qldfrog weekly Skate inspired system

[qldfrog]

Sorry for the abrupt short posts, really very busy lately, i will give the details of the sell HTA and the buy::
Freelancer ASAP

 

[qldfrog]

yesterday completed the transactions planned on open Monday:
sold HTA ( hutchinson ) 3582@$0.125 received $4467.5 so a loss of $557.30
purchased FLN ( freelance)r 5868 @$0.835 for a cost of $4909.78

 

[qldfrog]

Slight recovery this week:+0.6 k loosing the edge, only marginally better than xao on that period
Total invested $ 100,000.00
Cash remaining $47,880.17
Current portfolio value $103,547.36 inc dividends
Profit $3,547.36
Nb of active positions 10
Nb max position 20
Return since 25/02 3.55%
Annual return so far 15.8% on total amount including cash
purchase value per position 4817
Invested percentage 53%

some action on Monday
Have all a great week end

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[qldfrog]

a quick remark: please note that the 3.5k profit, while in an environment of 100k, was only gained playing with around 50k, whereas with the xao, I would have to risk twice that amount...just to ensure proper comparison

 

[jjbinks]

Hi qldfrog

Are you not fully invested due to lack of signals currently?

I think you make a great point about risk. You want a system to ideally beat index and have less risk.

Cheers
Jj

 

[qldfrog]

I have 100k overall to invest with share packets of 5k approximately
So 20 codes
Since i started, due to the selection criteria i use in the system, and some packets already exited, i only have 10 packets
And spoiler alert i will have less after monday opening.
I could backtrack and buy selection triggered before my start but i risk missing the decisive up time so just patient.in the long run i could maybe reach my 100k invested,

 

[qldfrog]

ok: a lot of action today:
got rid of BBN: loss of $293;
got rid of EQT:$14 loss so basically break even
out of MYR for a profit of $1779
and bought one packet of AQG for a total cost of $5008 inc brokerage
We have now only 8 position invested so only 42% invested.
And a loss today on a rising market..

 

[Trav.]

ok: a lot of action today:
got rid of BBN: loss of $293;
got rid of EQT:$14 loss so basically break even

@qldfrog just a quick question about the sales of BBN and EQT.

Did you sell as they are trending sideways? BBN in particular caught my eye as it appears you only purchased it on the 29/4 and which really isn't very long, or was there some other driver that initiated the sales?

Cheers

 

[qldfrog]

Just the verdict of the system, but yes the programming interpretation of a stale or not occuring expected surge
Bbn lost a bit, eqt well time to go as it went no where, but no discretionary decision
Just verdict of the system using optimised parameters determined by backtest earlier this year.
I would not have bought hta or myr by my own decision..
First one lost me money, second was a nice winner...

 

[qldfrog]

a week to forget:lost the edge on xao , profit down by 1600$ , nearly half on friday session
Total invested $ 100,000.00
Cash remaining $58,886.80
Current portfolio value $101,873.39 inc dividends
Profit $1,873.39
Nb of active positions 8
Nb max position 20
Return since 25/02 1.87%
Annual return so far 7.60% on total amount including cash
purchase value per position 4935.33
Invested percentage 42%


some action on Monday
Have all a great week end

 

[qldfrog]

Today, I bought 370 DXS @ $13.25
and now have 9 out of 20 available parcels in play
Invested percentage : 46%

 

[qldfrog]

a better week but still behind the xao , profit up by 1050$
Total invested $ 100,000.00
Cash remaining $53,974.30
Current portfolio value $102,926.29
Profit $2,926.29
Nb of active positions 9
Nb max position 20
Return since 25/02 2.93%
Annual return so far 11.13%
purchase value per position 4937.405455
Invested percentage 47%


some action on Monday
Have all a great week end

 

[qldfrog]

Today, a bit of a bloodbath and the system was not spared...
But I bought 2,538 EPW @ $1.915
and sold the CNU (Chorus) package at $5.39 for a profit of 400$ inc divas it was getting stale
I still have 9 out of 20 available parcels invested, hard to go to full invested in the current context with my cautious filter
Invested percentage : 47%
Have all a great week

 

[qldfrog]

another so so week
profit down by 900$
Total invested $ 100,000.00
Cash remaining $54,445.23
Current portfolio value $102,017.30
Profit $2,017.30
Nb of active positions 9
Nb max position 20
Return since 25/02 2.02%
Annual return so far 7.22%
purchase value per position 4980.217273
Invested percentage 46%



no action on Monday
Have all a great week end

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[qldfrog]

as we start having a few weeks under mgt, a few initial feedback ideas:
The entry point is critical,
by not entering previously trigered buy, and with the cautious entry criteria, I do not even make full use of my available cash, so I deleverage the system.
My soldiers are unused would say Skate...
In a volatile environment such as the current one, this is not ideal as I forgo some of the market rise, and increase the risk of laggards
This is not agile enough to be optimun.
I nevertheless soldier one but might try to design a second more agile, probably daily system
Renovation of our cottage are nearly completed and I could now get bored

 

[jjbinks]

hi qldfrog,

Looking back at your back test result you posted earlier, your trade exposure was ~50% in bad market and upto 72% in a good period.

I think working on a system for more volatile conditions may work well in combination with your current system. Can I ask why you are considering a daily system?

Also would be curious to see how a back test of your system from current trading period compares with your real results.

Cheers
jj

 

[qldfrog]

Thanks jj i
Backtest: i give it a go and post the results

 

[qldfrog]

OK to answer jj, and also because it is an interesting check to do:
I started the system on the 26/02 and bought back recommended system shares from up to the 01/02
By the 26/02, I had already lost 1395$ vs the 01/02 start
if I backtest the system, I get the following results:
Backtest:

All trades Long trades Short trades
Initial capital 100000.00
Ending capital 105215.73
Net Profit 5215.73
Net Profit % 5.22%
Exposure % 45.17%
Net Risk Adjusted Return % 11.55%
Annual Return % 15.87%
=========================
my real life results are:
Current portfolio value $102,017.30
Profit $2,017.30
I have real life gain of $2017vs backtest $5215
interesting difference, where does it come from?

Initial mess up:
AMI I bought sold then bought again,
similarily JIN, JIn was a winner but AMI was not,
I lost more on AMI than backtest; $835 loss vs backtest loss of $490
, JIN purchase was less shares at a higher price
JIN profit backtest $3663 vs real $2257

So profit $2017+ initial delayed start $1395+ [mess up AMI:loss: $345 difference] plus messup JIN: 1406 diffence):
total 2017+1395+345+1406=5163 vs 5215 so we match the backtest except for the later start and the initial mess up
Another area where we have a small difference is the number of shares and parcel size:
I send my order on the week end for a given nb of shares, computed based on a premium price.
As a result my parcels are at most 5k, more often than not well under:around $4875 on average
So under invested..again...

Overall, the system is compliant to its backtest, I wish I could have started earlier or be fully invested from the start,,but hey I could have been saved by that too under different circumstances
So yes, a simple, reliable system , not stellar but not too bad and doing its work so far, as long as a major crash is not on the way....
Thanks for following this

 

[qldfrog]

jj asked:
why considering daily?
Well because I can...in preretirement mode, and because I expect a sudden crash more than a slow death..so want my exit to be triggered ASAP and not waiting for a week of fall before deciding to exit

 

[jjbinks]

Thanks for sharing.

Re daily vs weekly. If you have stop losses in place then weekly or daily you should be protected from sudden crash.
Some systems such as flipper seem to do better on weekly time frame!