Dump it Here

[Skate]

We must continue to learn
This highlights the importance of learning from our experiences, rather than being trapped in the same pattern of behaviour. By acknowledging that we have the power to change our actions & decisions, we can avoid the pitfalls of history & create a better, more profitable trading future.

To achieve good and consistent returns
It's crucial to use the right approach when trading. However, it's equally important to remain disciplined & focused, always keeping an eye out for new opportunities in the market. Success in trading requires ongoing learning & adaptation, as the markets are continually changing. We must be willing to learn from our mistakes, analyse market trends, & make informed decisions based on current information. Failure to do so leads you into doing more of the same.

Skate.

 

[Skate]

To achieve consistent returns
It's crucial to remain focused by avoiding past mistakes, so we can prevent poor ongoing returns. It's essential to invest time & effort in exploring new trading strategies & adapting our current approach to keep up with the ever-changing markets. This allows us to manage risks more effectively & maximize our returns.

In addition, we should always be curious & open to learning
The market is always evolving, & there is always something new to learn. Staying informed & curious allows us to continuously educate ourselves, so we can make more informed decisions & increase our chances of long-term success.

Skate.

 

[Skate]

In conclusion
In the previous posts, I have discussed my approach to trading & the importance of timing, having a sound entry & exit strategy, with the need for continuous trading education. It's essential to remember that each trader has their own methods & strategies that work best for them. Exploring alternative approaches & considering different perspectives can be stimulating & informative. Ultimately, the goal is to find a strategy that aligns with our trading objectives, risk tolerance, & personal preferences.

By remaining open-minded & continuously learning
We can expand our knowledge & skills to make informed trading decisions. Remember that trading is a continuous process, & there is always something new to learn & explore.

Stepping off the soapbox for now
I'm now content getting a few things off my chest.


Skate.

 

[ducati916]

@Skate

I would imagine that your model will flash green soon.



Vol. is receding.

US is probably looking at a bit of a rally higher this week unless the financial sector totally implodes.

jog on
duc

 

[Skate]

I would imagine that your model will flash green soon.

Yes, the "PercentageUp Filter" is currently 40% & rising. When the Filter hits 50% or greater buy signals will be generated.

The "PercentageUp Filter"
This filter is a timing filter. Its sole focus is to indicate "WHEN" to buy not "WHAT" to buy.


In the next post
I'll show the difference it makes using an "INDEX FILTER" (10-period simple moving average) compared to using a "PercentageUp Filter"

Skate.

 

[Skate]

Using the "Percentage Up Filter" improves the accuracy of my strategy by avoiding the negative impact of an Index Filter that Nick commonly uses. (By the way, I think an “Index Filter” is better than nothing)

"PercentageUp Filter"
Before I'm accused of "Radge Bashing" it should be noted that I have put it on the record that I think an "Index Filter is better than nothing". But in saying this I believe there is a better alternative & that is the "PercentageUp Filter".

I think an “Index Filter” is better than nothing

"The 'PercentageUp Filter'
Actually, this is a filtering option that calculates the percentage increase in a data point over a set time period. This filter is more effective than the 'Index Filter' because it takes into account the magnitude of the change rather than just the direction. For example, a 10% increase in a small value might be less significant than a 5% increase in a large value.

It's an alternative filter, that's all
My research has shown that using the 'PercentageUp Filter' can lead to more accurate & actionable insights. However, it's important to note that this filter may not be effective in all situations, such as when dealing with very small or large values. Overall, the 'PercentageUp Filter' is a valuable tool for analysing data & should be considered as an alternative to other filters."

Skate.

 

[Skate]

The 200Kay Strategy
This is not my main trading strategy, but it's half decent to demonstrate the effectiveness of using the 'PercentageUp Filter' compared to using the old 'Bread & Butter' 10-period SMA Index Filter.

"The '200Kay Strategy' is one trading strategy that uses the 'PercentageUp Filter'
By using the 'PercentageUp Filter,' the strategy takes into account the magnitude of the increase rather than just the direction, which can lead to more accurate & profitable trades. However, it's important to note that the strategy may not be effective in all situations & carries some level of risk. Traders should carefully consider their own risk tolerance & financial goals before implementing the filter. Overall, the '200Kay Strategy' is a viable trading strategy that demonstrates the effectiveness of the 'PercentageUp Filter' over traditional index filters with backtest results.

More to come.

Skate.

 

[Skate]

Backtest period (1st January 2022 to now)
"The backtest results below compare the performance of the same trading strategy using two different filters: a 10-period Index Filter on the left & a 'PercentageUp Filter' on the right. The 10-period Index Filter is a traditional filter that looks at the moving average of prices over a set time period, while the 'PercentageUp Filter' calculates the percentage increase in a data point over a set time period. The backtest results show that incorporating the 'PercentageUp Filter' on the right significantly improves the performance & profitability of the strategy.

The 'PercentageUp Filter' produces results
Specifically, the 'PercentageUp Filter' produced a higher overall return, a higher win rate, & fewer trades compared to the 10-period Index Filter. The 'PercentageUp Filter' had a win rate of 46.58% & made 73 trades, while the 10-period Index Filter had a win rate of 34.21% & made 76 trades.

Compare the pair
Overall these results demonstrate the value of using the 'PercentageUp Filter' in trading strategies & highlight the potential benefits of incorporating new & innovative filters into traditional trading strategies." I had suggested an alternative "timing filter" to @Nick Radge Twitter shout-out as an alternative.



Skate.

 

[Skate]

Education & learning is never-ending
Why? for the simple reason the markets are constantly changing. It's essential to explore alternative ways of trading & adopt new approaches to manage risks more effectively & maximize returns. Recently, 'The Chartist' raised an important topic on their Twitter feed about the 'theory' of waiting for better market conditions, which highlights the need for continuous learning & exploration. Timing the markets has been a personal area of study for many years, & my research has demonstrated the effectiveness of various approaches. As traders, we should never stop learning & exploring new ways to adapt to the ever-changing markets.



No matter how skilled a trader you may be
It's always important to be open to suggestions & feedback. Seeking out the opinions & experiences of others can provide valuable insights that can help improve your trading strategy. When asking for suggestions, it's important to be receptive & take them on board, even if they challenge your existing beliefs. In trading, there's always room for improvement, & being open to suggestions is a key aspect of continuous learning & growth.

Skate.

 

[Skate]

What is the main metric in backtesting?
Backtesting is a crucial tool for traders to evaluate the effectiveness of their trading strategies. It involves testing a strategy on historical data to determine how it would have performed in the past. The main metric in backtesting is usually the "annual return percentage", which indicates the percentage return on investment (ROI) that the strategy would have achieved.

You need to evaluate the full picture
However, the annual return percentage alone does not provide a complete picture of the strategy's performance. Traders should also consider other metrics such as the "win rate", which indicates the percentage of trades that were profitable, the "number of trades" taken, which provides an indication of the strategy's frequency & consistency, & the "maximum system percentage drawdown", which measures the largest decline in account value from its peak.

Another important metric
This is the "CAR/MaxDD" ratio, which measures the strategy's risk-adjusted return by comparing the compounded annual return to the maximum drawdown. This metric can be particularly useful for comparing the performance of different strategies & selecting the most effective ones. Trading platforms, such as Amibroker, provide various metrics for backtesting. However, traders may have their own favorite metrics based on their trading style & goals. By evaluating multiple metrics & selecting filters that align with their goals, traders can improve the overall performance of their trading strategies & better manage risk. It is crucial to note that backtesting has limitations, & past performance does not guarantee future results.

Skate.

 

[Skate]

Final summary
@Nick Radge's scepticism about the effectiveness of the "10-period weekly moving average" as a trading indicator is valid. However, it is important to note that there are various alternative indicators available, & the choice of the indicator can significantly impact the trading strategy's output. One alternative that I've shown to be effective is the "PercentageUp Filter" which can provide an indication of a trend's strength & can potentially improve their trading strategies' accuracy & profitability. It is important to note that no single indicator or filter is foolproof, & traders should always backtest their strategies & evaluate multiple metrics to ensure their effectiveness. Additionally, market conditions & trends can change, & traders should continually monitor & adjust their strategies accordingly.



Before I overstay my welcome
I trust I have answered Nick's question about using the "PercentageUp Filter" as a "timing filter" over using a "10-period weekly moving average" as an index filter. I hope I've demonstrated by using the "PercentageUp Filter" certainly changes the output for the "better".

I'll hop off the soap box
Just for now.


Skate.

 

[Captain_Chaza]

Can I hop on the Soapbox
For only a Minute Please

Can I give a Good dump on ACADEMICS
Why do academics and I Mean nearly ALL academics protect their egos so preciously to a point that they don't enter 0ne of the Worlds Greatest Monthly Tipping Competition

Is it because they have given up on the Glorious but Sometimes Merciless ASX and have lost their Nerve

"Courage is not Given to Everyone"
or
Do they feel that their Egos to be in a lot safer place in Submarines LOL!

Ego is Everything! ya know!

 

[rcw1]

Buying & selling positions
As traders, our ultimate goal is to make a profit. One way to achieve this is by identifying breakouts in the market. Breakouts occur when the price of an asset suddenly moves, often due to an event, known & unknown. To capitalise on a breakout, traders must act quickly as they don't always last for long.

Take-profit stops
This type of stop is an effective tool that allows traders to capture profits while they are available. Failing to secure profits risks being left behind by other traders who are quick to react. To succeed as a trader, it's essential to develop a sound strategy based on quantified data & optimized indicators that only allow you to take positions only when market conditions are optimal.

Skate.

Good evening Skate,
Yes indeed so, momentum is a great sign too, particularly if you can get in before the herd and then use to the herd to increase gain then get out before a sudden change occurs. On the edge of one's seat stuff, adrenaline pumping and when executed beautifully a nice rum or two or three waiting.

Hope you had a very nice weekend.

Kind regards
rcw1

 

[farmerge]

Good evening Skate,
Yes indeed so, momentum is a great sign too, particularly if you can get in before the herd and then use to the herd to increase gain then get out before a sudden change occurs. On the edge of one's seat stuff, adrenaline pumping and when executed beautifully a nice rum or two or three waiting.

Hope you had a very nice weekend.

Kind regards
rcw1

The way to go. Makes a winner into a grinner

 

[Nick Radge]

Gee, so much Bro love. Thanks Phil.

A few comments, but I've only done this for 37-years so I may be lacking in experience.

1. I have no idea what the "PercentageUpFilter" means. Perhaps you could elaborate or point to where it's fully explained?

2. Weekend Trend Trader has been public since 2012. It remains 'untuned' for consistency purposes only. If I were to constantly tune it, I would be constantly inundated with requests for that update. In real-time trading, one would and should tune it to more recent market data, which is why you see "Radge tweaked" systems.

You continually compare a 20+ year-old regime filer vs something that's been recently built and fitted to the market. When it was originally built there was no 'breadth' data as we have now. So really, apples and oranges.

3. You are proving the validity of your filter based on 1-years worth of data? Seriously.

4. What stress testing has been done to validate the 50% up parameter? Has that been curve-fitted on the last 12-months worth of data just to prove a point? Possibly.

5. The limited backtesting shown here is based on data without historical constituents. Garbage in, garbage out.

Nick "Looking to learn from the best" Radge

 

[Skate]

No matter how skilled a trader you may be
It's always important to be open to suggestions & feedback. Seeking out the opinions & experiences of others can provide valuable insights that can help improve your trading strategy. When asking for suggestions, it's important to be receptive & take them on board, even if they challenge your existing beliefs. In trading, there's always room for improvement, & being open to suggestions is a key aspect of continuous learning & growth.

@Nick Radge thank you for your comments & insights based on your extensive trading experience. In trading, there's always room for improvement & being open to new suggestions is one aspect. (That I quoted above). I also apologise for my lengthy reply as certain aspects of your post need addressing.

1. I have no idea what the "PercentageUpFilter" means. Perhaps you could elaborate or point to where it's fully explained?

My apologies for not being clear on the "PercentageUpFilter" & how it's implemented as a buy condition. I've made multiple posts on how the "Percentage Indicator" is used in my trading as an essential step toward improving trading success.

The "PercentageUpFilter" is easy to understand.
When the "Percentage of advancing positions" in the watchlist exceeds 50% measured over a defined nPeriod my strategy will generate buy positions. When the "PercentageUpFilter" is below 50% new positions are restricted from being generated. On the flip side, I sell positions when the percentage of advancing positions in the watchlist is under 25% as an alternative exit strategy. The correlation of this filter to advancing markets is highly effective. When the "Percentage Indicator is above 50% (the ribbon is green) it's a safe time to enter the markets & it definitely works for me.

The "PercentageUpFilter"
I should also stress again, the sole focus of the "PercentageUpFilter" is a timing mechanism of "WHEN" to buy not "WHAT" to buy.

Dump it Here

You conveniently cut out the trade delay. 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.

www.aussiestockforums.com

Dump it Here

As a systematic trend trader, timing is the keyword On - Off switch (Weekly XAO) If you only traded the blue bars you would be making money. The beauty of this strategy it works across all periodicities. The yellow ribbon is saying "Danger Will Robinson, danger" (Lost in Space quote) or for...

www.aussiestockforums.com

2. Weekend Trend Trader has been public since 2012. It remains 'untuned' for consistency purposes only.

I have concerns about the consistency of your uploaded backtest results of your WTT strategy, which may be helpful for you to explain why in addressing my issues. It's important to address any issues that may impact the accuracy & effectiveness of the results being uploaded.

Dump it Here

If any of our clients has a question, they may contact me directly via phone, our support page or my email address. I'm happy to personally discuss with any client. Nick

www.aussiestockforums.com

Dump it Here

Holy Frack!! :) The thing that I was really surprised about is that when I asked it to generate the swing system where average trade profit was 5% it added a few lines of AFL that used ATR to filter out relatively low volatile stocks—theory being low volatile stocks weren’t capable of...

www.aussiestockforums.com

Dump it Here

Holy Frack!! :) The thing that I was really surprised about is that when I asked it to generate the swing system where average trade profit was 5% it added a few lines of AFL that used ATR to filter out relatively low volatile stocks—theory being low volatile stocks weren’t capable of...

www.aussiestockforums.com

I do understand that backtesting results can be influenced by a variety of factors, including the quality of the data used, the assumptions made, & the parameters selected. It's possible that changes in any of these factors could lead to different backtesting results.

Additionally, market conditions are constantly changing, which can make it difficult to achieve consistent results over time. While a strategy may perform well in certain market conditions, it may not perform as well in others.

I understand your point about the Weekend Trend Trader being an untuned system & the need to constantly update it with recent market data. My comparison was meant to highlight the differences in approach & not necessarily to criticise the effectiveness of the system. It's great to hear that the system has been successful for you & that you are able to fine-tune it in real-time trading.

I go to great lengths to reinforce that others should keep in mind that backtesting is just one tool for evaluating a trading strategy, & it should not be relied upon as the sole indicator of future performance. Real-time trading with a well-defined risk management plan is the only way to truly evaluate the effectiveness of a strategy.

3. You are proving the validity of your filter based on 1-years worth of data? Seriously.

4. What stress testing has been done to validate the 50% up parameter? Has that been curve-fitted on the last 12-months worth of data just to prove a point? Possibly.

Questions 3 & 4, I'll take as comments

5. The limited backtesting shown here is based on data without historical constituents. Garbage in, garbage out.

I agree that historical constituents are an important factor in backtesting & can impact the accuracy of the results. It's important to use high-quality data & ensure that the backtesting is done correctly to avoid garbage-in, & garbage-out scenarios that we are in agreeance.

The other points that you have raised are simply sarcasm which is never a good look. In saying this, sarcasm can often be used because of the way some of my posts are misinterpreted, sometimes it's used when feelings are hurt, but who knows?

I understand that it's important to communicate clearly & respectfully in all interactions. I strive to provide helpful & informative responses to all in a professional & courteous manner. If you have any further concerns or questions, about the "PercentageUpFilter" or any other matter I have raised please let me know & I will do my best to address them clearly & respectfully.

Skate.

 

[Skate]

You are trading at your best
When you remove human emotions & subjectivity from your trading decisions. The use of precise & quantifiable buy & sell conditions, in conjunction with a timing mechanism such as the "PercentageUp Filter", can help increase the probability of profitable trades.

Trading can be simple & uncomplicated
As long as one has a reliable trading method & the discipline to stick to it. It's important to focus on finding the right stocks to trade & identifying the appropriate timing to enter & exit those trades. Researching & backtesting a trading method is indeed a crucial step in the process, as it can help verify the effectiveness of the system under different market conditions.

Skate.

 

[Skate]

Markets are irrational at best
Market movements can often be unpredictable, & unexpected events can have a significant impact on your trading results. While it is true that backtesting cannot account for future events, having a well-defined & quantifiable trading strategy with appropriate parameters can still improve results. It is important to recognize that market conditions can change, & a system trader should always be prepared to adjust their approach to adapt to new circumstances.

A simple yet effective trading strategy can often withstand the test of time
It is crucial to recognise that backtest results are not always indicative of future performance, & the live market environment can be much more challenging. Making coding errors is a common mistake in backtesting, & relying solely on exceptional backtest results can be dangerous. Successful trading requires discipline & the ability to handle drawdowns & remain committed to a trading strategy even during difficult times. Knowing when not to participate in the markets allows you to retain prior gains.

Skate.

 

[Nick Radge]

" 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%"

I'm a little dumb. Can you elaborate on "advancing positions"? Is that like signals, aka positions, generated by the system, or do you mean "advancing" symbols within the watchlist. So in the XAO, if 50% of symbols are rising, then we're good to buy?

 

[Skate]

All traders, even experienced ones, can make behavioral mistakes in trading
It is essential to recognise the psychological aspects of trading & how they can impact your performance. Traders must be prepared to handle the emotional ups and downs that come with trading to a point. It's crucial to be disciplined & stick to a well-defined trading plan to mitigate the impact of such mistakes. Holding large losses must certainly be telling a story, but only if you are listening.

Developing a successful trading strategy takes time with new ideas
It's also essential to be patient during the development process. While it may be tempting to fine-tune a strategy for exceptional returns, such an approach may not lead to consistent profitability. It is important to have a rigorous testing methodology to verify the effectiveness of the trading strategy & to be open to adjusting the strategy if market conditions change.

Skate.