qldfrog weekly Skate inspired system

[qldfrog]

forgot to say: no buy or sell on monday for the system

 

[qldfrog]

slightly better week:
we are back above the index
Total invested $ 100,000.00
Cash remaining $35,908.93
Current portfolio value $ 100,633.05
Profit $ 633.05
Nb of active positions 13
Nb max position 20
Return since 25/02 0.63%
Annual return so far 5.64%
Invested percentage 64%



Action on Monday:Yes some exit planned

 

[qldfrog]

On open today:
exiting NHC,BBN and MWY
NHC sold 8/04/2019 bought 26/02/2019 nb:1204 @ 4.15
Sold open @2.81for loss $ 1,633.36 -32.62%
BBN sold 8/04/2019 bought 4/03/2019 nb:2080 @2.38
Sold open @ 2.25 for loss $ 290.40 -5.85%
MWY sold 8/04/2019 bought 25/02/2019 nb:1388 @ 3.61
Sold open @3.54 for loss -$ 117.16 -2.33%

 

[qldfrog]

Back on track this week
Total invested $ 100,000.00
Cash remaining $48,870.02
Current portfolio value $103,245.34
Profit $ 3,245.34
Nb of active positions 10
Nb max position 20
Return since 25/02 3.25%
Annual return so far 25.20%
purchase value per position 4887.002
Invested percentage 53%



Action on Monday:Yes action is pending
Have all a great week end

 

[qldfrog]

On open today:
exiting AMI
AMI sold 15/04/2019 bought 14/03/2019 nb:5434@ 0.92
Sold open @0.77 for loss -$ 835.1 or 16.7%
so only 9 positions only out of the 20 allowed, my system is getting cautious

 

[qldfrog]

Some well intended friend was worrying about the under performance of my system vs Skate's stellar one:
This version I use has been tweaked to lower hopefully DD and is more cautious in its entry than Skate's one:
It also limits its entry timing to some specific trend reversion so overall, today:
I have a portfolio profit of 3.8k with a start on 25/02 and an invested amount of roughly 50k;
I usually give my results in percentage on the overall invest-able amount, but so far I am very far from being fully invested
bringing this back in percentage on the money at risk, that is nearly a 7.6pc return in less than 2 months or nearly 54% annualized
Time will tell but if that system is really DD resistant AND persists in its performance, I could not be happier

 

[Newt]

Congrats on a great start, and I hope the long term returns continue for you

 

[jjbinks]

IMO 20% annual return for a system is great

 

[peter2]

I'm thinking that your friend doesn't understand the subtle differences between your system and Skate's Modified CAM system. While both systems may be described as trend following systems the entry conditions are quite different. Qldfrog's system uses a momentum filter to find entries, while Skate's ModCAM follows the 13ema and enters more quickly.

Momentum systems find stocks that have already gone up more than others. IMO they enter late in a trend but this doesn't matter if the market remains bullish. They can even tolerate a sideways market provided the administrator uses loose exit stops. If the market resumes going up then these systems are fully invested and take advantage quickly. This system will do very well in stocks with a follow up surge of demand. The stronger stocks tend to show these additional surges.

Skate's ModCAM system enters a trend quickly and profits quickly in bullish markets exactly like we experienced in Jan-Feb19. If the market continues sideways then this strategy will experience increased activity with many small losses. This is a higher activity system but again, this depends on the exit stop strategy employed.

Varying market conditions cause all profitable edges to wax and wane. These two systems will produce different equity curves as the market conditions change.

The start dates were different. A minor point but one that is important in any comparison in the early months. One started at the beginning of the recent rally and the other half way through. This won't matter in a year or two as both systems will generate profits over time if their administrators stick to their system rules.

I think that ASF is fortunate to have multiple systems running in real time. Readers will be able to see the ups and downs of the systems as they progress. People intending to manage their own portfolios, but don't yet have the knowledge or confidence should be following along closely and recording all the buys and sells with their own spreadsheets/portfolio managers. This is a great way to learn without losing money.

 

[qldfrog]

This friend is well aware now but i wanted to add some explanations for any potential follower of this thread.

 

[qldfrog]

Short week
today's bad performance (-1k) detract a bit but we keep on a good trend
Total invested $ 100,000.00
Cash remaining $53,044.20
Current portfolio value $103,593.30
Profit $ 3,593.29
Nb of active positions 9
Nb max position 20
Return since 25/02 3.59%
Annual return so far 24.75% on total amount including cash
purchase value per position 4822.2
Invested percentage 49%

Have all a great Easter No expected action on Monday

 

[qldfrog]

Short week again, and away for a short break so my apologies for the delay
we keep on a good trend
Total invested $ 100,000.00
Cash remaining $53,044.20
Current portfolio value $104,943.71 inc dividends
Profit $4,943.71
Nb of active positions 9
Nb max position 20
Return since 25/02 4.94%
Annual return so far 29.1% on total amount including cash
purchase value per position 4849
Invested percentage 49%

Some action on Monday

 

[qldfrog]

bought 1947 BBN at 2.42 on open this morning with a 10$ brokerage fee, we are now 53% invested in 10 stocks
profit at $ 4,962.81 today

 

[qldfrog]

slight profit, outperforming the as again
we keep on a good trend
Total invested $ 100,000.00
Cash remaining $48,322.46
Current portfolio value $105,211.98 inc dividends
Profit $ 5,211.98
Nb of active positions 10
Nb max position 20
Return since 25/02 5.21%
Annual return so far 27.98% on total amount including cash
purchase value per position 4861.128
Invested percentage 54%

no action on Monday
still happy with performance in the current context

 

[qldfrog]

outch
HTA today:

HTA to $0.12 -$0.05 -28.13% loss of -$1,611.90 in a day ...
anyway, this is life

 

[qldfrog]

Big loss this week:-2.3 k so HTA not the only one to be blame..ahh well
Total invested $ 100,000.00
Cash remaining $48,322.46
Current portfolio value $102,899.96 inc dividends
Profit $2,899.96
Nb of active positions 10
Nb max position 20
Return since 25/02 2.9%
Annual return so far 14.11% on total amount including cash
purchase value per position 4861.128
Invested percentage 52%

some action on Monday
Have all a great week end

 

[qldfrog]

talk about a bad day, neither the buy or sell order on open are fully completed, none of the buy at all, and only part of the sell.
Not sure what to do in such cases as I have not modeled this in my backtests
I have a generous [ nearly 4% ] margin from Friday close but this was not enough
I have left my orders on and see what happens tomorrow

 

[willoneau]

Hi qldfrog, I run a system similar to skate. Have you back tested your system on a weekly chart? or reduced your universe?. Mine is weekly so set and forget until I down load after Friday close, I have recently gone over my trading of the system for the past three years to see how I can improve going forward. I have decided to change my exit signal so now I have two systems running and time will tell which is better as my modified exit signal is discretionary in nature sort of and hard to back test. It could probably be coded to back test, but live forward testing is fine.

 

[qldfrog]

Yes,
My system is weekly, backtested and working on the xao universe with added volume checks

 

[qldfrog]

Just a few months in...
And the buy/sell planned for yesterday open managed to go through today so all good in term of compliance to system