Dump it Here

[Skate]

Skate.

 

[Gringotts Bank]

Skate, would I be able to have a look at some of your codes please? I'd like to try and develop a momo strategy.

 

[Skate]

Worth reposting in this thread as it's exactly correct. New traders and investors generally abandon winning strategies too early.

The beginners stage
After reading the post by @peter2 I thought it was the ideal time to make a post about the turbulent times of trading the last few weeks & what it can do to a perfectly good strategy.

valuation calculated from what the underlying physical economy is doing. Inputs like productivity, population, inflation target, profit share to wages vs capital etc. Not specifically cash rate – that is more driven by the underlying economy.

Indicators
In the next post I'll explain about indicators that I've found useful in my style of trading & how important they are to me. @craft in another thread has eluded to an indicator he uses to calculate how the economy is travelling whereas @Gringotts Bank might find how I apply the indicators I use useful in developing his "momo" strategy whatever that is.

Abandon winning strategies too early
Imagine this - Scenario (1) You decide to start trading for the first time on the 1st July 2019 using my Hybrid Strategy - at the end of your first month you would be punching the air with excitement thinking "how good is this".

Reaching for the tissues
Now imagine this - Scenario (2) Starting the same strategy a month later on the 1st August 2019 - I must admit the weekly & monthly results are far from impressive & would have most reaching for the tissues at this stage thinking "this strategy is a dud".

Lack of confidence
I wonder how many traders would have the confidence trading the same strategy next month after dropping $47,470 in one week, losing $21,621 for the month. This confirms some new traders may abandon winning strategies too early.

True & accurate trading results
The performance results of my Hybrid Strategy is listed below for the first eight weeks of the new financial year. The CAM strategy results are posted above in my weekly updates.



Two important points
(a) Get your mindset in the right head-space because it will take time to go from a losing strategy to making you money because that's just how trading works.
(b) If your strategy has a proven edge don't be disheartened if the strategy is not performing - just keep with it & don't stop trading no matter what.

Losing is part of the game
Don't forget every trader loses money & when that happens 'suck-it-up' & don't panic. Successful trading is not guaranteed but 'there-is-no-alternative' that gets 'better-than-average' long term returns than parking your money in the Bank.

Remember
Trading is not a sprint but a marathon. The starting date when you decide to take the plunge can have a big impact on your trading results.

Scary
Trading can be scary when you're trusting a system developed by someone else, developing your own system has its advantages.

In-closing
The Hybrid strategy is not too shabby up $53,089 YTD or $6,636 a weekly so far.

Skate.

 

[Skate]

Lets talk about indicators
Indicators are boring to talk about but they make a strategy.

Indicators are best used in-conjunction
Using indicators in conjunction with other indicators allow you to better catch confirmed trend. Trends are happening all the time, they come & go with regularity. Confirmed trends or a continuation of a confirmed trend is what systematic trader are constantly searching for.

What indicators don’t do
Indicators don't provide buy or sell signals - their primary function is to determine whether the timing for the entry or exit is optimal & they are essentially the main drivers in coordinating the trading strategy.

I only use a few Indicators
ATR, CCI, ROC, EMA

1. ATR
The average true range (ATR) is a volatility indicator, combined with a momentum indicator (ROC) tells a powerful story

2. CCI
Commodity Channel Index (CCI) is a momentum-based oscillator used to determine overbought or oversold conditions but this indicator is best used in conjunction with additional indicators & that is how I use this indicator.

3. ROC
The Rate-of-Change (ROC) indicator is a simple Momentum indicator (my favourite indicator) & I use the ROC indicator in every strategy that I code to confirm increasing momentum of a trend.

4. EMA
The exponential moving average (EMA) is just one variety of moving averages to choose from. The (EMA) used by itself has no special powers but use it in combination with others turns the (EMA) into a super hero.

How do I use the ATR indicator
By varying the bands of the average true range (ATR) it matches the volatility for the time frame being traded.

How do I use the CCI indicator
I use the CCI indicator in conjunction with a few additional indicators but simply I make sure the CCI nPeriod is greater than zero (CCI > 0) confirms the momentum is moving in the right direction.

How do I use the ROC indicator
I make sure before I enter any position the ROC of a shorter nPeriod is greater than that of a longer nPeriod & if it is I'm good to take the trade.

How do I use the EMA indicator
The exponential moving average (EMA) is a priceless indicator, I use the (EMA) nPeriod to gauge the accuracy & fine tuning of parameter setting. Trend traders need momentum & volatility & without either there is no money to be made.

You don't need to know
1. The Commodity Channel Index (CCI) is calculated by determining the difference between the mean price of a security and the average of the means over the nPeriod chosen.
2. The Rate-of-Change (ROC) indicator is a simple Momentum indicator that measures the percent change in price from one period to the next. The ROC calculation compares the current price with the price nPeriods ago.
3. The exponential moving average (EMA) differs from a simple moving average (SMA) in two primary ways (a) more weight is given to the most recent data and the (b) EMA reacts faster to recent price changes than the SMA. The EMA is the basis of every one of my trading strategies.

In my next post
Calling @Gringotts Bank , @Saqeeb , @willy1111 , @Newt , @debtfree , @qldfrog , @lindsayf , @Boggo & any other AmiBroker user that I've missed - I'll be supplying the AmiBroker line of code that drives my Box Strategy that's not too shabby as a simple strategy.

Skate.

 

[Skate]

The fact that you would disclose your system screams 'abundance mindset'. My contention is that someone with a scarcity mindset would not be able to trade this same system to the same degree of profitability. This would imply that the mindset is the primary determinant of success.

Lets talk about the 'MAP Strategy'
Is it possible to trade & code a feeling that you believe will make money.

Confidence
We all have opinions of what works & what doesn't when it comes to trading but we always find it difficult to code & have the confidence to trade it.

Coded & tested
My idea coded up well & the strategy backtested with pleasing results. The MAP strategy has only a few conditions when to buy & sell. Most seasoned traders "just know" when a move is on but sometimes lack the correct tools to capture the move OR have the confidence to take the trade - it’s so much easier to go with the trend than fighting against it.

Nothings perfect
All indicators are lagging & they need a period of time to establish a pattern & that’s why trading ‘Moving Averages’ is not an exact science. Getting into & out of a move can be tricky but get it right & the strategy has potential.

The 'MAP Strategy' – is simply one line of code
The Map strategy is built around one line of code with a variety of indicators mentioned in my previous post.

The Map Strategy in English
Buy whenever the closing price is higher than a 10 period Moving Average conditional on the ROC filter being above 0% - OR - Buy when the Closing price is at least 10% higher than the previous weeks close with volume higher than the Moving Average period.

The Map Strategy in AmiBroker code
MapBuyCondition = ( Close > MA( Close, 10 ) OR Close == 1.1 * Ref( Close, -1 ) );

Requesting - Weekly timeframe
Most traders who use AmiBroker will have a trading template & I'm asking nicely if a user that has a template to add the one line of code above, backtest it & post the backtest results for others to view.

Validation
Independent Backtesting of the line of code will validate if the idea has legs - OR - not.

Skate.

 

[Gringotts Bank]

Thanks Skate.
Translating from English to AFL, I get:
MapBuyCondition = ( Close > MA( Close, 10 AND ROC(C,10)>0) OR (Close == 1.1 * Ref( Close, -1 ) and V>Ref(MA(V,10),-1)) );

 

[Skate]

Thanks Skate.
Translating from English to AFL, I get:
MapBuyCondition = ( Close > MA( Close, 10 AND ROC(C,10)>0) OR (Close == 1.1 * Ref( Close, -1 ) and V>Ref(MA(V,10),-1)) );

@Gringotts Bank, your combined code is spot on.

I have posted the base code for the ‘MapBuyCondition’ as my additional filters, parameters & indicators are listed separately & are merged in the Buy condition.

Question
Do you have the time to backtest & post the results?

Skate.

 

[Gringotts Bank]

@Gringotts Bank, your combined code is spot on.

I have posted the base code for the ‘MapBuyCondition’ as my additional filters, parameters & indicators are listed separately & are merged in the Buy condition.

Question
Do you have the time to backtest & post the results?

Skate.

I would but I don't have an existing momentum strat to add it to. Still looking.

 

[Saqeeb]

Thanks Skate
Added the code to a strategy that I am currently fiddling with and the backtest results as below. I am still learning Amibroker though....
Backtest range - 01/09/2018 - 30/08/2019

 

[qldfrog]

Good conversation, about a previous post considering trading a system and timing, have a thought about my systemII started 5th of august..
Still under water.and so it should even if a piece of magic..which it is not
Kudos to Skate and his lessons/advices

 

[Newt]

Lets talk about the 'MAP Strategy'
Is it possible to trade & code a feeling that you believe will make money.

Confidence
We all have opinions of what works & what doesn't when it comes to trading but we always find it difficult to code & have the confidence to trade it.

Coded & tested
My idea coded up well & the strategy backtested with pleasing results. The MAP strategy has only a few conditions when to buy & sell. Most seasoned traders "just know" when a move is on but sometimes lack the correct tools to capture the move OR have the confidence to take the trade - it’s so much easier to go with the trend than fighting against it.

Nothings perfect
All indicators are lagging & they need a period of time to establish a pattern & that’s why trading ‘Moving Averages’ is not an exact science. Getting into & out of a move can be tricky but get it right & the strategy has potential.

The 'MAP Strategy' – is simply one line of code
The Map strategy is built around one line of code with a variety of indicators mentioned in my previous post.

The Map Strategy in English
Buy whenever the closing price is higher than a 10 period Moving Average conditional on the ROC filter being above 0% - OR - Buy when the Closing price is at least 10% higher than the previous weeks close with volume higher than the Moving Average period.

The Map Strategy in AmiBroker code
MapBuyCondition = ( Close > MA( Close, 10 ) OR Close == 1.1 * Ref( Close, -1 ) );

Requesting - Weekly timeframe
Most traders who use AmiBroker will have a trading template & I'm asking nicely if a user that has a template to add the one line of code above, backtest it & post the backtest results for others to view.

Validation
Independent Backtesting of the line of code will validate if the idea has legs - OR - not.

Skate.

That's gold there Skate. There are endless variations and ways to tweak and own "New'ish highs on volume" in a weekly trend following strategy. Examples include positionscoring code (something I underestimated the importance in my early days giving psychology a foothold to cause issues), market filters, etc.
Of course there is also the challenge of exits, position sizing and a plenty of other things, but for those with a systematic technical trading mindset thanks again for the stimulating posts.

New traders could do a lot worse than just sticking with a basic strategy until the understand enough to "improve" it.

 

[Nina4]

/*
Skate's Info gathered from thread.

Weekly Strategy (Backtest: 1st January 2019 to 30th June 2019)
Starting Capital $600,000
40 Position Portfolio
Position sizing $15,000

The Map Strategy in AmiBroker code
MapBuyCondition = ( Close > MA( Close, 10 ) OR Close == 1.1 * Ref( Close, -1 ) );

The Map Strategy in English
Buy whenever the closing price is higher than a 10 period Moving Average conditional on the ROC filter being above 0%
- OR - Buy when the Closing price is at least 10% higher than the previous weeks close with volume higher than the Moving Average period.
*/

AccountSize = 600000;
BuyValue = 15000;
Commission = 29.95;
MaxPositions = 40;

SetOption( "InitialEquity", AccountSize );
SetOption( "CommissionMode", 2 );
SetOption( "CommissionAmount", Commission );
SetOption( "AllowSameBarExit", False );
SetOption( "AllowPositionShrinking", False );
SetOption( "MaxOpenPositions", MaxPositions );

SetPositionSize( BuyValue, spsValue );

SetTradeDelays( 1, 1, 1, 1 );

//--------------------- Variables --------------------- //

MA_Close_10 = MA( C, 10 );
MA_Vol_10 = MA( V, 10 );
ROC_Filter_Up = ROC( C, 10 ) > 0;

//--------------------- Buy Signal --------------------- //

PositionScore = MA_Close_10;

BuyPrice = SellPrice = Open;

Only_XAO = InWatchListName( "All Ordinaries Current & Past" );

Buy = Only_XAO AND C > MA_Close_10 AND ROC_Filter_Up OR
Only_XAO AND C >= Ref( C, -1 ) * 1.1 AND V > MA_Vol_10;

//--------------------- Index Filter ---------------------//

SetForeign( "$XAO" );
Index_Up = C > MA( C, 10 );
RestorePriceArrays();

//--------------------- Sell Trailing Stop --------------------- //

Sell = 0;

Exit_Percent = IIf( Index_Up, 40, 10 );

ApplyStop( stopTypeTrailing, stopModePercent, Exit_Percent, ExitAtStop = 2 );

// =======================================================//

 

[Skate]

Hi @Saqeeb & @Nina4

Thank you guys for posting a backtest of the MAP Strategy code that I have supplied. I've backtested my copy of the MAP Strategy using the setting below that closely mimic the setting I use in live trading. The three backtests posted confirms that a simple moving average strategy has the ability to turn a profit.

Skate's MAP Weekly Strategy
(Backtest period: 1st January 2019 to 30th June 2019)
Starting Capital $600,000
40 Position Portfolio
Position sizing $15,000



Paper Trading results of 3 strategies under evaluation found here:
https://www.aussiestockforums.com/posts/1027039/

Previous Post - for comparison ($300K portfolio)
Skate's MAP Weekly Strategy (sandwiched between the CAM & BOX Strategy)
(Backtest period: 1st January 2019 to 17th May 2019)
Starting Capital $300,000
20 Position Portfolio
Position sizing $15,000



Proof
It's a given - all trend trading strategies perform well in a roaring bull market

Skate.

 

[Sir Burr]

It's a given - all trend trading strategies perform well in a roaring bull market

Yep and the 'ol index filter during other times is your safety net.

 

[Skate]

Hi @qldfrog My Hybrid Strategy gave a sell signal as well & looking at the chart you can understand why. Rebounding just after you sell it does mess with you only to 'pour salt on the wound' with a signal to buy on the next bar.

I posted a chart in the "nan-nanosonics-limited" thread to console @qldfrog about exiting a position too early.

Why is it So?
Channelling Julius Sumner Miller, who had a Television series in the early 1960's of the same name, I wanted to explain why this sometimes happens. If you look at today's chart of ASX:NAN rebounding just after a generated sell signal.



When we sell why does the price reverse ?
I have been asked a few times "Why is this so?" - First off, I want to explain that the price doesn’t reverse because buyers are jumping in – it’s because the selling has nearly stopped or completely stopped. The fear of losing money creates a liquidity black hole from the lack of buyers & this is when fear turns into panic - sellers don’t care at what price they sell as they just want out of the position.

Elvis has left the building
When all the scared money has left the building some buyers step in & at other times the buyers will gradually return after they perceive it to be safe to do so. It’s not Rocket Science, it’s "Behavioural Science" or for a better word, predictable human behaviour of emotions.

Trump
In a previous post I reported that my Hybrid Strategy the week ending the 16th August 2019 dropped $47,470. Lets be clear, my strategy wasn't to blame as Trump was in the drivers seat that week. News feeds now drives the share prices every day & Tweets from Trump will become less effective over time.

The more Trump pumps out - the more traders will tune out.

Strategies
"Strategies react to patterns not emotions" & that's why the sell signal was generated & taken - it's not for me to question why.

Predicting the future
I don't know anyone who can predict what tomorrow's trading will bring & in hindsight it wasn't the smartest move by the Hybrid strategy to pump out a sell signal only to be given another buy signal on the very next bar.

Thinking is overrated
As a systematic trader I have one job to do & that is to take the signals without thinking, its not my job to think what tomorrow might bring.

Another long post when a few words would have done
Prices reverse when the selling is nearly done & panic has left the building.

Skate.

 

[willoneau]

Hi Skate,
Have you back tested your system to buy on the close if higher than open?
Just curious as a weekly system why carn't you take the entry any day of the entry bar?
I am aware then you would say need to place order in say last half hour on friday.

 

[Skate]

Hi Skate,
Have you back tested your system to buy on the close if higher than open?
Just curious as a weekly system why carn't you take the entry any day of the entry bar?
I am aware then you would say need to place order in say last half hour on friday.

Hi @willoneau
"need to place order in say last half hour on friday"
When I first started to trade back in 2015 I did exactly that, sell at 3:30 pm on a Friday instead of entering in the pre-auction - sometimes you win but mostly it turned out to be a disadvantage with my style of trading - this is a perfect example of "the beginners cycle"

Done to death
I have done extensive backtesting on your suggestions & a bit more, even traded it as described in the paragraph above. Each strategy I trade has been backtested to death because when my money is on the line I try to leave nothing to chance. The strategies I trade are not perfect but they are as near as I can possibly get them.

Fear of losing money
The fear of loss or the fear of being wrong & losing money is the single biggest factor why traders don’t follow their strategy & start fiddling at the edges similarly as you have suggested.

Fear turns to Anger
Psychologically, when overriding a strategy & when that decision is proven to be the wrong "fear soon turns to anger". When your emotions run high it pays not to trade because no matter what you do next you will perceive that decision has made the situation worse.

Take the good with the bad
Notice my 'Trailing stop' kicked me out of the trade in the chart above. Never be afraid to sell you can always buy it back again. (small commission charge) it's no big deal.

Selling is easy
Selling is cheap and easy and can be undone in the blink of an eye & as you can see by the chart, "been-there-done-that".

A stumbling block
Too many seem to think that if they sell a stock, they are somehow prevented from buying it back again. Not so. For most traders, the biggest stumbling block to selling are mental, thinking they are better than their strategy.

Skate.

 

[willoneau]

Hi @willoneau
"need to place order in say last half hour on friday"
When I first started to trade back in 2015 I did exactly that, sell at 3:30 pm on a Friday instead of entering in the pre-auction - sometimes you win but mostly it turned out to be a disadvantage with my style of trading - this is a perfect example of "the beginners cycle"

I'm not really sure were it is classified as beginners cycle?
A weekly system gives you entry triggers, if you don't take some or enter slightly later you should still be within your Monti Carlo range of results. Be it at either the lower or higher end of that distribution.
The reason I ask is that for example I have two stocks that have given me entry signals based on large range weekly bar with close off the high, do I blindly buy today or wait?

 

[Skate]

I'm not really sure were it is classified as beginners cycle?
A weekly system gives you entry triggers, if you don't take some or enter slightly later you should still be within your Monti Carlo range of results. Be it at either the lower or higher end of that distribution.

@willoneau as you reference Nick Radge from the chartist it would be beneficial to read this pdf extract about the “Beginners Cycle”

https://www.thechartist.com.au/images/Breaking_the_beginners_cycle.pdf

Skate.

 

[willoneau]

@willoneau as you reference Nick Radge from the chartist it would be beneficial to read this pdf extract about the “Beginners Cycle”

https://www.thechartist.com.au/images/Breaking_the_beginners_cycle.pdf

Skate.

Will do.