qldfrog weekly Skate inspired system

[Nina4]

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

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

No. This is a weekly only system.
Only showing difference when toggling "Pad" setting.
Ticked = Weekly Bars.
No Tick = Daily Bars.
ALL other results identical.

 

[qldfrog]

Ohhh my mistake i missed the check box.will try that conf asap once back on the computer

 

[qldfrog]

No. This is a weekly only system.
Only showing difference when toggling "Pad" setting.
Ticked = Weekly Bars.
No Tick = Daily Bars.
ALL other results identical.

this work: I assume this is a bug:
if I check the pad and add the xao reference:

but if I remove the Pad option, get the # bars as days not week..does not makesense but it works.

Thanks a lot @Nina4
I owe you one

 

[Nina4]

this work: I assume this is a bug:
if I check the pad and add the xao reference:
View attachment 100800
but if I remove the Pad option, get the # bars as days not week..does not makesense but it works.
View attachment 100801
Thanks a lot @Nina4
I owe you one

Glad it worked for you.
I haven't delved too deeply into it but I'd guess it's because of data holes.
I don't know who your data supplier is but with Norgate the All Ords index is $XAO
not XAO as you have but as I say I'm not sure who you use.

 

[qldfrog]

Glad it worked for you.
I haven't delved too deeply into it but I'd guess it's because of data holes.
I don't know who your data supplier is but with Norgate the All Ords index is $XAO
not XAO as you have but as I say I'm not sure who you use.

Glad it worked for you.
I haven't delved too deeply into it but I'd guess it's because of data holes.
I don't know who your data supplier is but with Norgate the All Ords index is $XAO
not XAO as you have but as I say I'm not sure who you use.

I use Premium data and it seems to work with XAO
the trouble is that once "Pad" checked, I get significant differences in back-test results, my understanding is that padding will fill gaps in data with existing nearby data which then change the trigger results.
And if I do not, for whatever reason, the # tags is wrong and reflected in days not weeks

 

[qldfrog]

OK, let's look at the scary figures:
System1 loss of $11923 around 10%
fared worse than the xaoa this week:

Start 25/02/2019
Total invested $ 100,000.00
Cash remaining $21.21
Current portfolio value $108,077.23
Profit $8,077.23
Nb of active positions 19
Nb max position 20
Return since 25/02 8.08%
Annual return so far 8.12%
purchase value per position $5,403.86
Invested percentage 99%
dividends $ 1,575.27
Average per week: 149.5783333


System 2:
loss of 15k or 15%
Start 5/08/2019
Total invested $ 100,532.76
Cash remaining $5,030.79
Current portfolio value $94,060.44
Profit -$6,472.32
Nb of active positions 19
Nb max position 20
Return since 5/08 -6.44%
Annual return so far -11.58%
purchase value per position $4,703.02
Invested percentage 93%
dividends $ 1,118.10
Average per week: -208.7843548




What a bloodbath....between the 2 systems I am hardly positive after a year let's see what the system tell me for next week, as discussed previously I will wind down system2 and ramp up a new system 3 based on tweak on bollinger bands

 

[qldfrog]

On Monday:

system1: no buy, 5 sells only on next open.

system2: 4 buys that I will not act on as I wind down that system:

8 sells on open.

System 3: one buy only

 

[qldfrog]

Blood on the dance floor.
Had to chase down sells do not like it.
Most completed.one pending.and my one and only buy for system3 start completed
On the discretionary side
Sold a few bboz and bought gor and etpmag for my non system portfolio

 

[willoneau]

Blood on the dance floor.
Had to chase down sells do not like it.
Most completed.one pending.and my one and only buy for system3 start completed
On the discretionary side
Sold a few bboz and bought gor and etpmag for my non system portfolio

I don't like chasing sell order too, being a weekly system I decided to leave sell orders alone and see were my positions are before close on Friday if still not closed will manually close my positions before end of day. Any thoughts as I am aware can be lower by Friday but am aware Monday can be extreme.

 

[qldfrog]

I don't like chasing sell order too, being a weekly system I decided to leave sell orders alone and see were my positions are before close on Friday if still not closed will manually close my positions before end of day. Any thoughts as I am aware can be lower by Friday but am aware Monday can be extreme.

I am of 2 minds, you sell you sell but as you say, there are most chances we will see a rebound which could reach the original sell price.as system 2 is winding down, i have been a bit more aggressive
I am fully aware that couple of hundreds are lost on each parcels that way..
No one can predict the future.if it is the Big crash, then will be happy to only loose 20pc on these, if not i have to forget it quickly

 

[qldfrog]

With this in mind, i will try to report the difference between open and actual sell tonight

 

[willoneau]

I think choosing Monday for weekly system to open or close positions might not be the best as the US markets haven't opened. But I am unable to back test different days that I know of anyway.

 

[qldfrog]

I think choosing Monday for weekly system to open or close positions might not be the best as the US markets haven't opened. But I am unable to back test different days that I know of anyway.

You can in amibroker
I try to compare results in the past of a same system with weekly based on all day of week start..
I could not see any difference.
So monday is easier as whole weekend to get ready.
There was no edge i could find changing the week start day

 

[willoneau]

Thanx qildfrog, I will have to go look again .

 

[qldfrog]

Thanx qildfrog, I will have to go look again .

In the settings you can decide where to decide to start the week compression.as i said, would be interested if you find any consistent edge

 

[qldfrog]

I will add the screen shot when back on the computer

 

[Warr87]

I don't like chasing sell order too, being a weekly system I decided to leave sell orders alone and see were my positions are before close on Friday if still not closed will manually close my positions before end of day. Any thoughts as I am aware can be lower by Friday but am aware Monday can be extreme.

I left my orders as 'good til canceled'. I will review during the week, but I would be surprised if at some point my price wasn't hit. I noticed a lot of orders sitting at Friday's close price. This will likely add some resistance to the price movement and I can only hope there is someone will to absorb these parcels.

 

[qldfrog]

OK, let's start please find here the list of sells for system 1 and 2, the open and close as well as I initial sell limit and the final sell (after chasing)
Chasing was not catastrophic, I managed some ok results still negative but not that bad some of the sell at open did not go thru even if my limit should have been ok..rounding, bad luck and timing



and before going into more details:
@willoneau
To choose the day to be used as the first day of the week, we need to go to File->Database Settings->Intraday Settings and choose the appropriate day in “First day of week” field


Hope it helps

 

[qldfrog]

as for @qldfrog disaster weeks:
a BBand based System 3 starts today and buy AUB: 316@$13.84

For the rest iit is sell sell sell..
System1 sold:
DHG @ 3.07 for a loss of -1078.5 -19.54%
EML @3.49 for a loss of -1929.18 -34.57%
FWD @ 1.745 for a loss of -553.615 -10.89%
PWH @ 4.2 for a loss of -596.4 -11.96%
UOS @ 0.78 for a loss of -649.2 -11.70%

System2 sold
CCP @32.186 for a loss of -625.744 -12.95%
CIP @ 3.44 for a loss of -340.4 -6.91%
CWY @ 2.25 for a loss of -82.88 -1.73%
DTL @3.88 10 6298.88 1589.74 33.76%
ECX @ 1.41 for a loss of -996.74 -20.94%
LYL @ 5 for a loss of -992 -19.71%
MIN @ 16.08 for a loss of -696.775 -14.65%
MP1 @9.85 for a loss of -858.5 -18.30%
RUL @ 0.91 for a loss of -936.02 -19.12%

At the end of today:
system1 made a profit of $5,849.67since inception (1 y)
and system 2 made a loss of -$9,179.76 since august 2019 I am in the red..thanks god for BBOZ and my gold/bonds

 

[myrtie100]

I feel your pain frog - I crystalised many losses yesterday too on my weekly system - ouch!

But I'm feeling enthusiastic to have plenty of cash now ready for purchasing the next potential winners.