Dump it Here

[Skate]

Banks should do a better job of keeping their ATMS filled
I went to 5 ATMS over the weekend and they all said "insufficient funds"

Hopefully, the banks will get their act together soon and keep those ATMs stocked!

Skate.

 

[Skate]

The Importance of Defining Your Trading Edge: Find Your Strategy

A trading edge defines your technical or strategic advantage in the highly competitive market environment.

www.investopedia.com

Relevant Insight from Investopedia
“The sheer number of participants acting in the same way eliminates the edge that made those strategies work in the first place. But that doesn’t mean you need to abandon the trading and technical analysis skills you’ve taken so long to learn and master. In fact, edgeless strategies popularised in books and websites work really well as building blocks for more powerful techniques that will retain their edges through a lifetime.”

The Weekend Trend Trader (WTT) is a 20-period weekly breakout strategy that has shown mixed results over the past few years. Recently, The Chartist reported on X that the WTT is gaining momentum, showcasing example charts and stating, “My slightly tweaked version of Weekend Trend Trader is now +69% YTD.”

What Are Radge’s Tweaks?
While the exact parameters of Radge’s tweaks are speculative, an analysis of the charts for ZIP and MAH suggests some key adjustments that I will be discussing in the next post.






Skate.

 

[Skate]

What Are Radge’s Tweaks?
While the exact parameters of Radge’s tweaks are speculative, and for a bit of fun I've analysed the charts for ZIP and MAH to suggest some key adjustments to the original strategy.

Radge tweaks:
1. Added a volatility filter
2. Universe is #ASX stocks below $3

Adding a Volatility Filter to the WTT:
Incorporating a volatility filter into the WTT Weekly strategy is straightforward.

Here are the explanations and parameters I’ve used:
(a) ATR Period: Set to 14 periods. The Average True Range (ATR) measures how much the price moves, on average, over a given period.
(b) Maximum Volatility: Set to 2.0. This is the maximum acceptable level of volatility. If the ATR exceeds this value, the filter blocks the trade.

Adding a Volatility Filter
By incorporating a volatility filter using the ATR, you can add an extra layer of safety to your trading strategy. High volatility often equates to higher risk. Setting a maximum acceptable volatility level helps avoid trades during unstable market conditions, thereby managing risk and potentially improving the stability of your trading results.

Other Observed Tweaks:
Index Filter: A Simple Moving Average (SMA) period set to 25.
Trailing Stop: Set to 35.

Skate.

 

[Skate]

Trading Strategy Insights
When it comes to trading strategies like the Weekend Trend Trader (WTT), which are widely discussed and have performance charts posted, it’s fascinating to see how minor tweaks to a simple 20-period strategy can lead to significant improvements. However, the next big hurdle is knowing when trading conditions are unsuitable for this strategy. Recognising these conditions is crucial to avoid potential losses and ensure the strategy is only applied in favourable market environments.

Weekend Trend Trader Tweaks
Before @Richard Dale jumps in - I’ll make a disclaimer. The charts and backtest uploaded are for 12 months from May 15, 2023, to May 16, 2024. Are they accurate? Most likely not, but for the exercise, it’s a comparison between the original parameters and tweaked parameters.

Performance Enhancement
The tweaks have led to a substantial increase in profitability, highlighting the importance of optimising trading strategies.

Tweaks
1. Added a volatility filter
2. Universe is #ASX stocks below $3.00
3. Index Filter parameter set to 25.
4. Trailing Stop parameter set to 35.

Summary
Implementing these parameter tweaks has significantly enhanced the performance of the WTT strategy, with impressive results over the past year.




The increased Index Filter
Changing the parameters of the index filter from 10 to 25 keeps you in the trade.












Skate.

 

[Nick Radge]

Well, a lot to unpack here, but best it's clarified accurately...

The MAH entry depicted herein is incorrect, which suggests the assumptions/backtests provided are also incorrect.

I do not use ATR as a volatility filter. Probably too simple for todays markets. Try:

Volatility = 100 * StdDev(log(C/C[1]),n) * Sqr(x) < y

The trailing stop highlighted herein is also incorrect. As per the original rules, the trailing stop is a 2-speed ratchet, i.e. wide when the trend is up, and tightens when the broader trend changes. It's a very simple mechanism, read, robust. It allows outlier trends to be ridden - when they come along.

However, the next big hurdle is knowing when trading conditions are unsuitable for this strategy. Recognising these conditions is crucial to avoid potential losses and ensure the strategy is only applied in favourable market environments.

Yeah. Big no, no here. It is absolulety not "crucial" to avoid losses. Indeed, losses are a part of the game and until that's accepted by the trader, then the Beginners Cycle will prevail - exactly as has been occuring in this thread over the years. No expert investor/trader, including Buffett, Simons, Dennis, Echkardt, Bacon, Kovner etc, change their strategy when things get tough. They all suffer losses. They all have drawdowns. They all stick with their strategies and ensure. Only amateurs try to avoid the enivitable losses and drawdowns.

Trading / investing is remarkably simple:

Success = a simple strategy applied for the long term

Easily said, but difficult to implement due to the Beginners Cycle.

My tweaked up version of the Weekend Trader Trader was adjusted in April 2020. It has not been optimised or adjusted since. I use a systematic way to adjust or "tune" my strategies. Listen to the various podcasts by Jerry Parker and read between the lines. He gives all the answers.

Since April 2020 my tweaked up WTT has had a CAGR of 20.5% vs the XSOA benchmark of 9%, Yes, it had a drawdown during 2022/23, but as per above, its a simple and robust strategy which has beeen applied on a consistent basis. Amateurs give it away when things get uncomfortable and go looking elsewhere. Classic Beginners Cycle.

The Beginners Cycle tends to come from a subconscious untrusted strategy. I've written extensively about it for 20+ years, so no need to go into it again.

A simple system applied for the long term folks. That's all you need...

 

[Skate]

Weekend Trend Trader Tweaks
Before @Richard Dale jumps in - I’ll make a disclaimer. The charts and backtest uploaded are for 12 months from May 15, 2023, to May 16, 2024. Are they accurate? Most likely not, but for the exercise, it’s a comparison between the original parameters and tweaked parameters.

@Nick Radge thank you for your detailed post.

Incorporating an ATR volatility filter into the WTT Weekly strategy was straightforward. However, as you mentioned, you typically use a Standard Deviation-Based Volatility Filter. For the sake of this exercise, I’ll substitute the standard ATR-Based Volatility Filter with a Standard Deviation-Based Volatility Filter and post a backtest comparison to see the difference.

ATR-Based Volatility Filter vs. Standard Deviation-Based Volatility Filter: A Comparison
The debate between using an ATR-Based Volatility Filter and a Standard Deviation-Based Volatility Filter often boils down to personal preference, as both methods aim to achieve similar outcomes. Here’s a closer look at each approach:

(a) ATR (Average True Range)
This method measures the average range of price movement over a specified period, providing a straightforward measure of volatility. The filter checks if the ATR is below a specified maximum volatility threshold.

(b) Standard Deviation of Log Returns
This method calculates the standard deviation of logarithmic returns, which can be more sensitive to price changes and might capture more volatility spikes. The formula includes a scaling factor and compares the result to a threshold.

Backtest Disclaimer
While the backtest results may show different performances, these differences are primarily due to the parameters used in each volatility filter. Ultimately, the choice of filter is subjective and depends on the specific needs and preferences of the trader.



Skate.

 

[Skate]

@Nick Radge thank you for your detailed post.

@Nick Radge generously supplied his one-line volatility code.

To apply Nick's code in AmiBroker
The code needs a slight modification for proper syntax, along with additional code to define the parameters ( n ), ( x ), and ( y ):

Volatility = 100 * StDev(log(C / Ref(C, -1)), n) * Sqrt(x);

Explanation of the Standard Deviation-Based Volatility Filter
n: The period over which the standard deviation is calculated.
x: A scaling factor.
y: The threshold for the volatility filter.

Volatility Calculation
This computes the volatility using the standard deviation of logarithmic returns.

Volatility Filter Condition
This checks if the calculated volatility is below the specified threshold.

Summary
Posting the corrected code and explanations allows others to test Nick’s “Standard Deviation-Based Volatility Filter” to evaluate a robust way to manage volatility in a trading strategy.

Skate.

 

[Skate]

However, the next big hurdle is knowing when trading conditions are unsuitable for this WTT strategy. Recognising these conditions is crucial to avoid potential losses and ensure the strategy is only applied in favourable market environments.

Yeah. Big no, no here. It is absolulety not "crucial" to avoid losses. Indeed, losses are a part of the game. Only amateurs try to avoid the enivitable losses and drawdowns.

@Nick Radge as traders, we all aim to limit our losses while trying to time the market. This is why tools like an “Index Filter” and a “Trailing Stop with a 2-speed ratchet” are used.

While I understand and respect your perspective on accepting losses as part of the game, it’s also important to recognise that different strategies and opinions exist. Even experienced traders have varying approaches to managing risk and optimising their strategies. The key is finding a balance that aligns with one’s trading philosophy and risk tolerance.

Skate.

 

[Skate]

Understanding Trend Trading
Trend trading is a popular strategy among traders aiming to capitalise on market momentum. While all trend trading strategies aim to identify and act on the same market signals, the timing and confirmation of these signals can vary significantly based on the parameters used.

Signal Timing
All trend trading strategies aim to detect the same market signals, but the timing can differ. Some strategies use leading indicators, while others rely on lagging indicators, which confirm trends after they have been established, reducing the risk of false signals.

Importance of Price, Volume, and Volatility
Price Range: The price range filter plays a crucial role and can influence performance.
Volume: High volume during a breakout suggests strong market conviction and increases the likelihood of a sustained trend.
Volatility: While volatility can enhance profit potential, it also requires careful risk management to avoid significant losses.

Risk Management
Effective trend trading also involves robust risk management strategies.

Index and Market Conditions
The index or market being traded also plays a crucial role.

Summary
Trend trading can be highly profitable but requires a deep understanding of market signals, confirmation parameters, and risk management. By carefully selecting and tuning these parameters, traders can improve their chances of successfully identifying true breakouts and riding trends.

WEEKLY Machine Learning SuperTrend Strategy
In recent posts, I’ve shared Amibroker charts of ZIP and MAH, along with @Nick Radge charts from the Weekend Trend Trader. These charts illustrate a key point that most trend trading strategies aim to detect the same market signals, though with some variations in timing and confirmation.

TradingView Charts for ZIP and MAH
By comparing these TradingView charts, we can see that while the specific strategies and tools may differ, the goal remains the same to "identify and capitalise on market trends".






Skate.

 

[Skate]

The article by Chris Conway of Livewire Markets, which inspired this exercise, highlights the evolving capabilities of (AI) in stock picking. As (AI) technology continues to improve, it will be interesting to see how it compares to humans in the field of finance.

Explanation - Fundie vs AI: The best ASX "Income" stocks for the next 12 months
This is a theoretical investment exercise pitting Google's (AI) Gemini against Dr Don Hamson from Plato Investment Management in selecting five "Income" stocks for the next 12 months.

Fundie vs AI: Who is the better stock picker? (and 10 ASX stock ideas for your trouble)

AI is getting better, faster, & stronger. Will it ever be able to pick stocks like a human? We take a step towards answering that question.

www.livewiremarkets.com

Results after 38 weeks
We recognise that this is nothing more than a fun, but nonetheless important, thought experiment. Ultimately, (AI) will likely become a tool that all use to make more informed decisions, across a broad range of topics.






Skate.

 

[Skate]

Fund Manager vs AI: Who is the better stock picker?
Yesterday's post focused on "income" stocks. Today's post examines "growth" stocks.

The Article by Chris Conway of Livewire Markets
The article, (hyperlinked below) inspired this exercise, which highlights the evolving capabilities of (AI) in stock picking. As (AI) technology continues to improve, it will be interesting to see how it compares to humans in finance. This is a theoretical investment exercise pitting Google's (AI) Gemini against Tobias Yao from Wilson Asset Management in selecting five "Growth" stocks for the next 12 months.

Fundie vs AI: The best ASX growth stocks for the next 12 months

We've seen the income stocks, now we're looking at growth stocks in this edition of "Fundie vs AI: Who is the better stock picker?"

www.livewiremarkets.com

Results after 38 weeks
We recognise this is nothing more than a fun, but important, "thought experiment" as ultimately, (AI) will likely become a tool that all use to make more informed decisions, across a broad range of topics.



At times, outliers can distort the overall picture
Removing these outliers often provides a clearer view of returns. For instance, Life360 (ASX:360) is one such outlier. Even after excluding this outlier, the results over 38 weeks remain respectable.



Skate.

 

[Skate]

Fund Manager vs. Two (AI) Models
Yesterday, we explored a one-on-one scenario between Google's Gemini (AI) and a Fund Manager. Today, we introduce Microsoft’s (AI) model, Copilot, to compare and contrast it with Google’s (AI).

Results after 38 Weeks
While this is a fun and insightful “thought experiment,” it underscores an important point: (AI) is poised to become a crucial tool for making more informed decisions across a wide range of topics.

AI Model Variability
With numerous (AI) models to choose from, I’ve selected Google and Microsoft for a direct comparison. Although trained on different datasets, both models operate under the same instructions. Microsoft Copilot and Google Gemini offer unique strengths that can complement the skills of a human fund manager.



Skate.

 

[Skate]

I’m a Guaranteed Winner
After speaking to a family friend, he mentioned putting $100,000 in a 12-month term deposit on the 7th of October, securing 4.75%. Given the current market turmoil and the risk of losing some of his money, he felt this was his best option. He believed that trading and investing were akin to gambling and asked what I would have done in his situation.

I explained that I would have traded 10 investment-grade stocks
Investment-grade stocks are large companies whose management is committed to ensuring the share price increases over time. I suggested 10 companies that met my criteria, which I will follow from Monday, the 7th of October, over the next 12 months to compare and contrast our decisions on how to handle $100,000:

ALL.AX
COH.AX
CPU.AX
CSL.AX
FMG.AX
GMG.AX
MQG.AX
REA.AX
REH.AX
SHL.AX

Summary
Long story short, seven of my 10-position portfolio are currently trending. I know it’s possible to start trading during an ongoing trend, and many traders do so successfully. Starting to trade during an ongoing trend can be effective if you carefully analyse the market and manage your risks, and that is what I’m going to do.

Skate.

 

[DaveTrade]

I’m a Guaranteed Winner
After speaking to a family friend, he mentioned putting $100,000 in a 12-month term deposit on the 7th of October, securing 4.75%. Given the current market turmoil and the risk of losing some of his money, he felt this was his best option. He believed that trading and investing were akin to gambling and asked what I would have done in his situation.

I explained that I would have traded 10 investment-grade stocks
Investment-grade stocks are large companies whose management is committed to ensuring the share price increases over time. I suggested 10 companies that met my criteria, which I will follow from Monday, the 7th of October, over the next 12 months to compare and contrast our decisions on how to handle $100,000:

ALL.AX
COH.AX
CPU.AX
CSL.AX
FMG.AX
GMG.AX
MQG.AX
REA.AX
REH.AX
SHL.AX

Summary
Long story short, seven of my 10-position portfolio are currently trending. I know it’s possible to start trading during an ongoing trend, and many traders do so successfully. Starting to trade during an ongoing trend can be effective if you carefully analyse the market and manage your risks, and that is what I’m going to do.

Skate.

I think that many people would find that this exercise would give them good feedback on the market, I will follow with interest. There are some indications that we are entering into the early stages of a long running bull market.

 

[Skate]

I think that many people would find that this exercise would give them good feedback on the market, I will follow with interest. There are some indications that we are entering into the early stages of a long running bull market.

@DaveTrade, thank you for your feedback!

I agree that this exercise can provide valuable insights into the market and it’s great to hear that you’ll be following with interest. There are indeed some indications that we might be entering the early stages of a long-running bull market. However, it seems that this trend may have started some time ago, making this a risky exercise.

Understanding Trading Trends
Trading during an ongoing trend can be effective, and many traders do so successfully. However, entering a trend at its tail end can be risky. When analysing a long-term trend, it can be challenging to determine whether you’re at the beginning, middle, or end of the trend.

The Danger of Buying into a Trend Without Knowing Its Stage
The main risk of buying into a trend without knowing its stage is that you might enter just as the trend is about to reverse. This can lead to significant losses if the market moves against you. Additionally, you might have to give back some of your open profits or extend your losses to stay in the trend.

Skate.

 

[Skate]

Weekly Performance Report: Investment vs. Term Deposit
After discussing with a family friend who opted for a 12-month term deposit at 4.75% due to market turmoil, I decided to take a different approach. He viewed trading and investing as gambling, but I believe in the potential of investment-grade stocks.

On the 7th of October, I carefully selected 10 investment-grade stocks. I will track their performance to determine which strategy yields better results.

The 10 Stocks:

ALL.AX
COH.AX
CPU.AX
CSL.AX
FMG.AX
GMG.AX
MQG.AX
REA.AX
REH.AX
SHL.AX

This exercise began on the 7th of October 2024
This is the first week’s result. Moving forward, a detailed report will be uploaded every Friday after the market closes.




The three positions not currently in the portfolio are:
1. COH.AX (Cochlear Limited)
2. FMG.AX (Fortescue Metals Group Ltd)
3. SHL.AX (Sonic Healthcare Limited)

The reason for their exclusion is that they are not currently trending.

Skate.

 

[bettamania]

Since the owner of the system is here & to make it clear for everyone just get it from him then no more code hacking business and many interpretation

Regards

Betta

 

[dyna]

After speaking to a family friend, he mentioned putting $100,000 in a 12-month term deposit on the 7th of October, securing 4.75%. Given the current market turmoil and the risk of losing some of his money, he felt this was his best option. He believed that trading and investing were akin to gambling and asked what I would have done in his situation.

I've been in this awkward " advisory " situation myself and found it best to keep my big mouth shut .
You have to sympathise with people who have missed out on a continuous sharemarket exposure throughout their adult lives . The uncertainty and volatility of shares must seem so frightening and worrisome for someone handling a substantial amount of money for the first time .
All of us on this forum have probably by now , overcome all of our initial fears and uncertainties . Experience can be a brutal teacher but ...jeez , it's probably the only way to really learn . Risk taking does not inevitably lead to failure . Gradually and persistently , learning as you go , after years of effort , the rewards will come .
This has been my own experience but how do I demonstrate that financial success to someone else ?
( It would take as long as this wonderful thread , Mr. Skate ! )

 

[bettamania]

this formula reminds me to an article that has been published many many years ( I believe TASC) and the author is Markos Katsanos

 

[Skate]

this formula reminds me to an article that has been published many many years ( I believe TASC) and the author is Markos Katsanos

The article @bettamania could have been referring to is “Which Trend Indicator Wins?” by Markos Katsanos, published in the October 2016 issue of Technical Analysis of Stocks & Commodities (TASC). This article provides a comprehensive comparison of various trend indicators.

Although the SuperTrend indicator is not mentioned in his article, Katsanos does provide practical advice on how traders can use indicators in their trading strategies. He emphasises the importance of understanding the strengths and weaknesses of each indicator to make informed trading decisions.

However, my "Machine Learning SuperTrend Trading strategy" is distinct from any article by Markos Katsanos.

Skate.