Dump it Here

[qldfrog]

View attachment 107703
Forget backtesting
Using "Share trade Tracker" with "Norgate data" ensures paper trading results are 100% accurate.

Paper trading a strategy using Amibroker exploration analysis
Religiously taking signals referencing the number of shares to (buy & sell) at the "offer" price will confirm if the strategy is tradable. Paper trading this way ensures the reliability of results.

In the next post
I'll post the paper trading results of the "BBO Strategy" to bring it up to speed with the other two paper trading strategies. (HappyCat & WTT)

Skate.

Good afternoon Mr Skate
A bit at a loss how you could do that easily, and also why the trouble?
Backtesting.can be checked to enforce reality
For example, when using a buy on open, you can check that the low price ref(l,+1)is lower than c*0.97 for 3pc margin etc etc
Am i missing something?
I did these checks initially but do not bother anymore
I can not see the need to paper rerun vs backtest..
i understand paper =excel but still
I tracked real systems in the past vs backtest and was able to match or understand any difference so this means i now trust AB backtest.
Ad a result, i do not paper trade that way.
Where am i wrong here?

 

[Skate]

Backtesting.can be checked to enforce reality

@qldfrog, I'm saying Amibroker can't be programmed to backtest the way I trade. Paper trading with (OOS data - new data) the results are 100% reflective of what I would have achieved trading my style.

Skate.

 

[Skate]

Skate.

 

[Skate]

Paper trading start date update
Deciding to paper trade 3 strategies for 6 months got me thinking that the start date should fall in line with the financial year. Instead of starting on the 1st June 2020 the start date has been shifted to 1st July 2020 instead.

Luck & timing plays a significant role when comparing portfolios results
The starting date can have a big bearing on the performance of the strategy in the short term but should settle over the longer term. As they say "there is never a good time to start trading" & traders need to be aware of the significance of "luck" when deciding to take the plunge.

Summary
The Friday paper trading updates will be reflective of the new start date - 1st July 2020

Skate.

 

[over9k]

Hey skate, here's another cross-post from another thread:

Here's some trend for you:

Three weeks after the big unemployment payments ended and the expected stimulus package didn't happen:
View attachment 107868


The jobless claims number(s) now start spiking:
View attachment 107869

And the market starts to nosedive literally the day the data comes out:
View attachment 107870

Wow, how unexpected!


However, this has also caused a drop in the exchange rate, which was just pulling hard almost every day until now:
View attachment 107871

In fact, expect plenty more of this until the logjam is broken. Depressingly, these spike(s) in numbers might be the catalyst that forces the politicians to finally get something done, but if my gut tells me anything here, it's that things are going to once again have to get a lot worse before they get better (i.e that the powers that be actually do something).

This becomes a doubly strong suspicion when I think about the fact that it's election season and torpedoing the economy might be a hell of a tactic to get trump ousted. I wouldn't put that past the democrats at ALL.



A drop in the U.S markets combined with a commensurate drop in the exchange rate (it's depressing how much the two have tracked each other over the past few months) means that I now torch most of my positions and simply hold USD.

Most of my position is now effectively a forex trade.

Might be time to nuke your AUD positions and convert them to USD for a bit

 

[Skate]

Hey skate, here's another cross-post from another thread: Might be time to nuke your AUD positions and convert them to USD for a bit

@over9k thanks for the idea but I'm happy trading the ASX as there is fresh money pouring into the markets every day. Trading the trend has been profitable so far as I have recouped my losses since the COVID-19 flash crash & my gains are double the amount I initially lost. Also, there is still tremendous steam to come.

Skate.

 

[over9k]

@over9k thanks for the idea but I'm happy trading the ASX as there is fresh money pouring into the markets every day. Trading the trend has been profitable so far as I have doubled my losses since the COVID-19 flash crash. Also, there is still tremendous steam to come.

Skate.

Er, do you mean gains?

 

[Skate]

Would you get more reliable results if you used a liquidity filter rather than inclusion in an index?

Let me talk about the "Action Strategy"
Most who trade along with the "Action Strategy" have minimal idea of the system other than it's a trend trading strategy. Every now & again, I drop cryptic messages for those who analyse. @peter2 hinted about not using an Index Filter as a prerequisite for a buy signal - his idea was on another tangent altogether but not without merit.

The Index Filter versus a Trend Filter
FYI: The buy signal of the "Action Strategy" is not conditional on an "Index Filter" to enter a position but uses a "Trend Filter" instead. Meaning, the buy signal relies heavily on a "strong trend" to enter a position. However, in saying this an "Index Filter" does play a small part in the exit strategy.

Skate.

 

[Skate]

Er, do you mean gains?

@over9k it demonstrates I don't proofread & admittedly the sentence sounded double dutch reading it back. I have corrected the post, thank you.

The COVID-19 flash crash
"Trading the trend has been profitable (for me) so far as I have recouped my losses since the COVID-19 flash crash & my gains are double the amount I initially lost".

Opportunities
The COVID-19 flash crash gave me the perfect opportunity to take advantage of what was being offered. Opportunities like these don't come around all that often

Skate.

 

[over9k]

I, meanwhile, have been fighting the AUD-USD exchange rate the entire time. Looks like things might finally be flipping in my favour.

Not to say I don't have any AUD holdings, but having to make 1-1.5% each week just to keep up with the forex movement makes life pretty difficult.

 

[Richard Dale]

Why not hedge your currency exposure?

 

[over9k]

I'm about 20% ASX, 40% NYSE, 40% AUD (cash).

 

[Richard Dale]

So, why not hedge your currency exposure?

 

[over9k]

I feel like there's a more specific suggestion coming here?

 

[Skate]

Hi @Richard Dale over the last few years of running the “Dump it here” thread I’ve posted many Backtest results without realizing the huge difference between the results over a short period of time. It worth repeating without a “Platinum subscription” backtesting is less than reliable.

Previous post (that’s worth repeating)
“@willy1111 thank you for doing this backtest for me. Looking at the comparison between the backtests with & without (Norgate's Index Constituent) the results are "chalk & cheese", being miles apart. The backtest results confirm it pays to have the Norgate's Platinum subscription when developing a new strategy”

“@CNHTractor your follow up post confirms @willy1111 sentiment about the inaccuracies of backtest results when you are not using Norgate's historical index constituents. Note to self, "refrain from posting backtests in the future”

Skate.

 

[Richard Dale]

Not to say I don't have any AUD holdings, but having to make 1-1.5% each week just to keep up with the forex movement makes life pretty difficult.

This is where my hedging comment comes in.

If you don't want currency fluctuations to affect your trade outcome, create a hedge against your exposure. It's fairly easy to do.

In terms of assessing currency exposure for any given trading system against US stocks, this is easy to do in AmiBroker. Change your base currency in Tools -> Preferences -> Currencies. Setting it to USD will show you a currency-hedged approach. Setting it to AUD will show no hedging. Make sure you change your initial capital too.

Cheers,
Richard.

 

[stafe]

Hi Skate
I just tried backtesting your code using the all ordinaries as the trading universe but I could not reproduce your results. The test period was 1/01/2019 to 12/08/2020.

Is the code you used the same as you posted above? Did you use the all ordinaries as your trading universe?
Thanks
Stafe

View attachment 107450

I have altered the parameters of my "WTT Strategy" to align with the original "WTT Strategy"
The difference in the backtest results are startling, to say the least.

I'll post a backtest of my version of the "WTT Strategy" that I just constructed
I have changed the parameters to align with the original Radge "WTT Strategy"

# 1. Backtest comparison Skate's WTT Strategy & the Radge WTT Strategy (using the Radge parameters)
Backtest Period = 1st January 2019 to end of trade today
Portfolio Size = $100K
Bet Size = $5k
Positions = 20

View attachment 107452




# 2. Backtest comparison Skate's WTT Strategy & the Radge WTT Strategy (using the Radge parameters)
Backtest Period = 1st January 2020 to 30th June 2020
Portfolio Size = $100K
Bet Size = $5k
Positions = 20

View attachment 107454

I'm sure others will backtest to confirm my results
If my backtests differ from someone with the original it would be appreciated to have a genuine backtest uploaded with the parameters below for comparison.

1. #Backtest Period = 1st January 2019 to end of trade today
Portfolio Size = $100K
Bet Size = $5k
Positions = 20

2. #Backtest Period = 1st January 2020 to 30th June 2020
Portfolio Size = $100K
Bet Size = $5k
Positions = 20

Summary
The parameters being different between strategies does not diminish this exercise of how to construct a tradable strategy.

Skate.

 

[Skate]

Hi Skate
I just tried backtesting your code using the all ordinaries as the trading universe but I could not reproduce your results. The test period was 1/01/2019 to 12/08/2020. Is the code you used the same as you posted above? Did you use the all ordinaries as your trading universe?View attachment 107930Thanks Stafe

@stafe if you read back a few posts your concerns have already been addressed. I'll refrain from uploading backtest results as I don't have Norgate's “Platinum subscription” only the "Silver" & I didn't realise the huge difference between the results over a short period of time.

It worth repeating
Without Norgate's “Platinum subscription” backtesting is less than reliable.

Backtest 2 - Making use of Historical Index Constituents
Platinum users of Norgate data are able to make use of Historical Index Constituents https://norgatedata.com/amibroker-usage.php This means that before a trade is taken the software checks to see it is in the relevant index at the time the trade is entered. This backtest I ran on watchlist All Ords (502 matching symbols) but included code to ensure the stock was in the All Ords at the time the trade was entered. https://www.aussiestockforums.com/posts/1088553/

This is @willy1111 Backtest results (using Norgate's “Platinum subscription”)

Making use of historical index constituents
I think I raised it earlier in the thread at some point many months ago and that is to do with making use of historical index constituents whilst using AmiBroker. It may only be available to those using the platinum version of Norgate Data which I do and as I understand you don't.

Backtests with AmiBroker
I believe you have previously said backtests mean jack all. However, I am of the belief that they warrant tremendous value as they are the initial evaluation of whether a strategy warrants further investigation - in your case paper trading.

The previous post is worth repeating
“@willy1111 thank you for doing this backtest for me. Looking at the comparison between the backtests with & without (Norgate's Index Constituent) the results are "chalk & cheese", being miles apart. The backtest results confirm it pays to have the Norgate's Platinum subscription when developing a new strategy”

“@CNHTractor your follow up post confirms @willy1111 sentiment about the inaccuracies of backtest results when you are not using Norgate's historical index constituents. Note to self, "refrain from posting backtests in the future”

So you have the adjusted version of the WTT Strategy
I have uploaded the most recent version of the "WTT Strategy" just for you.

FYI
The version that I'm paper trading "Skate's Version of the WTT Strategy" bears little resemblance to the strategy uploaded.

Skate.

 

[Skate]

Skate.

 

[Skate]

Skate.