My New Monthly System

[MovingAverage]

But your entries and exits will be placed before the monthly bars are completed?

Seriously, you're testing my patience but I'm not patient at the best of times. No, my entries remain the same--always at the start of the month. I never mention shifting to inta-month entries. As I said, I'm only looking to add an additional exit which MAY be triggered intra-month only if a particular stock sees an uncharacteristic decline otherwise all exits are EOM. Entries and Exits do not impact price movement (bars) regardless of timeframe. Monthly systems remove much of the daily "noise" that you see on daily price bars. Seems like I'm not very good at explaining myself.

 

[willoneau]

Sorry I'll stop the discussion if it is too hard, I never mentioned that entries and exits had anything to do with the formation of any timeframe bar. Only that if your following a mechanical system based on the close of a bar and you close a position before that bar is closed then the system back test is irrelevant.
Unless you are able to add it to your code and back test it I guess.
Entries and exits will only impact your bottom line.

 

[willoneau]

Wouldn't a intra monthly exit bring that noise back?

I probably didn't explain myself here. What I meant to say was, if you use and inter monthly exit then you will probably be triggered by that noise that a monthly bar ignores.

 

[MovingAverage]

I probably didn't explain myself here. What I meant to say was, if you use and inter monthly exit then you will probably be triggered by that noise that a monthly bar ignores.

No....I’m planning to look for uncharacteristic rapid declines in a stock price to trigger the intra-month exit—that is not noise. One very simple way to look at this is how the current price is relative to ATR or SD

 

[vharik831]

No....I’m planning to look for uncharacteristic rapid declines in a stock price to trigger the intra-month exit—that is not noise. One very simple way to look at this is how the current price is relative to ATR or SD

Hi MA,

Just went through the thread and it is pretty interesting. Looking at the timing of your original post, I hope you were able to escape the market decline in Mar 2020.

I am working on a monthly system and whilst the overall system performance is good, 2008 and 2020 drawdowns were a killer. These two took the max system draw down to more than 40%. Looking at the monte carlo results, the system is pretty much useless with due to this.

In order to manage or reduce the drawdown, I want to test exiting the positions intramonth, based on an index rule(index falls by x% on any given day) then even if it is the middle of month, system will have to sell all positions and wait for a the next month to take new entries.

I was wondering is you have been able to code this type of intra month exit in Amibroker. TimeframeSet/Restore options dont seem to work as the exit still happens at the end of the month.

Do I need to run the system in daily timeframe with entry signals being executed on the first day of the month?

Is there any other way?

Regards,
Hari

 

[qldfrog]

Hi MA,

Just went through the thread and it is pretty interesting. Looking at the timing of your original post, I hope you were able to escape the market decline in Mar 2020.

I am working on a monthly system and whilst the overall system performance is good, 2008 and 2020 drawdowns were a killer. These two took the max system draw down to more than 40%. Looking at the monte carlo results, the system is pretty much useless with due to this.

In order to manage or reduce the drawdown, I want to test exiting the positions intramonth, based on an index rule(index falls by x% on any given day) then even if it is the middle of month, system will have to sell all positions and wait for a the next month to take new entries.

I was wondering is you have been able to code this type of intra month exit in Amibroker. TimeframeSet/Restore options dont seem to work as the exit still happens at the end of the month.

Do I need to run the system in daily timeframe with entry signals being executed on the first day of the month?

Is there any other way?

Regards,
Hari

Hari,
for a similar reason, I moved from weekly into daily system, and as in your case, did not find it that easy to code intra week exit;
The way I did it and you could probably do similar is something like
imagine a SL at x%;
if L<O*(1-%) then sell with sellprice =O*(1-%-small extra for safety)
hope you get what I mean and it can help you.obviously, no reinvestment until normal cycle

 

[MovingAverage]

Hi MA,

Just went through the thread and it is pretty interesting. Looking at the timing of your original post, I hope you were able to escape the market decline in Mar 2020.

I am working on a monthly system and whilst the overall system performance is good, 2008 and 2020 drawdowns were a killer. These two took the max system draw down to more than 40%. Looking at the monte carlo results, the system is pretty much useless with due to this.

In order to manage or reduce the drawdown, I want to test exiting the positions intramonth, based on an index rule(index falls by x% on any given day) then even if it is the middle of month, system will have to sell all positions and wait for a the next month to take new entries.

I was wondering is you have been able to code this type of intra month exit in Amibroker. TimeframeSet/Restore options dont seem to work as the exit still happens at the end of the month.

Do I need to run the system in daily timeframe with entry signals being executed on the first day of the month?

Is there any other way?

Regards,
Hari

Hi Hari,
You nailed it--the DD's were the reason I put this system on hold. Several months ago I did exactly what you are thinking, I included an intra-month exit pretty much aligned with your thinking. It made a big improvement to the DD. If memory serves me well the intramonth exit got the DD to circa 20%, which I can deal with. Yes, I used the TimeFrameSet/Restore functions and would run the AB explore on a daily basis for intramonth exits. On a side note, I use Stator to track my trades and it has a good Alert function that can be linked to stop losses. I would export the monthly exit's values from AB into Stator and it would generate my intramonth exits for the monthly via Stator Alerts. Why did I do that? I also trade daily systems so spend a lot of time in Stator so I didn't need to fire up AB on the monthly system every day and could use Stator to tell me if my monthly positions needed to be exited intramonth. I'm still a firm believe in that monthly system, but just need a bit more time to refine and test my system--too many other things on my plate at the moment. Give me a few days and I run some sims on my monthly (with the intramonth exit) and will message you the results. If you've got any challenges switching between the timeframes in AFL just sing out, I'll send you my code. BTW, I'm live trading a weekly and have now included similar intra-week exits and it has made a big difference.
MA.

 

[MovingAverage]

Hi MA,

Just went through the thread and it is pretty interesting. Looking at the timing of your original post, I hope you were able to escape the market decline in Mar 2020.

I am working on a monthly system and whilst the overall system performance is good, 2008 and 2020 drawdowns were a killer. These two took the max system draw down to more than 40%. Looking at the monte carlo results, the system is pretty much useless with due to this.

In order to manage or reduce the drawdown, I want to test exiting the positions intramonth, based on an index rule(index falls by x% on any given day) then even if it is the middle of month, system will have to sell all positions and wait for a the next month to take new entries.

I was wondering is you have been able to code this type of intra month exit in Amibroker. TimeframeSet/Restore options dont seem to work as the exit still happens at the end of the month.

Do I need to run the system in daily timeframe with entry signals being executed on the first day of the month?

Is there any other way?

Regards,
Hari

Hari,
I think your challenge might be that in your backtest parameters you are running it as a monthly and exiting on next bar open. With this config even if you generate an intra-month exit you will only sell on next bar open which will be the start of next month. Set you parameters to daily and use TimeFrameSet/Restore to switch to monthly for regular entries and exits. Because your parameters are set to daily your emergency exit will exit intra-month on next day open of daily bars, which is what you're chasing. Hope this makes sense?
MA

 

[vharik831]

Hari,
I think your challenge might be that in your backtest parameters you are running it as a monthly and exiting on next bar open. With this config even if you generate an intra-month exit you will only sell on next bar open which will be the start of next month. Set you parameters to daily and use TimeFrameSet/Restore to switch to monthly for regular entries and exits. Because your parameters are set to daily your emergency exit will exit intra-month on next day open of daily bars, which is what you're chasing. Hope this makes sense?
MA

Thanks MA. Makes perfect sense.

 

[jon the pom]

I have also just tested an ASX system on a monthly timeframe giving too good to be true results and leading to some serious head scratching and eventually to this intriguing post.....

With some work the amibroker exploration function will reveal all in the search for the unholy grail!!


On a separate note I have another question.

For those of you trading systems which buy the open, I have not been able to find a broker that allows a market order out of trading hours to buy on the next open, does such a broker exist?

Interactive brokers suggest they offer this, can anyone confirm?

Or is it only possible to place a limit order out of hours at the close price and hope for a fill at the open?

 

[MovingAverage]

I have also just tested an ASX system on a monthly timeframe giving too good to be true results and leading to some serious head scratching and eventually to this intriguing post.....

With some work the amibroker exploration function will reveal all in the search for the unholy grail!!


On a separate note I have another question.

For those of you trading systems which buy the open, I have not been able to find a broker that allows a market order out of trading hours to buy on the next open, does such a broker exist?

Interactive brokers suggest they offer this, can anyone confirm?

Or is it only possible to place a limit order out of hours at the close price and hope for a fill at the open?

My understanding of the way the ASX works I can’t see how any broker can offer a market to limit outside of the market being open.

 

[jon the pom]

My understanding of the way the ASX works I can’t see how any broker can offer a market to limit outside of the market being open.

That’s what I’ve found also, however I’m confused as the idea behind systems like the WTT is generate signals after the close, place your orders and get on with your life. The reality seems to be make sure you are at your computer on the open so you can enter your orders.
I’m missing something I think.

 

[MovingAverage]

That’s what I’ve found also, however I’m confused as the idea behind systems like the WTT is generate signals after the close, place your orders and get on with your life. The reality seems to be make sure you are at your computer on the open so you can enter your orders.
I’m missing something I think.

Good point. WTT is just another EOD (but in that case EOW) system. I live trade two EOD/EOW system and all I do is after performing my explore in AB after the day’s close and I place limit (not market to limit) orders that evening for the following day’s open. Most brokers will allow you to place limit orders after hours. All I do is price my buy price around 1-3 % higher than the last close. In most cases I get all my buys, but in some cases prices will rocket on open well above 3%. Most mornings around 9.50 I’ll check the IAP on my buys and adjust upward if it looks to be above my buy limit.

 

[qldfrog]

That’s what I’ve found also, however I’m confused as the idea behind systems like the WTT is generate signals after the close, place your orders and get on with your life. The reality seems to be make sure you are at your computer on the open so you can enter your orders.
I’m missing something I think.

Pretty simple actually: for a purchase:
at 6pm the day before, look at the close of the day, add a margin let's say 2% and put a buy order at close plus 2pc .off market but that give you your order.
Then that demand is added in the ore auction mix for the open price calculation.
As long as the open price is below you previous close plus 2pc, you will by at open.
Not fool proof, you miss if the price jump higher, and if your order is big enough vs the volume at open, you could significantly influence the orice, but this is the way, we system traders can buy at open wo being glued to the screen.
it does help to be by the screen for 30 min around the open i agree
Hope this helps

 

[qldfrog]

MA beat me and was faster to post?, but yes : same

 

[jon the pom]

Thanks for your input guys, I am on a random walk journey to success..

I appreciate this is off topic and although I am talking weekly there is still relevance to monthly timeframe.

After some effort I have been able to recreate more or less exactly the detailed backtest results of the WTT as advertised which is encouraging however I still have some pieces of the puzzle to piece together.

1) The process of buying on open which you guys have explained. I'm thinking it's impossible to estimate the slippage effect of this method without live trading and the cost does not seem to have been accounted from in the results of the WTT as advertised. Perhaps this is included in the stated 0.08% commission cost, which to me seems on the low side.

2) Commissions of 0.08% or minimum $6 are stated. There doesn't appear to be an allowance for the transaction cost of the bid ask spread which can be considerable on low volume illiquid stocks even with filters in place.

for example assuming for some reason you buy and sell with no change in price;
buy at the ask of say $0.50
sell at the bid of say $0.51
Transaction cost = 2%


What are you guys allowing for slippage and spread in your ASX strategies if at all?

Cheers
John

 

[qldfrog]

Thanks for your input guys, I am on a random walk journey to success..

I appreciate this is off topic and although I am talking weekly there is still relevance to monthly timeframe.

After some effort I have been able to recreate more or less exactly the detailed backtest results of the WTT as advertised which is encouraging however I still have some pieces of the puzzle to piece together.

1) The process of buying on open which you guys have explained. I'm thinking it's impossible to estimate the slippage effect of this method without live trading and the cost does not seem to have been accounted from in the results of the WTT as advertised. Perhaps this is included in the stated 0.08% commission cost, which to me seems on the low side.

2) Commissions of 0.08% or minimum $6 are stated. There doesn't appear to be an allowance for the transaction cost of the bid ask spread which can be considerable on low volume illiquid stocks even with filters in place.

for example assuming for some reason you buy and sell with no change in price;
buy at the ask of say $0.50
sell at the bid of say $0.51
Transaction cost = 2%


What are you guys allowing for slippage and spread in your ASX strategies if at all?

Cheers
John

Does it matter?
May seem strange as answer but what you are trying to achieve is a system, as best as possible and globally positive,statistically profitable
as long as you can compare system a vs system b, that is all what matter in my view.if a purist, you can check that backtests are as realistic as possible but really, i do not bother

 

[MovingAverage]

Thanks for your input guys, I am on a random walk journey to success..

I appreciate this is off topic and although I am talking weekly there is still relevance to monthly timeframe.

After some effort I have been able to recreate more or less exactly the detailed backtest results of the WTT as advertised which is encouraging however I still have some pieces of the puzzle to piece together.

1) The process of buying on open which you guys have explained. I'm thinking it's impossible to estimate the slippage effect of this method without live trading and the cost does not seem to have been accounted from in the results of the WTT as advertised. Perhaps this is included in the stated 0.08% commission cost, which to me seems on the low side.

2) Commissions of 0.08% or minimum $6 are stated. There doesn't appear to be an allowance for the transaction cost of the bid ask spread which can be considerable on low volume illiquid stocks even with filters in place.

for example assuming for some reason you buy and sell with no change in price;
buy at the ask of say $0.50
sell at the bid of say $0.51
Transaction cost = 2%


What are you guys allowing for slippage and spread in your ASX strategies if at all?

Cheers
John

Good question re slippage...I generally don’t account for it in my sims. I think @Skate has commented on this in his dump it here thread. Why don’t I account for slippage, well in 99% of cases in my live trades on buy at open I tend to get my order during the open auction. There’s a few cases in my live trading where I’ve missed the open auction but it’s only a very small number of trades. So for the most part I get the open price so don’t worry about accounting for slippage in my sims

 

[Warr87]

slippage matters more in systems with smaller timeframes. it really shouldnt make much of an impact on a monthly system.

as for buying, I just look at the depth and place my buy limit towards the upper end to ensure I get filled. I dont quibble about a few cents on my monthly. I just want in, and then check it a month later.

 

[jon the pom]

slippage matters more in systems with smaller timeframes. it really shouldnt make much of an impact on a monthly system.

as for buying, I just look at the depth and place my buy limit towards the upper end to ensure I get filled. I dont quibble about a few cents on my monthly. I just want in, and then check it a month later.

Makes sense RE the longer timeframe.

a few weeks back a setup a trust and transferred some shares I had from my name into the trust.

Some were penny stocks around the 5-10c range.
I lost in the region of 3-6% due to bid ask spread just changing accounts.
Should have transferred off market.?