Dump it Here

[Skate]

Anyone that's written and backtested trend following systems would have a very good idea what the parameters Skate lists are for. For those lost or puzzled reading through the parameters post above, could be worth getting into some Nick Radge (Unholy Grails) or Howard Bandy (Blue Owl Press books).

Newt, thanks for the explanation for those who don't enjoy the benefits of using Amibroker. My post would have been confusing to others noticing the parameters blocked out, not understanding why.

For the benefit of others let me explain
The parameter of a strategy is parts of a code that allows you to change settings/parameters on the fly without the need to rewrite or alter the base code. The parameters form only a small part of a much larger system.

How many parameters
1. The original CAM strategy has 6 adjustable parameters settings (I posted a photo to display this fact)
2. My updated CAM strategy has 19 adjustable parameters settings (on display for other to see where the improvements came from)
3. My HYBRID strategy has 56 adjustable parameters settings. (The setting/parameters I use to trade are strictly confidential) The parameters are proudly displayed in full view, for Amibroker users to understand the parameters that I have use in my strategy development.

Only the individual setting I use are missing blanked out. (only because they are sensitive)

Secret sauce ?
The parameters are the secret why my HYBRID strategy performs the way it does, there has been 1,000's of hour of effort gone into getting the code just right.

Why list two parameter & not the third ?
1. The first parameter post was to show that the "CAM" settings is basic (lacks bells & whistles)

2. The 2nd parameter post was for members who had the "CAM" strategy to understand how I achieved more accurate results & performance improvements. With a little extra work the "CAM" strategy could be improved & I left the parameters in full view so they have an understanding what I did to achieve those results. The performance improved, the signal accuracy improved (better trading results, with less signals) The signal quality is the most important metric I aim for. Meaning if the "CAM" strategy is going to give me a signal let it be a good one. (I don't want to know about the crappy ones)

3. The 3rd parameter post was from my HYBRID strategy. The setting/parameters I use are sensitive in nature, strictly confidential & private, any member who has Amibroker would understand this immediately & would be understanding why they were removed from view)

The CAM strategy is a basic idea with a few lines of code
1. The "CAM" strategy has 171 lines of code & 28 lines are taken up with explanation notes on how to use the strategy.
2. My HYBRID strategy has 1,192 lines of code with no notes. (even after explaining what under the hood, & what drives my Hybrid strategy do you honestly believe someone is going to replicate it)

Honest & open
I've explained in detail the 3 strategy that make up my Hybrid System
I've post actual trades, the timing of the trade & the value of the trade with posted screenshots (so you can see what I see)
I've posted the corresponding charts to confirm those taken positions (so you can see my chart style & corresponding notations)
I've explained how I trade in the markets & what periodicity I use, I've even mentioned the Index I trade once or twice
I have indicated that trade in the pre-auction aiming for the Value Weighted Average Price (VWAP) the opening price of the day
I've explained that I'm a trend follower, trading a mechanical system & describing what it all means
I've posted about the people who came up with the original ideas & gave them credit.
I wrote short stories about those people & a bit of back-grounding of the concept behind their ideas
I've shown you the parameters that makes up my strategy
I've laid out everything on the table so others can understand why trading is difficult & if you are going to trade why you need to be prepared. I've even taken the time to answer question in detail instead of being evasive.

I'm giving back
I cannot ever recall anyone being as open & honest as I have on this forum, I can't remember any forum member prepared to give away a good strategy, let alone give hints how to turbo charge it.

A lot of time & effort
I've condensed & still rolling out 5 years of study into one thread, I thought it would be helpful for others to read the "nitty gritty" of trading & what it takes to be successful at this game.

eBook
I've even wrapped the thread into an eBook for others to read at their leisure if interested. (the 3rd Edition of the eBook will be released shortly)

Have I got an ulterior motive ?
None that I can think of. If you find this thread refreshing, helpful or just enjoy reading this thread stick around, if not, I appreciate it's not for everyone & it serves no purpose.

It's not too much to ask
All I ask is for you to be considerate of others when posting. I'm not policing the thread, but it pays to remember that everyone is entitled to their opinion.

Recap - How to ask a good question
(a) Consider if your post adds value to the discussion.
(b) When expressing an alternative view, start off by saying “In my opinion …” and try to focus on the issues rather than person.
(c) We are all wordsmiths to some degree & it's easy to incite an emotional, knee-jerk response, creating an emotional outburst.
(d) Ask a detailed question & you will get a detailed response.
(e) Ask a one liner, it deserves a one liner response.

Disclaimer
The original post did have a disclaimer at the bottom explaining that this post was exclusively for members who have the "CAM" strategy.

Post exclusively for:
@qldfrog
@Newt
@Lone Wolf
@Wyatt
@willy1111
@Habakkuk
@jjbinks

Skate.

 

[Newt]

Optimisation is a different matter
Backtesting as I have explained, 'there is no difference' but when it comes to optimisation there is a huge difference. Each strategy need to go through its own optimisation procedure, combined & re-optimised to sharpen the overall strategy. One set of parameters work individually whereas another set of parameter are required when they have to work together after being combined.

Apology for long answers not required- really appreciate the detail you've provided Skate.

I spent some time thinking about this and decided the thing that worried me most was over-optimisation. I've mentioned before how incredibly useful it is to see someone succeeding in pulling 20-40% returns consistently from the XAO with acceptable (modelled) drawdowns. I've worried for some time about having too many screening conditions, but seem to have ended up with remarkably similar trend, volume and exit criteria. That is reassuring that my main challenge is probably in my head taking signals rather than more system development.

Combining 3 systems and having to re-optimise might increase the potential for over-fitting but it sounds like you've gone to great lengths to choose sensible parameters and no doubt optimised them likewise in a consistent careful way.

Congrats on coming with a hybrid system giving multiple chances to catch the next trending stock without multiple entries in the same stock. I also found it very organised and educational how you've constructed your exploration reporting screen. For the number of positions your trade that is a logical way to improve efficiency and reduce effort.

 

[Newt]

The captains email response
The only real issue with trend following is that most systems are correlated and tend to track the broader market movements. If you're happy to accept that then there's nothing wrong with trading multiple correlated systems.
More to follow..

Listening to podcasts like Better System Trader one often hears mention of professional traders running similar strategies with varied parameters. Presumably for trend following one could have strategies that enter early and exit early, versus others with wider trailing stops prepared to enter later and try to stay in longer.

I'm guessing very experienced traders like CB eventually look to other market universes for diversification more son than parameter diversification in a single market to avoid over-correlation.


Incidentally, I spent approx 18months working on a promising daily MR strategies in the ASX, but realise now I should have spent more time working on the software in my head before diversifying into different systems (or markets).

 

[Skate]

Listening to podcasts like Better System Trader one often hears mention of professional traders running similar strategies with varied parameters. Presumably for trend following one could have strategies that enter early and exit early, versus others with wider trailing stops prepared to enter later and try to stay in longer.

I'm guessing very experienced traders like CB eventually look to other market universes for diversification more son than parameter diversification in a single market to avoid over-correlation.


Incidentally, I spent approx 18months working on a promising daily MR strategies in the ASX, but realise now I should have spent more time working on the software in my head before diversifying into different systems (or markets).

MRS
Newt, I have an extremely good Mean Reversion strategy but the way I trade the commission is a killer. Scalping small profits with high win rates is not for me. I traded it for a few years but with so much overseas travel it was not worth the hassle.

Weekly
I trade one market & one index. The captain trades everything & he is the real deal when it comes to traders. He's been a professional trader for the last 15 years I know of.

Skate.

 

[Gringotts Bank]

And, dear friend, success is created by the belief in success, not the system.

 

[tech/a]

And, dear friend, success is created by the belief in success, not the system.

You think?

 

[satanoperca]

And, dear friend, success is created by the belief in success, not the system.

Bullsh--t, you can believe all you want in a failed system, it will continue to fail and fail you.

 

[Gringotts Bank]

Nothing can be called a law whilst I can find examples to counter it. Most 'laws' are just correlation and have nothing to do with cause and effect.

 

[cynic]

You think?

No! Not think, believe!

Bullsh--t, you can believe all you want in a failed system, it will continue to fail and fail you.

For practical purposes I suspect that the philosophical concept GB is referring to, may be beyond the intended scope of this thread.

Whenever viewing causal correlations, the question : "Which is cause, and which is effect?" can at times prove beneficial.

E.g. when examining one's personal beliefs about reality, a worthwhile question might be "Are these beliefs formed from the reality experienced, or is the reality experienced, formed from the beliefs?"

 

[ducati916]

No! Not think, believe!

1. For practical purposes I suspect that the philosophical concept GB is referring to, may be beyond the intended scope of this thread.

2. Whenever viewing causal correlations, the question : "Which is cause, and which is effect?" can at times prove beneficial.

3. E.g. when examining one's personal beliefs about reality, a worthwhile question might be "Are these beliefs formed from the reality experienced, or is the reality experienced, formed from the beliefs?"

1. What is the philosophical concept being referred to?

2. If this question is going to be discussed, then greater precision will be required in defining exactly what we are talking about.

3. It would seem that you are saying that this is an epistemological question.

jog on
duc

 

[tech/a]

While I have seen success due solely to application in the belief that excellence can be attained, particularly in sport and academia.

Most success I have been witness to and involved in consists of

(1) A big dose of luck , right place , right time.
(2) Recognition of an opportunity.
(3) The ability to—-or in the position to take the opportunity.
(4) Going for it.

Often the magnitude of the opportunity isn’t apparent initially.

Trading and trading systems.
A good dose of BOTH in my view.

 

[qldfrog]

Agree with you tech/a and to also persevere..not so much in a failed/failing opportunity but in giving a go again.
In my own experience, many failure or so so results for a win.
But learn from the experience and try again wiser..probably applicable to trading too:
#Do not persists with looser,
#run your winners ( you would not give up a successful business would you?)
#try again/persist
#get experience/knowledge from your previous tries

 

[cynic]

1. What is the philosophical concept being referred to?

Realities that one experiences are direct consequences of one's deep seated beliefs.

2. If this question is going to be discussed, then greater precision will be required in defining exactly what we are talking about.

Where causation exists, a correlation between causative and effective entities may be expected to occur. So the question pertains to the attribution of causation.

Examples:
We know that some correlation exists between the existence of chickens and eggs.
Do the eggs cause the chickens, or do the chickens cause the eggs?

We know that some correlation exists between diabetes sufferers and habitual injection of insulin.
Does habitual usage of insulin cause people to suffer diabetes, or is such usage consequent to diabetic suffering?

We know that there is a correlation between dementia and abstinence from intellectual pursuits.
Does abstinence from intellectual pursuits cause dementia, or is such abstinence merely a consequence of dementia onset?

In order to relate this to trading, one might commence by examining their chosen trading methodology (attendant with all its entry/exit signals/criteria, performance measures etcetera) and reconsidering the merits of any key correlations that influence trading practices pursuant to such methodology.

3. It would seem that you are saying that this is an epistemological question.

Perhaps it seems that way, but, I don't believe that it needs to be, unless we choose to make it so.

 

[ducati916]

1. Realities that one experiences are direct consequences of one's deep seated beliefs.

2. Where causation exists, a correlation between causative and effective entities may be expected to occur. So the question pertains to the attribution of causation.

Examples:
We know that some correlation exists between the existence of chickens and eggs.
Do the eggs cause the chickens, or do the chickens cause the eggs?

We know that some correlation exists between diabetes sufferers and habitual injection of insulin.
Does habitual usage of insulin cause people to suffer diabetes, or is such usage consequent to diabetic suffering?

We know that there is a correlation between dementia and abstinence from intellectual pursuits.
Does abstinence from intellectual pursuits cause dementia, or is such abstinence merely a consequence of dementia onset?

In order to relate this to trading, one might commence by examining their chosen trading methodology (attendant with all its entry/exit signals/criteria, performance measures etcetera) and reconsidering the merits of any key correlations that influence trading practices pursuant to such methodology.

3. Perhaps it seems that way, but, I don't believe that it needs to be, unless we choose to make it so.

1. Belief(s) in:

(a) a set of circumstances [or circumstance] that is supported by objective evidence: which is commonly called a fact; and

(b) a set of circumstances [or circumstance] that has no objective evidence to support it: which is commonly called faith.

So a reality experienced could be the result of either (a) or (b).

A reality experienced due to (b) could [would] likely be unique to that individual exposed to that experience, or possibly all individuals sharing that belief [faith].

A reality experienced due to (a) could [would] likely be experienced by all individuals exposed to that fact, irrespective of any shared commonalities.

2. The higher the correlation, the higher the probability of causation. One issue is in measurement of that correlation: viz the competing variables that could account for an outcome.

3. I see no way around it. You use the word 'reality'. What is reality? Reality is a question of epistemology, viz: how do we know what is real?

I would argue that realities that one experiences are either:

(a) data or phenomena that are sensory in their origin; or
(b) are deduced via synthetic a priori in their origin.

jog on
duc

 

[Gringotts Bank]

In order to relate this to trading, one might commence by examining their chosen trading methodology (attendant with all its entry/exit signals/criteria, performance measures etcetera) and reconsidering the merits of any key correlations that influence trading practices pursuant to such methodology.

Or do what the Turtles did, but take it up a notch. Give the exact same system to a few thousand people, sit back and watch as some make it profitable and others make it fail. The returns will form a nice bell curve. Interview those at each tail of the curve and you'll see what's happening. It won't have anything to do with discipline, education or market knowledge. It will be so-called 'random' events that make the difference. These 'random' events, whether helpful or harmful, will be related to an individual's core beliefs.

 

[cynic]

1. Belief(s) in:

(a) a set of circumstances [or circumstance] that is supported by objective evidence: which is commonly called a fact; and

(b) a set of circumstances [or circumstance] that has no objective evidence to support it: which is commonly called faith.

So a reality experienced could be the result of either (a) or (b).

A reality experienced due to (b) could [would] likely be unique to that individual exposed to that experience, or possibly all individuals sharing that belief [faith].

A reality experienced due to (a) could [would] likely be experienced by all individuals exposed to that fact, irrespective of any shared commonalities.

If belief dictates one's experience of reality, then the only evidence that can exist, is that which has been believed into existence!

So "Objective evidence" could only truly exist for those believing in existence of same.

As such, the distinction between (a) and (b) can only exist, for those subscribing to belief, in the existence of such distinction/s.

2. The higher the correlation, the higher the probability of causation.

It seems a correlation (i.e. correlation strength, correlated with causal probability) has been introduced. How is application of such circularity of logic, beneficial?

One issue is in measurement of that correlation: viz the competing variables that could account for an outcome.

It would seem that the measurement issue, to which you refer, renders the matter subject to the perspicacity of the measurer.

A 100% correlation strength is higher than 50%.

A 100% probability (certainty) is higher than 50% probability(coin toss).


Entity A makes 3 consecutive coin tosses, returning a result of heads each time.
Entity B makes 3 consecutive coin tosses, returning a result of tails each time.
Entity C makes 6 consecutive coin tosses, returning 3 heads followed by 3 tails.

If entities A and B were each using a phony coin (i.e. a double headed and a double tailed, respectively), then the outcomes (100% heads, & 100% tails respectively) could indeed be expected to be correlated to the coins.

But what if there only existed a single coin, to be shared between the 3 of them (i.e. entities A, B and C)?

Alternatively, what if entity C was a composite of, entity A, using one coin, and entity B, using another?

Considering the above, just how dependable is the correlation between, correlation strength and causal probability?

3. I see no way around it. You use the word 'reality'. What is reality? Reality is a question of epistemology, viz: how do we know what is real?

I would argue that realities that one experiences are either:

(a) data or phenomena that are sensory in their origin; or
(b) are deduced via synthetic a priori in their origin.

jog on
duc

If one deeply believes the aforementioned things to be true, then that is the reality one has created for oneself.

 

[fiftyeight]

View attachment 91865
View attachment 91866

Skate.

Is the content here something you have put together specifically for this thread/book or pearls of wisdom you have noted over the years and are now sharing?

 

[Skate]

Is the content here something you have put together specifically for this thread/book or pearls of wisdom you have noted over the years and are now sharing?

Why did I start the thread ?
I've noticed that the forum shifted focus from trading to a social hangout. @Joe Blow frustration was excruciating to read & as a community member I thought I could help out in a small way.

Visitors don't see value to stick around
New traders are visiting our forum every day seeking answers to some basic trading question. They ask one question & never stick around, have you ever wondered why ?

Dog with a bone
I'm a compulsive learner & have a passion to share knowledge. If any of my posts help one person modify their behaviour or thinking pattern, I'm a winner. I'm compulsive about most things & I study & write everyday - Dumping it here has been therapeutic - it's been a release.

But I don't have time to read, condense it for me.
I've condensed 5 years of gained knowledge into one thread, I thought it would be helpful for others to read the "nitty-gritty" of trading & what it takes to be successful at this game. I've explained a simple way I trade, it's nothing fancy or complicated, meaning anyone can start with little effort & money. Getting started is what it's all about, you can learn as you go, I've written about this.

Why should I read the thread or eBook ? (for positive reinforcement)
It may save you many years of self-education if you have a slight interest in trading, otherwise you can use it as a pep talk. I wanted to explain the dangers & pitfalls associated with trading, most don't understand the emotional side to trading not realising the roller coaster of emotions everyone experiences when they trade. By keeping your emotions in check you'll make better decisions.

Skate.

 

[fiftyeight]

Why did I start the thread ?
I've noticed that the forum shifted focus from trading to a social hangout. @Joe Blow frustration was excruciating to read & as a community member I thought I could help out in a small way.

Visitors don't see value to stick around
New traders are visiting our forum every day seeking answers to some basic trading question. They ask one question & never stick around, have you ever wondered why ?

Dog with a bone
I'm a compulsive learner & have a passion to share knowledge. If any of my posts help one person modify their behaviour or thinking pattern, I'm a winner. I'm compulsive about most things & I study & write everyday - Dumping it here has been therapeutic - it's been a release.

But I don't have time to read, condense it for me.
I've condensed 5 years of gained knowledge into one thread, I thought it would be helpful for others to read the "nitty-gritty" of trading & what it takes to be successful at this game. I've explained a simple way I trade, it's nothing fancy or complicated, meaning anyone can start with little effort & money. Getting started is what it's all about, you can learn as you go, I've written about this.

Why should I read the thread or eBook ? (for positive reinforcement)
It may save you many years of self-education if you have a slight interest in trading, otherwise you can use it as a pep talk. I wanted to explain the dangers & pitfalls associated with trading, most don't understand the emotional side to trading not realising the roller coaster of emotions everyone experiences when they trade. By keeping your emotions in check you'll make better decisions.

Skate.

Being abused by experienced members in private chat when very new probably does not help keep newbs, said member is still posting today, in this thread actually. Copped some more abuse from them last year actually. I hope they treat new posters better than they do me???

I am sure your posts will help many, the time given in this thread will be appreciated by many new comers over the years!!!

Good timing of the ebook, I am on a flight today and was looking for something to read

 

[ducati916]

1. If belief dictates one's experience of reality, then the only evidence that can exist, is that which has been believed into existence!

So "Objective evidence" could only truly exist for those believing in existence of same.

As such, the distinction between (a) and (b) can only exist, for those subscribing to belief, in the existence of such distinction/s.

2. It seems a correlation (i.e. correlation strength, correlated with causal probability) has been introduced. How is application of such circularity of logic, beneficial?

It would seem that the measurement issue, to which you refer, renders the matter subject to the perspicacity of the measurer.

A 100% correlation strength is higher than 50%.

A 100% probability (certainty) is higher than 50% probability(coin toss).


Entity A makes 3 consecutive coin tosses, returning a result of heads each time.
Entity B makes 3 consecutive coin tosses, returning a result of tails each time.
Entity C makes 6 consecutive coin tosses, returning 3 heads followed by 3 tails.

If entities A and B were each using a phony coin (i.e. a double headed and a double tailed, respectively), then the outcomes (100% heads, & 100% tails respectively) could indeed be expected to be correlated to the coins.

But what if there only existed a single coin, to be shared between the 3 of them (i.e. entities A, B and C)?

Alternatively, what if entity C was a composite of, entity A, using one coin, and entity B, using another?

Considering the above, just how dependable is the correlation between, correlation strength and causal probability?


3. If one deeply believes the aforementioned things to be true, then that is the reality one has created for oneself.

1. Beliefs are formed by either (a) or (b).

Beliefs do not create reality in (a).
Beliefs can create reality [for the individual or those with the same belief] in (b).

Therefore if (b), I agree with your conclusion. However, if (a), then your conclusion is false.

2. It is important [helpful] for the following reason.

(i) There will be times [occasions] where there is a chain of historical events that are assigned causation. Often these claims are suspect.

(ii) Even if there is a very small period of elapsed time between the causative event and outcome, questions can still arise. As an example 'A' punches 'B' on the nose. 'B' has a nosebleed. On that basic evidence the punch was causative of the bleed. If further information is added: 'B' insulted 'A's' wife, then which is causative? The insult, or the punch?

Which brings back into focus the issue of epistemology. How do we know [causation] anything? Which answers your question at the end of [2]:

Considering the above, just how dependable is the correlation between, correlation strength and causal probability?

Exactly my point: how reliable is anything that we [think we] know?

3. Only for those operating on the basis of faith. If operating on the basis of (a), then that assertion is not accurate.

jog on
duc