Dump it Here

Hi Skate, Great work and awesome sharing of your experience and hard work.

Also thanks for throwing some meat into the crowd. I have been busily trying to analyse your results to find some of the many gems no doubt awaiting those who bother to look.

It seems you will jump on anything in the ASX that moves (when conditions are right) with your swarm approach, I was very interested to note 7/10 of your best trades last FY were in stocks outside the XAO. Food for thought right there. It seems kissing frogs has never been more rewarding.

I have looked at index filters and 150ma seems to be a reasonable round number to keep a trader out of major downturns, yet amongst the meat of a trend. I sure there is something much better out there to guide a trend follower, maybe something like the XEC, there seems to be some correlation between it and T/F results. That first 6 months of FY17/18 was a cracker trend.

We can see on the chart below the XEC diverged from XAO before they both went down the gurgler.

One more thing Skate, if I may, can you give us a look at your 16/17FY results, that was a crap time for trend followers in general. I would love to see how your system handles the tougher times and how deep your drawdowns are. You have alluded to the pain, show us how tolerant you are.

Cheers Wyatt

Skate said:

The 'Dump it here' thread lacks posters..

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Sorry Skate, busy here too. Full moon planting and festivities for a few days on the farm (gotta keep the Pagans and Wiccans happy) plus a few more wwoofers have arrived. Firing up the pizza ovens to feed the masses again tonight

Skate said:

when others post, I tend to learn something new.

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I've already told you everything I know

Gringotts Bank said:

Most (not all, most) of the big players barely manage to beat the index. So if they are the manipulators, why aren't they winning big?

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Gringotts Bank, most traders & fund managers don't have a good handle on how the market works, you think they would should know but they don't.

This will turn into a long post that would be boring for others to read, so I'll keep it as succinctly as possible by giving basic examples that others many understand.

How a business makes money
1. They Buy right (at wholesale prices)
2. The sell right (at retail prices)
3. Control their expenses
4. Pay their Tax obligations
5. Pocket the balance

The manipulators
1. Buy right at wholesales prices (the low price)
2. Sell right at retail prices (the high price)

How do traders lose money ?
1. They buy at Retail (at the top of the price range)
2. They sell at Wholesale (at the bottom of the price range)
3. Manipulators know where your stops are (its called gunning for stops) all they have to do is force to that level, emotions will do the rest.

You've seen the charts.
1. The prices are pushed up
2. The prices are dragged down
3. Wash & repeat (that's what causes the Zip Zap pattern you see on the charts)

The Fund Managers
1. Their business model is to make money for the company & surprise, surprise they don't make money for you (that's not their job)
2. They track Indexes by only buying non volatile companies & they are after the dividends (capital growth is a bonus)
3. Their business model is to keep you fully invested (their profits comes from funds under management)
4. The funds under management attract a management fee, whether you win or lose money, they don't care (its not about you)

Investment vehicles
Safe long term investments vehicle the type 'Fund Managers' use have a low payoff ratio (that's why the lower than expected performance results)

Ocean Cruises & Industry/Retail Funds are the same
Ocean Cruises & Industry/Retail Funds can't turn sharply, they can't zip here & zip there like a little speed boat can (that's us by the way, we are the speed boats) & for Fund Managers to change course it's not in their DNA (that's a lot of effort for them to change course, chasing returns just for members , WHY - there is no payoff for them)

CommSec
I've posted about CommSec ringing me, alerting that I'll shift the market with the size of some my positions (think about this - are they ringing me for my benefit or for theirs ?)

They see both sides
CommSec are active traders, I've taken their trades & they have taken the other side of mine, they do market swaps all the time, the problem as I see it is that they get to see both sides of the market & allowed to be active players ( who would have thunk it ! )

This is a quick & dirty response to a much larger problem. I know all this & I still trade, picking up the splashes the big boys makes it profitable for me. (I see the move, I jump on & ride that sucker till I see them change course, than I'm off the bugger)

Skate.

captain black said:

Sorry Skate, busy here too. Full moon planting and festivities for a few days on the farm (gotta keep the Pagans and Wiccans happy) plus a few more wwoofers have arrived. Firing up the pizza ovens to feed the masses again tonight



I've already told you everything I know

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Yep, I realise others have a life.

Skate.

Skate said:

Yep, I realise others have a life.

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Ok, no probs.

Wyatt said:

Hi Skate, Great work and awesome sharing of your experience and hard work.

Also thanks for throwing some meat into the crowd. I have been busily trying to analyse your results to find some of the many gems no doubt awaiting those who bother to look.

It seems you will jump on anything in the ASX that moves (when conditions are right) with your swarm approach, I was very interested to note 7/10 of your best trades last FY were in stocks outside the XAO. Food for thought right there. It seems kissing frogs has never been more rewarding.

I have looked at index filters and 150ma seems to be a reasonable round number to keep a trader out of major downturns, yet amongst the meat of a trend. I sure there is something much better out there to guide a trend follower, maybe something like the XEC, there seems to be some correlation between it and T/F results. That first 6 months of FY17/18 was a cracker trend.

We can see on the chart below the XEC diverged from XAO before they both went down the gurgler.

One more thing Skate, if I may, can you give us a look at your 16/17FY results, that was a crap time for trend followers in general. I would love to see how your system handles the tougher times and how deep your drawdowns are. You have alluded to the pain, show us how tolerant you are.

Cheers Wyatt

View attachment 91481

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Overall trading results for 2016 to 2017 FY

Skate said:

CommSec
I've posted about CommSec ringing me, alerting that I'll shift the market with the size of some my positions (think about this - are they ringing me for my benefit or for theirs ?)

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LOL, it certainly did strike me as unusual when I read it. Don't disrupt the game please. We set the prices, not you.

Thanks for the reply.

Thanks for that Skate. Just for amusement sake I did a 1 run sim. with 33 pos.
Eerily similar, although i couldn't replicate the 17/18FY result you posted.

Hi Skate

Thanks for sharing your wealth of knowledge.
You've mentioned that you split your trading capital into 40 positions.

I'd be interested to know how you rank potential buys should you get more buy signals generated by your system than you can actually take at a particular time due to available capital?

Thanks

Wyatt said:

Hi Skate, Great work and awesome sharing of your experience and hard work.

Also thanks for throwing some meat into the crowd.

It seems you will jump on anything in the ASX that moves (when conditions are right) with your swarm approach, I was very interested to note 7/10 of your best trades last FY were in stocks outside the XAO. Food for thought right there. It seems kissing frogs has never been more rewarding.

I have looked at index filters and 150ma seems to be a reasonable round number to keep a trader out of major downturns, yet amongst the meat of a trend. I sure there is something much better out there to guide a trend follower, maybe something like the XEC, there seems to be some correlation between it and T/F results. That first 6 months of FY17/18 was a cracker trend.

We can see on the chart below the XEC diverged from XAO before they both went down the gurgler.

One more thing Skate, if I may, can you give us a look at your 16/17FY results, that was a crap time for trend followers in general. I would love to see how your system handles the tougher times and how deep your drawdowns are. You have alluded to the pain, show us how tolerant you are.

Cheers Wyatt

View attachment 91481

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A few answers..

1. It seems you will jump on anything in the ASX that moves (when conditions are right) - Correct, if it moves & meets my buy criteria I'm all over it. When the momentum stops, I'm off the sucker no matter what. If I'm wrong, I can always jump back on again, that's what traders fail to realise.

2. I was very interested to note 7/10 of your best trades last FY were in stocks outside the XAO. The reports are from Amibroker backtesting - my Strategy code is fully manipulated through the parameter settings & Amibroker couldn't keep up with the week to week changes that are made. Amibroker want's rock solid setting so it can do the maths. (the results are a guide only - my actual trading results are better) To give you an example, my bet sizes ranges from $15K to $50K (my amibroker code links to 'available funds' to make the bets) Amibroker works statically not dynamically. (each backtest size is set at $15K) Amibroker is a great program but when it comes to Backtesting is just a fancy calculator.

3. I have looked at index filters and 150ma seems to be a reasonable round number to keep a trader out of major downturns. I've done a lot of analysis on how the big boys move in & out, strangely I've done similar to what you are doing now but take it from me it's not that simple. I run 3 different trading systems to make up my Hybrid strategy, each system is optimised individually to get the base parameter, than combined & optimised again for the optimal (compromise) to give the best returns over all. (150ma, I take that to be the old stock standard SMA, if so you are not in the ballpark - the index filter is tuned to my system)

Please Note
I own a 2 door yellow Jeep Wrangler, HardTop - petrol, normally aspirated fuel injected, whereas my wife owns a Mercedes 250D Avantguard, Diesel Turbo Charged, what I'm struggling to say is what powers my wife's vehicle won't power my vehicle, just the opposite it would do damage, so what's good for one is sometimes not good for the other)

Skate.

Wyatt said:

Thanks for that Skate. Just for amusement sake I did a 1 run sim. with 33 pos.
Eerily similar, although i couldn't replicate the 17/18FY result you posted.
View attachment 91488 View attachment 91489

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Wyatt, just to be clear, my Hybrid Strategy is a Weekly Strategy.

Skate.

I see that you buy Fridays' close, interesting as I have noticed a T/F signal service provider does the same. There must be an something there for you there as well? please explain.

I do the open Monday and weekly, well thats the plan anyway. Sim is calculated daily so hence the more grainy graph for anyone curious.

ah13 said:

Hi Skate

Thanks for sharing your wealth of knowledge.
You've mentioned that you split your trading capital into 40 positions.

I'd be interested to know how you rank potential buys should you get more buy signals generated by your system than you can actually take at a particular time due to available capital?

Thanks

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ah13, that's an excellent question & the ranking method can mean the difference between a good & poor system using the same code. Positionscore (Amibrokers ranking array) really determines the quality of the results you will achieve - I've tried every ranking code I could get my hands on & tested them to death to achieve better results.

Disclaimer
I use a proprietary 'Positionscore code' given to me by 'captain black' & if I was to disclose the ranking method or his code he would have my "guts for garters"

At all cost you need to get the ranking correct or you might just throw away a good strategy.

Skate

Thanks Skate.
Fully understand the limitations on what you can reveal and appreciate your confirmation re the importance of ranking to the system results.

Wyatt said:

I see that you buy Fridays' close, interesting as I have noticed a T/F signal service provider does the same. There must be an something there for you there as well? please explain.

I do the open Monday and weekly, well thats the plan anyway. Sim is calculated daily so hence the more grainy graph for anyone curious.

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Wyatt, I've written some fancy code that I'm particularly proud of & have seen nothing like it anywhere else - I've said before I press one button & it tells me 3 things (what to buy, how many share to buy & what price to offer in the pre-auction) but I can tell you there is some fancy footwork going on in the background.

Skate.

Wyatt, I forgot to mention, I'm so happy the way my charts look - all the info in one spot, colourful & flashy - a dream to look at. (You may not have noticed the chart appearance but I went to a lot of trouble to get them to look that good)

Charts are meaningless they add no value to my trading, in all honesty you don't need charts to be a system trader.

Skate.

Yes you have and so you should.

Keep up the good work.

ah13 said:

Thanks Skate.
Fully understand the limitations on what you can reveal and appreciate your confirmation re the importance of ranking to the system results.

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ah13, even if you had my system it wouldn't automatically mean my Hybrid Strategy would be successful for you as it is for me & I'll tell you why.

Let me give you an analogy on having a great strategy, being a great coder & why we're quite different as traders.

Peter Brock (otherwise known as "Peter Perfect")
He won the Bathurst 1,000 nine times, imagine if he gave you his winning car, do you honestly believe you would be able to win Bathurst even once ?

His 'ability', 'skill' & his 'mental toughness' decided the win, it's not when he got into the car, not even when he exited the car but how he handled the car during the race.

Peter Brock
His 'ability', 'skill' & his 'mental toughness' decided the win, it's not when he got into the car (the BUY), not even when he exited the car (the SELL) but how he handled the car during the race. (the TRADE)

Skate.

Skate - another question and it's fine if you feel you shouldn't/can't answer this.

Your 16/17 figures show a profit of 2.1% with a win ratio of 35.9% and ave win/loss ratio of only 1.9.
Your 17/18 figures show a profit of 62% with a win ratio of 56.1% and ave win/loss ratio of 4.2.

In 16/17 the XAO increased by 8.5% and in 17/18 by 9.1%.

So would it be correct to assume that you did not use exactly the same system parameters in 17/18 that you used in 16/17?

ah13 said:

Skate - another question and it's fine if you feel you shouldn't/can't answer this.

Your 16/17 figures show a profit of 2.1% with a win ratio of 35.9% and ave win/loss ratio of only 1.9.
Your 17/18 figures show a profit of 62% with a win ratio of 56.1% and ave win/loss ratio of 4.2.

In 16/17 the XAO increased by 8.5% and in 17/18 by 9.1%.

So would it be correct to assume that you did not use exactly the same system parameters in 17/18 that you used in 16/17?

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ah13, exactly the same code & parameters for backtesting - It's my Hybrid strategy. Now look at the differences in the 'Sharpe Ratio' between 2016/17 to 2017/18 (2016/2017 Sharpe Ratio means my system is a DUD, where as the same strategy 2017/18 it's not to bad - it's the same strategy, its the same code) Also cutting a time frame out of a sequence of trades is not a good indicator.

Meaning
I didn't close all the positions on 30th June 2016 & started fresh again but that the scenario I was asked for. Trading & metric's are more than using a calculator as Amibroker wants you to believe. My system has been formulated over the last 25 years of corrected historical data. What does that all mean, it means I have the confidence to bet my system is good.

Here's a statistic to show you how confidence I am with my Strategy, Ive just cut that out of my Portfolio Manager

(That's $5,486,712.00)



Metrics
Metrics are one of the most academic topics about trading systems. There are so many of them that I find it difficult to know which one is more appropriate to evaluate my Hybrid system.

The Sharpe ratio is considered adequate if returns are normally distributed, and this does not seem the case with my Hybrid Strategy (same for the K-Ratio that detects inconsistency in returns).

Anyway, AmiBroker indicates some of my other metrics are clearly more favorable:

CAR/MaxDD - Compound Annual % Return divided by Max. system % drawdown. Good if bigger than 2
RAR/MaxDD - Risk Adjusted Return divided by Max. system % drawdown. Good if bigger than 2.
Recovery factor - bad < 1, neutral between 1 and 2, good > 2
Payoff ratio - bad < 1, neutral between 1 and 2, good > 2

Metrics are guideline to let you know how your system performs over a set period.

Skate.