Dump it Here

[Skate]

 

[Skate]

Repository
I’ll use this post as a Repository of information for the three strategies under evaluation saving the need to post additional information with my weekly comparison updates.

Current strategies under evaluation
The CAM, MAP & BOX strategies are all weekly trend following systems I have under evaluation & they stem from a few simple ideas.

1. The CAM Strategy - summary
The CAM strategy buys pullbacks in existing trends and buys countertrends when the rally continues.

(a) The CAM Strategy - Trading Plan (Enter LONG)
Buy before the open on Monday in the pre-auction at the open if today (Friday) 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 (Friday) is a BLUE-coloured bar [which represents the CAM-CT, meaning the 10-period (ADX) is declining but (MACD) is rising] and today’s close crosses above the 13-period EMA.
(b) The CAM Strategy - Trading Plan (Exit LONG)
Sell before the open on Monday in the pre-auction if Fridays end of close 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 (Friday) close is below the 13-period EMA.

2. The MAP Strategy - summary
The MAP strategy has two different buys conditions for entry. The first ‘Buys Signal’ is when the closing price is above a moving average period - AND - the second signal is where there is a 10% increase in the closing price compared to the previous weeks close. The MAP strategy has also two different Sell conditions, the first being (a) when the Rate of Change filter is below 0% or when (b) the close is below a trailing stop.

(a) The MAP Strategy - Trading Plan (Enter LONG)
Buy whenever the Closing price is higher than a selected Moving Average conditional on the ROC filter being above 0% - OR - Buy when the Closing price is at least 10% higher than the previous week close with Volume higher than the Moving Average period.
(b) The MAP Strategy - Trading Plan (Exit LONG)
Sell when the momentum stalls using a momentum indicator - OR - when a trailing stop is hit.

3. The Box Strategy - summary
The Box Strategy is a trend continuation strategy & buys after a new high is reached after a pullback within the trend & Sells the position when the Rate of Change filter drops below zero or when the closing price is below a variable Chandelier trailing stop.

(a) The BOX Strategy - Trading Plan (Enter LONG)
After three consecutive weekly pullbacks in a confirmed trend – Buy when the closing price breaks above the previous high conditional the ROC filter is above 0%.
(b) The BOX Strategy - Trading Plan (Exit LONG)
Sell when the Rate Of Change filter & the closing price is below a moving average confirming the momentum has ceased - OR - Sell when a variable trailing stop is hit.

Skate.

 

[Newt]

Very impressive how closely all 3 are performing and taking advantage of current conditions Skate. I'm a bit amazed how quickly they taken positions and jumped into profit, but the real surprise is how closely and consistently they are performing.

What is the correlation like in the stocks being traded - are you happy that each is tapping into different names at different "moves" in their upward momentum?

 

[Skate]

Very impressive how closely all 3 are performing and taking advantage of current conditions Skate. I'm a bit amazed how quickly they taken positions and jumped into profit, but the real surprise is how closely and consistently they are performing.

What is the correlation like in the stocks being traded - are you happy that each is tapping into different names at different "moves" in their upward momentum?

"What is the correlation like in the stocks being traded"
@Newt thank you for your questions - I'll answer your questions out of sequence for clarity. Unfortunately sometimes trading any 'trend following systems' there is normally a degree of correlation with the signals, the index being traded usually is reflective of the prevailing market conditions. The correlation of signals of the three strategies are very low by design. All 'Trend Following Systems' naturally jump on & join trends (the momentum), that's the very nature of the beast.

Each of my strategies have their own independent reason for entering the trade, the parameters within the code takes care of the signal correlations. With my weekly updates I post the 'Open Positions' of both the CAM & Map Strategy but not the BOX strategy that reflects the correlation of taken signals if any. I can report the correlation between the 3 strategies are very minimal. My weekly updates can sometimes be a bit over the top, some may be interested in the journey whereas others just look at the trading results, their ongoing progress, you never can tell the interest level.

"Are you happy that each is tapping into different names at different "moves" in their upward momentum?"
What's really pleasing, making me happy is the 3 strategies under evaluation are not correlated to my HYBRID strategy, my main trading strategy, even though they are all trend following systems. I'm biased when it comes to trading as I'm a 100% mechanical trend trader.

I'm not asking the earth, all I want is to make a few bucks by (a) joining a 'confirmed' move & (b) when the momentum is 'confirmed' to be stagnating or has completely stopped I want to get off, regroup & look for another ride, nothing fancy in that idea. (code confirmation of the signal, 'confirmed' signals are critical to the success of any strategy)

"Very impressive how closely all 3 are performing and taking advantage of current conditions"
We are all good traders in a Bull market, even geniuses in hindsight looking at the charts - have you ever caught yourself saying "If only I entered here & exited there" well I have. It's frustrating that we can only see the good moves in hindsight, unable to see them in the 'heat of the battle' whilst trading. Some forum members do possess this unique ability but if you are more like me you'll fall short in this area.

Following trends is one of the simplest form of trading there has ever been having a proven track record of making money over time. I for one, can confirm "following trends" has been kind to me over the 4 years I've been trading.

"I'm a bit amazed how quickly they taken positions and jumped into profit"
Trends are always happening whether it's a Bull or a Bear market, volatility is our friend, without volatility we'll make no money. I'm constantly amazed how other view volatility after reading so many negative comments about it. With any trading method, separating the wheat from chaff is the difficult part, ranking the quality of the signals is another.

Personally I only ever want to enter the best-of-the-best trades by choosing the best signals, coding those conditions & parameters isn't easy but they are so critical to trading successfully. Before you put one dollar of your money into the markets you'll need a tested & proven edge or otherwise it's gambling.

Skate.

 

[willoneau]

Hi Skate,
do you get stocks that pop up in all three systems at once and if you do what is their success rate?
Interested how you rank the quality of a signal?

 

[Newt]

Great response - thanks for taking the time to compose Skate

 

[Skate]

Hi Skate,
do you get stocks that pop up in all three systems at once and if you do what is their success rate?

@willoneau thank you for your questions.

Do you get stocks that pop up in all three systems at once?
I actively trade a few weekly systems, & have no issues in getting an abundance of signals from any strategy as there are breakouts (trends) forming constantly. My strategies find trends that only meet my stringent hard-coded conditions, parameters & sort ranking. Every strategy I develop is aimed at displaying only the strongest signals giving me 100% confidence to place the next trade.

A feature of all my developed systems is to incorporate a simple display of the scan results seeking great positions to enter, each strategy has a common display - displaying only three items of interest.
(1) the security code
(2) the amount of shares to buy &
(3) what price to offer in the pre-auction before Mondays open.

If trading for you is easier than that please let me know.

I trade a large account (well to me it is) so I'm only interested in the best-of-the-best signals from any of my strategies. I'm a hard task master & if any strategy makes it into my stable it has to earn its keep.

What is their success rate?
# Pictures speak louder than words..

The trading results of the CAM, MAP & BOX strategies are displayed separately below. The trading period is from 1st January till today a short (5) month window of results.

The CAM Strategy


The MAP Strategy


The BOX Strategy


Interested how you rank the quality of a signal?
Each strategy has its own ranking & it forms a large part of my successful trading, disclosing each & how they were developed is a book in itself.

I hope my reply answers your 3 questions..

Skate.

 

[willoneau]

Thanx for the reply Skate
it sort of does, i guess i was curious to see if all three picked the same stock on a regular basis what the results of those alone would be?
I'm noticing with my discretionary trading at moment has a correlation with my weekly trend following system but on a daily time frame .I'm not surprised as the signals i use are similar.

 

[Skate]

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

Skate's modified CAM Strategy Settings
Weekly Strategy (Start Date: 1st January 2019)
$300,000 Capital
20 Position Portfolio
$15,000 Fixed Positions

1. Listed below is this week’s buy & sell positions to be placed in the pre-auction before Monday open if action is required.


2. Portfolio performance line chart updated weekly


3. CAM Strategy ‘Open’ position


4. CAM Strategy ‘Closed’ positions


5. CAM Strategy Dashboard



6. The CAM Strategy first weekly ‘Buy’ Chart to demonstrate the bar colour coding.


Skate.

 

[Skate]

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

Skate's MAP Strategy Settings
Weekly Strategy (Start Date: 1st May 2019)
$300,000 Capital
20 Position Portfolio
$15,000 Fixed Positions

1. Listed below is this week’s buy & sell positions to be placed in the pre-auction before Monday open if action is required.


2. Portfolio performance line chart updated weekly


3. MAP Strategy ‘Open’ position


4. MAP Strategy ‘Closed’ positions


5. MAP Strategy Dashboard



Skate.

 

[Skate]

The Repository of information can be found here: https://www.aussiestockforums.com/posts/1028382/

Current strategies under evaluation
The CAM, MAP & BOX strategies are all weekly trend following systems I have under evaluation & they stem from a few simple ideas.

The Top Section of the Graphics
The top graphics are the trading results of the 3 strategies currently under evaluation from the 1st January 2019 up to end-of-trade today.

The Bottom Section of the Graphics
The bottom graphics are the trading results of the 3 strategies currently under evaluation from the 1st May 2019 up to end-of-trade today.

All of the graphics in the top & bottom sections are the trading results using the same strategy with different trade start date.

Skate.

 

[aus_trader]

Great turnaround in the MAP portfolio Skate, nice work ! I think the take-over proposal on
Vocus Group Ltd (VOC) has given a boost and news announcement on Electro Optic Systems Ltd (EOS) has turned it's position around from a -ve to a +ve position

I noticed Kidman Resources Ltd (KDR) was bought after the take-over announcement from Wesfarmers Ltd (WES). Was that intentional i.e. You believe there is a higher bid for the take-over or this type of fundamental information is ignored from the system ?

 

[Skate]

Great turnaround in the MAP portfolio Skate, nice work ! I think the take-over proposal on
Vocus Group Ltd (VOC) has given a boost and news announcement on Electro Optic Systems Ltd (EOS) has turned it's position around from a -ve to a +ve position

I noticed Kidman Resources Ltd (KDR) was bought after the take-over announcement from Wesfarmers Ltd (WES). Was that intentional i.e. You believe there is a higher bid for the take-over or this type of fundamental information is ignored from the system ?

Hi @aus_trader, thank you for you question. First up let me say once again that I'm 100% system trader, a trend follower. Your question gives me another opportunity to express my simplistic views on trading. There is no right or wrong way when it comes to trading & the way I trade works for me.

Trading compared to AFL or NRL (take your pick)
1. AFL players get paid to do one job & that is to "kick the ball straight" (simple)
2. NRL players get paid to do one thing & that is to "place the ball on the ground in the in-goal-area" (simple)
3. As a mechanical system trader I have one job to do & that is to "take the signals my system gives me" (simple)

Simple is good
Traders, we are all different, I enjoy reading the methodology of different traders, following trading related posts on ASF with extreme interest, some trading systems are complicated, some are simple & I fall into the latter. A few members here on the ASF forum have skills that I can only dream of.

Another analogy - Trading & Boxing
Its been many years (a few decades actually) since the last time I jumped into the ring but there are comparisons I wish to make. When it comes to boxing you need to have confidence you have done the work to give yourself a fighting chance of success.

Boxing is seen as a brutal sport but its game of strategy, timing & persistence, it's all about executing a plan. It's your job to keep standing & to land the big one you need to take some hits along the way - even when you win your body always feels that it hasn't. The nature of the game whether it's boxing or trading "you are going to take some hits", some will hurt more than others but that's to be expected.

To answer your question
I noticed Kidman Resources Ltd (KDR) was bought after the take-over announcement from Wesfarmers Ltd (WES). Was that intentional i.e. You believe there is a higher bid for the take-over or this type of fundamental information is ignored from the system ?

"As a Trader I have one job to do & that is to take the signals my system gives me" It's not my job to think. News, additional information is never a deciding factor whether I take the position or not. I execute my plan no matter what.

I know I'll buy 50% DUDS
I've taken trades I know will be dead set losers, I've taken trades on Mondays only to see the position tank on the 'open' knowing full well I'm going to lose a lot of money holding them for the entire week before I can off load them on the next Mondays open. I know I'm going to takes some hits, my backtesting reflects this. I accept my systems aren't perfect so the correct 'mindset' is critical - I need to be the best loser I can possibly be.

System Coding
It's not my job to fiddle or override the system making judgement calls at will. I have one job to do & that is to take the signals that my system has given.

I can tell you with 100% certainly that the code, the system, the trading strategy will be more accurate, more profitable than I would ever be trading on my ability or feelings.

Facts
1. Do I know if the markets will be kind to me on Monday after readings @bigdog post today - NOPE, I don't know
2. I have positions to execute on Monday - will anything stop me from executing the trades - NOPE, nothing
3. Will additional information have any affect on the way I trade - NOPE, its not my job to fiddle
4. Nothing will deter me from executing my plan, I'm focused & committed otherwise why would I spends 100's of hours developing a strategy only to change it at the last moment or override it on the run, doing that makes no sense.

Lets recap the MAP strategy
The MAP strategy came about from a comment from @Gringotts Bank. I have posted a 5 month window of results that aren't too shabby & the MAP logo looks good. The MAP strategy simply buys a position when the closing price is above a moving average period or when there is a 10% increase in the closing price compared to the previous weeks close, pretty simple idea really.

In English
The MAP strategy jumps on a confirmed breakout & when the momentum stops - you get off.

Disclaimer
The trading results of the MAP strategy are inline with my backtesting results which is pleasing. I've publish two sets of results having different start dates making a difference in the short term - but in the long term they should reflect each other as all systems need time to do there thing.

Hitting the "like" button
I want to take this opportunity to say thank you for reading my posts & hitting the "like" button. I know members hit the "like" button for a variety of reasons but the "likes" encourages me to post more in the same vein.

Finally, my question is open to everyone
Would anyone have the confidence to trade the MAP strategy?

Skate.

 

[investtrader]

Skate,
What software do you use for your reports (dashboard etc)?

Sorry, I haven't read enough of this thread to answer your question. It looks pretty good to me though with a quick perusal. But of course, the secret is in the application of any strategy, as you know.

Cheers

 

[kid hustlr]

Skate, i love this thread and your kicking butt too which makes it more entertaining.

Regarding the MAP strategy - have you outlined the details of the strategy somewhere (I'm planning on doing some testing this afternoon, however I can only see where you say ' a moving average' and not a specific #. Same with the exit.

If this is on purpose I apologise and feel free to ignore.

 

[Skate]

Skate,
What software do you use for your reports (dashboard etc)?

Sorry, I haven't read enough of this thread to answer your question. It looks pretty good to me though with a quick perusal. But of course, the secret is in the application of any strategy, as you know.

Cheers

Hi @investtrader thank you for you question..

"What software do you use for your reports (dashboard etc)?"
I use "Share Trade Tracker" from XLAutomation - https://xlautomation.com.au/excel-spreadsheets/share-trade-tracker

Share Trade Tracker
If you want a simple program to track your share trading there is only one I've found that does the job perfectly. It is a simple to use share trading manager that's nicely customisable to incorporate & manage my trades in one application. With a name you'll remember and one that explains what it does, and it does it with ease - "Share Trade Tracker is Brilliant!"

Catalyst
Hopefully there will be one of my posts that will be a catalyst for you to read another then another one, steamrolling you into reading the entire thread - reading my older posts is a large commitment that's why I made a free eBook (ePub format) - the download link for the free eBook is in the tag below my name. It's the book I wish I had when I started out. (blatant plug)

Skate.

 

[Skate]

Skate, i love this thread and your kicking butt too which makes it more entertaining.

Regarding the MAP strategy - have you outlined the details of the strategy somewhere (I'm planning on doing some testing this afternoon, however I can only see where you say ' a moving average' and not a specific #. Same with the exit.

If this is on purpose I apologise and feel free to ignore.

Hi @kid hustlr thank you for your kind words.

Hey, if it helps
I'm the first to help others where I can, every post I make is done with that sole purpose of helping others, it's a way of repaying the kindness shown to me by others. There is no smoke & mirrors with me, I'm frank & honest & at times a bit too open, but that's just me. I'm sharing the three strategies I have under evaluation hoping others find the process educational or enjoyable. I'm a bit different to others as I'm prepared to share the ongoing progress in real time, displaying the trades before they are taken & reporting the weekly progress - doing this is one way of keeping the 'Dump it here' thread alive & active.

"Regarding the MAP strategy - have you outlined the details of the strategy somewhere (I'm planning on doing some testing this afternoon, however I can only see where you say ' a moving average' and not a specific #. Same with the exit"

I usually only disclose the idea
I try very hard to talk in general terms only as I don't want to give a false hope, or a sense of security / confidence for others to risk their money as I would prefer they understanding the strategy for themselves.

Only if you promise
I'll disclose the full entry & exit strategy only if you promise not to tell anyone "it will be our little secret" (also others who read this post of course)

The MAP strategy is a dead set simple idea, disclosing the entry & exit settings will take away the mystique of the strategy, I hope you realise this..

Two entry conditions
The MAP Strategy - Trading Plan (Enter LONG)
Buy whenever one of the two conditions are met.
(1) Buy when the closing price is higher than a 10 Period Moving Average conditional that the 10 period ROC filter is above 0%
(2) Buy when the closing price is at least 10% higher than the previous week close with Volume higher than the 10 period Moving Average.

Two exit conditions
The MAP Strategy - Trading Plan (Exit LONG)
Sell whenever one of the two conditions are met.
(1) Sell when 10 Period ROC indicator is 0% or below
(2) Sell when the close is below a 20% trailing stop.

You now have the the periods disclosed - I hope they help in some small way.

Skate.

 

[kid hustlr]

Ty lol I was playing around and knowing you thought it was simple so it was either going to be 10 or 20.

Edit: not calling you simple just that you like simple systems!!!

 

[aus_trader]

Simple is good
Traders, we are all different, I enjoy reading the methodology of different traders, following trading related posts on ASF with extreme interest, some trading systems are complicated, some are simple & I fall into the latter. A few members here on the ASF forum have skills that I can only dream of.

Simple is good Skate, I also like simple methods whether they are technical analysis (chart) based or fundamental (business ratios, stock research etc) or a combination of both or other methodologies. Not all simple systems are good (let's say if a system buys every breakout of stocks) but you have good filters and back tests to back you up and the live results are looking good.

The MAP strategy came about from a comment from @Gringotts Bank. I have posted a 5 month window of results that aren't too shabby & the MAP logo looks good.

I agree, your logos look amazing ! Do you design them yourself ?

 

[investtrader]

Hi @investtrader thank you for you question..

"What software do you use for your reports (dashboard etc)?"
I use "Share Trade Tracker" from XLAutomation - https://xlautomation.com.au/excel-spreadsheets/share-trade-tracker

Share Trade Tracker
If you want a simple program to track your share trading there is only one I've found that does the job perfectly. It is a simple to use share trading manager that's nicely customisable to incorporate & manage my trades in one application. With a name you'll remember and one that explains what it does, and it does it with ease - "Share Trade Tracker is Brilliant!"

Catalyst
Hopefully there will be one of my posts that will be a catalyst for you to read another then another one, steamrolling you into reading the entire thread - reading my older posts is a large commitment that's why I made a free eBook (ePub format) - the download link for the free eBook is in the tag below my name. It's the book I wish I had when I started out. (blatant plug)

Skate.

Hi Skate,

Well I just coded the MAP system into Ami - took all of about 3 minutes ( I modified an existing system and I have a library of trailing stop codes) and my answer is yes, I would definitely trade it. The simplicity is great and goes along with exactly what I know works. Lower win/loss ratio than my systems and more trades(I'm lazy) and MaxDD is very acceptable. I like it a lot.
Just so you know, I started my trading journey in 2001. I have had periods out of the market for various reasons, but still passionate. Never had a losing year, believe it or not. Sat out 2018 due to a bit of luck mainly.