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ducati916 said:
So did you use the 2008/2009 period as an out of sample data set or as an in data set?

My issue [which may not exist] is that when seeking to build efficiency into a system [any system] that system has no redundancies with which to weather a storm [financial] as seems to afflict markets on a rather regular basis.

Efficiency, cuts all redundancies, as redundancies cost money [and hence reduce] efficiency.

jog on
duc
Click to expand...

ducati916, thanks for asking this question "So did you use the 2008/2009 period as an out of sample data set"

Out of sample data set
Out of sample data set takes many forms, testing over many years, testing over clumps of years, spread over different indexes & finally running my strategy over market that I don't trade. I've tested my strategy over many markets around the world & surprisingly get very similar results, meaning the strategy is sound & safe to trade, heck it better be, I've got a lot of money ring on it.

I don't have to tell you how to suck eggs
Out of sample data is simple data the strategy hasn't seen before or optimised against.

This topic
This topic is worthy of its own thread as its a very important topic, getting it right can mean if you trade a good strategy or not. Imagine having a great strategy thrown away because of not testing it against 'Out of Sample' data, where changing a few parameters could make it tradable.

Too complex & time consuming
It would takes many posts for me to explain what I do & how I do it. Strategy development is such a complex subject I've decided to post about the subject so to form a template for other to follow. (in its most basic form)

All the tests
Backtesting, forward testing, optimization & Monte Carlo results singularly have importance, but in the combination is where you find the 'Goldilocks area'. Its important to stress, we are not after the best the strategy has to offer, but the best the strategy can achieve over a variety of trading conditions.

Skate.
 
Skate said:
ducati916, thanks for asking this question "So did you use the 2008/2009 period as an out of sample data set"

Out of sample data set
Out of sample data set takes many forms, testing over many years, testing over clumps of years, spread over different indexes & finally running my strategy over market that I don't trade. I've tested my strategy over many markets around the world & surprisingly get very similar results, meaning the strategy is sound & safe to trade, heck it better be, I've got a lot of money ring on it.

I don't have to tell you how to suck eggs
Out of sample data is simple data the strategy hasn't seen before or optimised against.

This topic
This topic is worthy of its own thread as its a very important topic, getting it right can mean if you trade a good strategy or not. Imagine having a great strategy thrown away because of not testing it against 'Out of Sample' data, where changing a few parameters could make it tradable.

Too complex & time consuming
It would takes many posts for me to explain what I do & how I do it. Strategy development is such a complex subject I've decided to post about the subject so to form a template for other to follow. (in its most basic form)

All the tests
Backtesting, forward testing, optimization & Monte Carlo results singularly have importance, but in the combination is where you find the 'Goldilocks area'. Its important to stress, we are not after the best the strategy has to offer, but the best the strategy can achieve over a variety of trading conditions.

Skate.
Click to expand...


So the short answer is yes.

The data represents [well actually is] different economic/political/regulatory/monetary/etc environments.

Are you:

(a) the past, as an echo will re-emerge at some point; or
(b) the current environment is the most important [for the model] type of chap; and
(c) do you model volatility in any shape or form as 'out of sample' or 'in sample'?

The impression I get, is that your system is LONG only. Would that be correct?

jog on
duc
 
3 people had a hand in my system development.

I've posted about Richard Donchian in Post #1296 & Nicolas Darvas in Post #1315.

John Bollinger
Now it's John Bollinger’s turn to be talked about. Again apologies for the lengthy post but his idea is worthy of a detailed explanation.

1. Richard Donchian (posted the article 27th January 2019 - Post #1296)
2. Nicolas Darvas (posted the article 28th January 2019 - Post #1315)
3. John Bollinger

Disclaimer
I use Bollinger Band Breakout theory only, the parameters are all mine. Standard parameters have been traded to death & its advantage has been negated. Daily strategy has trouble finding its legs whereas a weekly strategy can find those bigger moves.

Bollinger Bands attempt to overcome the problems associated with trading envelopes
Bollinger Bands combined the measurement of volatility (standard deviation) with a moving average. There are a set of two variable width trading bands that would automatically adapt to the volatility of the market. Whereas trading envelopes surround the market action with two bands which are drawn a fixed percentage above and below a moving average of the market Meaning for intermediate term trends, Bollinger Bands consist of a series of three bands.

(Please Note, do not trade these parameters, they don’t work anymore)

Phew, what does that all mean ?
1. The middle band is a 20 day simple moving average of the market closing price.
2. The upper band is drawn by adding two standard deviations to the middle band.
3. The lower band is drawn by taking two standard deviations away from the middle band.

Trends
1. For short term trends, a 10 day simple moving average and a standard deviation of 1.5 is more appropriate.
2. For long term trends, a 50 day simple moving average and 2.5 standard deviations are usually used.

(PLEASE - do not trade the setting in this post, most of what I’ve written is from memory, if it's incorrect I apologise)

Moving from one band to another
When the market action moves above the top band or below the bottom band, it suggests that the present trend shall continue. If a market moves from one band towards the moving average, it is likely to continue to the other band. Powerful moves often commence after the market’s volatility has become very low and the bands have tightened around the market action.

The Bollinger Bands theory has merit
(a) The bands track market volatility, prices are relatively high when prices are at the upper band and relatively low when they are at the lower band.
(b) Powerful signals that usually follow Bollinger band squeezes make Bollinger Bands an important tool for all traders
(c) Bollinger Bands indicator has been a technical tool that continues to be of immense value to many traders.

Skate.
 
ducati916 said:
So the short answer is yes.

The data represents [well actually is] different economic/political/regulatory/monetary/etc environments.

Are you:

(a) the past, as an echo will re-emerge at some point; or
(b) the current environment is the most important [for the model] type of chap; and
(c) do you model volatility in any shape or form as 'out of sample' or 'in sample'?

The impression I get, is that your system is LONG only. Would that be correct?

jog on
duc
Click to expand...

Yes, I only trade long, I only trade breakouts, I'm a trend Follower, I need momentum & volatility.

My strategy is tested to find conditions, conditions to meet my rules. I have 3 trend following strategies looking for the same signals, I just don't know which one will be first to pick it up, that's why I use them in combination. I need to jump on the move as quick as possible.

The first signal is enough for me to have a bet. Sometimes you win, sometimes you lose. Trend following works differently in different markets there is no strategy I know that can constantly pick winners.

What I have is "Good enough" & Good enough is Good enough

ducati916, we are two different traders, & comparing notes wouldn't be helpful to either of us. I'm not trading to be fancy, I want to follow the crowd, join them & when the party is over I look for another party to join.

I don't want to buy rising stock, I want to buy into the growth stock, there is a difference. We see things differently even when looking at the same chart & that's okay. I've got no idea if you are right or I'm right, it doesn't matter, you trade your way, I trade my way.

The way I trade is not rocket science, its boring as Bat$hit.

The questions you have asked are really good questions, I'm afraid I can't answer them as you wish but have supplied you an outline of what I do.

I'm taking the afternoon off.

Skate.
 
A friends suggestion (private message)

"You might need to give people time to read through the past content before adding more, not all of us process information or have the time to at your speed. Just a friendly comment"

I'm excited to keep going, but at a slower pace. I eager to post about systems & strategy design.

I also want to post some trading results of a strategy I'm prepared to give away.

The next few posts will take time to absorb so I'll implement my friends suggestion.

Skate.
 
The kindness of others
@captain black gave me a strategy 3 years ago called (BlueWren).

It's a beauty
The (BlueWren) base strategy was placed in my code to demonstrate that a simple idea can make money.

Long story short
The (BlueWren) strategy now sits pride & place in my Hybrid strategy, displacing the 'Donchian Channels Strategy'

Proprietary system
I can't discuss the captains code or strategy as it's a proprietary system. If I was to disclose his strategy or any part of it he would have my "guts for garters"

Paying it forward
As the captain gave me a strategy, I'm prepared to give one of my strategies away for testing & system development written in Aminbroker formula language. (meaning you need to have the Amibroker v6.2 or higher)

Backtest results
I'll post up some backtests over the last (3 1/2 years) to demonstrate what I'm prepared to give away gives reasonable results.

It's adjustable
There are chart parameters to adjust. I have 'optimization code' commented out (uncomment them) & play around to see if they can get the strategy to perform better than I have.

Next
I wish to make a few comments about 'the captain'

Skate.
 
Posted without permission (the captain won't mind)
Without meeting the captain I would never had the knowledge or confidence to start trading.

Admiration
I have great admiration for @captain black & he has helped me immensely over the last three years & I'm happy to say I still enjoy the benefits of his wisdom, his coding ability and the logical way he implement a solution. The captain always measures his responses delivering help without being condescending, which I'm trying to emulate. To this day I still enjoy his ongoing friendship.

Being kind
The captain has been very kind to me over the years & previously when I have had an issue (he fixed for me) his ongoing help has exceeded all my expectations.

Trading regrets
I’ve been asked if I had any regrets when it came to trading & one sprang to mind instantly. I regret not following one piece of advice given to me by the captain - by not following his advice cost me over $64K, an amount I’ve never forgotten.

A quote from 'the captain'
“Education is something that is done to you. Learning is something you do for yourself." when the Captain speaks I listen.

The captain's quote is designed to generate logical thinking by applying sound judgment, it’s hard to conceive of a more serious design flaw than the failure to learn.

The captain also said
“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” the Captain reinforced his message a few times over the years, meaning he helped me I should in turn help others.

Amibroker
The learning curve with Amibroker is very steep if you want to use it to it's full capabilities. Keeping up with all the new features is a full time job on its own. To save you years of learning coding I'll be giving away a code so you can better understand its structure.

YES
@captain black is the real deal (IMHO) and forum members of this quality are getting thinner on this site, we need them back.

Skate.
 
I've posted about three people with great ideas worth trading (listed below)
1. Richard Donchian (posted the article 27th January 2019 - Post #1296)
2. Nicolas Darvas (posted the article 28th January 2019 - Post #1315)
3. John Bollinger (posted the article 28th January 2019 - Post #1324)

Donchian channel breakout strategy (didn't make the cut)
I've traded a Donchian channel breakout strategy for a year with success. I no longer trade the Donchian Breakout strategy (not that's it's not a good strategy) it just didn't make the cut for my Hybrid Strategy, but @captain black 'BlueWren' strategy did.

I trade a weekly strategy - a modified version of these three codes.
(1) a modified version of Captain Black breakout strategy (BlueWren strategy)
(2) a modified version of Nicholas Darvas, (Darvas box system)
(3) a modified version of John Bollinger, (Bollinger Bands Breakout system)

Triggers
I have three buy triggers & two sell triggers in my Hybrid Strategy.

Why modify them ?
Having a base code is great, but it's like shoes, we have shoes best suited for the job, whether it be for running, walking, formal events & even dancing. They are in essences all shoes, modified to suit the activity, meaning we modify a strategy (code) to suit the job we want it to achieve.

Skate.
 
Before I move on to strategy development I want to talk about a nice little strategy that I'll be giving away from my bag of tricks.

The strategy (this is nothing new)
It's called "Skate's Trends & Countertrends Weekly Strategy". Its a weekly strategy as I have no joy coding daily strategies. It's not that I can't code daily systems but the performance is below my expectation.

Welles Wilder
Welles Wilder came up with an idea that Barbara Star developed, she noticed behaviour patterns found with two well known indicators (1) ADX and (2) MACD, & applying a Commodity Channel Index (CCI oscillator/indicator) and a 14-day moving average it filtered out false patterns.

"CAM" stands for Coordinated ADX and MACD indicator

CAM patterns
The CAM indicator identifies upward and downward trends as well as pullbacks in existing trends and countertrend rallies & these pair of indicator intends to highlight the price patterns of trends and reversion. The colour of the price bars also identify the chart patterns based on a coordinated ADX and MACD or, as she abbreviates it, CAM patterns are there for you on the charts.

Systematic traders
Buying pullbacks in the same direction as the long-term trend is a popular approach for systematic traders. These types of strategies typically identify high probability trades and tend to perform well. This is nothing new, this idea has been around for over 10 years that I know of even if you haven’t.

Backtesting criteria
Index = All Ordinaries (XAO)
Initial Equity = $100,000 (a round number to easy understand)
Maximum Open Positions = 20 (standard number considered by most)
Position size = $5,000 (Bet size)
Commission Amount = $19.95 (CommSec commission per trade)

Reports to follow
5 Portfolio Equity results showing the performance of the strategy over 4 years. (from 2015 to today 29th January 2019)

Skate
 
THIS TRADING SYSTEM IS VERY BASIC (with no magic applied)
Designed to trade securities that trended well, you might want to alter or devise your own parameters to suit the market you trade. The standard settings will work no matter what market you intend to trade as this a universal strategy.

SUGGESTED USAGE
Enter LONG: Buy tomorrow at the open if today is a GOLD coloured bar (which represents the CAM-PB, meaning that both the 10-period ADX and MACD are declining) but the 14-period CCI is above zero, OR if today is a BLUE coloured bar (the 10 period ADX is declining but MACD is rising) and today’s close crosses above the 13-period EMA. It’s all written in the formula so you won’t forget.
Exit LONG: Sell tomorrow at the open if today is a RED coloured bar (which corresponds to the CAM-DN, that is, the 10-period ADX is rising but the MACD declines) and today’s close is below the 13-period EMA.

It's easy
You don't have to know all the above, just takes the signals as they come (You only have to hit one button [Explore] the strategy will do the rest.

For better Results
Nonetheless, to maximize your odds, you can apply the strategy to a preselected watchlist of securities that demonstrate trendiness.

Want a copy ?
Look at the results & if you would like a copy of the strategy, instructions will follow.

Skate.
 
peter2 said:
Thank you @Skate I was unaware of Barbara Star and her passion for technical analysis.

A PDF of Barbara Star's article on her CAM indicator is in this link.
Published in Technical Analysis of Stocks & Commodities Jan 2018.

https://www.omnitrader.com/currentclients/proforum/get-attachment.asp?attachmentid=8090

There are Traders Tips to assist traders to code the CAM indicator in many trading platforms if you're interested. Search for Traders Tips Jan 18.
Click to expand...

Thank you @peter2, for the PDF that will come in handy if readers are interested in the base idea.

Please Note
There is no published Amibroker code in Technical Analysis of Stocks & Commodities Jan 2018.

No Amibroker code listed for January 2018 Trader Tips
The CAM indicator has been around since 2002 that I know of & the formula for most programs are listed in the January 2018 Trader Tips website but they didn't bother coding up the strategy for Amibroker.

Amibroker code
The code I'm giving away is based on her principles that has a few more tricks added with a unique chart display. Since 2002 the parameters keep changing with each seminar she does. I've modified her base setting.

Link
If you have any program other than Amibroker you can find program code at this site (Amibroker code is missing from the list)

http://traders.com/Documentation/FEEDbk_docs/2018/01/TradersTips.html

AMIBROKER: No code
TRADESTATION: JANUARY 2018
eSIGNAL: JANUARY 2018
WEALTH-LAB: JANUARY 2018
NEUROSHELL TRADER: JANUARY 2018
AIQ: JANUARY 2018
TRADERSSTUDIO: JANUARY 2018
NINJATRADER: JANUARY 2018
TRADE NAVIGATOR: JANUARY 2018
MICROSOFT EXCEL: JANUARY 2018
METASTOCK: JANUARY 2018

Skate.
 
I'm itching to discuss an important distinction you made in an earlier post (#1325).
Just as in the movie "I Robot" I've got to ask the right question to get the right response for me.

I won't interrupt your system design flow as this is also very interesting.

I'll ponder on the right question as I play tennis tonight.
 
Skate said:
View attachment 91727
I'll be posting some backtest reports for an Amibroker Strategy I'm prepared to give away.

I have commitments for the next few hours, I'll post the results this afternoon.

Skate.
Click to expand...

2 ring Like Please coming soon images.jpg
"Skate's Trends & Countertrends Weekly Strategy"

If you would like a copy of the Amibroker Strategy you need to meet a few conditions

1. Have a copy of Amibroker Version 6.2 or higher (the strategy requires this version or higher)
2. Hit "Like" (so I can keep track)
3. Send me a 'PM' (ASAP)

My favourite two words are:
1. Please
2. Thanks

When you request the strategy all you need to post is: Strategy please, thanks.

Skate
 

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