qldfrog weekly Skate inspired system

[qldfrog]

Why prevent a fall from 2.31..last trade to 2.15..not exactly the end of the world...
And not sure we have access to the formula allowed/algo used
I can go down to 2.18..
Bd Bd hand ok this morning, dlower but was able to chase s lot of sell order down.will see if it was a good idea..a sense of relief any way.sky is blue..on the road again

 

[qldfrog]

Back in the cockpit, the road trip was great..and now counting the losses:
System 2:
On monday system2 was completely closed as per the system requests..finally
Holding the last week costed me 9k
Final tally is pathetic:

Start 5/08/2019
Total invested $ 100,532.76
Cash remaining $45,351.34
final portfolio value $79,523.21
Profit -$21,009.55
Nb of active positions 0
Nb max position 20
Return since 5/08 -20.90%
Annual return so far -34.05%
closed 16/03/2020


a loss of 21%...The hard $costs of learning..and unlucky start..
System 2 will stop and will be merged with system1 code into a single CAM system ready to go now
System1 analysis in next post

 

[qldfrog]

System1 , my more mature one:
lost -$ 3,365.48 before being fully in cash except for SOM which is in trading halt so can not be sold...
once this is liquidated, we will be over and rebirth system1 as my newCAM system;
this exercise has been costly but was a bit more lucky with its start date; a 1/1/19 start would have been in profit..

Start 25/02/2019
Total invested $ 100,000.00
Cash remaining $84,682.11
Current portfolio value $90,355.74
Profit -$9,644.26
Nb of active positions 1
Nb max position 20
Return since 25/02 -9.64%
Annual return so far -9.17%
purchase value per position $4,517.79
Invested percentage 5%
dividends $ 1,575.27
Average per week: -172.2189286
invested 5,673.63

So we end up with a 9.6k loss quite good considering the circumstance and this was my first system;
Hopefully more successful with the phoenix version, I will name my CAM rebirth...the phoenix
My new BBand system sold AUB for a loss of $635

 

[qldfrog]

Ok
Hard to do trending in such a market indeed
Phoenix restarts..will carry on the SOM loss making legacy until I can exit it;
Phoenix:
Start 20/03/2020
Total invested $ 90,000.00
Cash remaining $ 84,393.50
Current portfolio value $87,837.50
Profit -$2,162.50
Nb of active positions 1
Nb max position 20
Return since 20/03/2020 -2.40%
Annual return so far
purchase value per position $4,391.88
Invested percentage 4%



One buy on Monday...

BBand:
no action on Monday
Start 2/03/2020
Total invested $ 90,000.00
Cash remaining $ 85,028.57
Current portfolio value $ 88,737.22
Profit -$ 1,262.78
Nb of active positions 1
Nb max position 20
Return since 2/3 -1.40%
Annual return so far -28.45%
purchase value per position $4,436.86
Invested percentage 4%

 

[qldfrog]

Spent weekend reviewing "adding daily SL to my weekly systems".
.that does not beat agood exit so we are starting again with 2 weekly systems:
BBand
and Phoenix (CAM inspired)
One buy for the Phoenix system this morning: MTS at $3.12 added to the still under trading halt SOM;
BBand still with 1 parcel CNU
Is it worthwhile to carry on these weekly reports?I am obviously keeping a weekly journal but are people interesting about starting 2 new systems in this tumultuous period?

 

[qldfrog]

SOM sold at 1.1 this week and got rights at the 80ish per share CR...
Anyway, can now really start Phoenix
Worked on the Zero Lag indicators and trying to improve my systems with a version I got from AB implementations.more work
This week was a good week systems wise:
gain $772 on BBand
Start 2/03/2020
Total invested $90,675.42
Cash remaining $85,703.99
Current portfolio value $ 89,509.44
Profit -$ 1,165.98
Nb of active positions 1
Nb max position 20
Return since 2/3 -1.29%
Annual return so far -18.77%
purchase value per position $4,475.47
Invested percentage 4%
dividends $ -
Average per week: -233.196

no action on Monday
and
gain $1406 on Phoenix
Start 20/03/2020
Total invested $ 89,267.72
Cash remaining $ 85,036.28
Current portfolio value $ 89,244.11
Profit -$23.61
Nb of active positions 2
Nb max position 20
Return since 20/03/2020 -0.03%
Annual return so far -1.38%
purchase value per position $4,462.21
Invested percentage 5%
dividends $ -
Average per week: -23.61
invested 4,207.83

no buy one sell

 

[Newt]

GOLD.au is the only ticker in the entire ASX universe my system is showing any interest in right now. Going to take a while for things to bottom, settle, start to trend etc before any decent signals.
Plenty of time to catch up on hobbies and around the house though...!

 

[qldfrog]

probably not a bad idea @Newt if you do not hold some already

 

[qldfrog]

This morning sold MTS at open @3.10 a loss of $47
BBand only with CNU
No buy today for either system

 

[qldfrog]

Mo action monday:
Phoenix cam fully cash now;
I removed the effect of the SOM from previous CAM system, started anew on the 20/03
Phoenix
Start 20/03/2020
Total invested $ 89,267.72
Cash remaining $ 89,222.64
Current portfolio value $ 89,222.64
Profit -$45.08
Nb of active positions 2
Nb max position 20
Return since 20/03/2020 -0.05%
Annual return so far -1.42%
purchase value per position $4,461.13
Invested percentage 0%
dividends $ -
Average per week: -11.27
invested 0.00

More interesting
BBand
gain of $235 for CNU
Start 2/03/2020
Total invested $91,498.02
Cash remaining $86,475.20
Current portfolio value $90,516.60
Profit -$ 981.42
Nb of active positions 1
Nb max position 20
Return since 2/3 -1.07%
Annual return so far -12.63%
purchase value per position $4,525.83
Invested percentage 4%
dividends $ -
Average per week: -163.5701667
curve was wrong due to excel spreadsheet error before

 

[Newt]

Are you investing real money QF, or paper trading these 2 currently?

 

[qldfrog]

Real dollars but currently only $4.5k in CNU with 200$ paper loss on that packet
In backtests, i do not see convincing argument on either system to be completely out based on index trend so while not adding lately, no exit yet

Are you investing real money QF, or paper trading these 2 currently?

A

 

[qldfrog]

Happy Easter everyone;
plenty of good quality time available with the self isolation we have chosen to be;
So worked on my system: Phoenix v2 is quite impressive in backtests.
Still no purchase this week;so fully cash

BBand:I worked a lot on Zero Lag (well nearly ) code and the resulting code is both better overall than my BBand one, much more dynamic (but still weekly) and as BBand has only one entry I will replace it by my new ZLextrav2 system..I will absorb the CNU purchase from BBand as it is selected as well;
I still have a bit of a code issue as the Explore buy/sell does not match the graphic display so will sort that before passing orders

 

[qldfrog]

yesterday's activity on open:
Phoenix:
Buy NXT and EVN:I had to chase EVN not good as it jumped above my buy price at the open..do not like that but..
NXT was a trigger last week with this latest better version of Phoenix, I thought what the hell however rotten that company might be..
ZLextra:
sold CNU at loss of $500, bought DDR,MTS and SLR..had to chase SLR to get it as well;
it seems the open yesterday was strong on gold and silver plays
Both ended higher by end of day but small consolation

There was a lot of talk about @ducati916 different approach in @Skate Dump it thread and with the free time allowed, I worked on this yesterday. Looked promising.This might lead to another system one day..early work so far
Will keep you posted....

 

[qldfrog]

End of week
Phoenix:
loss of $171 this week from EVN that I had to chase to enter
Start 20/03/2020
Total invested $ 89,267.72
Cash remaining $ 80,223.19
Current portfolio value $ 88,978.08
Profit -$ 289.64
Nb of active positions 2
Nb max position 20
Return since 20/03/2020 -0.32%
Annual return so far -4.39%
purchase value per position $4,448.90
Invested percentage 10%

One buy on Monday

ZLextra:
gain of $445

Start 2/03/2020 restart on 20/03 but taking initial BBand system losses started 2/03
Total invested $91,498.02
Cash remaining $76,966.41
Current portfolio value $90,816.99
Profit -$ 681.03
Nb of active positions 3
Nb max position 20
Return since 2/3 -0.74%
Annual return so far -10.06%
purchase value per position $4,540.85
Invested percentage 15%
dividends $ 59.06
Average per week: -170.2575

9 buys on Monday...

 

[qldfrog]

Today Phoenix bought A2M @ 18.91,
ZLextra bought:
AHY @1.075
AQG @6.8
CNU @6.7
COL @16.43
JLG @2.5
JMS @0.25
NST @ 12.29
WAF @ 0.525
WGX @2

 

[qldfrog]

a warning to all amibroker users:
I was using an index (XAO) to determine system indicators and conditionally exit, reduce risks, etc
I just discovered my code was actually failing, seemlessly failing and so using the index computation on the shares, giving me a king of OK but wrong behaviour;
not faulty enough to be easily noticed (as major index fall/rises are mostly represented in individual shares) but definitively not right nor what I intended to do

This works:
//we want to exit quickly on quick xao market down
indicative values only
SetForeign( "XAO" );
GTFO=((H-L)/H)>0.05;
RestorePriceArrays();

This does NOT work:
SetForeign( "^XAO" );
GTFO= ((H-L)/H)>0.05;
RestorePriceArrays( True );

Hope it helps, now back to the code to refine the parameters for index and not actually for the ticket...

 

[Skate]

a warning to all amibroker users: I was using an index (XAO) to determine system indicators and conditionally exit, reduce risks, etc
I just discovered my code was giving me wrong behaviour; not faulty enough to be easily noticed

Addendum for Norgate Data users
Heads Up - about 18 months ago Norgate made the .AU suffix mandatory for all new subscribers of Australian data to avoid support issues. Older subscribers don't have a suffix & changing subscriptions can also raise an issue without you noticing the change in data format.

1. Old Subscribers to NDU = $XAO (old data feed format)
2. New Subscribers to NDU = $XAO.au (new data feed format)

Pad & Align
Make sure the correct data format matches

Skate.

 

[qldfrog]

Addendum for Norgate Data users
Heads Up - about 18 months ago Norgate made the .AU suffix mandatory for all new subscribers of Australian data to avoid support issues. Older subscribers don't have a suffix & changing subscriptions can also raise an issue without you noticing the change in data format.

1. Old Subscribers to NDU = $XAO (old data feed format)
2. New Subscribers to NDU = $XAO.au (new data feed format)

Pad & Align
Make sure the correct data format matches

Skate.

Are you sure about the $XAO???
in my list of tickers, I have XAO, not $XAO
I used this $XAO forever
then noticed that if I was to replace $XAO by utter garbage $XAISSSS:there was no change in a backtest!!!
BUT there was a significant difference if replacing by XAO (no $ and this is a ticker I can display)
Just in case you have been using wrong $ as I did for a while in the past.
I use Premium Data 3.10.3

 

[Skate]

Are you sure about the $XAO??? I use Premium Data 3.10.3

You are correct
@qldfrog as you are using Premium Data, "Norgate's old legacy format" (MetaStock format) you are using the correct format for the All Ordinaries "XAO".

Correction
I was referring to "Norgate Data Users" not "Premium Data Users"

Addendum for Norgate Data users

The problem with a bit of history
If you subscribed to (NDU) both Australian + US stocks originally you would have had a .AU suffix. If you were an Australian-only subscriber then there would be no .AU suffix. This optional suffix arrangement resulted in causing an issue, especially when a AU+US subscriber dropped a US subscription then all of their Australian stocks lost their suffix. It broke various watchlists that had been created, it also broke the formulas that were relying on a suffix being present. So to overcome this problem about 18 months ago Norgate made the .AU suffix mandatory for all new subscribers of Australian data to avoid the confusion.

Using Norgate Data (NDU) instead of Premium Data
With AmiBroker significantly-enhanced capabilities Norgate Data (NDU) capitalises on this by adding additional features well beyond those in Premium Data, so it pays to migrate over.

There is a catch (with regards to historical data)
There is one very important difference, with my original Premium Data I purchased historical data separately. NDU works as a subscription-only model and historical data cannot be purchased separately. The historical data is in the old legacy format (MetaStock format) meaning, they are not compatible.

Skate.