qldfrog weekly Skate inspired system

[willoneau]

Anyway.i will look for the video.thanks for the hint and your input. another SL triggered today

Weekly system only triggers SL at end of week?

 

[qldfrog]

Weekly system only triggers SL at end of week?

That was my dilemma, I already had a SL equivalent at the end of the week which was part of the exit conditions: stale, SL etc but when market falls sharply, it can be up to a week before my systems react.

So I added specifically after the virus growth and Chinese impact: a SL triggered intraday by the broker system: if XXX below $yy sell all XXX at $zzz
This should reduce overall returns, based on back-test and might trigger on flash crashes but gives a kind of peace of mind and reduces portfolio heat drastically.
Today
FWD in system1 purchased at $2.15 on the 20/01 has been sold at 1.95, a nearly 10% or $540 loss
looking at the graph, not much to regret

 

[willoneau]

I have come unstuck were I have gotten out during the week only to see it close the week above my stop and continue up.
Also by doing that not following system the back test results are then useless.

 

[willoneau]

It is something I have struggled with, discretionary adjusting and fiddling with my system.

 

[qldfrog]

I understand and share the pain.
Not having a stop loss can obviously be a problem when market goes free fall, especially in a weekly system where the usual small bounce back can be missed.
We have up to 7 days of inaction after an event in a weekly system.this is a lot..
Let's see how it goes here.i record my SL triggered sales.
in a few weeks, it will be easy to conclude this is a good or bad idea as i check if the system would have benefited or not.
Maybe something i need to go thru to boost confidence and so part of education

 

[willoneau]

My system closes position on Monday if position closes below my SL on Friday. If I change that the system back testing is void. I can see Friday close well below SL but I also see a bounce off my SL too which are all part of the back testing.
I guess any changes outside the system designed and tested has to be re-tested and weighed up if better or worse before changes are made to the system when live trading.

 

[qldfrog]

OK, an interesting week: ASX still in lala land:
System 1 lost 1.3k and down to 16 positions (85% invested) after 4 stop loss triggers.
today DHG was sols at purchase price (-20$ of brokerage)
It is amazing I was still in as it was purchased in November .
I will get back to this and SL in a separate post
System2 gained $320

 

[qldfrog]

---
system 1
Start 25/02/2019
Total invested $ 100,000.00
Cash remaining $16,318.92
Current portfolio value $119,678.80
Profit $19,678.80
Nb of active positions 16
Nb max position 20
Return since 25/02 19.68%
Annual return so far 21.00%
purchase value per position $5,983.94
Invested percentage 85%
dividends $ 1,387.81
Average per week: 385.8588235

no buy or sell on monday
---
system 2
Start 5/08/2019
Total invested $ 100,532.76
Cash remaining $31,863.70
Current portfolio value $100,766.10
Profit $233.35
Nb of active positions 13
Nb max position 20
Return since 5/08 0.23%
Annual return so far 0.47%
purchase value per position $5,038.31
Invested percentage 67%
dividends $ 1,065.25
Average per week: 8.33375



3 sells, 9 buys on Monday a bit suspicious

 

[qldfrog]

Stop losses this week
4 SL were triggered resulting in a total loss of $433
All finished the week higher than the SL
Had these not been used, I would have ended $1035 higher....yeap..so is there a lesson there?
Easier in hindsight obviously

 

[willoneau]

I have to put my hand up too as I sold a position in last 10 minutes one cent above my stop. If next week close is above my stop I will re-enter a conditional order at my original entry and remove it if weekly price closes below the stop before being executed.
I do this because the stock could turn around and become a winner I don't know but will be following my strategy.

 

[qldfrog]

I understand you; on system 2 one Sl exit would have been exited on Monday so a small win there

But should I reenter my system 1 SL exited positions? I could, got the cash.It is hard indeed
I think I would feel better if a daily SL was embedded in my weekly system, backtested etc
I tried one where I was selling at sellprice=SL if Low was below SL; but not sure it was backtested very well.
I should probably pursue that idea so that my system design..[and optimised SL] would really remove any urge to meddle with psyche weak urges.
I expect a backtest result hit: all sims I have done so far say: do not use a SL...but this is always obviously tested in benign falls

 

[willoneau]

I can understand your feeling as I hate to see price go below the SL and possibly closing below by quite a bit at times. But I also see price quite often trade below the stop only to close the week above and continue the trend up.

 

[Newt]

Market has been a rollercoaster on Mon and Tue last 2 weeks. World is end on Mon, then some stocks rocketing up Tue. Challenging times - there's always something new to experience in the markets.....

 

[willoneau]

A weekly system avoids that rollercoaster, also told not to look at the market during the week until Friday's close.

 

[peter2]

@qldfrog Gidday, mon ami.
I don't like seeing you fiddle with a weekly system or any system that's working as it should (eg. System 1). System 2 needs a bit more work, but again, not while it's working live.

I do like, that you're investigating your own risk tolerance and psychological biases. It's very likely that a system's maxDD doesn't suit the manager that's running the system. If this is the case here, then you'll fiddle with the system and sabotage its performance in order to "feel" more comfortable running it.

I know that proper back testing is supposed to sort this out, but the maxDD of -20% doesn't look that big on the back testing report but is huge when your account is down 20%.

We can do almost anything with the fin markets. You could run system 1 as it should be managed with it's maxDD (-20%) with only 50% of your capital. This will limit the DD to 10% of your account when the system goes through it's maxDD in the future. The other 50% could be in cash, TDs, bonds or a market ETF that can be exited quickly when you get bearish.

There's an optimum solution for you out there.

 

[qldfrog]

@peter2 , @willoneau
You are right
should use this as a lesson,
Remove my SL and maybe reenter exited positions for system1 on the next down day
In term of investment, these 2 systems are not even the majority of my shares invested ones and the remaining ones are ultra bear
Gold bond warrants bboz so i can afford the risk overall
You are right, even adding a daily SL is messing with the system.
And i should focus more on why a share bought in November with basically no price gain today in february has not been eliminated by my stale exit

 

[qldfrog]

All SL removed.will try to reenter SL positions in the coming week

 

[qldfrog]

Morning news:
System 1:
reentered DHG at $3.8, FWD @$1.95 and BKW @$19.98
My exercise costed me:$60 of brokerage and $574 of differential cost between my SL sell price and the reenter price;
An idiot tax I must admit;
Even if I had been justified and had made a profit, this then fully disconnect my system from any backtest/rerun and so make any comparison much harder.
System2 sold LIC dor a loss of $63 and ZIM for a gain of $128
System bough: AFG, CCP, CNI, ELD, NCK, PSI, OCL and QMS;
I have a deja vu feeling as these same codes keeps popping in and out

 

[willoneau]

Hi qldfrog, so now what wait until close Friday ?

 

[qldfrog]

Hi qldfrog, so now what wait until close Friday ?

Just following system as designed without adding SL , and if exit based on friday data, i sell on Monday at open as per the whole of last year