Dump it Here

[investtrader]

Skate,

Just realised I tested with Positionscore selecting lowest priced stocks. I am sure you know but this improves performance quite a lot.
Cheers

 

[aus_trader]

Skate,

Just realised I tested with Positionscore selecting lowest priced stocks. I am sure you know but this improves performance quite a lot.
Cheers

Does higher priced stocks offer lower Draw-Downs (DD's), my thinking is due to lower volatility ? Rather than guessing it would be nice if you have the facts. I have read in few different places that higher priced stocks can give a smoother equity curve with lower DD's, but it could be a myth without data to back up the claim...

 

[investtrader]

To answer your question I ran three tests of my MAP code. The first result picks the lowest price stocks available, the second just picks whatever(single run) and the third always picks the highest priced stocks. Last 5 years, All ords(current list only). The higher price stocks are large caps usually(always?) and it makes sense that they move slowly and are priced more efficiently.

 

[aus_trader]

To answer your question I ran three tests of my MAP code. The first result picks the lowest price stocks available, the second just picks whatever(single run) and the third always picks the highest priced stocks. Last 5 years, All ords(current list only). The higher price stocks are large caps usually(always?) and it makes sense that they move slowly and are priced more efficiently.

Thank you for doing that extra iteration investtrader, it confirms what I believed would happen theoretically. As the myth-busters would say the myth/hypothesis is either confirmed or busted. The higher priced stocks had absolute maximum draw-downs that were smaller but in terms of profit factor the lower priced stocks really hit it out of the ball park.

 

[Skate]

To answer your question I ran three tests of my MAP code. The first result picks the lowest price stocks available, the second just picks whatever(single run) and the third always picks the highest priced stocks. Last 5 years, All ords(current list only). The higher price stocks are large caps usually(always?) and it makes sense that they move slowly and are priced more efficiently.

@investtrader thank you for posting the results of your MAP strategy. I've done a 5 year backtest using the All Ordinaries starting from 27th May 2014 to 27th May 2019.

Backtesting means JACK
I've stated before, backtest results mean "Jack" to me but they do give an indication between test results using different parameters.

At the bottom of my backtest report there is additional data that can be important in backtesting evaluation.

Additional Info in the backtest report
1. The MAP strategy performs better without the "Take Profit" feature being turned on.
2. There is a comparisons between the exits whether they were taken out by the "Trailing Stop" or the "Stale Exit"
3. The expectancy report at the bottom in-itself is handy for evaluation comparisons the other is the CAR/MaxDD





Skate.

 

[Newt]

Skate,

Just realised I tested with Positionscore selecting lowest priced stocks. I am sure you know but this improves performance quite a lot.
Cheers

And this is ASF at its best. Of all the things I've tried and used in PositionScore over the years, never thought to do that one. You can get too comfortable inside your own head sometimes. Not sure if I'll ever use this but thanks investtrader.

 

[Newt]

Thanks yet again Skate for sharing in such detail.

It only just occurred to me you've also done something I'd rarely think to do in an Entry condition - use multiple "OR" entry options. Guess I normally get so caught up defining the best entry end up going deeper and deeper down the "AND" conditions borrow.

Exits are different - weekly trend systems seems to be most robust with a primary exit condition OR'd with a 2nd stop loss/trailing stop.

These posts don't read like somehow who's now bored with trading - glad to see the creative juices are flowing.

 

[Wyatt]

Some fancy numbers in that backtest @Skate.

Exposure at just over 50% says a lot to me about the value of being in the market only during favourable conditions. There are plenty of us soaking up your good work.

 

[investtrader]

Newt,
If you trade Aussie stocks I think you should use this idea. Backtesting tells me that low priced stocks out perform. It works with every weekly system I trade or have traded. So when you have a decision to make between signals with all else being equal, then select the lowest price. I personally look at the fundamentals as well so as not to fully load up with crappy companies, but I will still break a tie using the lowest price.

 

[kid hustlr]

Skate,

When you talk period I assume you're talking weekly periods given it's a weekly system? I'm getting results all over the shop at present so just re-checking what I've done and thought I'd check

 

[peter2]

Excellent discussion, my thanks to all, especially @Skate and @investtrader .

Would anyone have the confidence to trade the MAP strategy?

Absolutely, as the MAP entries are very similar to my own weekly bullish bar entries. I liked it so much that I coded the MAP buy signal into my charts and I'll create a scan to be included in my weekly routine. An objective scan should improve my consistency in "nailing the initial entry".

I've been looking at the MAP trends on the monthly charts. HUGE, many lasting years.

 

[Newt]

Thanks yet again Skate for sharing in such detail.

It only just occurred to me you've also done something I'd rarely think to do in an Entry condition - use multiple "OR" entry options. Guess I normally get so caught up defining the best entry end up going deeper and deeper down the "AND" conditions borrow.

Exits are different - weekly trend systems seems to be most robust with a primary exit condition OR'd with a 2nd stop loss/trailing stop.

These posts don't read like somehow who's now bored with trading - glad to see the creative juices are flowing.

Eek
borrow should have been burrow
somehow should have been somone

 

[Skate]

Skate,

When you talk period I assume you're talking weekly periods given it's a weekly system? I'm getting results all over the shop at present so just re-checking what I've done and thought I'd check

@kid hustlr it's using the 10 period (weekly system) all round - nothing fancy - don't over complicate things.

Below is the buy code less the filters I use. The buy code is wrapped around another 1,260 lines of code & I would be surprised if @investtrader or your results would mimic my results. Using the settings below should get you very close to half decent returns.

BUY code - less the usual filters I use (you will work it out)
( Close > MA( Close, 10 )
Close == 1.1
Volume > MA( Volume, 10 )
ROC(C, 10) >= 0

Don't forget to use OR statement for the first 2 conditions & use the AND statement for the other two.

Half the fun is fiddling..

Thanks yet again Skate for sharing in such detail.

It only just occurred to me you've also done something I'd rarely think to do in an Entry condition - use multiple "OR" entry options. Guess I normally get so caught up defining the best entry end up going deeper and deeper down the "AND" conditions borrow.

Exits are different - weekly trend systems seems to be most robust with a primary exit condition OR'd with a 2nd stop loss/trailing stop.

These posts don't read like somehow who's now bored with trading - glad to see the creative juices are flowing.

@Newt trading is still boring to me because there is little for me to do each week, 3 minutes to get the end-of-week signals & another 3 minutes to place my orders (less than 10 minutes per week)

Imagine if you only worked 10 minutes a week, I think you would get bored pretty quickly as well. Don't get me wrong, I like trading, it's the only profession I know that makes money without consuming any of my time & it's all due to the way I trade.

Skate.

 

[Newt]

1260 lines of code - in Amibroker!
That must be a lot of custom looping and filtering

 

[captain black]

And this is ASF at its best.

It's been great to see the amount of trading related discussion on ASF over the last few days.

ASF at it's best

Also great to see the progress you've made and are still making @Skate

 

[Skate]

The CAM Strategy evaluation has come to an end
The evaluation of the CAM strategy has now been completed. Tomorrow will be my last update of the CAM Strategy paper trading.

Going Live
The CAM strategy goes live on Tuesday 11th June 2019.

Weekly Report
I’ll be simplifying my weekly post by concentrating on reporting the trading progress of the CAM strategy only (for better or for worse) keeping the ‘Dump it here’ thread active.

Ends tomorrow (MAP & BOX strategies)
Tomorrow will be the last post of the other two strategies under ongoing evaluation thus freeing up the multiple post I make each Friday evening.

Why trade the CAM strategy
All 3 strategies under evaluation (the CAM strategy, the MAP strategy & the BOX strategy) are all worthy to be traded - they have all backtested well & the paper trading reflects this.

The first strategy under evaluation was the CAM strategy so naturally I’ll start trading it first & progress to trading the others strategies over time.

Mission Statement
I have a simple mission statement “Trade the CAM strategy to achieve an average weekly profit of $1,000 from a $300K investment”.

Ongoing Weekly Updates of the CAM Strategy
(1) I'll post the trading progress of the CAM strategy on a weekly basis that will include (a) the total Net Profit & (b) Portfolio % Return.
(2) I’ll also post the Equity Curve (Line chart) displaying (a) the Weekly Return & (b) the Weekly Average Return to note its ongoing progress to comply with the mission statement

The CAM strategy Repository found here - https://www.aussiestockforums.com/posts/1028382/

The CAM Weekly Strategy (for live trading)
Start Date: Tuesday 11th June 2019
Capital Invested: $300,000
Positions in the Portfolio: 20
Position Sizing: $15,000 initial positions, re-balanced weekly

Skate.

 

[rnr]

The CAM Strategy evaluation has come to an end

The CAM Weekly Strategy (for live trading)
Start Date: Tuesday 11th June 2019
Capital Invested: $300,000
Positions in the Portfolio: 20
Position Sizing: $15,000 initial positions, re-balanced weekly

Skate.

Hi Skate,

If you don't mind me asking, what exactly do you mean by the comment highlighted in red?

Cheers,
Rob

 

[Skate]

Hi Skate,

If you don't mind me asking, what exactly do you mean by the comment highlighted in red?

Cheers,
Rob

Hi @rnr

Thank you for your question. Let me give you a preamble before answering your question directly.

1. The CAM strategy will start out with a capital balance of $300K / 20 positions = $15K positions. The strategy starts out with a fixed dollar amount of $15K, the only time it does.
2. I trade in the pre-auction only & the CAM strategy code calculates a 3% premium for a buy or a 3% discount for a sell to assure being settled at the opening price.
3. Using a premium / discount calculations in the buy & sell code the $15k is never completely used up in the purchase or sale even though the strategy code allowed for it.

QTY of shares is the only known
The quantity of shares being purchased is FIXED but the share price (the opening price is UNKNOWN) theoretically the position will be filled between $14,550 (if filled at the last closing price) to a maximum of $15,000 if the premium of 3% is totally applied to secure the buy. The amount invested is unknown till the trade happens.

IMPORTANT
If a 3% premium is unsuccessful to secure a buy (due to a gap-up) it’s a condition of the Strategy plan not to chase a price. The buy order is open for one day only.

How is the re-balancing done?
A bank feed supplies the trading balance to the strategy code & this amount is equally divided by the outstanding positions required to fill the 20 position portfolio.

Soldiers
I make sure every dollar is placed in the market, I consider dollars as soldiers & when they go to war they all need to be in there fighting for me. Weekly re-balancing achieves this for me.

Trading account balance fluctuates
When trading goes well the trading account balance increases & if the alternative happens heaven forbid the account balance reduces. Meaning, when the account balance fluctuates the account balance determines the quantity of the shares to buy & the invested amount reflects this.

Skate.

 

[rnr]

Hi Skate,

Thank you for taking the time to answer my question.

If my take on your response is correct, should the trading account balance double and get to $600,00 then the total value of each trade would be $30,000.

Am I correct with this conclusion?

Cheers,
Rob

 

[Skate]

Hi Skate,

Thank you for taking the time to answer my question.

If my take on your response is correct, should the trading account balance double and get to $600,00 then the total value of each trade would be $30,000.

Am I correct with this conclusion?

Cheers,
Rob

Hi Rob

Your conclusion is correct
In theory you are correct, but there are other variables to consider. The ease of moving in & out of the markets is my primary concern. When I first started my minimums bet size was upwards from $50K & it didn’t take me long to understand what the word “slippage” meant.

Bet size
At the moment my trading plan allow each bet size to vary between $15K to a maximum of $25k within violating my trading rules.

Portfolio size
Portfolio size can vary between 20 & 53 positions without breaking any of my rules. Just to be clear, my trading rules are set in stone.

My Strategy Rules
1. $15K positions can ballon out to $25K positions under a 20 position portfolio ($300k can ballon out to a $500K Portfolio) before a new rule kick in.
2. Once the strategy reaches the maximum $25K bet size the strategy can now raises the portfolio position size to a maximum of 53 positions ($1,325,000) - I personally prefer to limit my positions to 40.
3. My Hybrid Strategy has already outgrown my trading rules - I’ve stopped at 40 positions even though 53 positions is the sweet spot in my testing.
4. I’m going to trade the CAM strategy from this Tuesday. The mission statement & timing came about from an off the cuff comment made to me last week - “I could live on a $1,000 a week” so that’s the plan, I’m aiming for $1K a week for the next 52 weeks.

Rearing to go
I’m eager to get started & Im interested to see if the CAM strategy can perform over the next year, keeping in mind that all strategies take time to ramp up & develop.

I’ve been busting to trade another strategy putting some idle cash to work. Paper trading the CAM strategy & posting the weekly results in the ‘Dump it here’ thread has also had a hand in bring this process forward.

Skate.