qldfrog weekly Skate inspired system

[qldfrog]

to match Skate's comparison
Backtests 1/07/2019 to 24/06, notice the daily lower DD and better CAR/DD on this period which includes the crash
Hope this helps; it is not a clear cut case..but what is ever...

 

[MovingAverage]

My weekly has had a good few weeks putting on some nice gains, but suspect it's going to be giving up some of its gains today and possibly tomorrow--the US market was pretty ugly overnight.

 

[qldfrog]

Yes will see if i can get back today
If i learnt any lesson in the last few months, it is it is going to be a great buy today in the ASX

 

[martyjames]

Interesting qldfrog, thanks for posting. Now i'll have to read through your thread in detail!My system is daily and as well as the performance (at least on backtests, i am trading it live now), it suits my personality in that the DD is relatively low, gets in and out of positions offten to achieve this, and thats ok with me.
Why do say "it is going to be a great buy today in the ASX"?

 

[qldfrog]

Interesting qldfrog, thanks for posting. Now i'll have to read through your thread in detail!My system is daily and as well as the performance (at least on backtests, i am trading it live now), it suits my personality in that the DD is relatively low, gets in and out of positions offten to achieve this, and thats ok with me.
Why do say "it is going to be a great buy today in the ASX"?

a bit of a tease with specific other traders who have called for an apocalypse due to that quite benign virus for the last 2 months
Tease aside, I restarted my pure volatility daily today, as for the daily QFDuc system mentioned above, there was no buy as I restarted today...will see what tomorrow brings
I share your view about limied DD, this was the trigger for me to start the whole daily process, it is much more more work intensive but with faster reaction and we all know how fast the market is becoming...

 

[martyjames]

Yes, it is to a large extent about designing a system you can 'live with'. Im considering adding a SPI short system (or warrants over XJO) to complement my long stock system, rsults are looking pretty good so far but still some more refining required

 

[over9k]

Tomorrow will be even worse IMO - standard friday jittery selloff but on steroids.

 

[qldfrog]

All good, let it fall, one system did not reenter, one handling well, the volatility one should be gaining well from its morning start
And I do not have QAN;-)

 

[over9k]

I will tomorrow

Most of the country is already scheduled to reopen some time in july, and the mask factories are online in august. Only melbourne is the laggard, and we'll just see an "excluding vic" type arrangement at worst.

Everyone are going to **** themselves, but it'll be totally overblown.

 

[MovingAverage]

here you go frog...my weekly lost some ground on Thursday but managed to recover some today.

 

[qldfrog]

Both daily systems 100% cash with the pure volatility adding a $70 profit for an in out action
Start 25/05/2020
Total invested $ 20,000.00
Cash remaining $ 25,143.96
Current portfolio value $ 25,143.96
Profit $5,143.96
Nb of active positions 1
Nb max positions 1
Return since 25/05 26%
Annual return so far 303%


Weekly:
only QFDuc is live and 58% invested;
a minimal profit of 613$ this week or 0.63%
:
QFDuc started 1/05/2020
Total invested $ 90,009.85
Cash remaining $ 41,004.94
Current portfolio value $ 98,095.35
Profit $ 8,085.50
Nb of active positions 12
Nb max positions 20
Return since start 9%
Annual return so far 60%
Invested percentage 58%

 

[MovingAverage]

Both daily systems 100% cash with the pure volatility adding a $70 profit for an in out action
View attachment 105272

Out of interest, your daily system--what is it based on? Don't want details just curious as to what indicators etc it's based on.

 

[qldfrog]

Out of interest, your daily system--what is it based on? Don't want details just curious as to what indicators etc it's based on.

pure volatility is looking at the $Vix , the other daily use the Vix among others

 

[MovingAverage]

pure volatility is looking at the $Vix , the other daily use the Vix among others

So if you're using VIX, how do you determine what specific stocks to take?

 

[Warr87]

here you go frog...my weekly lost some ground on Thursday but managed to recover some today. View attachment 105270

i lost a lot on thursday lol.

 

[MovingAverage]

i lost a lot on thursday lol.

Thursday gave me around a 3% DD and I think XAO was down 2.2%

 

[Warr87]

I lost around 3-4% on thursday (which was pretty much the weeks gains lol).

The market giveth, and the market takith. lol

 

[qldfrog]

So if you're using VIX, how do you determine what specific stocks to take?

Sorry , will not share that for the pure volatility, too sensitive and that portfolio is only 25k to give you an idea


for qfduc and dlqfduc, volatility is used to allow or not entering in stocks chosen thru another strategy, a layer on top of an already decent system as far as I can see

 

[qldfrog]

Not a full answer, sorry
Note that my use of volatility is just a search triggered by Skate /Duc discussion but code/idea is self built so probably faulty.this is not the Ducati skate system, or if it is, pure coincidence

 

[MovingAverage]

Sorry , will not share that for the pure volatility, too sensitive and that portfolio is only 25k to give you an idea


for qfduc and dlqfduc, volatility is used to allow or not entering in stocks chosen thru another strategy, a layer on top of an already decent system as far as I can see

All good. You answered my question anyway—you’re using VIX in combo with another strategy. That’s all I was curious about. Thanks