
this basically means only calculate position size based on the initial equity. So in this case it is 10% of $100,000 for every new position. Like I said these things are so easy in real test.
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It is actually interesting how much of the edge disappears if you test entering or exiting on any day besides the first day of the month in these systems

Also as you have pointed out there is a lot of luck involved, such as when an index filter will take it in or out of the market. Why it is important to test a number of variables on these major parts of the system.

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Thanks Roller,

I look at the LogScale equity to achieve the same result.

Yeh as it stands I dont think its a viable system but there may be potential under the hood, I've found that often the difference between an average system and an amazing system is often quite small, but its hard to find lol

AlgoZero said:

Willzy, thanks for the backtest results. I wouldn't look for a better edge. The one you've got right there is quite impressive already.

But here are some troubling concerns:
- most of the profit happened before 2010
- 2003-2007 was the "genius-maker-market" when anything would have worked
- notice that the entire gains in 2008 came in one month, May, and the system was conveniently out of the market the rest of the year. You might say that the index filter kept you out but the XJO was decisively below the 200-day MA during all of 2008 and until June 2009
- the Sharpe Ratio is suspiciously high (the drawdowns are unbelievably low)

Other than that, there are no obvious red flags. The returns since 2010 are plausible, just that I would expect much bigger drawdowns.

Is it even possible that such a simple and obvious scheme could produce double the buy-and-hold returns with a fraction of the drawdown?

Let's assume that it works. A position size of $20,000 for ASX100 stocks would be appropriate with minimal market impact. This requires a $200,000 portfolio.
Now, it would be reasonable to expect the rebalancing to work not only on the last day of each month but on the first and the second, the third, etc., any of the 21 trading days. It would be a very bad sign if it didn't.
So, we could manage 21 tranches of $200,000 making a $4,200,000 portfolio,
Not only that, but we don't have to only trade at the Open or the Close; why not every hour? Even every 15 minutes. Why not? Liquidity shouldn't be too much of an issue as we invest in ASX100 stocks only.
It's going to be a full-time-job but we could manage a $50 million or even a $200 million portfolio.

Why hasn't anyone thought of this?

Oh, I know, they haven't got $200,000,000. Of course.

BTW, do you know about the MarketIndex Top 5 system? Maybe that was your inspiration. Worth checking out.

ASX Top 5 Portfolio - Market Index

ASX Top 5 Portfolio

www.marketindex.com.au

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Thanks for the marketinex link.

I hadnt seen it before, sadly they're holding onto their momentum indicator as "proprietary", but all other rules seem to be disclosed. I'll code up what they've given then play with the secret sauce to see what I can concoct...

Interesting that they dont use an index filter. I'm intrigued by that as the index filter period I found at 75 is not very stable...

Food for thought!

Cheers

"Everything Is Beautiful" by Ray Stevens
With lyrics such as these, it's no wonder it was a Grammy award-winning song in 1970.





Skate.

Skate.

Skate said:

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Skate.

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Trade the market in accordance with what it is telling you, listen to the markets tunes without deaf ears....

Most nostalgic of rcw1 ... ahhh beer o'clock. Have a very nice and happy Christmas Skate.

Kind regards
rcw1

rcw1 said:

Trade the market in accordance with what it is telling you, listen to the markets tunes without deaf ears....

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@rcw1 that reminds me of this quote.
Listening to the markets will let you know when it's not conducive to trading. Doing nothing at times by "not trading" is really smart trading.



Skate.

That one really resonates with me Skate. If I could time travel back and tell myself one thing, that would be up there in at least the top 3. Don't kid yourself that your system will ever churn out X percent per week or month, or year. EXPECT there are periods where you should duck for cover, and conversely there will be somewhat unpredicatable bullish trending periods when trend trading will work best - and those are the periods you optimise your trend conditions to detect. Likewise, try and ensure you have robust methods to pick the bad times.

Which reminds me of this nugget - worth listening to for at least the next 3 minutes from this point - part of a BST interview with Lawrence Chan:

Newt said:

If I could time travel back and tell myself one thing,

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We all live & learn
@Newt when you have a multitude of trades under your belt you start to think on a deeper level, well I do. I had a gnawing in the gut that wouldn't go away.

Buying dud positions
This issue of buying a large number of dud positions has haunted me for a few years now. I was accepting of this being a nuance of weekly trend trading but I knew there would be a much better way to qualify each move the market made.

Precisely timing your entry
At this stage, I believe I have something useful but I'm first to admit it's nowhere near perfect. Now thinking about what I'll be saying to myself in 5 years' time recanvassing this timing method.



Skate.

Newt said:

worth listening to

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@Newt, thank you for the YouTube video that couldn't have come at any better time. It was interesting to hear Lawrence Chan answering a question at the 9:43 minute mark when Andres Swanscott asked about he goes about formulating a strategy when it's backtested over everything.

Dropping one's microphone at the end of a speech signals triumph
His simple answer was for the strategy to know "when it shouldn't engage". (That's a Mic drop moment for me)

Skate.

Another
"Mic drop moment"



Skate.

I chuckle whenever I read the opinion that traders shouldn't try to "time the markets". There were three market rallies during 2022. Three opportunities to trade with the market sentiment.



I reckon @Skate's indicator nailed all three rallies.


I'll be keeping an eye on it during 2023.

peter2 said:

I chuckle whenever I read the opinion that traders shouldn't try to "time the markets". There were three market rallies during 2022. Three opportunities to trade with the market sentiment.

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I reckon @Skate's indicator nailed all three rallies.

View attachment 150907
I'll be keeping an eye on it during 2023.

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I agree. The whole idea of trading is to predict the future using historical ptterns, hoping they repeat. TA typically references only 3 variables - price, volume and time. Time can be referenced through fib extensions, trendlines, announcements, phases of the moon. You can also take it out of the equation if you think it's a confounding factor, using point and figure or range bars.

Gringotts Bank said:

I agree. The whole idea of trading is to predict the future using historical ptterns, hoping they repeat. TA typically references only 3 variables - price, volume and time. Time can be referenced through fib extensions, trendlines, announcements, phases of the moon. You can also take it out of the equation if you think it's a confounding factor, using point and figure or range bars.

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Or, you can take the advice of that extremely wise sage "the bloke in the mirror"
Hmm after a heartly lunch and not so weak cordial the eyes are starting to droop. Tis good night from me him and them adios

Skate said:

Interest Rates & Debt
Self-responsible & personal accountability for the choices we make form the solution.

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Skate.

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Read Skate's quote n Farmer 's reply..got me pondering n thinking on both last sentence...
Two days ago, a late night car trip with son, he casually hinting, may be seeking our financial help in 2023 if interest rate keeps going up.
They had emptied 100k of their savings to take first step starting property investment. I remained silent. Should I warn better half, not to further erode our money (220k down to 170k) put aside to pay for Capital Gain Tax incase we become a non profit lender.
We had pulled some money out to renovate this investment property of near 20yrs, looking for at least 10yrs or more to live in or until they inherit it.
As a add on...Had loaned older son years ago to purchase a apartment with his then partner, it ended couple of yrs later. I had to loan him more to buy her out n bank refinancing ...it took him thrice the time to pay me off monthly capital set amt, interest free. Luckily, it's written n signed in black n white. This time round, if younger son need it, would this interest free loan lenders be able to survive with old age n retired.

Debtors massive problem.....lender's headache....Ouch...
Fingers cross that loan is not needed.

Good morning
Hoping everybody had a really nice family orientated Christmas and that a large bloke with a white flowing beard getting pulled around in a sleigh by reindeers called in....

Man did rcw1 eat ... and still eating... for Boxing Day breakfast nice ham off the bone, with soft googie eggs times two, smothered with holbrook sauce and toast and butter.... and and and (two too many ands ha ha ha ha) ... lychees picked from a paddock fresh as... to finish up... hummooooooooooo

Back to business, rcw1 thoughts:
Traders should be equipped and resilient enough to trade in good times and in bad, in other words, all conditions. Just need to be more careful and studious when options are limited, could make for an interesting passage in time. rcw1 is talking about trading only... This does not mean a trader is obligated to trade... at all times, it means, for mine, still trade if there is something happening that meets self-threshold with real time considerations along with knowledge of both the external and internal environments, re that company, as best you can.

The other big important consideration, proceed in accordance with your budget. How much coin do you want to spend on any particular trade? For mine there is no hard and fast rule, other than don't overspend getting all excited following ... and down a path into 'self-destruction' that deep hole of oblivion .. clouding your judgement... where there 'ain't' no going back!!

Normally 'spend' could well be reliant upon risk. Spend could be reliant upon what's left in the kitty ... frustrating component is a trader may well want to spend more on a particular stock but has all their coin already tied up with other stocks, oh the dilemma. Fast traders don't normally have this problem, but, nevertheless, does happen from time to time. The name of game is making coin.

So, if applying this mind set, then any circumstance whereby the trader believes is going to make more money, then execute that option (s) accordingly, don't procrastinate, never (try not to ); miss an opportunity or kiss your arse goodbye ha ha ha ha, and learn from errors in judgement and the why's... how comes ... Self-assessment, always conduct an honest appreciation of what happened with that particular transaction. rcw1 has mentioned this before if one cannot be honest with self, may as well give the game away....

Have a very nice day today and have a prosperous new year.

Kind regards
rcw1

Rabbithop said:

Read Skate's quote n Farmer 's reply..got me pondering n thinking on both last sentence...
Two days ago, a late night car trip with son, he casually hinting, may be seeking our financial help in 2023 if interest rate keeps going up.
They had emptied 100k of their savings to take first step starting property investment. I remained silent. Should I warn better half, not to further erode our money (220k down to 170k) put aside to pay for Capital Gain Tax incase we become a non profit lender.
We had pulled some money out to renovate this investment property of near 20yrs, looking for at least 10yrs or more to live in or until they inherit it.
As a add on...Had loaned older son years ago to purchase a apartment with his then partner, it ended couple of yrs later. I had to loan him more to buy her out n bank refinancing ...it took him thrice the time to pay me off monthly capital set amt, interest free. Luckily, it's written n signed in black n white. This time round, if younger son need it, would this interest free loan lenders be able to survive with old age n retired.

Debtors massive problem.....lender's headache....Ouch...
Fingers cross that loan is not needed.

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Good morning Rabbithop
Yeah certainly a 'pickle' of a situation. Go with your heart mate, headaches and all

Kind regards
rcw1

Rabbithop said:

Read Skate's quote n Farmer 's reply..got me pondering n thinking on both last sentence...
Two days ago, a late night car trip with son, he casually hinting, may be seeking our financial help in 2023 if interest rate keeps going up.
They had emptied 100k of their savings to take first step starting property investment. I remained silent. Should I warn better half, not to further erode our money (220k down to 170k) put aside to pay for Capital Gain Tax incase we become a non profit lender.
We had pulled some money out to renovate this investment property of near 20yrs, looking for at least 10yrs or more to live in or until they inherit it.
As a add on...Had loaned older son years ago to purchase a apartment with his then partner, it ended couple of yrs later. I had to loan him more to buy her out n bank refinancing ...it took him thrice the time to pay me off monthly capital set amt, interest free. Luckily, it's written n signed in black n white. This time round, if younger son need it, would this interest free loan lenders be able to survive with old age n retired.

Debtors massive problem.....lender's headache....Ouch...
Fingers cross that loan is not needed.

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@Rabbithop I feel for you, a very uncomfortable situation. My 2cents, it's a family problem so let everyone in the family carry their share of the load, do it together and share the pain so all doesn't fall on one member of the family.

I have a question bouncing around in my head related to drawdown. I’m trying to put together a very systematic method of trading using a weekly timeframe. The type of trading that I’m thinking about would be very systematic but not mechanical because I’m thinking of a discretionary system. So I’m asking for feedback from people that have more experience trading in a systematic manner, if they think that system drawdown is likely to be less trading a weekly discretionary system or a fully mechanical weekly system?

DaveTrade said:

So I’m asking for feedback from people that have more experience trading in a systematic manner, if they think that system drawdown is likely to be less trading a weekly discretionary system or a fully mechanical weekly system?

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Drawdowns - Discretionary or rules-based trading?
Having a low drawdown when trading lowers the anxiety & emotional pull that causes faulty thinking. The answer might depend on your understanding & definition of "discretionary" as opposed to "rule-based trading". For me, it’s really simple, because "technical analysis" can be backtested to decide if rule-based trading has an edge. Discretionary trading is subjective trading whereas mechanical "rule-based" is objective trading. In saying that, there are those who possess a high level of discretionary skill that shouldn't be discounted. In my opinion, with a mechanical system, exits can be precisely coded according to your risk tolerance.

Skate.

@Rabbithop, I feel for you.
The bank of mum & dad shouldn't be canvasses but in saying this "wisdom should be freely given" when help is needed.

To quote Willy (our 1984 LA Olympic Mascot)
"Where there's a will, there's a way"



Skate.