Dump it Here

[tech/a]

Skate

I don't have time to answer in full
But will say that over the last 3 yrs my understanding
of mechanical systems and in particular their programming
and testing has altered 180 degrees.

General public access to serious capability isn't collated all in one spot.
Its there but putting it together in a meaningful collation with the
understanding and or direction to use it is sadly unavailable to us.

But very soon it will be!

 

[Skate]

Skate

I don't have time to answer in full
But will say that over the last 3 yrs my understanding
of mechanical systems and in particular their programming
and testing has altered 180 degrees.

General public access to serious capability isn't collated all in one spot.
Its there but putting it together in a meaningful collation with the
understanding and or direction to use it is sadly unavailable to us.

But very soon it will be!

tech/a, its interesting that you say that over the last 3 yrs your understanding of mechanical systems and in particular their programming and testing has altered 180 degrees.

My mechanical 'Hybrid' system is a trend following system jumping on confirmed breakouts, it's really no better than a 50/50 change of a continuation of the move in the right direct but it's the best I've been able to achieve & it's consistent with this style of strategy.

Luck & money management principles
In designing good money management principles into a my 'Mechanical Trading System' to a degree helps but my success or failure in the market is a function of our luck & timing entry.

Moreover
No money management principles can turn a system with 'negative expectancy' into a winning system & 'poor money management' can turn any good system into a losing system.

Waiting with interest
I'll be interested to hear your expanded views to the topic raise as most know you have a deep understand & a high degree of knowledge in this area

Skate.

 

[willy1111]

The teacher appears when the student is ready . . . one has to have a willingness/open mind/thirst to want to learn a subject/topic. Once one has that, they go in search of answers and since we are in the information age - the information on said topic is abundant . . . so much so that the information available can be overwhelming. One then has to determine if the payoff to sort through all that information is worth it.

 

[willy1111]

What’s so good about Mechanical Trading Systems ?
Mechanical trading systems that are well coded have the ability to find positions where markets are somewhat inefficient & can detect patterns in historical data that precede profitable opportunities ensuring those patterns persist long enough to make profitable trades.

Discretionary traders
Trading is not an exact science whereas trading a mechanical system exceeds my personal ability to use an alternative discretionary method of trading. Good discretionary traders (IMHO) have a gift that I admire.

Skate.

One can learn to be a discretionary trader, the information is out there.

I have tried it, but for me the time involved in back testing is very intensive, back testing a mechanical strategy would seem to be much more quantitative and quicker to get a result. Different variables and inputs can be changed and tested very quickly with a mechanical strategy to see merit, it can be measured over different times frames, in sample, out of sample, etc.

An expectation of compound annual growth, draw down, trade frequency can be set. This provides confidence to risk hard earned dollars in the market rather than keep it in cash or another asset class.

At the same time I try to remember that no one knows the future - it may not continue to perform as expected into the future - it is interesting to look at a 20 year back test and compare the annual compound return and count how many specific years were above and below that benchmark. Over what period is the back test data available, what were the economic conditions like for the country during that period and what is relevant..... unfortunately only hindsight tells us.

 

[Skate]

The teacher appears when the student is ready . . . one has to have a willingness/open mind/thirst to want to learn a subject/topic. Once one has that, they go in search of answers and since we are in the information age - the information on said topic is abundant . . . so much so that the information available can be overwhelming. One then has to determine if the payoff to sort through all that information is worth it.

willy1111,what a great post & I'll express your views from my point of view.

We must engage other to learn
Learning must be engaging, if it’s not engaging learning will not take place & the very first step towards success in learning is to become interested in the topic.

Information
Most people have almost no ability to discern genuine information from false information and today there is a huge amount of information easily available to everyone. Virtually any information you want is available, literally any information whether it's true or false is to be found at a push of a button. Come up with an insane idea, google it, and you will find information 'confirming' it.

That's why members rely & depend on forums like ASF to discern the 'chaff from the fodder' expecting forum posts to accurate & informative.

Skate.

 

[Skate]

One can learn to be a discretionary trader, the information is out there.

I have tried it, but for me the time involved in back testing is very intensive, back testing a mechanical strategy would seem to be much more quantitative and quicker to get a result. Different variables and inputs can be changed and tested very quickly with a mechanical strategy to see merit, it can be measured over different times frames, in sample, out of sample, etc.

An expectation of compound annual growth, draw down, trade frequency can be set. This provides confidence to risk hard earned dollars in the market rather than keep it in cash or another asset class.

At the same time I try to remember that no one knows the future - it may not continue to perform as expected into the future - it is interesting to look at a 20 year back test and compare the annual compound return and count how many specific years were above and below that benchmark. Over what period is the back test data available, what were the economic conditions like for the country during that period and what is relevant..... unfortunately only hindsight tells us.

willy1111, I've posted that I use a mechanical trend trading system, my strike rate is a 50/50 chance of being correct.

Just for you (don't tell anyone else)
Tell you what I'll do, just for you, if you are at all interested - I'm prepared to show you what I see when I push one button to generated Buy & Sell signal. I trade a 40 position strategy. Trading involes a maximum of 15 minutes a week, portfolio management another 15 minutes. (maximum of 30 minutes a week)

It's past history, so I'm prepared to reveal all
If you are interested, I won't cherry pick a date - I'll leave that up to you to decide & pick. I'll show you why trading for me is boring. I'll even show you the charts with the signal generated & results of that trade.

Results
The results will be clear & with a single glance you will know exactly how the trade panned out for me & there will be no explanation needed. My charts are coded into my strategy, colourful & meaningful.

Pick a week any week
Pick any week (I trade a weekly system) starting from "1st July 2017 to 30th December 2017" (inclusive) & you'll see exactly what I see. You can even judge if my mechanical system was kind to me or not.

I'll post signals in a flash
There wont be any fiddling & I'll post the signals in a flash - then post the charts.

Not interested
If your not interested, never mind.

Others interested ?
If any other member are interested in how I trade I'll respond quickly. (some may be interested, some not so interested)

Skate.

 

[willy1111]

willy1111, I've posted that I use a mechanical trend trading system, my strike rate is a 50/50 chance of being correct.

Just for you (don't tell anyone else)
Tell you what I'll do, just for you, if you are at all interested - I'm prepared to show you what I see when I push one button to generated Buy & Sell signal. I trade a 40 position strategy. Trading involes a maximum of 15 minutes a week, portfolio management another 15 minutes. (maximum of 30 minutes a week)

It's past history, so I'm prepared to reveal all
If you are interested, I won't cherry pick a date - I'll leave that up to you to decide & pick. I'll show you why trading for me is boring. I'll even show you the charts with the signal generated & results of that trade.

Results
The results will be clear & with a single glance you will know exactly how the trade panned out for me & there will be no explanation needed. My charts are coded into my strategy, colourful & meaningful.

Pick a week any week
Pick any week (I trade a weekly system) starting from "1st July 2017 to 30th December 2017" (inclusive) & you'll see exactly what I see. You can even judge if my mechanical system was kind to me or not.

I'll post signals in a flash
There wont be any fiddling & I'll post the signals in a flash - then post the charts.

Not interested
If your not interested, never mind.

Others interested ?
If any other member are interested in how I trade I'll respond quickly. (some may be interested, some not so interested)

Skate.

From what you describe...our style is very very similar

I can sense just how eager you are so sure go ahead if you're willing to share why not , perhaps go with first week of July 17. And perhaps pick another week which shows the entry for your biggest winner.

What universe do you trade.. as in All ords xao, top 300 xko, etc?

And another idea if you are willing to share perhaps a single run backtest from 1 July 17 to 30 June 2018, showing return, drawn down, # of trades, percent winners, ave win %, ave lose %. No probs if not.

 

[Skate]

Generated signals
My trading signals - I have no idea how they went, I'll check later.

One better from the 7th July 2017 to 4th August 2017



Charts
The corresponding charts will be to be posted shortly

 

[Skate]

From what you describe...our style is very very similar

I can sense just how eager you are so sure go ahead if you're willing to share why not , perhaps go with first week of July 17. And perhaps pick another week which shows the entry for your biggest winner.

What universe do you trade.. as in All ords xao, top 300 xko, etc?

And another idea if you are willing to share perhaps a single run backtest from 1 July 17 to 30 June 2018, showing return, drawn down, # of trades, percent winners, ave win %, ave lose %. No probs if not.

1. I trade the All Ordinaries (XAO)
2. A single run backtest from 1 July 17 to 30 June 2018 - sure no problems (it's 1.29pm lunch is due & after lunch I'll post them)

Skate.

 

[Skate]

Copy & Paste Statistics (1 July 17 to 30 June 2018)

40 positions @ $15K Positions

All trades
Initial capital 600000
Ending capital 972128.77
Net Profit 372128.77
Net Profit % 62.02%
Exposure % 70.47%
Net Risk Adjusted Return % 88.01%
Annual Return % 63.78%
Risk Adjusted Return % 90.51%
Transaction costs 7906.8

All trades 132
Avg. Profit/Loss 2819.16
Avg. Profit/Loss % 19.03%
Avg. Bars Held 13.41

Winners 74 (56.06 %)
Total Profit 457763.33
Avg. Profit 6185.99
Avg. Profit % 41.66%
Avg. Bars Held 17.64
Max. Consecutive 10
Largest win 37756.53
# bars in largest win 22

Losers 58 (43.94 %)
Total Loss -85634.56
Avg. Loss -1476.46
Avg. Loss % -9.84%
Avg. Bars Held 8.02
Max. Consecutive 4
Largest loss -5072.01
# bars in largest loss 5

Max. trade drawdown -17499.93
Max. trade % drawdown -40.81
Max. system drawdown -72851.79
Max. system % drawdown -7.23%
Recovery Factor 5.11
CAR/MaxDD 8.82
RAR/MaxDD 12.52
Profit Factor 5.35
Payoff Ratio 4.19
Standard Error 60970.13
Risk-Reward Ratio 7.2
Ulcer Index 2.65
Ulcer Performance Index 22.02
Sharpe Ratio of trades 0.73
K-Ratio 0.28

Profit Take Trades 0
Avg. Take Profit P&L 0
% Avg. Take Profit P&L 0.00%


Trailing Stop Trades 54
Avg. Trailing Stop P&L 2317.25
% Avg. Trailing Stop P&L 15.45%


Stale Stop Trades 38
Avg. Stale Stop P&L 1113.56
% Avg. Stale Stop P&L 7.76%


P&L for Closed Trades 372128.63
Number of Closed Trades 92
Standard Deviation of Closed Trades 8529.69


Number of Open Positions 40
Capital in Open Positions 657544


Expectancy ($) 2819.16
Expectancy (per $100 inv.) 16.18

Skate.

 

[Skate]

 

[Skate]

Off to lunch..

Skate.

 

[Skate]

perhaps pick another week which shows the entry for your biggest winner.

My best trade results





Skate.

 

[Skate]

perhaps pick another week which shows the entry for your biggest winner.

My worst trade results





Skate.

 

[Skate]

Important NOTICE
I wish to apologise for not giving advance warning before dumping charts (in my haste for lunch I forgot to give a warning)

Comments
I wish to make some conditioning comments

Why do I make conditioning comments ? (I'm starting to feel like Kevin Rudd, ask a question than answer it yourself)
To reiterate important points of view from my angle

Rules
What makes trading so difficult is this: "There are no rules"

Excess freedom
The problem is that 'excess freedom' cause people to become overwhelmed and fearful and lose money because they do not 'know' what to do.

New traders struggle with the markets
There are no RULES in the markets and most people like ‘rules’ and like to be told what to do. People are conditioned from childhood to listen to authority and follow ‘rules’.

Don't break your trading rules
This is very difficult for some people to achieve because when dealing with large amounts of money, you tend to break your rules or make new ones along the way, solely for the purpose of justifying how you feel at the moment.

Simple message
If you are a system trader keep the system as simple as possible, validate it (robust backtesting) and trade it with confidence !

Please read this line 5 times
When you’re dealing with your own money, trading gets very complicated, very quickly!

Skate

 

[Skate]

Before I finish..

Yes, I've been lucky
I want to express my gratitude to ASF members who have helped me to become a lucky trader, my trading results are from standing on the shoulders of other.

ASF
Thank you "Aussie Stock Forums" without this site I wouldn't have become a trader at all.

Trading as in life
Always have an attitude of gratitude, doing so "you might just turn that frown upside down"

Skate.

 

[willy1111]

1. I trade the All Ordinaries (XAO)
2. A single run backtest from 1 July 17 to 30 June 2018 - sure no problems (it's 1.29pm lunch is due & after lunch I'll post them)

Skate.

Thanks for taking the time to share.

This brings up an important point when running backtests on certain universes known as Historical Index Constituents that we may all learn from.

Do you have the following code in your buy signal when running backtests . . . . AND NorgateIndexConstituentTimeSeries("$XAO") . . . and then run the back test on the All Ords Current and Past watchlist. https://norgatedata.com/amibroker-usage.php

 

[captain black]

Before I finish..

Congratulations on your thread Skate.

It's always the hope that someone you help out goes on to pay it forward, you've certainly done that and more. Cheers

 

[Skate]

Congratulations on your thread Skate.

It's always the hope that someone you help out goes on to pay it forward, you've certainly done that and more. Cheers

Reality check
without venturing onto the ASF site, I would never have met "captain black". Without meeting the captain I would never had the knowledge or confidence to start trading.

Luck
Talk about luck, the day I met captain black was the luckiest day ever (financially) & without your education, guidance & coding help, I'd still be playing it safe in LIC's

Trading as in life
Always have an attitude of gratitude, doing so "you might just turn that frown upside down"

I say
Three cheers for "the captain" for turning my very basic code into a money making machine (machine = Hybrid strategy)

Skate.

 

[captain black]

You're too kind Skate, I know the number of hours you've put into getting your trading systems working, you've made your own luck.