qldfrog weekly Skate inspired system

[qldfrog]

Are we not all geniuses???

Just kidding:
when the sea rises, all boats rise even the Titanic...
anyway, let's enjoy a good week and after nearly a week of rain, the sun is back here on the sunny coast giving us glorious sunrises sunsets and balmy dry days

Daily systems
DLQFDuc+$4.3k or 4%, 78% invested but fully positioned as I change the value per position and keep nb of positions restrained
DL Guppy +$1.1k or +2.1% now fully invested
volatility US:+$1.1k or +6.4%
volatility ASX:+$2.3k or +5.2%

weekly
qfduc more disappointing as its conservative code see it only 22% invested
and so only made $0.3k or 0.31%

overall +$9.1k or 2.8% with 47% cash
better US , bonds and Gold not to shabby this week so the frog will enjoy a pizza tonight!!!

 

[Skate]

Are we not all geniuses???
overall +$9.1k or 2.8% with 47% cash

@qldfrog, what a great result, well done.

Skate.

 

[qldfrog]

OK, so heading toward opening an IB family management account to be able to open accounts for both myself, wife, joint and trust , and manage them from a single login.
Sadly the IB create account site is under maintenance so will have to wait a few more hours, any feedback-advice welcome
@Linus van Pelt ,@DaveDaGr8 if I may ask: is that the proper start? you have been thru this recently..

 

[qldfrog]

Another great week..after all DD are supposed to then recover otherwise they are not DD but failing systems
Dailies:
DLQFDuc: +2.9k or +2.61%
DLGuppy: +1.7k or +3.35%
vol ASX: +0.9k or +1.96%
vol US: +0.6k or +3.3%
and the weekly:
30% invested: +3.2k or +3.26%

overall:+9.3k or +2.8% with cash level at 43%;
During that time the XNT has increased by roughly 1% so a great week.Not really comfortable yet with my risk management, nb of positions and open profits..will see if we can fix that this week end ready for monday open

 

[qldfrog]

Well not so great a week here, much worse than it felt as I thought all was going well: taking profit, exiting nicely, going to cash, etc
But I guess I lost a lot of open profit
Dailies:
DLQFDuc: -4.15k or -3.63%
DLGuppy: +1k or +1.86%
vol ASX: -2.2k or -4.7%
vol US: -0.3k or -1.75%
and the weekly:
30% invested: -3.8k or -3.75%

overall:-9.4k or -2.9% with cash level at 43%; so basically back to where I was 2 weeks ago

 

[qldfrog]

one bad last week , and a good week ending today
, got hit with a 25% fall in BPT in my investor portfolio so no french champagne tonight at the frog;
but the systems did very well:
dailies:
DLQFDuc: +$8.9k or +8.11%

DLGuppy: +$2k or +3.7%
both volatility systems unchanged and fully cash
Weekly:
QFDuc +0.8k or +0.8%
overall
+$11.7k or +3.5% with cash level at 57% so very conservative.
a great week
and for the month: April was a great month: +$20.7k or +6.1% for the sum of the systems

 

[qldfrog]

not a great start for May:..not a surprised
this week:
dailies:
DLQFDuc:-$5.8k or -4.8% after last week great performance( I could have made a mistake as well): 35% cash
DL Guppy:-0.7k or -1.2% 16% invested
volatility ASX:+$70 stable, back fully cash
volatility US:-$0.3k or -1.7%, back fully cash
weekly: -$1.1k or 1.1%
overall:
-$7.9k or -2.4% for the week
my systems are now 83% cash

 

[qldfrog]

ok bad week, or more exactly a few bad days, with today seeing the frog losing 4k..hum weird..but this is what it is;
I did a mistake and forgot (or deleted) 2 packets from the daily qfduc, only triggering the sell well after the open and lost a good .5k by this mistake ..sxxt happens but a lot of self cursing
The daily systems:
DLQFDuc: -$1.6k or -1.41% 46% invested
DLGuppy -$2k or -3.54% 9% invested
volatility ASX: unchanged 100% cash
volatility US: invested: -$0.6k or -3.3%

weekly:-$0.3k or -0.35%; only 10% invested

overall: -$4.5k or -1.4%

 

[qldfrog]

ok bad week, or more exactly a few bad days, with today seeing the frog losing 4k..hum weird..but this is what it is;
I did a mistake and forgot (or deleted) 2 packets from the daily qfduc, only triggering the sell well after the open and lost a good .5k by this mistake ..sxxt happens but a lot of self cursing
The daily systems:
DLQFDuc: -$1.6k or -1.41% 46% invested
DLGuppy -$2k or -3.54% 9% invested
volatility ASX: unchanged 100% cash
volatility US: invested: -$0.6k or -3.3%

weekly:-$0.3k or -0.35%; only 10% invested

overall: -$4.5k or -1.4%

And wall street bouncing back so my systems will have locked the losses.
Wonder if i will be positive by eofy if things carry on that way

 

[qldfrog]

Really like that articlehttps://www.elderresearch.com/blog/top-mistakes-when-backtesting-investment-strategies/

 

[qldfrog]

Newsflash:
For info and after discussions on backtest bias, etc DLGuppy is starting a new v13 today
DLQFDuc is paused: I take the sell, not the buy
while I sort out some related issues

 

[qldfrog]

ok liquidated DLQFDuc

 

[qldfrog]

DLQFDuc closed after the first opportunities in months to actually work seriously on bias etc.I will restart a new Daily system there
the amazing thing is that DLQFDuc was started nearly exactly a year ago, on the 18/05/2020
on the 20/01/21, the portfolio cash was increased by 80%
ultimately, that system returned a 26% increase beating the XNT

a dark point we still own a AJM parcel which I consider most probably worthless
after that correction we end up not that great but still decent especially considering the extra cash injection less than 4 month ago:

I repeat nearly half of the fund only invested since january..
Overall

Win %	34%​
Win Loss Ratio (average win/avg loss)	2.56​
Profit ratio (gross profit/gross loss)	1.32​

Hopefully the replacement will do better.I would sign for this against term deposit or bonds returns anyday

 

[qldfrog]

Found a name for my next daily system, just have one issue to sort/understand and ready to go:
the flying bat system.
But considering the market today, i might delay the start

 

[Skate]

@qldfrog tell us more about the signal generator of "The Flying Bat Strategy" & why have you decided to make it a daily system?

Skate.

 

[qldfrog]

View attachment 124576

@qldfrog tell us more about the signal generator of "The Flying Bat Strategy" & why have you decided to make it a daily system?

Skate.

Sure
Flying bat coming from vol which means flight (flying) in french
My working name for the system is volvol or volatility/volume
I do not follow any specific indicator (that i know of) but tried a system looking at both the volatility and volume and then using standard momentum, roc etc
will check details again but has been stored for 8months or so

On paper/backtest

View attachment 124576

looking good/very good but weird behaviour in backtest results might extends on this tonight if i can find a sec.
Great artwork Mr Skate?

 

[Skate]

a system looking at both the volatility and volume and then using standard momentum, roc etc

I'll be watching with interest
I'm sure you won't go too far wrong with this strategy as "volatility & volume" are the drivers of the markets. My new "Simple Strategy" does something similar of buying into the "strength of a trend". It's a simple idea of making sure the (ADX) is greater than each of the previous 3 periods. I don't know how you will harness the "Volume" but I'm making sure that the volume increases over a "Set-Period". I incorporate the (ROC) filter in three different ways & the PositionScore is entirely dependent on it.

Posting ongoing results
I was also wondering if you will be posting your daily trading results?

Skate.

 

[qldfrog]

I'll be watching with interest
I'm sure you won't go too far wrong with this strategy as "volatility & volume" are the drivers of the markets. My new "Simple Strategy" does something similar of buying into the "strength of a trend". It's a simple idea of making sure the (ADX) is greater than each of the previous 3 periods. I don't know how you will harness the "Volume" but I'm making sure that the volume increases over a "Set-Period". I incorporate the (ROC) filter in three different ways & the PositionScore is entirely dependent on it.

Posting ongoing results
I was also wondering if you will be posting your daily trading results?

Skate.

I could if you are interested : usually checked every day
Flying bat not started yet and by now, my systems are only 12% invested( after dlqfduc liquidation and both volatility systems back in cash,) just a few left over parcels in the weekly and the new guppy
I will probably paper run the bat till monday just to be sure there is not an obvious issue

 

[qldfrog]

Flying bat: no buy sell today;

 

[qldfrog]

A word of warning, the flying bat is not for the faint hearted, being statistically right will still see drastic falls.i just hope my heart..somewhat link to my wallet will be able to handle it.to be 100pc honest, not sure myself
Explore will be run every morning and orders prepared before asx open
I will give an end of day status.
Expecting some buy action today,will confirm but do i stay paper or start live?...my dilemma