qldfrog weekly Skate inspired system

[qldfrog]

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

And to be clear, i have always had a SL embedded among the causes for exit, but it is only checked at the EOW so the not so bright idea to try to merge an intraday SL during the week.
Not a good idea

 

[qldfrog]

So so week
System1 $366 gain
Of the 3 shares bought back on Monday to reverse the manual SL of last week:
DHG a bit below BKW a bit higher..both within 1 %
and FWD a gain of $224
the interesting bit : this system will be 1y old in a fortnight and we are nearly breakeven with the XAOA
Two ways to see that:
one is you would be better investing in an ETF...
or
You matched the index, covered the losses of your various mistakes and got the same results as the index with lower exposure along the year
I take the later

System2 $233 gain

---
Start 25/02/2019
Total invested $ 100,000.00
Cash remaining $8.81
Current portfolio value $120,045.05
Profit $20,045.05
Nb of active positions 19
Nb max position 20
Return since 25/02 20.05%
Annual return so far 20.96%
purchase value per position $6,002.25
Invested percentage 99%
dividends $ 1,387.81
Average per week: 385.4817308
invested 120,036.24

3 buys proposed, no free cash available to take the opportunities
---
system 2

Start 5/08/2019
Total invested $ 100,532.76
Cash remaining $1,992.27
Current portfolio value $100,989.63
Profit $456.87
Nb of active positions 19
Nb max position 20
Return since 5/08 0.45%
Annual return so far 0.88%
purchase value per position $5,049.48
Invested percentage 97%
dividends $ 1,065.25
Average per week: 15.75413793


5 sells, 6 buys on Monday

 

[qldfrog]

System2 sold AFG, NCK, NEU, OCL, PPC for a total loss inc brokerage of $775
and bought ECX, MIN,MNY, MP1, SCP, WAF with 2 lots undersize as I was missing cash

 

[qldfrog]

System1 loss of $44 (nearly $1k today)
System2 gain of $1931
Important week:
we now have a calendar year of System1
The yearly end result:20.0% and we have had 1.5k of dividends so a bit of franking credit to add;
Not as good as Skate and the other big players but quite happy with my first year return matching the xaoa and with less capital at risk along the way and quite a few human errors/mistakes which will not occur again hopefully
.
I do not take into account any cash interest gained:
Start 25/02/2019
Total invested $ 100,000.00
Cash remaining $8.81
Current portfolio value $120,000.67
Profit $20,000.67
Nb of active positions 19
Nb max position 20
Return since 25/02 20.00%
Annual return so far 20.51%
purchase value per position $6,000.03
Invested percentage 99%
dividends $ 1,575.27
Average per week: 377.3710377
invested 119,991.86


One buy, one sell on Monday

System 2:
Start 5/08/2019
Total invested $ 100,532.76
Cash remaining $5,011.17
Current portfolio value $102,921.58
Profit $2,388.82
Nb of active positions 19
Nb max position 20
Return since 5/08 2.38%
Annual return so far 4.42%
purchase value per position $5,146.08
Invested percentage 94%
dividends $ 1,118.10
Average per week: 79.62733333

we have some 5k of cash locked with the QMS shares bought back so might have to wait before being able to reinvest that cash for the last position


One buy, one sell on Monday

 

[qldfrog]

Thinking along and welcoming your inputs:
I currently have 2 systems live: 1 & 2 with #1 first anniversary tomorrow to the day
I am happy with the decent performance of system1 and the learning process and discipline gathered along;
System2 is a system1 improved version under certain market behaviours so not always better but sometime
I do not have extra cash available for play at the moment:

I am playing with 2 others systems on paper, both better in backtests than these 2 (and this does not include the zigzag grail)
What would you do?
Close slowly one of your running system (slowly, just not investing anymore to let winners go as it took long enough to get these selected, but not investing anymore) and ramp up system 3 or 4?
Have you met such dilemma?
Up to you

 

[qldfrog]

today:
System1
sold LIC @8.8 for a loss of $93 after brokerage
and purchased 2620 PSQ @2.036 ( a bit of slippage) for a total of 5345.6
System2
sold PSI @3.1 for a loss of $173.8 after brokerage
and bought 2096 CWY@2.28

 

[qldfrog]

Just a note for historic reason: the note about potential close of a system was done before the big fall today so was not influenced by market conditions as that money would get reinvested anyway

system1 yearly profit went from 20% to 16.5% after today's fall, since Thursday night nearly a quarter of profit evaporated while system 2 loat 2/3rd of its profits....
:-(

I spent today and the week end reviewing systems and backtesting checking MC etc
A separate hint I want to share:
be aware of this fct: LastValue
it will trigger a future looking alert if you run the Tools/Code check and Profile in amibroker
I use this for various display tricks so think about commenting the function if looking for code future leaks

 

[qldfrog]

a question for AB users:
I was going thru Skate Bolinger bands results and noticed average # bar helds on winners and losers were very small compared to mine, then realised weird figures on my weekly backtest results
, a share purchased 01/09/18 and sold 01/04/19 was quoted as being held more than 200 bars...actually realised in my results: 1 bar is day whereas Skate bar is as expected a week bar
Has anyone faced that issue, I obviously would like 1 bar= 1 weekly
I use amibroker 6.30.0

 

[Habakkuk]

a question for AB users:
I was going thru Skate Bolinger bands results and noticed average # bar helds on winners and losers were very small compared to mine, then realised weird figures on my weekly backtest results
, a share purchased 01/09/18 and sold 01/04/19 was quoted as being held more than 200 bars...actually realised in my results: 1 bar is day whereas Skate bar is as expected a week bar
Has anyone faced that issue, I obviously would like 1 bar= 1 weekly
I use amibroker 6.30.0

I've noticed that too and meant to ask but as I have no experience coding daily systems, it slipped my mind. When I set Periodicity to weekly and look at the backtest results it shows daily bars, e.g. 21 bars = 3 weeks. I'm still on Version 6.20 but I don't think that is it. There may be a setting somewhere.
Talking of settings, where do you select the day that shows on the weekly chart as Monday or Friday? It was mentioned here not long ago.

 

[Warr87]

I haven't noticed this problem. Are you forcing things into weekly or using the settings set to weekly?

 

[qldfrog]

I haven't noticed this problem. Are you forcing things into weekly or using the settings set to weekly?

both in code:


TimeFrameSet( inWeekly );

and in setting weekly

 

[qldfrog]

I've noticed that too and meant to ask but as I have no experience coding daily systems, it slipped my mind. When I set Periodicity to weekly and look at the backtest results it shows daily bars, e.g. 21 bars = 3 weeks. I'm still on Version 6.20 but I don't think that is it. There may be a setting somewhere.
Talking of settings, where do you select the day that shows on the weekly chart as Monday or Friday? It was mentioned here not long ago.

 

[Warr87]

both in code:


TimeFrameSet( inWeekly );

and in setting weekly

my initial guess would be if you are forcing sections of the code to be weekly then the report will give you bars based on the settings. but if you have the settings also in weekly then I'm not too sure.

Sorry I'm not much help with this one.

 

[qldfrog]

I can try removing the weekly forced in the code..

 

[Nina4]

I can try removing the weekly forced in the code..

Have you got "Pad and Align all data to reference signal $XAO" Ticked?
Toggling this on/off changes bar numbers in my weekly backtest report.

 

[qldfrog]

Have you got "Pad and Align all data to reference signal $XAO" Ticked?
Toggling this on/off changes bar numbers in my weekly backtest report.

Interesting, will check!!!

 

[qldfrog]

Have you got "Pad and Align all data to reference signal $XAO" Ticked?
Toggling this on/off changes bar numbers in my weekly backtest report.

Did not work,, a 6 months holding is listed as 119 bars (roughly the number of open days)

 

[qldfrog]

As this week is quite bad and I do expect more sell than buy on my live systems, I will slowly wind down system2 and start my BBand one on Monday if I have enough liquidity
I will then have 2 different algorithms, not just 2 variations of the same.We will see what happens

 

[Nina4]

Did not work,, a 6 months holding is listed as 119 bars (roughly the number of open days)

Strange. I have Periodicity set to Weekly and nothing in my code other than

if( Interval() != inWeekly )

{
Title = EncodeColor( colorRed ) + " Weekly Only";
}

if( Interval() == inWeekly )
{
My code.

just as a visual reminder that this is a weekly system.

 

[qldfrog]

Strange. I have Periodicity set to Weekly and nothing in my code other than

if( Interval() != inWeekly )

{
Title = EncodeColor( colorRed ) + " Weekly Only";
}

if( Interval() == inWeekly )
{
My code.

just as a visual reminder that this is a weekly system.

View attachment 100769 View attachment 100770

Is your second screen shot supposed to be daily?
I have the first settings ,i added the xao reference etc but still show me bars for days and not weeks