qldfrog weekly Skate inspired system

[qldfrog]

You are trading a daily system and a weekly.

On the daily system you will have a trigger to sell individual stocks (a) when the overall market rises and (b) when the overall market falls.

Test whether selling individual stocks in scenario (b) improves if you wait for a general market bounce.

The rules would be something along the lines of:

(a) market at or near highs;
(b) bull market only;
(c) first pullback in bull trend for X bars

Then, sell individual names on the bounce.

Bull markets very rarely go straight down. Two that did, 1987, 2020 (pretty much).

jog on
duc

Hum, had not the daily in mind.worth trialling.thanks
The weeklys are the ones(sp?) i bleed most in reversing market

 

[ducati916]

Hum, had not the daily in mind.worth trialling.thanks
The weeklys are the ones(sp?) i bleed most in reversing market

If it is the weekly, consider this: Mr @Skate very usefully puts up a chart of profits:



So, if you were to draw a trendline from the lows to the 24 Dec. and onwards, the profit line would break the trendline +/- 23 Jan 2021 and +/- $26K. That is now one of your weekly exit triggers, based on open profits of the system itself.

Other exit triggers can remain as you have them.

Having observed Mr @Skate profit graphs for some period of time, across a few systems, they all seem to display the characteristic of slowing profit prior to a drawdown of open profits. This warrants further investigation, especially as an exit tigger in-of-itself, of which the above is one way that you could play it.

jog on
duc

 

[qldfrog]

If it is the weekly, consider this: Mr @Skate very usefully puts up a chart of profits:

View attachment 119645

So, if you were to draw a trendline from the lows to the 24 Dec. and onwards, the profit line would break the trendline +/- 23 Jan 2021 and +/- $26K. That is now one of your weekly exit triggers, based on open profits of the system itself.

Other exit triggers can remain as you have them.

Having observed Mr @Skate profit graphs for some period of time, across a few systems, they all seem to display the characteristic of slowing profit prior to a drawdown of open profits. This warrants further investigation, especially as an exit tigger in-of-itself, of which the above is one way that you could play it.

jog on
duc

The cat is an interesting exercise, after the covid crash, it was pretty obvious that my system were too slow to react.i so review these and: moved to daily, added faster reaction to my weeklies
so purposedl, my systems are now very fast to react..within their timeframe.
Comparing to the cat is hard as mr skate has a recipe for getting in good shares that i am nowherenear finding even if he states that all the info is there in the dump it posts
But the cat strategy does not get in out as often as mine.
When i have a sec.coukd be days,vi will try a whatif scenario and basically keep the stocks i sold last monday and check if i would have been significantly better off.
I know my volatility US and ASX are very fast to respond, US even more than the domestic one.
It is very costly when the market has no clear trend.so i accept that.
I am a bit more disappointed with thw weekly qfduc after it go a clear nice run but now slowly eating into its profit.it coukd be it is not suited to no clear trend markets.will try investigating your leads

 

[peter2]

I've always liked the idea of using your system's equity curve as a management tool. When the curve bends at the top it's a warning that the portfolio has run out of momentum. Whether it's a GFTO exit signal or a tighten all stops signal would rely on the market index chart.

If your systems respond quickly to save losing open profits then you've got to accept that it will get out prematurely some times. This is why you're running two time frames. One system exits quickly to save open profits, one system stays longer in case the market dip is insignificant.

The entry strategy of the Happy Cat is very similar to many of @Skate's systems. They're all momentum based, ie price has started to move higher. Your systems should be trading many of the same stocks that skate's systems select.

 

[Newt]

It took me years of messing with entries, exits and index filters to realise prolonged dips in the equity curve were often largely due to the combined losses of open profits in a few large winners. (must be a slow learner ). Will have a better idean in 10 years if improving knowlege = profits.

Tuning exits, stalestops, trailing stops etc for the preferred timeframe to optimize medium to long term profit/winners without losing too much open profit seems to be something Skate is particularly skilled at (and we see Peter2 do it all the time in tough times - they both make it look easy, when it obviously ain't!). This is a fascinating aspect of system design and optimization - making multi-parameter filters work in harmony without nasty surprises. Probably why people like Ehler with an electronics engineering background tuning digital circuits, filters and amplifiers contribute useful ideas to trading.

Avoid drawdown isn't as easy as killing all open profit in downturns. Some strong stocks will only trend sideways in strong downtrends, and if possible you don't want to be tipped out of those - the best will tend to rise early and strongly after the market pull back.

There was a classic post by someone few years ago - would have to go back digging - exit strategy largely controls profits distribution (shape of equity curve).

 

[peter2]

The aim of using a batch of systems is to reduce drawdowns and smooth the equity curve. I would hope that your (@qldfrog ) systems are designed to profit in different market conditions and across several timeframes. The system names indicate that they are different but your concern expressed in the weekly updates indicate that they may not be providing the performance you like.

This is not as easy as it seems when we're restricted to long only equity systems in the one exchange (eg. ASX).

The easiest diversification is across time frames (daily, weekly, monthly).
We can diversify throughout the exchange (micro/small/mid/large cap sectors).
We can diversify the entry strategies (break-outs, pull-backs, reversals). These will provide different results in different market conditions. I don't start many reversal trades in bullish markets but after the Covid selloff reversals were all that were available.

In a strong bull everything works. In a slow bull, break-out trading gives frustrating results and pull-back entries do better (in my experience).

 

[qldfrog]

The aim of using a batch of systems is to reduce drawdowns and smooth the equity curve. I would hope that your (@qldfrog ) systems are designed to profit in different market conditions and across several timeframes. The system names indicate that they are different but your concern expressed in the weekly updates indicate that they may not be providing the performance you like.

This is not as easy as it seems when we're restricted to long only equity systems in the one exchange (eg. ASX).

The easiest diversification is across time frames (daily, weekly, monthly).
We can diversify throughout the exchange (micro/small/mid/large cap sectors).
We can diversify the entry strategies (break-outs, pull-backs, reversals). These will provide different results in different market conditions. I don't start many reversal trades in bullish markets but after the Covid selloff reversals were all that were available.

In a strong bull everything works. In a slow bull, break-out trading gives frustrating results and pull-back entries do better (in my experience).

Yes that is the spirit, my volatility should give me performance in volatile falling markets, and trend system during rising market
dailies should deal with fast response

Frustration is the below expected results overall during zigzag times.
I worked on a breakout system but not mature enough for deployment.
But they do not have anywhere near the same allocation in $ which sometimes screws the overall results
anyway need to spend more time, that i do not have, on these
a big thank you to the many inputs.
I am in no way disillusioned, but disappointed that i did not manage to recover this week, but how could i when i liquidated most stocks at monday open in the worst timing possible...
So will try to fix that.learning from mistakes.i also hope my failings are useful to others.this is real life trading?

 

[qldfrog]

" whatif scenario basically keep the stocks i sold last Monday and check if i would have been significantly better off."
For the weekly: I sold on Monday at the open 13 stocks (out of 20 max) purchased for $67k and received $61.3k->10% loss
Had I kept these they would have been valued at $65.8k last Friday closer 2% loss...yeap and most of these stocks went higher during the week, some even on Monday arvo.
not trying to rewrite the world with whatif, that would not be good but here toying with Mr Ducati notion of a general index rebound after initial crash so potentially, having a sell still but at a higher level after a GTFO signal
A bit counter intuitive but worthwhile investigating
The bad experience of Covid crash and seeing my profit slowly eaten in the crash made me create a very responsive system, i might have gone overboard I knew I was trading potential profit for safety of mind but...

 

[qldfrog]

ok, so let's carry on this work with you: so my current system in backtest:
and in red what I do not like, I swallowed the first drop but that last one is too much ..

This actually matches my real world equity curve



Now what if I could get that curve instead ( code twist I developed already and hesitated to implement due to extra work required on a daily basis:

yeap, do we agree? simply adding some daily stop losses to the mix, no magic
SO will implement these. @peter2 might remember an exchange we had just before covid crash about daily SL in a weekly system, I am more and more convinced this is required and jumping in today.

 

[qldfrog]

I hope these open screen reflexions are useful, have all a great week, need to add some orders now!!!

 

[qldfrog]

a rare midweek entry:
I was able to spend some more time on my BO system;
Inspired by @peter2 , the make sense precepts of @tech/a recent posts, and dozen of posts seen here, I have designed VERY BASIC break out system , as simple as possible (a lot of small twists but the key principles are very basic).
completed it well past 2AM this morning so probably not very good decision making by then, but I will go ahead from today.
I have some left over capital from the happy cat experiment and I will start today a daily, 13 positions max, $5k packet new system to add to the portfolio
It will be named DLBO
Long life to DLBO I will not post much details but will keep a weekly score of gains and losses
Have all a great day

 

[qldfrog]

Am I the only one with a very bad day today on my systems
the ASX fall was quite negligible, but paper lost of over $3.5k on 5 packets, some of these great winners so far
Have small caps fallen today?

 

[Skate]

Am I the only one with a very bad day today on my systems

I'm guessing today was a struggle for most but in the scheme of things, the rest of the week has been great.

Skate.

 

[qldfrog]

I'm guessing today was a struggle for most but in the scheme of things, the rest of the week has been great.

Skate.

agree, EWC lost 17% or 1k today and ended at 12c whereas I bought it at 9c 6 days ago..can not really complain
same AGY fall etc
but surprised by my evening check: lost roughly 2% today when market was only down 0.1%
That does not change anything for the moment, could be a sector issue, just random luck/absence of..
and not great for my starting BO system which is in the red but can not judge on a couple of days

 

[Warr87]

I just checked mine. I'm down quiet a bit. I remember it being good Monday/Tuesday. HappyCat and my monthly system are fine though, its just the MAP strat that is at a big loss.

 

[Newt]

I'm just not sure you can draw too much from day to day QF with these systems. There are regularly days where my own "late momentem" system heads strongly in the opposite direction of Happy Cat - which fascinates me. With 20 odd positions there is still quite a lot of noise and luck in day and day and even weekly of course.

Can totally relate to the frustration. When you, Warr87 and/or Skate have great days or weeks and I'm down strongly find it incredibly frustrating, and even though know it shouldn't affect me so much. Then other times I'm a super hero and can do no wrong.

Personally still down about 7% from January highs post-Corona. After the continual strong run since May last year, more concerned about defence than shooting the lights out currently.

 

[frugal.rock]

I'm down around 2.3% today taking around 35% of yesterday's gain...

Most watchlists tonight showing an approx ratio of
RED:FLAT:GREEN
65:25:10

Fintechs more mixed as were miners.
Some Goldie's were green.

Not to many standouts today.

Edit: just added a few more potash stocks as the 3 I had were green, most green, a couple flat.
Ooooh, GXY does lithium and potash?!...red today.

 

[Newt]

Oh, and was up to 0.5% today, so currently.....

I am invincible!!

 

[qldfrog]

Very very good article from Nick Radge
https://trading-psychology.com.au/e/sbV/hVm2/rRf/zNuIpzUzMJ

 

[qldfrog]

End of the week which saw some pretty scary losses: AGY in the thousands this week highlighting a potential issue :
3 of my systems got a parcel of AGY so I get heavily hit when this happens after a fall
And then a black swan:
VTG bought at $1.6 on the 10/02 and sold at 80c less than 48h later..yeap $2k in smoke in a day (VTG lost key contract with telstra..)
but Shxt happens.
Thanks for BTC to help feeling good at the end of the week


So my systems:
Dailies
DLQFDuc: as discussed bad week:-2.37% or -$2.5k; 70% invested

The new kid in the block my break out system:
DLBO:-$1.2k or -1.94% now 30% invested
DLGuppy:+$1.5k or 2.32% now back above XNT since inception;
Volatility US:+$0.2 or +1% , fully invested
Volatility ASX:-$0.5k or -1%, fully invested
Weekly:
QFDuc +$1.2k or +1.2% and 72% invested

overall -$1.3k or -0.3%