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1. "When AB optimizes, it's finding the best fit value for an array, using historical data, yes?"

Correct (Amibroker is a big calculator when it comes to optimising on past data)

2. What do you mean by "adapting in real time"?

(re-post) My strategy is adapting in real time whereas optimisation & Backtesting is only useful on know past data.

Fluid numbers
When trading my parameters are driven by the market movement (a fluid number set, not a fixed number set) some parameters setting are flexible to apply volatility bar-by-bar, sometime the driver is plain old ATR. Optimising can't handle variables to optimise efficiently. Optimisation is a selection of numbers applied to a code over & over to the max number of tries, that's all, optimisation is crude & basic but useful to set a base.

Impulse/State signals
Using the Cross() function (impulse signal) instead of the logical greater than operator (state signal) is a poor choice in certain strategies and coding that way is totally a different kettle of fish resulting in a difference of system performance. Reference that to how Optimisation works. Using a fixed number set is how the calculations are done in Amibroker, but what if the number being used wasn't independent by itself but required another set of number to create the new base number set, this is why flexible parameters complicates settings very quickly.

I'm at a loss how to explain it in a simpler way.

Skate.
 

willy1111, what a perfect statement.
"Perhaps the above is the missing link other members are failing to understand between academic discussion of position size versus real world trading. The liquidity and slippage issues created by having larger positions"

The real world
The academic's of trading verses real trading is chalk & cheese, it's totally different. The liquidity and slippage issues are never discussed in most reading material I read before I started trading. When I was paper trading, liquidity and slippage was never an issue but as soon I went live, these issues raised their head & bit me really hard.

Boxing
You can condition yourself in the gym & punch that bag really hard, over & over, honing your power & skills, but once you step into the ring it feels totally different, especially when the bag hits back. (the opponent I mean)

Skate.
 
Alright thanks for the reply. I don't understand what you're saying though.

Your parameters are driven by market movement - what does that mean? I would have thought every system ever developed references market movement! We only ever have access to historical data. Even if we're trading based on tick data, it's still historical.
 

Gringotts Bank, I appreciate the education, it's evident you are more experienced with Amibroker than I am.

We all need help (re-post) Jan 18, 2019 #926
This is exactly where my coding ability is, weak at best & amateurish at worst - reading something doesn’t mean I understand it.

Skate.
 
Some systems are written in such a way, that they can refine key parameters (and/or switch between algorithms) on a continuous basis, as new data is presented. Even if the data presented relates to the most recent of price movements, it is of course, no longer in the present moment, and is, as you have stated, historical data.
 
To ensure we have it right:
it would make sense to ,for example ,relax or tighten stop loss percentage , or reducing exposure base on an index trend.
."becoming cautious" translated in code..
Is that what you mean Skate by flexible parameters in the amibroker context?
And indeed this can complicate backtesting.thanks for your time
 

qldfrog, @cynic nailed it. (spoken from a coders perspective) some of my parameters are dependant on two data feeds.
"Some systems are written in such a way, that they can refine key parameters (and/or switch between algorithms) on a continuous basis, as new data is presented. Even if the data presented relates to the most recent of price movements, it is of course, no longer in the present moment, and is, as you have stated, historical data"

qldfrog said:
" it would make sense to, for example ,relax or tighten stop loss percentage , or reducing exposure base on an index trend "becoming cautious" translated in code"

Exits
Yes, as an example, my exits are driven by stops & there is a separate algorithm & parameter setting for each. I have 7 such parameter setting, switching from one to another with an additional benefit of turning on & off. The stops applied in my Hybrid strategy consist of a Trailing stoploss, Chandelier stop, Stalestophit & a Takeprofitstop, the flexibility of those parameter are coded in a loop within the code.

Norgate 1st Data feed (market data feed)
Gringotts Bank & cynic are absolutely correct to say the recent present fluid 'in the moment' market data becomes 'static' turning it into historical data.

Our mind
Think of our mind & thoughts, 'current in the moment' becoming 'historical thoughts' in less than a heartbeat.

CommBank 2nd Data feed (my trading account balance data feed)
Let me explain a hypothetical scenario simply so you understand how one of my parameter is driven by current data.
1. A bank feed exports my trading bank balance
2. That bank balance is multiplied by (0.9936)
3. (0.9936) is used to calculated slippage & commission
4. The Buy price 'offer' for the pre-auction is the last closing price plus an additional percentage applied (making sure I'm settled)
5. The Sell price 'offer' for the pre-auction is the last closing price less an additional percentage applied (making sure I'm settled)
6. I have a (40) position portfolio less the positions already filled (18) the positions outstanding (22) yet to be filled
7. Let’s say I have (18) positions filled, it mean I have (22) positions to fill (40-18=22)
8. Trading bank balance X 0.9936 / 22 is now the new position size. ($24,680)

9. The position size of $24,680 populates the parameter Trading Funds $ variable
10. I hit the [Explore] in AA & the code works out the required amount of shares to purchase & what price to offer in the pre-auction.
11. Using this formula saves re-balancing & evenly distributes my trading funds in equal portions in relationship my trading results.
12. If I win the Trading bank balance goes up & if I lose the Trading account goes down, but at all times the total funds are always dispersed on the formula above.

Pre-Auction
I would be interested if others could optimise & backtested my Hybrid code in its current form to gain meaningful result data - let alone code it to display the pre-auction buy & sell report I've displayed below.

Pre-auction report


World Champion
Mick Doohan, was an Australian former Grand Prix motorcycle racer, who won five consecutive 500 cc World Championships. When he arrived at a new track, he wanted to know two things.

(1) Which way the track ran (clockwise or anticlockwise)
(2) What was the lap record.

Why tell you this
My code is designed to tell me three things

(1) What to buy
(2) How many shares to buy
(3) What price to offer in the pre-auction, making sure I get settled.

VWAP
ASX uses the VWAP method to arrive at the opening price & my code takes that into consideration formulating the 'offer' price.

Historical data
Optimising & Backtesting works on static historical data, Amibroker has no ability (IMHO) to factor in the nuances of my code to populate parameter setting in relation to current (in the moment) data. Amibroker lacks the ability to handle any setting that changes over time with new updating data. (the 'now' data)

Fancy calculator
Amibroker is an array calculator, it work on a fixed number set. A decision tree process.

I know what I know, & that's all I know
I don't have a coding background & lack a deep knowledge & understanding that cynic & Gringotts Bank displays, otherwise I would be able to chose the correct terminology to better explain myself. I know what I know, & that's all I know.

Experience (re-post) Dec 28, 2018 #541
Every member enjoys a different level of experience & expertise, there is never a reason to display your level of knowledge by making others feel inferior. This thread is for information to help others & that's why I'm prepared to post in a open way.

The reason I'm telling you this (re-post) Dec 24, 2018 #475
My posts are honest, open & frank - if you haven't noticed (I have nothing to hide)

A few observations (re-post) Feb 1, 2019 #1401
The learning curve for understanding and developing a trading system is high for the average trader but not impossible. The very first step towards success in any occupation is to become interested in it & what you learn must be engaging & interesting otherwise learning will not take place. Reading the 'Dump it here' thread might just be the catalyst to get you excited thinking about trading in a different way.

Quote
As they say “one man's trash is another man's treasure”

FYI.
I'm not prepared to further elaborate on what I have posted above or discuss any of the nuances of my code, which most members would understand & appreciate.

Choice of words
I also want to apologise for any word expressed in any of my post that have been taken out of context, losing its meaning in translation.

Skate.
 
Much appreciated.and a lot of info, it would indeed be nice to code a report simply to say buy/sell this many at this price removing any noise (and also causes for self doubt or indecision..)
 
qldfrog said:
Much appreciated.and a lot of info, it would indeed be nice to code a report simply to say buy/sell this many at this price removing any noise (and also causes for self doubt or indecision..)
Click to expand...

Simplicity
That is the simplicity of the Hybrid strategy, even though the code is complex the results are displayed in a easy digestible manner. The trading results gives me the confidence to keep pulling the trigger under the most trying of circumstances.

Take the good with the bad (re-post) Feb 1, 2019 #1422
With a weekly strategy you have to hold the position up to week even when the price falling rapidly. With a weekly system you have to stick to the plan even if it means a bigger loss (I never override my strategy) Keep the system as simple as possible, validate it (robust backtesting) and trade it.

Why (re-post)
Others may not have read the entire 'Dump it here' thread & a re-post may be the catalysis to do so.

Side note
qldfrog, I've been busy updating my eBook that you have. The new 4th Edition has been reworked & updated to make it more enticing & enjoyable to read. I'll post the new update when completed.

Skate.
 
Hi Skate, I'm not an expert at AB.

Let's forget about definitions of 'now' data and parameter values, etc. There's two ways to cut through any confusion and see what's really important.

1 - Does the code stand up to walk forward analysis? ie. does it retain profitability when continually re-optimized?

2 - Will the code be profitable on another stock market? Run it on the NQ and see if the general idea of the system is robust. If not, can it be optimized to become profitable? If it can, then will it handle walk forward analysis?

I think you've done both of these, yes? Would you be open to sharing a WF screenshot?
 

Equity curve
Gringotts Bank, I have posted my equity curve again, you have not read the entire 'Dump it here' thread & also for the convenience of others saving them time referencing back to that particular post.

Judge
I'll let you be the judge if my strategy is profitable.

Question 1 - Does the code stand up to walk forward analysis? (YES) ie. does it retain profitability when continually re-optimized? (YES)



Question 2 - Will the code be profitable on another stock market? (YES, I had it evaluated) Run it on the NQ and see if the general idea of the system is robust. (NO, can do) If not, can it be optimized to become profitable? If it can, then will it handle walk forward analysis?

F.Y.I.
I have had my strategy tested on different market around the world buy two independent traders & I've had it professionally appraised in the Northern hemisphere who specialise in doing this. When my money is on the line "I give a damn"

Please read this line 5 times (re-post) Jan 17, 2019 #875
When you’re dealing with your own money, trading gets very complicated, very quickly!

Strategy evaluation
This is a copy in a series of emails that I'm prepared to share but not discuss. The email is an unaltered summary of the Hybrid Strategy.

-----------------------------------------------------------------------------------------------------------------------------------------
email START
I found that in general, the strategy works well also in other international markets where there are a lot of inexpensive stocks. I tried some alternatives for the PositionScore but found that your criteria to be a very good fit for this system.

Thanks for the very detailed answer. Now I better understand your code and logic.

Your coding skill, in my opinion, is already pretty good since you implemented some features that are for sure far above the basics. While the original code could be refactored to achieve greater readability (something that in any case is opinionable), I did not find any major issues (the gfx part is pure aesthetics so it does not interfere with the actual trading system).
email END
-----------------------------------------------------------------------------------------------------------------------------------------

Skate.
 
Getting back to the original brief of this thread.

DUMP IT HERE, well here we go :

What the F---k is wrong with our press:


IS THERE NOT ONE THING POSITIVE THAT THEY CAN REPORT ON, PAEDO, SEX OFFENDER, EXTREME pr0n and A PERSON (BIKIE) THAT I WISH I NEVER HAVE TO MEET.
 
Skate said:
Trading Fundamentals - Skate's Beginners Version
Click to expand...

Nice work Skate

A quote from the book:


May I add another piece to this quote:

"Enjoying the success of others"

It's great to see how far you've come with your Hybrid strategy, I'm sure it's the foundation for several successful trading strategies you'll build in the coming years.
 


Apologies
Apologies for replying to (ASX:BIN) & (ASX:BLD) both positions in peter2 (40) position portfolio thread & a post from the (BIN) thread. I'm not questioning the motive behind the purchase but I would like to post a chart so you have a better idea what I see in relation to both securities.

2 Charts (BIN & BLD)
I want to post (2) charts one for each security listed above. My Hybrid strategy didn't select either of these two positions because of the ribbon at the bottom of the chart is a sea of "yellow", yellow means caution. When the ribbon is yellow it means the stock is unloved.

6 Passages
I also want to quote 6 passages from the eBook "Trading Fundamentals - Skate's Beginners Version" (a blatant plug) that can relate directly to the two securities in question.

$hit happens (EXTRACT from the eBook - Trading Fundamentals - Skate's Beginners Version)
No one knowingly puts themselves in harm’s way but no matter how smart we are, or how hard we work, we will regularly be hit by news, circumstances, and developments that are unforeseen and the stock market gods will periodically use us for their entertainment, and there is nothing we can do to prevent it, so we have to be ready and mentally prepared to realise drawdowns and losses are part of the trading process, so take it on the chin and be the ‘best loser’ you can possible be.

Boxing (EXTRACT from the eBook - Trading Fundamentals - Skate's Beginners Version)
Trading is like being a punching Bag. No matter how good you are you still take hits.

Pain (EXTRACT from the eBook - Trading Fundamentals - Skate's Beginners Version)
Even when you are skilled at trading at some stage you will experience pain.

Lousy picks (EXTRACT from the eBook - Trading Fundamentals - Skate's Beginners Version)
All investors will buy their fair share of both good and bad stocks. Even the best investor has plenty of lousy picks along the way, but it is the manner in which you handle those investments after their purchase that ultimately determines your level of success.

Selling early (EXTRACT from the eBook - Trading Fundamentals - Skate's Beginners Version)
If you sell your good stocks too early and hold on to your bad stocks too long, it doesn’t much matter how well your stock selection might be.

Selling (EXTRACT from the eBook - Trading Fundamentals - Skate's Beginners Version)
Successful investing is largely the art of selling. Buying a stock is easy. It is determining when to cut our losses or when to take our profits that is hard. Because it is so hard to determine when it is the right time to sell, many just don’t do it.

Skate.

(ASX:BIN) Weekly Chart



(ASX:BLD) Weekly Chart
 
Thank you @Skate. I like to highlight the unpalatable moments such as the recent losers in the ASX40P portfolio. It's all to easy to post when things are going well and stroke our own egos. When regular posters go quiet, we know they're having a bad run. I post when I'm frustrated and that helps me understand why. I post when my selections are "out of sync" with what's moving in the market because it helps me see what I need to correct. I post about the big losers because they're the trades that provide us with lessons to learn. (*)

Lessons from BLD, PGH, PPH, BIN: All were bought within a week or two of scheduled news. Could I have waited for the news? Of course. All trade opportunities were down trend reversals, perhaps the down trend wasn't over? Perhaps they needed more time.

Had I started the research portfolio (ASX40P) a few weeks earlier it would have contained FMG and a few gold stocks. It may have been fully invested and most likely wouldn't have had BLD and BIN. The timing was unlucky. Timing plays a huge part in the performance of a portfolio. I'd be a lot more cautious starting a portfolio at a market peak (like now). It wouldn't stop me but I'd establish the portfolio over a longer period.

(*) They reinforce things I already know, but I hope others take note as well.
 

Hilarious. Welcome to the check-out isle on the internet. At least people who read that in the supermarket can be defined as being in the real word. You are commenting about that sort of dross on an investing forum!
 

peter2 said:
"All trade opportunities were down trend reversals, perhaps the down trend wasn't over? Perhaps they needed more time"

Watching with extreme interest
I'm very interested in the performance of a 40 position portfolio using your original entry & exit techniques compared to a portfolio or 12 to 14 positions. The recent line chart you posted is evolving nicely. Using a large position portfolio takes time to rotate the stocks, always crystallising losses along the way which will be disheartening at first but that's the nature of the beast.

peter2 said:
"Had I started the research portfolio (ASX40P) a few weeks earlier it would have contained FMG and a few gold stocks"

(ASX:FMG) Chart
As peter2 has referenced (FMG) as a possible buy, I've posted a chart as I'm in the move. This was a classic breakout, it's the way I trade, so it was my job to hop on for the ride. Simple. (see Below) The ribbon at the bottom of the chart can be related to traffic lights. (FMG) had the green for GO!

4 Passages
I also want to quote 4 passages from the eBook "Trading Fundamentals - Skate's Beginners Version" (a blatant plug) that can relate directly to the post peter2 made about the timing & decision why the trades were taken.

Ideal time (EXTRACT from the eBook - Trading Fundamentals - Skate's Beginners Version)
The ideal time to trading is when the Index you are trading is trending upward.

It's up to you (EXTRACT from the eBook - Trading Fundamentals - Skate's Beginners Version)
Whatever combination of information you use, whether it media reports, fundamental or technical analysis or a combination of all of those it really depends on you.

Luck (EXTRACT from the eBook - Trading Fundamentals - Skate's Beginners Version)
In designing good money management principles into my 'Mechanical Trading System' to a degree helps but my success or failure in the market is a function of our luck and timing entry.

Caution (EXTRACT from the eBook - Trading Fundamentals - Skate's Beginners Version)
Only be proactive when the market is heading in the right direction. Otherwise be a wimp like me.

If you like some of my passages quoted above, they are in the eBook: Trading Fundamentals - Skate's Beginners Version (a free download for ASF members)

Skate.

 
Skate's Modified CAM Strategy (paper trading execution of the CAM strategy)

Post for members interested in the CAM Strategy
@qldfrog
@Newt
@Lone Wolf
@Wyatt
@willy1111
@Habakkuk
@jjbinks
@Joe90

This is the exact CAM Strategy with modified code that I'm planing to trade once the paper testing correlates with the current Backtest, Walk-Forward & Monte Carlo testing.

FYI
Skate's modified CAM Strategy - has 2 Buy conditions & 2 Sell conditions.

CAM Strategy Settings
$300,000 Capital
20 Position Portfolio
$15,000 Fixed Positions
Starting Date 1st January 2019
Weekly Strategy

Conditions
(a) All Buy positions will be advised in advance before they are taken in the pre-auction. (so you can see the trades as they happen)
(b) If the pre-auction price is not successful, the position will be cancel at the end of trading day.(Meaning Buy order will be active for one day only)
(c) Portfolio performance will be posted weekly (Friday after the close)
(d) The trading results from the 1st January to today are listed for reference. (paper trading commenced 1st January 2019)
(e) Paper Trading is normally 6 to 12 months.
(f) As I'm already paper trading this strategy & with the interest in @qldfrog thread I'll run my Cam Strategy for comparison.
(g) The CAM strategy will be traded as designed with no additional user input or modifications during the paper trading period.

CAM Strategy - Main trade settings

BUY conditions:
1. If my additional CAM parameters & filters are passed action item (2) & (3)
2. Buy tomorrow at the open if today is a GOLD-colored 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
3. If today is a BLUE-colored bar (the 10-period ADX is declining but MACD is rising)
and today’s close crosses above the 13-period EMA.

SELL conditions:
1. Sell if StaleStop exit is activated OR
2. Sell tomorrow at the open if today is a RED-colored 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.

PLEASE NOTE:
(a) The CAM system works well in a positive trend & generates a tremendous amount of buy signals (PositionScore is critical to the strategy success)
(b) In a BEAR market this Strategy performance suffers with large drawdowns.
(c) The idea of my StaleStop exit is in place for the protection against large draw downs.
(d) Skate's modified CAM strategy uses a unique set of parameters with additional filters because the above standard CAM rules are not enough to maximize the odds of profit, it is mandatory to apply this trading system to a trending universe of stock.

Graphics
The charts are displayed so you can see the signal bars as well as the entry & exits bars that are coloured coded which indicates: CAM-UP, CAM-PB & other Buy & Sell conditions listed above)


These are the CAM Strategy "Orders" to be placed in the pre-auction (before the Market opens on Monday 4th March 2019)



CAM Strategy "1st" Sell (PNC) 4623 share @ pre-auction offer of $2.37 (Ouch !!)




CAM Strategy "2nd" Sell (NST) 1647 share @ pre-auction offer of $8.98




CAM Strategy "1st" BUY (NCM) 598 share @ pre-auction offer of $25.06




CAM Strategy "2nd" BUY (GEM) 4652 share @ pre-auction offer of $3.23




Skate's CAM Strategy Portfolio results (1st January 2019 to 3rd March 2019)




Skate's CAM Strategy current Open positions (1st January 2019 to 3rd March 2019)




Skate's CAM Strategy - BUY trades (1st January 2019 to 3rd March 2019)




Skate's CAM Strategy - SOLD trades (1st January 2019 to 3rd March 2019)



Condensed CAM Strategy - Buy & Sell positions (1st January 2019 to 3rd March 2019)


Skate.
 
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