Fundamental Positions II
- Thread starter ducati916
- Start date
tech/a
No Ordinary Duck
- Joined
- 14 October 2004
- Posts
- 20,417
- Reactions
- 6,356
Sir Burr
Tested systems have all statistics based upon closed trades.
At the end date of testing all trades are closed (regardless of exit criteria and regardless of trade p/l) so that this can occur.
T/T in its live trading has only a few trades that have been closed and many trades are still open some have been for 2 yrs.
The running tabulation of results and the equity curve published by Daryl is of all trades closed and open at the date of reporting---usually weekly.
Duc and I have been jousting over the issue of open and closed trades as a matter of correctness when reporting results for sometime.
Duc's view is that it should be only of trades closed.
Mine is both.
My veiw is that at anyone point in time closing all positions would gleen the Nett profit at that point.
Duc's is that it is not accurate due to the fact that there are trades which are incomplete.
While Duc is correct the point I make is that at that point in time all trades are closed and the P/L can be seen.
Having 30% profit against initial equity on 3 trades is of little comfort if you have a nett loss of 9% on initial equity on 13 open trades.
But then thats just my feelings.
Tested systems have all statistics based upon closed trades.
At the end date of testing all trades are closed (regardless of exit criteria and regardless of trade p/l) so that this can occur.
T/T in its live trading has only a few trades that have been closed and many trades are still open some have been for 2 yrs.
The running tabulation of results and the equity curve published by Daryl is of all trades closed and open at the date of reporting---usually weekly.
Duc and I have been jousting over the issue of open and closed trades as a matter of correctness when reporting results for sometime.
Duc's view is that it should be only of trades closed.
Mine is both.
My veiw is that at anyone point in time closing all positions would gleen the Nett profit at that point.
Duc's is that it is not accurate due to the fact that there are trades which are incomplete.
While Duc is correct the point I make is that at that point in time all trades are closed and the P/L can be seen.
Having 30% profit against initial equity on 3 trades is of little comfort if you have a nett loss of 9% on initial equity on 13 open trades.
But then thats just my feelings.
- Joined
- 13 February 2006
- Posts
- 5,059
- Reactions
- 11,460
tech/a
I have separated out the closed trades from the open trades for the sake of clarity...........if you wish to run a what if every trade was closed as of right now scenario, then the aggregate would be (-0.68%)
jog on
d998
I have separated out the closed trades from the open trades for the sake of clarity...........if you wish to run a what if every trade was closed as of right now scenario, then the aggregate would be (-0.68%)
jog on
d998
- Joined
- 13 February 2006
- Posts
- 5,059
- Reactions
- 11,460
Buy SEPR Convertible Bonds @ $92.50
Convertible @ $67.00
Redeemable @ $100.00 in 2009
jog on
d998
Convertible @ $67.00
Redeemable @ $100.00 in 2009
jog on
d998
- Joined
- 13 February 2006
- Posts
- 5,059
- Reactions
- 11,460
Open Positions
CALL......$4.76........................$4.36...... ...................(-8%)
SAFM......$26.45.....................$24.77....... .................(-6%)
FORD......$10.74.....................$11.00....... .................+2.4%
UST.......$41.25.....................$43.31....... ..................+4.9%
CTT......$4.00.......................$3.30........ ..................(-17.5%)
CQB......$17.47.....................$16.09........ .................(-8%)
TOL......$29.78.....................$34.31........ .................+15.2%
GKIS.....$14.05.....................$12.35........ .................(-12%)
KND......$21.94.....................$24.61........ .................+12.1%
LRT......$2.56.......................$2.47........ ...................(-3.5%)
SGTL....$10.30.....................$8.95.......... .................(-13.1%)
EVCI....$1.44.......................$1.06......... ...................(-26.3%)
DRYS....$10.59....................$10.03........ ...................(-4.9%)
SEPR....$92.50..................................................................
Aggregate......................................... ....................(-4.97%)
Closed Trades
ISSC...................+8.1%
HNR....................+21.6%
EGY....................+61.8%
Aggregate..............+30.5%
jog on
d998
CALL......$4.76........................$4.36...... ...................(-8%)
SAFM......$26.45.....................$24.77....... .................(-6%)
FORD......$10.74.....................$11.00....... .................+2.4%
UST.......$41.25.....................$43.31....... ..................+4.9%
CTT......$4.00.......................$3.30........ ..................(-17.5%)
CQB......$17.47.....................$16.09........ .................(-8%)
TOL......$29.78.....................$34.31........ .................+15.2%
GKIS.....$14.05.....................$12.35........ .................(-12%)
KND......$21.94.....................$24.61........ .................+12.1%
LRT......$2.56.......................$2.47........ ...................(-3.5%)
SGTL....$10.30.....................$8.95.......... .................(-13.1%)
EVCI....$1.44.......................$1.06......... ...................(-26.3%)
DRYS....$10.59....................$10.03........ ...................(-4.9%)
SEPR....$92.50..................................................................
Aggregate......................................... ....................(-4.97%)
Closed Trades
ISSC...................+8.1%
HNR....................+21.6%
EGY....................+61.8%
Aggregate..............+30.5%
jog on
d998
tech/a
No Ordinary Duck
- Joined
- 14 October 2004
- Posts
- 20,417
- Reactions
- 6,356
Duc.
Notice your biggest winning stocks are ASX listed and the biggest losers are US stocks.
Might be worth trading in the bourse with strength?
Notice your biggest winning stocks are ASX listed and the biggest losers are US stocks.
Might be worth trading in the bourse with strength?
- Joined
- 13 February 2006
- Posts
- 5,059
- Reactions
- 11,460
tech/a
I don't trade ASX stocks at all.
TOL which I assume you are referring to, is a US housebuilder, that has excellent fundamentals, and some speculation as to a future takeover if Mr Tol decides to sell his majority share.
As regards the ASX market generally, remember the Rothschilds...."buy low sell high"........why on earth would I want the ASX currently?
jog on
d998
I don't trade ASX stocks at all.
TOL which I assume you are referring to, is a US housebuilder, that has excellent fundamentals, and some speculation as to a future takeover if Mr Tol decides to sell his majority share.
As regards the ASX market generally, remember the Rothschilds...."buy low sell high"........why on earth would I want the ASX currently?
jog on
d998
tech/a
No Ordinary Duck
- Joined
- 14 October 2004
- Posts
- 20,417
- Reactions
- 6,356
ducati916 said:
Hmm could be that you wouldnt mind the 24% rise in your portolio over the last 2 mths (Un leveraged),that T/T and other have?
($65K gain on $270K equity 24/02/06)
Buy High and SELL HIGHER.
- Joined
- 14 March 2006
- Posts
- 114
- Reactions
- 1
Sadly there is a big difference between being "right" and being profitable
- Joined
- 13 February 2006
- Posts
- 5,059
- Reactions
- 11,460
tech/a
Also known as the greater fool theory
Works well in bull markets.
Shane Baker
Nonsense.
If you are *right* you will be profitable.
If you only think you are right, but in point of fact are wrong.......then you will most likely not be profitable.
jog on
d998
Also known as the greater fool theory
Works well in bull markets.
Shane Baker
Nonsense.
If you are *right* you will be profitable.
If you only think you are right, but in point of fact are wrong.......then you will most likely not be profitable.
jog on
d998
tech/a
No Ordinary Duck
- Joined
- 14 October 2004
- Posts
- 20,417
- Reactions
- 6,356
The greater fool being the one who takes it or the one who doesnt.
Duc its simply another way of taking an entry.
Its designed to work in trending markets/stocks.
Its very possible to be right and still fail to be profitable,you know that!
I could be "right" 7/10 times and still make a loss,even wipe out an account.
- Joined
- 13 February 2006
- Posts
- 5,059
- Reactions
- 11,460
tech/a
Well, yes that's true enough for all you committed techies.
jog on
d998
Well, yes that's true enough for all you committed techies.
jog on
d998
- Joined
- 13 February 2006
- Posts
- 5,059
- Reactions
- 11,460
Open Positions
CALL......$4.76........................$4.18...... ...................(-13%)
SAFM......$26.45.....................$26.51....... .................+0.0%
FORD......$10.74.....................$6.39....... .................(-40%)
UST.......$41.25.....................$43.93....... ..................+6.5%
CTT......$4.00.......................$3.25........ ..................(-18.7%)
CQB......$17.47.....................$16.22........ .................(-7%)
TOL......$29.78.....................$32.15........ .................+7.9%
GKIS.....$14.05.....................$13.39........ .................(-4.6%)
KND......$21.94.....................$24.26........ .................+10.6%
LRT......$2.56.......................$3.10........ ...................+21.1%
SGTL....$10.30.....................$6.69.......... .................(-35%)
EVCI....$1.44.......................$1.02......... ...................(-29.1%)
DRYS....$10.59....................$9.49........ ...................(-10.3%)
SEPR....$92.50.................................... ..............................
Aggregate......................................... ....................(-7.97%)
Closed Trades
ISSC...................+8.1%
HNR....................+21.6%
EGY....................+61.8%
Aggregate..............+30.5%
jog on
d998
CALL......$4.76........................$4.18...... ...................(-13%)
SAFM......$26.45.....................$26.51....... .................+0.0%
FORD......$10.74.....................$6.39....... .................(-40%)
UST.......$41.25.....................$43.93....... ..................+6.5%
CTT......$4.00.......................$3.25........ ..................(-18.7%)
CQB......$17.47.....................$16.22........ .................(-7%)
TOL......$29.78.....................$32.15........ .................+7.9%
GKIS.....$14.05.....................$13.39........ .................(-4.6%)
KND......$21.94.....................$24.26........ .................+10.6%
LRT......$2.56.......................$3.10........ ...................+21.1%
SGTL....$10.30.....................$6.69.......... .................(-35%)
EVCI....$1.44.......................$1.02......... ...................(-29.1%)
DRYS....$10.59....................$9.49........ ...................(-10.3%)
SEPR....$92.50.................................... ..............................
Aggregate......................................... ....................(-7.97%)
Closed Trades
ISSC...................+8.1%
HNR....................+21.6%
EGY....................+61.8%
Aggregate..............+30.5%
jog on
d998
tech/a
No Ordinary Duck
- Joined
- 14 October 2004
- Posts
- 20,417
- Reactions
- 6,356
Duc.
Still -1.25% aggregate.
With opportunities abounding in such a strong bullmarket and some losses 40% and 35%,surely your analysis of "value" needs some attention?
Simply by taking a stop at 10% you would be net profitable.
Being "right?" seems to be costly.
Still -1.25% aggregate.
With opportunities abounding in such a strong bullmarket and some losses 40% and 35%,surely your analysis of "value" needs some attention?
Simply by taking a stop at 10% you would be net profitable.
Being "right?" seems to be costly.
Hi Duc
Why not make your universe fundamentally based and then use TA as an entry and exit criteria, best of both worlds ?
Based on the theory of buying "value", should you be short some of the stocks that are "over valued" as part of your strategy and risk management ?
The FA is in the chart, "perception is reality", and fashion is fashion, why are some people more popular than others, some places more popular than others, some companies more popular than others.
"Value" is a house in the "outback" with no view,no friends,no neighbors, no shops, but really, who the hell wants to go there ?
Sentiment is just as much part of the price, and value as any other criteria.
Why not make your universe fundamentally based and then use TA as an entry and exit criteria, best of both worlds ?
Based on the theory of buying "value", should you be short some of the stocks that are "over valued" as part of your strategy and risk management ?
The FA is in the chart, "perception is reality", and fashion is fashion, why are some people more popular than others, some places more popular than others, some companies more popular than others.
"Value" is a house in the "outback" with no view,no friends,no neighbors, no shops, but really, who the hell wants to go there ?
Sentiment is just as much part of the price, and value as any other criteria.
- Joined
- 13 February 2006
- Posts
- 5,059
- Reactions
- 11,460
tech/a
The implementation of a stoploss strategy is one form of risk management.
For a technical based methodology it can be made profitable.
For a fundamentally derived strategy there are other risk management methodologies that can capitalize and manage far more effectively the downside volatility.
However I chose to specifically to show the methodology in it's worst light.
If you can live with the worst, then adapting to the best, is very easy.
This exact same portfolio can be converted via risk management to +5.2% return on invested capital while incurring zero actualised losses.(This is utilizing the open profits/losses method of accounting)
Drawdown.
The worst so far is I believe currently at 9.5%
If you examine the majority of technically derived systems, what are the worst case scenario's regarding drawdowns? 10%, 15%, 20%?
Therefore, drawdown in month #4, is really not an issue.
Actualised losses.
Are currently zero.
In a technically based system actualised losses = your drawdown + open loss
To my mind actualised losses are a good starting point to improve performance and this can be accomplished via a fundamental approach.
cashman
ZipZap and I have actually been looking at this.
We or I should say, he has developed a three indicator model that improves the initial entry quite dramatically on the current selections.
Of course, with only 16 odd examples, how robust is this model?
Who knows.
I no longer *short* stocks.
Risk management can easily manage the risks associated with going long, and downside volatility.............going short is not the same thing at all.
For exactly that reason.
Who is the fashion leader in reality?
Technical analysis is as popular with the masses, as it's dictums are fallacious.
Sentiment is just that sentiment. It is created in emotion, and discarded in emotion, it has no tangible worth and therefore no investable worth. If you pay a premium for that emotion, then be prepared for the discount when the wind changes.
jog on
d998
The implementation of a stoploss strategy is one form of risk management.
For a technical based methodology it can be made profitable.
For a fundamentally derived strategy there are other risk management methodologies that can capitalize and manage far more effectively the downside volatility.
However I chose to specifically to show the methodology in it's worst light.
If you can live with the worst, then adapting to the best, is very easy.
This exact same portfolio can be converted via risk management to +5.2% return on invested capital while incurring zero actualised losses.(This is utilizing the open profits/losses method of accounting)
Drawdown.
The worst so far is I believe currently at 9.5%
If you examine the majority of technically derived systems, what are the worst case scenario's regarding drawdowns? 10%, 15%, 20%?
Therefore, drawdown in month #4, is really not an issue.
Actualised losses.
Are currently zero.
In a technically based system actualised losses = your drawdown + open loss
To my mind actualised losses are a good starting point to improve performance and this can be accomplished via a fundamental approach.
cashman
ZipZap and I have actually been looking at this.
We or I should say, he has developed a three indicator model that improves the initial entry quite dramatically on the current selections.
Of course, with only 16 odd examples, how robust is this model?
Who knows.
I no longer *short* stocks.
Risk management can easily manage the risks associated with going long, and downside volatility.............going short is not the same thing at all.
For exactly that reason.
Who is the fashion leader in reality?
Technical analysis is as popular with the masses, as it's dictums are fallacious.
Sentiment is just that sentiment. It is created in emotion, and discarded in emotion, it has no tangible worth and therefore no investable worth. If you pay a premium for that emotion, then be prepared for the discount when the wind changes.
jog on
d998
tech/a
No Ordinary Duck
- Joined
- 14 October 2004
- Posts
- 20,417
- Reactions
- 6,356
Duc.
This is certainly not meant as a knife in the throat to the Ducster.Below I set out my flip side to the arguements presents--this is mine.
I accept what your saying about drawdown.However TIME IN drawdown particularly initial drawdown must be considered synegistically with amount of drawdowns.
Incidently average initial drawdowns in the methods I use are less than 8% most 5 and 6%.Longterm methods tend to have upto 18% in peak to Valley maximum drawdowns.Shorter term methods less.
Perhaps when considering your approach that to take a small loss is admitting a loss you may think of it in another way---You are creating an opportunity to find a profitable stop.
EXAMPLE
Lets take the rudimentary 10% of Purchase price initial stop with 10 positions so thats a risk of 1% of initial capital.
Your argument is that by taking that loss you are liquidating loss.
While a position is open even with a loss OR profit that has not been liquidated then you have neither lost or profited until taken.
Well lets now take your 4 biggest losses so far.
-40
-35
-29
-18
My argument is that you have in effect taken the equivalent of 10 losing trades relative to new trades which I would have purchased---10 new opportunities may have gone begging.(-40 means 3 new trades could have been taken at a 10% stop---for others following--).
On the other side of the coin of those closed
ISSC has risen a further 20% from your sale price
HNR has risen a further 50% from your sale price and
EGY has risen a Further 10%
Thus far shall----we say---cutting losses and letting profits run would have been/is far more profitable.
What has happened now is that you are locked in trades some of which have to rise in price 50% or more to BREAKEVEN!!
This is likely to take months or indeed years---if ever!!
OPPORTUNITY cost is left wide open as funds are tied up not only doing nothing but actually diminishing!!
Every trade which has made a profit has continued to do so.
ONLY 4 of your trades are working to make your portfolio profitable.
The aim is and has been achieved to have all trades in a portfolio profitable and ideally then working on bettering rate of return on a complete set of WINNERS.
This is certainly not meant as a knife in the throat to the Ducster.Below I set out my flip side to the arguements presents--this is mine.
I accept what your saying about drawdown.However TIME IN drawdown particularly initial drawdown must be considered synegistically with amount of drawdowns.
Incidently average initial drawdowns in the methods I use are less than 8% most 5 and 6%.Longterm methods tend to have upto 18% in peak to Valley maximum drawdowns.Shorter term methods less.
Perhaps when considering your approach that to take a small loss is admitting a loss you may think of it in another way---You are creating an opportunity to find a profitable stop.
EXAMPLE
Lets take the rudimentary 10% of Purchase price initial stop with 10 positions so thats a risk of 1% of initial capital.
Your argument is that by taking that loss you are liquidating loss.
While a position is open even with a loss OR profit that has not been liquidated then you have neither lost or profited until taken.
Well lets now take your 4 biggest losses so far.
-40
-35
-29
-18
My argument is that you have in effect taken the equivalent of 10 losing trades relative to new trades which I would have purchased---10 new opportunities may have gone begging.(-40 means 3 new trades could have been taken at a 10% stop---for others following--).
On the other side of the coin of those closed
ISSC has risen a further 20% from your sale price
HNR has risen a further 50% from your sale price and
EGY has risen a Further 10%
Thus far shall----we say---cutting losses and letting profits run would have been/is far more profitable.
What has happened now is that you are locked in trades some of which have to rise in price 50% or more to BREAKEVEN!!
This is likely to take months or indeed years---if ever!!
OPPORTUNITY cost is left wide open as funds are tied up not only doing nothing but actually diminishing!!
Every trade which has made a profit has continued to do so.
ONLY 4 of your trades are working to make your portfolio profitable.
The aim is and has been achieved to have all trades in a portfolio profitable and ideally then working on bettering rate of return on a complete set of WINNERS.
tech/a
No Ordinary Duck
- Joined
- 14 October 2004
- Posts
- 20,417
- Reactions
- 6,356
So quickly those watching will see that a Trading method can be profitable DESPITE Selection approach, Fundamental.
Its the business management that can refine,tune and maximise return.
Mind you no business plan will help a business that doesnt have a positive expectancy.Duc tells us it does.
Its the business management that can refine,tune and maximise return.
Mind you no business plan will help a business that doesnt have a positive expectancy.Duc tells us it does.
- Joined
- 13 February 2006
- Posts
- 5,059
- Reactions
- 11,460
tech/a
So on current form the drawdown has been worse by some 2%
There is no such thing as a profitable initial stoploss.
If an initial stoploss is activated, you lose money.
My goal, is not to lose any money.
Second, my goal is to return 30%+ annually, and compound that return.
A drop of 40% of initial entry price, while not welcomed, should make no difference to the stated goals. As previously mentioned, via risk management techniques other than a stoploss, this drawdown becomes a viable strategy for increasing the return. It is simply a position size calculation with incremental buy points on the way down........a reverse pyramid strategy.
Thus you reduce your average purchase price, drawdown on capital, and increase the % returns to the upside.
Based on this methodology, SAFM would show a 4.5% profit, LRT a 25.6% profit and SGTL would still be building in size, but showing a reduced absolute drawdown. The numbers do not display the effect of money management, and simply display the *worst case scenario*. If the *raw* figures don't scare you, it is actually a very easy system to trade.
It of course attacks exactly the most vulnerable area of a traders psyche.
That is the belief that following the market and buying because price rises, and selling because price falls is the way to consistent profit in all market conditions.
That by joining the crowd, there is safety.
SGTL has had two nasty gap opens, that would have made redundant any stoploss strategy, thereby throwing question as to the absolute validity of any tested results that did not take such common happenings as part and parcel.
Well time will tell. There are a further 2yrs 8mths before a trade is required to be closed based on the rule of 36mths being the maximum holding period.
Currently there should be adequate time to turn the trade around.
There are three closed profitable trades, four trades that are open, currently in the black, and six in the red, with one at breakeven. So currently market risk is panning out at approximately 50%
It's still rather early days for some trades, having only been open a couple of weeks at the most.
Yes it can.
You just have to be prepared to take losses, and hope that your backtested methodology is actually as robust in reality as tested.
jog on
d998
So on current form the drawdown has been worse by some 2%
There is no such thing as a profitable initial stoploss.
If an initial stoploss is activated, you lose money.
My goal, is not to lose any money.
Second, my goal is to return 30%+ annually, and compound that return.
A drop of 40% of initial entry price, while not welcomed, should make no difference to the stated goals. As previously mentioned, via risk management techniques other than a stoploss, this drawdown becomes a viable strategy for increasing the return. It is simply a position size calculation with incremental buy points on the way down........a reverse pyramid strategy.
Thus you reduce your average purchase price, drawdown on capital, and increase the % returns to the upside.
Based on this methodology, SAFM would show a 4.5% profit, LRT a 25.6% profit and SGTL would still be building in size, but showing a reduced absolute drawdown. The numbers do not display the effect of money management, and simply display the *worst case scenario*. If the *raw* figures don't scare you, it is actually a very easy system to trade.
It of course attacks exactly the most vulnerable area of a traders psyche.
That is the belief that following the market and buying because price rises, and selling because price falls is the way to consistent profit in all market conditions.
That by joining the crowd, there is safety.
SGTL has had two nasty gap opens, that would have made redundant any stoploss strategy, thereby throwing question as to the absolute validity of any tested results that did not take such common happenings as part and parcel.
Well time will tell. There are a further 2yrs 8mths before a trade is required to be closed based on the rule of 36mths being the maximum holding period.
Currently there should be adequate time to turn the trade around.
There are three closed profitable trades, four trades that are open, currently in the black, and six in the red, with one at breakeven. So currently market risk is panning out at approximately 50%
It's still rather early days for some trades, having only been open a couple of weeks at the most.
Yes it can.
You just have to be prepared to take losses, and hope that your backtested methodology is actually as robust in reality as tested.
jog on
d998
