Dump it Here

[Skate]

This series of posts might be over the top for most beginners
I've been thinking whilst having a break that my series of posts today may be too advanced for beginners. Understanding procedures, parameters, & strategy construction of filters requires basic coding skills or advanced math knowledge. Simplifying these concepts can be challenging, & may not be possible to understand without a solid understanding of the underlying principles.

Technical analysis is a complex field
In my previous posts, I failed to explain that technical analysis is a complex field that involves various concepts, techniques, & tools. It also requires a good understanding of mathematics, statistics, & programming skills to fully comprehend the intricacies of trading strategies.
For example, when constructing filters to identify trading opportunities, traders need to consider multiple factors such as trend direction, momentum, volatility, & volume. Each of these factors has various parameters & calculations that must be optimised to achieve the best results. Some trading strategies involve advanced concepts & techniques.

Therefore, anyone new to this field of trading (TA)
It's essential to start with the basics & gradually build up knowledge & skills to become proficient in trading this way. To become proficient in technical analysis, beginners can start by learning about basic technical indicators such as Moving Averages (SMA), Bollinger Bands (BB), & Relative Strength Index (RSI) & what they look like on a chart. It's only when this sparkes their interest or they see a perceived trading value they can move on to more advanced concepts.

Skate.

 

[Skate]

In closing
it's important to understand that trading can be an extremely stressful activity. There's always a level of uncertainty & risk involved, as the market is constantly changing, which can make it difficult to predict what's going to happen next. However, having a well-defined trading strategy can help alleviate some of this stress. When a trader has a clear plan in place, they have a set of rules & guidelines to follow, which can help them make more informed decisions & avoid making impulsive trades based on emotions or gut feelings.

By trading smart, you can live life on your terms (financial freedom is achievable)
Additionally, a trading strategy can provide a sense of structure & control. Instead of feeling like they're at the mercy of the market, traders can feel like they're in charge of their own destiny. This can be a powerful motivator & can help traders stay focused & disciplined. Of course, it's important to note that even with a well-defined trading strategy, there's always going to be some level of stress involved in trading. No strategy is foolproof, & unexpected events can always occur that can throw a wrench in even the best-laid plans. However, having a strategy in place can still be incredibly beneficial in terms of reducing stress & improving overall trading performance.

Skate.

 

[rcw1]

There is a lack of new ideas when it comes to trading
I understand the frustration some can have when there is a lack of new or original trading ideas presented in some forums. It's even difficult to find fresh perspectives when many traders are relying on the same old strategies & information that has been around for years. But all is not lost. By studying various traders you can learn from their experiences, & you may be able to discover new ideas & fresh perspectives that can help improve your trading performance.

Another approach is to develop your own ideas & strategies
How? by experimenting with different trading techniques & analysing the backtest metrics. By taking a creative & experimental approach to trading, you may be able to discover new insights that can help you stand out from the crowd. While it can be challenging to find new & innovative ideas it doesn't have to stop you from thinking about how you should approach trading, you never know you may be able to uncover new insights that can help you achieve greater success.

Skate.

Good afternoon,
Great comments Skate. Yep reckon so. Do like to contribute and hopefully value add to your post ...

There is a lack of new ideas when it comes to trading

By studying various traders you can learn from their experiences, & you may be able to discover new ideas & fresh perspectives that can help improve your trading performance

Good ideas can come from anywhere really, this forum, other forums, media, reading material/video, colleagues, paid professional forum / development course, at the bar ha ha ha ha etc etc etc and yes definitely from what other traders do in this space.

But, for mine, most importantly when you apply your trade (pardon the pun), actually on the tools day in day out, week in week out, month in month out, year in year out... decade in decade out, ha ha ha ha; self-learning in good and bad times one does test out new ideas... as a matter of course. It just happens... Especially when you have been bashed from pillar to post... losing heaps of coin. Good ol 360 degree honest self-assessment and an upper cut or two ha ha ha ha.

Sustainability (invest/trade) is gold.

Don't believe anything ... until you have personally validated the concept ... see it all play out with your own eyes. When not sure don't be frightened to ask that question. Even media reports, good to get another authority to validate what has been released. Organisations are very smart these days with 'spin' and BS and use the media to try and conjure up / manipulate an advantage.

Another approach is to develop your own ideas & strategies
...
you never know you may be able to uncover new insights that can help you achieve greater success.

rcw1 has found that sticking to the script that you know has proven successful, is best, until new idea has been appropriately tested.
Apply dummy trades and watch and wait patiently until ready to use your hard earned ... in a change of one's methodology. On the balance, be careful not to change something that is 'is not broken'. Overall, for mine, the building blocks to become a better trader.


Note: Sharkies 30 Warriors 24 - 15 to go
Kind regards
rcw1

 

[Skate]

Note: Sharkies 30 Warriors 24 - 15 to go

Update
The game is now locked up 30 all.

Skate.

 

[ducati916]

In closing
it's important to understand that trading can be an extremely stressful activity. There's always a level of uncertainty & risk involved, as the market is constantly changing, which can make it difficult to predict what's going to happen next. However, having a well-defined trading strategy can help alleviate some of this stress. When a trader has a clear plan in place, they have a set of rules & guidelines to follow, which can help them make more informed decisions & avoid making impulsive trades based on emotions or gut feelings.

By trading smart, you can live life on your terms (financial freedom is achievable)
Additionally, a trading strategy can provide a sense of structure & control. Instead of feeling like they're at the mercy of the market, traders can feel like they're in charge of their own destiny. This can be a powerful motivator & can help traders stay focused & disciplined. Of course, it's important to note that even with a well-defined trading strategy, there's always going to be some level of stress involved in trading. No strategy is foolproof, & unexpected events can always occur that can throw a wrench in even the best-laid plans. However, having a strategy in place can still be incredibly beneficial in terms of reducing stress & improving overall trading performance.

Skate.

@Skate

A risk management strategy that provides a methodology of addressing some of these concerns is to balance the portfolio.

The portfolio is constructed of a number of different strategies. Long, short, neutral, timeframes, instruments and volatility (all are viable independent strategies) will balance out a portfolio to a higher degree of robustness to market conditions that can change quite quickly as we have currently, or remain quite stable for extended periods 2013-2018.

A single strategy means that unless you are in that strategies sweet spot, your returns and experience are going to sub-optimal and extremely frustrating. (I know Mr Skate runs a number of different strategies).

Your 5 market conditions are: (i) parabolic higher (2020) (ii) higher (2013-2018) (iii) sideways, (iv) down (2022) and (v) parabolic down (2008 early 2020).

Instruments: (i) stock, (ii) futures, (iii) options, (iv) physical, (v) debt, (vi) cash.

Leverage: is a tool that can be used to enhance returns. (Obviously) if you can't trade profitably un-leveraged, this is a quick way out of the markets. Assuming you can, join a prop. shop and use their capital to leverage. Currently I get (+/- 50x) more than enough to turn even a small capital base into something dangerous. With more capital you are turning yourself into a small Hedge Fund.

Trade a different market to your home market. In this way you can keep working (I work a full time job in NZ) and trade the US before work. This takes a huge amount of pressure off of you for bills etc. and allows you to quickly compound your gains. Of course you can manage trading your home market through mastering conditional orders.

Probably enough for the moment....off to work!

jog on
duc

 

[qldfrog]

I will also extract a very relevant imho point from Mr Leduc

Your 5 market conditions are: (i) parabolic higher (2020) (ii) higher (2013-2018) (iii) sideways, (iv) down (2022) and (v) parabolic down (2008 early 2020).

So no need to backtest since the birth of Christ for daily and weekly systems:
You can get a nice snapshot of market conditions in the last 10y..even 5y and take into account the technological recent changes.
But yes different strategies ideally.
Each with own indicators to switch them on off or reduce increase exposure
And then life comes and the frog needs to empty his accounts and slash his exposure when systems are turning green and full on.
There is a reason we rarely get these millions of BT returns

 

[rcw1]

I will also extract a very relevant imho point from Mr Leduc

So no need to backtest since the birth of Christ for daily and weekly systems:
You can get a nice snapshot of market conditions in the last 10y..even 5y and take into account the technological recent changes.
But yes different strategies ideally.
Each with own indicators to switch them on off or reduce increase exposure
And then life comes and the frog needs to empty his accounts and slash his exposure when systems are turning green and full on.
There is a reason we rarely get these millions of BT returns

Good morning
So then, where does one draw a line in the sand as to the extent of back testing, and forward testing (acceptance testing). For mine, appropriate due diligence is applied as to the trader's personal discretion.

Have a prosperous week and good fortune.

Kind regards
rcw1

 

[qldfrog]

Good morning
So then, where does one draw a line in the sand as to the extent of back testing, and forward testing (acceptance testing). For mine, appropriate due diligence is applied as to the trader's personal discretion.

Have a prosperous week and good fortune.

Kind regards
rcw1

Indeed very discretionary and if you go for monthly systems, you need a longer timeframe etc etc

 

[Skate]

For mine, appropriate due diligence is applied as to the trader's personal discretion.

@rcw1 comment highlights an important issue with system trading
The tendency to persist with a strategy even when it is not producing the desired results. There are some traders who pride themselves on suffering great monetary losses while waiting for their convictions to be rewarded which to me is a fool's errand. While it is true that trend-following systems can perform well in a bull market, it is important to recognise that markets are dynamic & subject to change. As such, traders need to be vigilant & constantly monitor their strategies to ensure that they are still effective.

One way to do this is by establishing clear performance metrics
By regularly tracking the strategy's performance over time traders should compare the strategy's returns to relevant market benchmarks, & take note if it consistently underperforms. This can be an indication that the strategy is no longer effective & may need to be modified or abandoned.

Skate.

 

[Skate]

To ensure long-term success in the markets
Traders must be aware of when their trading strategies stop working as intended. This can occur gradually, making it crucial for traders to regularly evaluate the effectiveness of their strategies & be open to making necessary adjustments. Establishing clear performance metrics & tracking the strategy's performance over time can help identify if it consistently underperforms. This information is critical in determining if the strategy needs modification or abandonment.

When a trading strategy fails to meet the established performance metrics
It is essential to take immediate action. Ignoring an ineffective trading strategy can lead to significant losses, & traders must avoid the temptation of relying on a failing strategy. Regular reassessment of strategies is an effective method to ensure the strategy is still performing as expected. By implementing this assessment approach, traders can stay ahead of the curve in an ever-changing market & increase their chances of long-term success.

Skate.

 

[Skate]

A single strategy means that unless you are in that strategies sweet spot, your returns and experience are going to sub-optimal and extremely frustrating. (I know Mr Skate runs a number of different strategies).

@ducati916's statement highlights the limitations of relying on a single trading strategy
I've found when trading a single strategy you are entirely at the mercy of that strategy. When the trading results aren't favourable the potential frustrations it can cause can be unbearable at times. However, there are ways to overcome this challenge. While a single strategy may perform well in certain market conditions, it may be less effective in others.

How to achieve smoother returns
To overcome this challenge, of trading a single strategy traders can consider running multiple strategies. This approach can provide diversification & potentially smoother returns. Additionally, running multiple strategies allows traders to have a more comprehensive understanding of the markets, potentially leading to more profitable trades. However, it is essential to note that this approach requires discipline, patience, & the ability to manage multiple strategies effectively.

Skate.

 

[rcw1]

@rcw1 comment highlights an important issue with system trading
The tendency to persist with a strategy even when it is not producing the desired results. There are some traders who pride themselves on suffering great monetary losses while waiting for their convictions to be rewarded which to me is a fool's errand. While it is true that trend-following systems can perform well in a bull market, it is important to recognise that markets are dynamic & subject to change. As such, traders need to be vigilant & constantly monitor their strategies to ensure that they are still effective.

One way to do this is by establishing clear performance metrics
By regularly tracking the strategy's performance over time traders should compare the strategy's returns to relevant market benchmarks, & take note if it consistently underperforms. This can be an indication that the strategy is no longer effective & may need to be modified or abandoned.

Skate.

Good evening

Further to your comments Skate.
Simply recalculating reward and risk levels over planned holding period can do the trick. By this I mean, initially the targeted holding period on the balance of reward and risk was 1 day, however upon further assessment the holding period may well extend out to a fortnight.

This normally happens because of Whipsaws. The bloody things... A trader is Whipsawed, when the stock they have just purchased, its share price abruptly and unexpectedly moves in the opposite direction. ha ha ha ha ha ha The actual strategy was solid but got Whipsawed...

Planned holding period is important and could be dependent on the extent of how dynamic / unseemly the market is behaving.

Very interesting and quite complex stuff. Great judgment conquers all.

Kind regards
rcw1

 

[Gringotts Bank]

To get started, you can just pick any indicator and study its behaviour and relationship to price in forensic detail. Until something jumps out at you.

 

[qldfrog]

To get started, you can just pick any indicator and study its behaviour and relationship to price in forensic detail. Until something jumps out at you.

To price and volume..
I missed that initially.

 

[Skate]

Planned holding period is important and could be dependent on the extent of how dynamic / unseemly the market is behaving.

Very interesting and quite complex stuff. Great judgment conquers all.

Trading is simple, making money from the markets becomes complex
It's important to remember that the markets are constantly changing, because of shifting sentiments driven by current economic & political developments. As such, trading is becoming more complex requiring traders to adapt to these changing conditions by canvassing ways to identify new opportunities.

Traders who are able to think creatively
Outside the box, as they say, may be able to identify new approaches & techniques that can give them an edge in the markets. There are always new possibilities for traders to analyse market data & develop their own trading strategies. Also, don't discount new technologies that can help identify patterns & trends that are not immediately apparent to the human eye. Traders who are willing to embrace innovation & experimentation can still find success in the markets.

Skate

 

[Skate]

Trading involves a high degree of uncertainty & potential losses
It's worth noting that trading is a complex endeavour that involves a variety of factors, & no single trader possesses all the knowledge & expertise required to excel in every aspect of trading. Therefore, traders should remain open to learning from others, & have a mindset to share knowledge to improve not only their own skills but also the idea of helping others improve theirs.

Knowledge-sharing
By continuously learning, traders can improve their chances of success in the market. Additionally, by being open to knowledge-sharing, traders can expand their horizons & gain new perspectives on the art of trading.

Skate.

 

[Skate]

To price and volume..
I missed that initially.

@qldfrog hits on an important point when discussing the markets
Price & volume are two separate factors that traders use to analyse the market & make trading decisions & both are very important. In contrast, I want to make reference to a volume-weighted trading system. This type of trading strategy takes into account the volume of trades when making buy or sell decisions. A volume-weighted trading system assigns greater importance to trades with higher volumes, as they are seen as more significant & can provide a more accurate representation of market sentiment.

Volume-weighted average price (VWAP)
A volume-weighted trading system simply calculates the volume-weighted average price (VWAP) of an asset over a given period. The VWAP is then used as a benchmark for making trading decisions, with buy signals triggered when the asset's price is trading below the VWAP & sell signals triggered when it's trading above the VWAP. In summary, while price & volume are essential factors in trading, a volume-weighted trading system is a specific type of trading strategy that uses volume as a key factor in making buy or sell decisions.

Skate.

 

[Skate]

In contrast, I want to make reference to a volume-weighted trading system.

Volume-weighted average price (VWAP) trading strategy
The VWAP trading strategy is a powerful tool that can be used to identify potential trading opportunities in a variety of market conditions. I personally trade a version of a VWAP Strategy & so does @qldfrog. Trading using a "Volume-weighted average price" (VWAP) is very effective in the current trading environment & the results aren't too shabby. I trade a much larger amount than the backtest but using a $100k X 10-position strategy allows you to understand the metric just that much easier.

The VWAP trading strategy has become increasingly popular in recent years
Why? for the simple reason it's effective in identifying potential trading opportunities in particularly useful in identifying trends in heavily traded assets, where price movements can be influenced by large institutional traders. When you team it up with a timing filter, results can be amplified.

Backtest period (four years)
While the results of backtesting can provide an indication of the effectiveness of a trading strategy, it's important to keep in mind the generated metrics really tell the story of how effective this strategy performs.



In summary
Out of 310 exits, only 91 of those were from a last resort trailing stop. When the exit from a trailing stop is low, it indicates (to me) that the other two timed exits are doing their job & all the heavy lifting. The average "Profit Stop" (exit) results in an average of 9.29% profit whereas the "Stale Stop" (exit) limits the loss on average to (-1.23%). Both are pleasing metrics. (AFAIC)

Skate.

 

[qldfrog]

Volume-weighted average price (VWAP) trading strategy
The VWAP trading strategy is a powerful tool that can be used to identify potential trading opportunities in a variety of market conditions. I personally trade a version of a VWAP Strategy & so does @qldfrog. Trading using a "Volume-weighted average price" (VWAP) is very effective in the current trading environment & the results aren't too shabby. I trade a much larger amount than the backtest but using a $100k X 10-position strategy allows you to understand the metric just that much easier.

The VWAP trading strategy has become increasingly popular in recent years
Why? for the simple reason it's effective in identifying potential trading opportunities in particularly useful in identifying trends in heavily traded assets, where price movements can be influenced by large institutional traders. When you team it up with a timing filter, results can be amplified.

Backtest period (four years)
While the results of backtesting can provide an indication of the effectiveness of a trading strategy, it's important to keep in mind the generated metrics really tell the story of how effective this strategy performs.

View attachment 155376

In summary
Out of 310 exits, only 91 of those were from a last resort trailing stop. When the exit from a trailing stop is low, it indicates (to me) that the other two timed exits are doing their job & all the heavy lifting. The average "Profit Stop" (exit) results in an average of 9.29% profit whereas the "Stale Stop" (exit) limits the loss on average to (-1.23%). Both are pleasing metrics. (AFAIC)

Skate.

If this is of any value: I have a currently running VWMA strategy;
I do not have the experience and gift from Mr Skate but the VWMA is not too bad especially as it is designed in my case to be quite conservative:



using 100k, non compounded on the same dates.
This might push fellow system traders to include that type of strategy.
Hope it helps

 

[qldfrog]

and just for the sake of clarity after my post yesterday:
this is a conservative system as it is very cautious in its way it gets in and out of cash: only engaged for short spurs(sp?)

This weekly system got engaged again last Monday but due to external very big $commitment, I had to drastically slashed (by 4) the portfolio size of all my systems for the coming months...and so probably missing the best part of the next rally