qldfrog weekly Skate inspired system

[rnr]

Hi @Skate,

In the attached chart of AFI I am using the HiLoZZ indicator (which is based on the ZigZag function) and I have it set at a 10% move from peak to trough (green line). In the bottom frame of the chart there is an indicator set up to confirm when a valid peak or valid trough has formed thus confirming that the next leg of the HiLoZZ indicator will be in the opposite direction.

The Flipper system code published by Nick Radge determines a BUY or SELL on the next bar after a predetermined percentage move has been attained.

As mentioned above the percentage move is 10% so when a blue bar is shown on the chart it is followed by a blue BUY arrow and when a red bar is shown on the chart it is followed by a RED arrow.

The Flipper System is presented in the above chart.

Are you inferring by the statement below that one shouldn't trade this system in real life?

"Important
The ZigZag function looks into the future & of course, should never be used for trading with real money."

 

[Skate]

View attachment 99839

Hi @Skate,

In the attached chart of AFI I am using the HiLoZZ indicator (which is based on the ZigZag function) and I have it set at a 10% move from peak to trough (green line). In the bottom frame of the chart there is an indicator set up to confirm when a valid peak or valid trough has formed thus confirming that the next leg of the HiLoZZ indicator will be in the opposite direction.

The Flipper system code published by Nick Radge determines a BUY or SELL on the next bar after a predetermined percentage move has been attained.

As mentioned above the percentage move is 10% so when a blue bar is shown on the chart it is followed by a blue BUY arrow and when a red bar is shown on the chart it is followed by a RED arrow.

The Flipper System is presented in the above chart.

Are you inferring by the statement below that one shouldn't trade this system in real life?

"Important
The ZigZag function looks into the future & of course, should never be used for trading with real money."

"Important
The ZigZag function looks into the future & of course, should never be used for trading with real money."

Carification
Hi @rnr - I understand where you are coming from & when Metastock was my choice of poison (before Amibroker) I played around with this indicator (or something similar) & the results were pleasing. When I met @captain black - "by the way" he was one of the coders that initially gave Nick Radge a hand in getting his 20% Flipper up & running (also credited in the book "Unholy Grail") he explained coding the Flipper was difficult to use in a strategy. I've tried a million variations trying to get a strategy to perform using the ZIGZAG function. Failure led me to develop a ZIG function so it could be coded into a tradable system.

Let me explain
The ZigZag function repaints, meaning with additional data the buy signals can evaporate & most times they do making it hard to have confidence in trading the raw signals. Your metastock chart look amazing & very impressive in catching the pivot.

The Flipper system code published by Nick Radge determines a BUY or SELL on the next bar after a predetermined percentage move has been attained.

Similar idea
I was not aware that Nick uses the ZigZag pivot to determine the 10% rise above the pivot as the signal trigger bar. I use a similar but completely different idea as the entry trigger bar in my ZIG strategy. Your chart clearly plots the signal bar (blue bar) & the next bar the (buy bar), simple & effective.

Just to confirm
1. Has Nick Radge published the Flipper code?
2. I thought Nick uses a 20% rise from memory, but I could be wrong (whereas you use a 10% rise)

Hats off to you
If you have a tradable strategy using the ZigZag indicator demonstrates to me your coding skills. The only feature I wish Amibroker had that Metastock currently has "is the ability to lock & hide formulas".

I'm not challenging or contesting ideas
Every post I make I never challenge or contests a members post or ideas but I post to give an alternative view from my perspective, from my limited experience.

Skate.

 

[Newt]

BTW, I believe Nick has "spring cleaned" his Turnkey system are on The Chartist - removed the Unholy Grails systems that were there and now has large cap Trend and MR systems for ASX or US on offer.

 

[rnr]

Hi @Skate,

Firstly let me clarify a few issues and apologise for any confusion I may have caused.

1) When I say that the HiLoZZ indicator is based on the ZigZag function, my reference is to the way in which it works i.e. High-to-Low as it definitely does not use the standard ZZ indicator supplied by MetaStock (MS will not accept the parameters of High to Low).

2) I did not state that Nick used the ZigZag pivot to determine the percentage move above the pivot as the signal trigger bar.

3) My bad, as I was referring to the “Flipper” system (not code) published by Nick Radge.

4) Nick used a 20% move from peak to trough in his book whereas I applied a 10% move to capture more examples in a screen shot.

The only feature I wish Amibroker had that Metastock currently has "is the ability to lock & hide formulas".
If this comment relates to dll's then I think I have read at some point in time that you can use them with AB.

Cheers,
Rob

 

[qldfrog]

Good evening all before the long weekend and Australia day, with all my winging, Australia is still a marvelous country , wasted potentials everywhere: human and others in my opinion but at least with some future;Be proud!;
And an amazing week:
System 3: the ill thought of flipper based system is being discarded and I just have one position to close: cost of the exercise: $2k..just do not tell my better half;

System1 was on steroids this week:
we overtook the xaoa with a massive $6.1k gain..very happy obviously
Less with system 2 which should roughly parallel and better it but suffered a $261 loss
Understandable as we are just ramping up again after the old ghosts shares liquidated in the last fortnight

==============
Start 25/02/2019
Total invested $ 100,000.00
Cash remaining $372.90
Current portfolio value $121,650.81
Profit $21,650.81
Nb of active positions 20
Nb max position 20
Return since 25/02 21.65%
Annual return so far 24.02%
purchase value per position $6,082.54
Invested percentage 99%
dividends $ 1,387.81
Average per week: 441.8531633
invested 121,277.91

3 buys but we are fully invested: no action on Monday

==============
System 2
Start 5/08/2019
Total invested $ 100,532.76
Cash remaining $23,606.48
Current portfolio value $101,310.63

Profit $777.88
Nb of active positions 14
Nb max position 20
Return since 5/08 0.77%
Annual return so far 1.67%
purchase value per position $5,065.53
Invested percentage 76%
dividends $ 1,065.25
Average per week: 29.91826923

4 sell 4 buys on Monday

Have a great long week end

 

[qldfrog]

Interesting time, we will see when world markets open but it is not unreasonable to expect big fall this week.so my unease with missing stop loss remain.
The change i did is i reduce my buy price on the open tomorrow morning.
Will check again tonight

 

[qldfrog]

forgot to update yesterday:
system 1 did not buy or sell and is fully invested
System 2 sold 4 set of shares: AX1, UOS, CWP, KMDfor a combined loss of $1222 and bought CIP, JLG, PHG and RUL in what was a pretty down market
we are now 78% invested for system 2

 

[qldfrog]

As China fights its epidemic, the more i learn of the economic effects there, via the news but also via anecdotal WeChat contacts, I think even blind Freddy should see that China economy is already taking a significant hit
Much more than all this Trump trade war saga:
Whether this will be the black swam triggering a global market fall, far too early to know and I have no clue, but as far as Australia is concerned, there is no way we will absorb that one without damage, even if the epidemy is stopped next month...which I doubt
So in prevision of an ASX hit I moved into even more conservative positions for my overall portfolio;

For the 2 systems currently live, I do not want to panic but I just did a major move:
I manually put stop losses on all shares parcels for system 1 and 2
These were positioned discretionary,similarly to @peter2 not especially tight and with no regards to purchase price
In term of heat, as per yesterday prices I end up with:

 

[qldfrog]

Yesterdaywas no posted)
one stop loss triggered MAH at 26c for system 2, so system2 sold its MAH parcel at 26c for a profit of $595 after all costs
system 2 is at a loss overall and only 72% invested
Vamos...

 

[qldfrog]

Friday again after a short week, but eventful;
System 1 lost $654 and system 2:$869
not too bad considering the xao performance:
System 1:
Start 25/02/2019
Total invested $ 100,000.00
Cash remaining $372.90
Current portfolio value $120,996.40
Profit $20,996.40
Nb of active positions 20
Nb max position 20
Return since 25/02 21.00%
Annual return so far 22.81%
purchase value per position $6,049.82
Invested percentage 99%
dividends $ 1,387.81
Average per week: 419.928
invested 120,623.50
We have one buy only on Monday but are fully invested so will pass unless a stop loss get triggered
we are soon reaching one year of system1 live, and quite happy with the results, obviously, none of @Skate or @peter2 stellar results but better by far than my usual underperformance

---------------
System 2 not so brilliant:
basically break even since august 2019
under-performing the xaoa, and a discretionary SL triggered yesterday
we are paying dearly our ghosts and reset just before the nCorovirus crisis

Start 5/08/2019
Total invested $ 100,532.76
Cash remaining $26,440.23
Current portfolio value $100,441.36
Profit -$91.40
Nb of active positions 14
Nb max position 20
Return since 5/08 -0.09%
Annual return so far -0.19%
purchase value per position $5,022.07
Invested percentage 73%
dividends $ 1,065.25

2 sells 3 buys on Monday

 

[qldfrog]

tightened SL on system1 and 2, moved buys to low ball offer and will manage these manually on monday

 

[qldfrog]

Today a down day but a bit of action:
To close that chapter, system3 based on 20pc flipper was closed last week for a total loss inc brokerage of
$ 1,912.10
System1 triggered one conditional sell:
CAT was sold for @1.90 for a total loss of $ 296.60
We had one buy recommended on the open but were previously fully allocated, I will put a buy order for that share at the open tomorrow

System 2 triggered one conditional sell: CNU
we so sold CNU, RMC and PSI for a total gain of $1,469.41(note some RMC left to sell)
and bought PPC@1.32, RMD@23.86 and NSR@2.15
we are still at 14 entries out of 20

 

[qldfrog]

System 1 purchased
SOM 1723 @ $3.25 for a total of $ 5609.75 to replace the Stop Loss triggered on CAT yesterday But stop loss triggered the sale of BKW 298 sold@ $19.490 for a profit of $424.02(and an extra $113 of dividends)
We are now back at 19 parcels only: 94%invested

System2 also had a SL sale of PGH@2.6 for a loss of $424.64
So down to 13 parcels 67% invested
No action planned until next Monday unless SL triggers

 

[qldfrog]

Both systems are still active but I moved strongly protective to balance the virus effects on our economy which I think are well underestimated here in Australia.

The results so far from my realistic but not gloomy reaction to facts:
Sold both rio and fmg warrants for a profit of:$1242
bought extra PMGold break even;
Added 7.5k of BBOZ: $200 paper profit;
Added 9.7k of ANN: minimal paper profit balancing a similar loss on IVC and PFP purchased yesterday;
Supers (Sunsuper and QSuper) moved fully to capital guaranteed/bonds/etc last week
Tighten and created SL on the 2 systems
Bring it on;
Ohh and received today the surgical masks today ordered last week
Stay safe, preserve capital

 

[willoneau]

I have an opinion on were I think the market is going, but my system isn't discretionary so I just follow the signals and my position sizing.

 

[qldfrog]

I have an opinion on were I think the market is going, but my system isn't discretionary so I just follow the signals and my position sizing.

So should be mine, i only added a SL that i was feeling was missing for months and felt the urgency with the current virus hit on the economy.
Thankfully the complacency and lets name it ignorance of the market as to China made the fall far less drastic than could have been.

I bought the system buy signal for Monday on Tuesday after a forced SL exit.trying to compensate my own interaction
We have had few such black swan event on the Australian economy, others and were more global in impact
there is no way my backtests could have prepared for what is ahead, but if the fall is slow, the index linked parameters should play and reduce exposure/save gains( as per backtested previous down periods)
Even 2007/2008 was not that fast, a lot of people bought the dip...
You mention position sizing: do you vary your position sizes based on indexes or other parameters?

 

[willoneau]

My position sizing is based on capital available and positions available similar to Skate.
My thought was/ is that we needed bad news to shake people out before the next run up.

 

[qldfrog]

My position sizing is based on capital available and positions available similar to Skate.
My thought was/ is that we needed bad news to shake people out before the next run up.

Ok position size unchanged here as well but that could be an option to consider..risking less on volatility..maybe not with a CAM based system
I am still positive overall, it could be much worse as the virus is not that deadly, so i am not too scared to die
But i see China stopped, as noone has any even idea here, and China is our big brother economy, if they stop or slow we freeze.so next 6 months will be either bad if we contain the epidemy, or dramatic if the virus spreads worldwide.

 

[willoneau]

Ray Dalio predicts market collapse in 2020 in one of his youtube vids , very interesting.

 

[qldfrog]

Ray Dalio predicts market collapse in 2020 in one of his youtube vids , very interesting.

To be honest, even without virus, there are plenty of reasons for the bubble to bust.
I thought Trump would be able to push the can till past the election and his re-election but that virus could change it all.
Anyway.i will look for the video.thanks for the hint and your input. another SL triggered today