qldfrog weekly Skate inspired system

[qldfrog]

Just a bit of friendly challenge. I don't know your system Mr frog, but over 1000 trades is the system broken or just the recent chop we are experiencing?

If it is the wrong market type, maybe the solution is a system filter or retaining it in your basket of systems but not necessarily that the system is broken.

Not saying either of you are wrong, but a different perspective.

I had a look rerunning the 2007-now, the 1/1/2019 to now and a few more specific period:
the results were 1/3 of my other trend systems so not up to scratch
and the curve were similar so not outperforming in lean time for my other systems so no need...
backtest 2007 to now vs dlqfduc:

and in graph:

just worse...in all factors.
I forgot the big picture so once initial backtest, I enhanced, improved that BO code but only comparing it to itself, without stepping back and considering the first question: is it worthwhile for either $ or diversification..and the answer is a clear cut NO

 

[Newt]

All is not lost QF. Sometime you don't realise you've learned something until later. Could be better ways to develop, to screen and test. An element in the entry, exit, or parameters might be a useful part of the jig saw for a future system.

Even if it seems a dead-end currently, effort invested trying something is never truely wasted

 

[qldfrog]

All is not lost QF. Sometime you don't realise you've learned something until later. Could be better ways to develop, to screen and test. An element in the entry, exit, or parameters might be a useful part of the jig saw for a future system.

Even if it seems a dead-end currently, effort invested trying something is never truely wasted

the idea behind BO is that even in falling market, there are always some diamond shing, so the idea was supposedly to run along trend but still find the gems during down or yoyo periods..failed :-(

 

[Wilham]

I had a look rerunning the 2007-now, the 1/1/2019 to now and a few more specific period:
the results were 1/3 of my other trend systems so not up to scratch
and the curve were similar so not outperforming in lean time for my other systems so no need...
backtest 2007 to now vs dlqfduc:
View attachment 121871
and in graph:
View attachment 121872
just worse...in all factors.
I forgot the big picture so once initial backtest, I enhanced, improved that BO code but only comparing it to itself, without stepping back and considering the first question: is it worthwhile for either $ or diversification..and the answer is a clear cut NO

Thanks for taking the time to give some context. Like I said, wasn't trying to call out your decision, given the external context just wanted to probe a bit more. Looks like you have it covered!

 

[ducati916]

the idea behind BO is that even in falling market, there are always some diamond shing, so the idea was supposedly to run along trend but still find the gems during down or yoyo periods..failed :-(

In a bear market or churning market, BO trades still work, but only in the time frame of 1 or 2 days. They become 'bounce' plays, not 'new trend' plays (although some do trend). They are normally oversold and returning to some EMA.

You can probably build a system around that, but you probably need an exit of take profit of X, not a SL exit.

jog on
duc

 

[qldfrog]

In a bear market or churning market, BO trades still work, but only in the time frame of 1 or 2 days. They become 'bounce' plays, not 'new trend' plays (although some do trend). They are normally oversold and returning to some EMA.

You can probably build a system around that, but you probably need an exit of take profit of X, not a SL exit.

jog on
duc

Yes that was obvious when i did my very short forensic analysis on randomly selected trades for this BO system:
Time after time, a jump then pull back and my usual exits then locking the loss. ..
Learning...

 

[Cam019]

the idea behind BO is that even in falling market, there are always some diamond shing, so the idea was supposedly to run along trend but still find the gems during down or yoyo periods..failed :-(

Not sure if this is a weekly or daily system - I would be opting for a weekly breakout system. i.e. breakout and close above x-week high.

Trying to trade a daily breakout system in choppy or down trending markets is unlikely to work well. A weekly close has a better chance of sorting the wheat from the chaff in less than ideal market conditions.

 

[qldfrog]

Not sure if this is a weekly or daily system - I would be opting for a weekly breakout system. i.e. breakout and close above x-week high.

Trying to trade a daily breakout system in choppy or down trending markets is unlikely to work well. A weekly close has a better chance of sorting the wheat from the chaff in less than ideal market conditions.

Yes it was daily.. honestly,it had no chance in the current environment.
I will close this BO chapter left a bad smell ?,doubt i will try again as in better conditions i have better proven systems.
The workload on my daily systems with 5 to manage was also getting higher,and generated a few manual mistakes.my next on the workbench system will be weekly

 

[frugal.rock]

Glad to see you are now on top of it all Monsieur Frog.

I am now glad I poked you about your equity curves...despite all the late nights and sleep you no doubt lost... for a while after commenting I thought maybe I was out of place.

However, I figured you'd had enough time settling into your new property and it was time to "retour au travail".
All's well that ends well.

Au revoir et bonne chance.

 

[qldfrog]

Glad to see you are now on top of it all Monsieur Frog.

I am now glad I poked you about your equity curves...despite all the late nights and sleep you no doubt lost... for a while after commenting I thought maybe I was out of place.

However, I figured you'd had enough time settling into your new property and it was time to "retour au travail".
All's well that ends well.

Au revoir et bonne chance.

Thanks, no problem.the settling in is far from over, a farmlet neglected in the last 3y, and i am not spending as much time as i d like on my systems but this is life: never boring.i have now a business project added so yes systems are hard to find time for

 

[Newt]

In a bear market or churning market, BO trades still work, but only in the time frame of 1 or 2 days. They become 'bounce' plays, not 'new trend' plays (although some do trend). They are normally oversold and returning to some EMA.

You can probably build a system around that, but you probably need an exit of take profit of X, not a SL exit.

jog on
duc

Hmmm - a modified entry (and/or exit) off a market filter...... ??

 

[qldfrog]

Sorry for the delay:
last week: not great again: my systems went Bear (and the DJ jumped on friday night..)
dailies:
DLQFDuc +$6..flat but went from 76% to 53% invested
BO strategy winding down as per previous posts -$100 or -0.2% still 48% invested
Guppy not good at all last week:-$3.5k or -6.1%
volatility:
ASX +1.2k or 2.8%
US-164% or -1%
and for the weekly -1.1k or -1.1%
overall -3.7k or -1%
note that my systems are now 50% cash

 

[qldfrog]

more bloodshed for both my discretionary investment and systems today with 25% of my annual remaining profits going in smoke.

I closed the BO system at open wo further losses for that one so it could have been worse
look at this BO nightmare:

13% win rate a loss making machine

 

[Skate]

more bloodshed for both my discretionary investment and systems today with 25% of my annual remaining profits going in smoke.

I closed the BO system at open wo further losses for that one so it could have been worse
look at this BO nightmare:
View attachment 122145
13% win rate a loss making machine

The recent choppy trading conditions
@qldfrog, this is the very reason why I made a few post recently about trading different systems when the going gets tough (horses for courses). Strategy changes on the fly disguised as improvements can undo the best of strategies.

Investment strategy
Having an investment strategy in combination with a range of trading systems can smooth an equity curve (making trading less stressful).

When trading is not going well
When systems start to perform poorly - you have the option to take a break (to re-evaluate the current situation). Strategy rotation during a difficult trading period can sometimes help. (Well it helps me)

Skate.

 

[qldfrog]

The recent choppy trading conditions
@qldfrog, this is the very reason why I made a few post recently about trading different systems when the going gets tough (horses for courses). Strategy changes on the fly disguised as improvements can undo the best of strategies.

Investment strategy
Having an investment strategy in combination with a range of trading systems can smooth an equity curve (making trading less stressful).

When trading is not going well
When systems start to perform poorly - you have the option to take a break (to re-evaluate the current situation). Strategy rotation during a difficult trading periods can sometimes help. (Well it helps me)

Skate.

The only significant change in strategy is the removal of the BO system, others are really same:
the trouble on a day like today is my investment (especially the supposedly conservative) got hit as well:
Below is the snapshot of one of my long term conservative ASX investment portfolio;
every single stock significantly down: USD (yank), Gold & Silver, oil, even finance and utilities.
In a separate Aus bond portfolio, I have a similar 1% fall on bonds.
When all sectors are falling inc bonds and PM, it is not a good sign and I am talking wider than my systems here.Time will tell if this was an alarm light switching on.The easiest way to handle this is either to be able to stomach it or just not reading intra week status

	todays loss in %
AGL	-3.54​
BPT	-0.85​
ETPMAG	-1.3​
MFG	-0.82​
NCM	-1.28​
PMGOLD	-1.37​
RRL	-3.28​
SVL	-2.33​
YANK	-0.41​

 

[Newt]

Definitely a lot of small and mid cap volatility at the moment.
Think I was up 2% Mon, down 2'ish% Tue, up 1.5% today.

 

[qldfrog]

Definitely a lot of small and mid cap volatility at the moment.
Think I was up 2% Mon, down 2'ish% Tue, up 1.5% today.

Guppy has been tweaked a bit more following some readings on the Aroon indicator.Google it , some nice potential to consistently improve (slightly) my system.

 

[qldfrog]

So another not so brilliant week but with a good recovery in last few days:

Daily:
DLQFDuc good 1.55% increase or $1.6k but only 45% invested
Guppy not so great at all:-$2.5k or -4.75%.I found was to consistently improve the system and it has been added but still not good.
We should not go down 5% and be fully invested in down or flat weeks,worse I actually made a mistake and ended up with too many parcels ...duh..
volatility:
both caught up after heavy losses early this week so relatively happy:
volatility US:+$25 flat
volatility ASX:-0.5k or -1.08%

my old trusted weekly did not go so well: -$0.9 k or -0.9% and only 48% invested

overall -$2.2k or -0.7% with 48.5% cash tonight
Guppy has been the laggard by far.See below:

.probably worth investigating further

 

[qldfrog]

US market broker offering options?
What would be your recommendation?
I currently use Commsec/Pershing but on top of supercharged fees, they do not offer option trading.
I really need to change, especially if i start taking a more active view on my portfolio there

 

[qldfrog]

Note about nb position vs win rate:https://forum.amibroker.com/t/maxopenpositions-impact-on-win/23662