qldfrog weekly Skate inspired system

[qldfrog]

A lot of interesting talk this week and a pretty disappointing/bad end result for the systems today
I know there is so much to fix that I feel pretty tempted to stop system 2 and flipper.

System1 lost a whooping $829 on a week which saw the asx surge
I have to get into the details and check which shares produce that and see if there is a fundamental fault I can spot
and system2 got a minimal $108 profit
Flipper lost another $342 and does have a single (slightly) positive position out of 5!!!!!
Pathetic..

###########################
System I (the original)

Start 25/02/2019
Total invested $ 100,000.00
Cash remaining $22,731.74
Current portfolio value $112,511.68
Profit $12,511.68
Nb of active positions 15
Nb max position 20
Return since 25/02 12.51%
Annual return so far 14.50%
purchase value per position $5,625.58
Invested percentage 79%
dividends $ 1,387.81
Average per week: 266.20




one buy on Monday, which seems quite a late entry here as well based on chart
###########################
system II

Start 5/08/2019
Total invested $ 100,532.76
Cash remaining $549.45
Current portfolio value $102,668.80
Profit $2,136.04
Nb of active positions 20
Nb max position 20
Return since 5/08 2.12%
Annual return so far 5.00%
purchase value per position $5,133.44
Invested percentage 98%
dividends $ -
Average per week: 89


2 buy 2 sell
we will end up with 20 positions...

Have all a great week end
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[peter2]

Yes, that is disappointing with 15 open positions in the Sys 1 portfolio. I'd love to help but unfortunately I don't use Amibroker nor could I evaluate your system code.

13/14 positions in the P2 wkly/dly portfolio went up this week and I'm certain @Skate portfolios would show the same pattern.

 

[Trav.]

@qldfrog I feel that you are being pretty hard on yourself mate. I know that I have had similar thoughts this week....

WHY am I not raking in the $$$ when the market is up???

Realistically we are in stocks selected in previous market conditions which are obviously not today's conditions and it may take a few days / weeks for some of the stocks to catch up. Alos their is a lot going on in the world which is playing havoc to the market in some areas

It is also hard to comment on your system / stock selections as you don't list which stocks you are in currently in ( table form ) and their relation to each sector. ie. if you have gold stocks then how is the materials sector going.

As and example - for this month

NCM (Newcrest Mining) up 1.74%
XMJ (Materials) up 2.19%

Z1P ( Aip Co) down 0.54%
XFJ (Financials) up 2.42%

Also just a random thought about the market performance in January I had a look at the XAO performance over the last 10 years a there is a mixed bag of results so when backtesting maybe have a look at that?? ( as i said random thought that might add no value other than to reassure you that your system is OK and maybe take a step back for a week or two)

XAO January Returns

2010 -5.9%
2011 0.1%
2012 5.2%
2013 5.1%
2014 -2.8%
2015 3.0%
2016 -5.4%
2017 -0.8%
2018 -0.3%
2019 4.0%
2020 3.5% (incomplete month)

Anyway excuse the ramblings above and I hope you have a good weekend.

Cheers

 

[Trav.]

just adding to the above ramblings. Your system is weekly so take a step back and look at the bigger picture

example of iron ore companies below. plenty of red today but the yearly green figures are the go.

https://www.marketindex.com.au/iron-ore

 

[qldfrog]

Yes, that is disappointing with 15 open positions in the Sys 1 portfolio. I'd love to help but unfortunately I don't use Amibroker nor could I evaluate your system code.

13/14 positions in the P2 wkly/dly portfolio went up this week and I'm certain @Skate portfolios would show the same pattern.

Thanks Peter for the offer, i just have to understand where the problem is:
Do the shares loosing this week matches the ones which would have not been selected with the latest code?
Thinking aloud
If version 1 selected a share that version 2 would not, then version 2 would maybe never tell me to offload that share...
Could i not have a bunch of shares purchased by the deficient system and which now would never trigger a sell
After all, my code is done so that i do not see all the buy and sell only matching couples
This came to me thinking about consequences of what i discovered yesterday
Would make sense and i will check this week end
Conclusion
It is VERY dangerous to tweak a system live wo resetting entries

 

[qldfrog]

@Trav.,
as of today's close this is the system1 portfolio:

Note the exit SL has NOT been updated
And I have not missed any exit so my response to Peter was not relevant here.
In term of results JLG lost 9%, OCL and LIC 3% and IMF 1.4% but remaining stockes were pretty good, easily above tha xaoa...

 

[qldfrog]

Amibroker code error in my SL detected which could maybe help others:
SL= HighestSince( Buy, H -.expression) will look the nth Buy condition ..and n default to 1 !!!
so several consecutive buy condition will reset SL at each buy which may not be what you want

 

[peter2]

Those results look quite OK. It's always 2 or 3 that earn most of the profit and you've got them (JLG, OCL, RUL). IMO the entry on AVN is the only one I'd call as late, so I think your entry algorithm isn't too bad. I'd consider increasing your volume requirement as you should never be in such a lowly traded volume stock as ZIM.

I'd call your portfolio an eclectic mix of companies. Quirky even (I'm being polite). The current bullish sentiment and buying demand is for well known main stream companies. No wonder you missed out this week. However, you will have a good week one day. "Quirkyness" will be in demand some time.

For a portfolio containing such an odd bunch of companies you're doing very well. The current open results show me that your system is working quite well. Don't cut the legs off that frog!

 

[Warr87]

Amibroker code error in my SL detected which could maybe help others:
SL= HighestSince( Buy, H -.expression) will look the nth Buy condition ..and n default to 1 !!!
so several consecutive buy condition will reset SL at each buy which may not be what you want

I had the same issue with my stale exit as any new buy condition being met will reset the count. I routinely get the same buy signal a few weeks in a row for some of my positions. I rely on my excel sheet right now for the stale exit and SL.

 

[Warr87]

To add to this, if you work with python you could possibly work around this with your portfolio fed into it. There are some quant open source programs out there that likely have solutions for this. For the moment, Amibroker + excel are good for me .

 

[qldfrog]

Thanks Peter,
Last post of the day before I fill Joe's server with my rambling
In term of late entry, I think my system2 (my dynamic one still based on trend, but more reactive) has this pretty well sorted;
I looked at my LIC graph for System2 and entries are OK and roughly match @Skate and @peter2..so not completely off.As per system1, I will also check that system2 does not carry ghosts from previous obsolete code
Feeling a bit better all this work was not useless..and I need relativity:
as opposed to 2% deposit returns.....in a world where Gold goes down when Iran fires missiles at US bases
Have all a great night, I hope my ramblings and loud thinking do help people engaged in the same processes
Thanks for all the feedbacks

 

[qldfrog]

Big relief today:GREAT NEWS
I realised after checking:
where the hell did I lose so much when each entry weekly result was not that bad that my update of the EOW prices had failed on system 1..was done properly ok with system2 and 3:
RELIEF RELIEF
these are real Friday closing values for System1

and the change vs post #286 are substantial enough:
Corrected results for system1:
weekly gain of $360
still under performing vs xaoa but not that bad
We got

Start 25/02/2019
Total invested $ 100,000.00
Cash remaining $22,731.74
Current portfolio value $113,700.33
Profit $13,700.33
Nb of active positions 15
Nb max position 20
Return since 25/02 13.70%
Annual return so far 15.82%
purchase value per position $5,685.02
Invested percentage 79%
dividends $ 1,387.81
Average per week: 291.4962766


---------------------------------------
And there is a big plus, I did an in depth check on system1
detected a few loose hands which are now fixed, reinforced my confidence today
But even better for system2, I realised I had some ghost from obsolete version of system2

To state it clearly
v1 of code produced a buy which was implemented (shares bought) , code was "improved, and triggers refined etc for a v2 version (similar but still substantial differences in buy sell along the weeks)
Now these v1 entries do not appear anymore in v2 so are not be displayed either for exit
They get bypassed and I ended up with quite a few ghost packets
I got 5 packets which are in that case (out of 20)and I will offload them on Monday and hopefully start afresh then
So much support from you guys Thanks a million,,,not yet for the million ;-) but we will get there

 

[Newt]

Great going QF. Nothing wrong with feeling bad, as long as you work through it. Sounds like you benefited in the end

 

[qldfrog]

After the saga of the last 3 days, today was remediation day:
System1 bought 1938 AFG @$2.9
System 3: (the flipper) bought 2816 KAR @$1.38, 25806 HTA @$0.155 and 4907 HFR@$0.81
all good

System2 The dynamic version of system 1 is where the action was:
I had to offload ghosts entries not managed anymore by my current system version:
I so sold CCV,MOE,IFN,OML,OZL and VRL which would not have been purchased with the current version
I got a total profit after brokerage of $852 but loose 25% of exposure.
Could have been worse...obviously these ghost were not random entries and while they do not pass my current system, they were not too bad but de facto had no managed exit: a potential disaster

System 2 also bought 32258 HTA @.155 and sold AVN and GRR for a loss of $219

Have all a great week, the promised rain in Brisbane did not really eventuate..maybe next week...

 

[qldfrog]

System1 a winner this week+ $1,844.92 , but the asx jumped so high
System 2 a nightmare,-$1,096.27 but I sold a lot of ghosts on Monday and got a few duds
the flipper is really bad:lost 1.5k on 8 stocks, 2 positive only, even randomly I could do much better..I have to really check this week end if anything is wrong

###########################
System I (the original)

Start 25/02/2019
Total invested $ 100,000.00
Cash remaining $17,101.54
Current portfolio value $115,545.25
Profit $15,545.25
Nb of active positions 17
Nb max position 20
Return since 25/02 15.55%
Annual return so far 17.62%
purchase value per position $5,777.26
Invested percentage 84%
dividends $ 1,387.81
Average per week: 323.8592708



will check actions for Monday later
###########################
system II

Start 5/08/2019
Total invested $ 100,532.76
Cash remaining $34,743.38
Current portfolio value $101,572.53
Profit $1,039.77
Nb of active positions 13
Nb max position 20
Return since 5/08 1.03%
Annual return so far 2.33%
purchase value per position $5,078.63
Invested percentage 65%
dividends $ 1,065.25
Average per week: 41.5908


will check actions on Monday later


Have all a great week end, enjoy the rain if you have some

 

[Warr87]

how did the flipper backtest? I think I've found some code for that before but never got fantastic results.

 

[qldfrog]

how did the flipper backtest? I think I've found some code for that before but never got fantastic results.

well on a long range back-tests performed OK, not great but as good if not better than my other systems.
I was keen in term of diversification: basically would not be synchronized with my CAMish systems.Concept had a Radge stamp of iapproval
Indeed it is not synchronised , but I should check in a more detailed way, including ensuring I do not have a fundamental issue here as the results are really poor ..very short period but in such a context, should still be better...

 

[qldfrog]

Action on Monday: System1 purchase 3 extra codes bringing it to fully invested,
system 2 sells 2, buy 4 bringing it to75% invested..plenty to catch up after last month mistakes and the ghosts..
flipper sells 1, buy 2

 

[jjbinks]

Hey qld frog,

In my experience with trying to tweak the flipper I found it could take big hits during volatile periods.

From what I can gather you are still using 5% of equity per trade with flipper?
Was 1.5k loss equally distributed between stocks or was it 1-2 really bad stocks.

Also be weary with flipper code as depending on how you code it you may have future leak.

Keen to hear how well back test results over the period you have been trading matches with the actual results.

Cheers
j

 

[Newt]

Please don't take offence guys, but why would you focus on the flipper when something like Radge's Bollinger Band BO strategy showed more promised in the book? Certainly from my own Amibroker testing years ago I could get returns from all of them, but BBO seemed to show the most promise.