qldfrog weekly Skate inspired system

[qldfrog]

a note:
my volatility US is performing nowhere near as good as my volatility ASX:
ASX: last code version backtest on the period 25/05/20 to now

Return since 25/05/2020 24%
Annual return so far 23%
Invested percentage 0%
dividends 0
Win % 53%
Win Loss Ratio (average win/avg loss) 1.50
Profit ratio (gross profit/gross loss) 1.73

So some healthy profit (even in bear markets)
vs
US: different capital so just look at curves

Annual return so far -36%
Invested percentage 0%
dividends 0
Win % 36%
Win Loss Ratio (average win/avg loss) 1.06
Profit ratio (gross profit/gross loss) 0.60
it seems clear that volatility US should be reviewedr canned, and its cash moved to volatility ASX

Might be implemented from next week as both volatility systems are now 100% cash

Hope it helps

 

[yc1]

a note:
my volatility US is performing nowhere near as good as my volatility ASX:
ASX: last code version backtest on the period 25/05/20 to now
View attachment 126305
Return since 25/05/2020 24%
Annual return so far 23%
Invested percentage 0%
dividends 0
Win % 53%
Win Loss Ratio (average win/avg loss) 1.50
Profit ratio (gross profit/gross loss) 1.73

So some healthy profit (even in bear markets)
vs
US: different capital so just look at curves
View attachment 126306
Annual return so far -36%
Invested percentage 0%
dividends 0
Win % 36%
Win Loss Ratio (average win/avg loss) 1.06
Profit ratio (gross profit/gross loss) 0.60
it seems clear that volatility US should be reviewedr canned, and its cash moved to volatility ASX

Might be implemented from next week as both volatility systems are now 100% cash

Hope it helps

Hi qldfrog,

Could you please explain (in whatever detail you see fit) what your ASX and US Volatility systems are? Thanks

 

[qldfrog]

Hi qldfrog,

Could you please explain (in whatever detail you see fit) what your ASX and US Volatility systems are? Thanks

my own sauce so will not go into much details but these 2 try to leverage, on a daily basis the correlation between market volatility and general market trend (up or down)
Lower volatilty ->market going up
higher volatility-> market going down.
The idea being that we can still make money in crashes whereas our trend following system do not.
Will not go in much more details than that. My US market implementation not really good, the asx one reasonable earner.but nowhere like the other pros on this forum.i am and remain a novice

 

[yc1]

my own sauce so will not go into much details but these 2 try to leverage, on a daily basis the correlation between market volatility and general market trend (up or down)
Lower volatilty ->market going up
higher volatility-> market going down.
The idea being that we can still make money in crashes whereas our trend following system do not.
Will not go in much more details than that. My US market implementation not really good, the asx one reasonable earner.but nowhere like the other pros on this forum.i am and remain a novice

Thanks for the above. Do you calculate volatility yourself or use AXVI/VIX?

 

[Warr87]

a note:
my volatility US is performing nowhere near as good as my volatility ASX:
ASX: last code version backtest on the period 25/05/20 to now
View attachment 126305
Return since 25/05/2020 24%
Annual return so far 23%
Invested percentage 0%
dividends 0
Win % 53%
Win Loss Ratio (average win/avg loss) 1.50
Profit ratio (gross profit/gross loss) 1.73

I like the equity line on the ASX volatility!

 

[qldfrog]

Thanks for the above. Do you calculate volatility yourself or use AXVI/VIX?

I use vix, etc

 

[qldfrog]

I like the equity line on the ASX volatility!

A precision, the graph is from backtest, but the win rate, % returns and ratios etc are from actual systems, with code and capital changes along the way

 

[Warr87]

A precision, the graph is from backtest, but the win rate, % returns and ratios etc are from actual systems, with code and capital changes along the way

i did suspect that as the difference from starting equity and finish equity looked to be different numbers then you presented, but either way a 24% return should be something you are happy with .

 

[qldfrog]

i did suspect that as the difference from starting equity and finish equity looked to be different numbers then you presented, but either way a 24% return should be something you are happy with .

I am .a steady trusted system

 

[qldfrog]

Had some free time to work on my systems lately.
Code/strategy wise, happy with current status for QFSec and QFDuc (weekly), happy with both volatility and DLGuppy.
DLFB (the bat needs more work and this is happening, expected perf 50% below others so far so should be improved
Being happy with code does not guarantee success, and reentry timing after the last move to cash (system directed) will be critical to either win or lose coins...Still highly dependent on existing/absent trends and especially small caps with high bias on resources via juniors and explorers

 

[qldfrog]

End of a big week, with huge system portfolio value changes, not only daily but also intraday with changes intraday well above 1% either ways.
Overall: more or less in line with expectancy as we went from mostly cash last Friday to quite invested so a usually poor performing period as we ramp up again, hopefully not for a false start:
both volatility systems all cash, not invested no change this week
dailies:
The bat : the edgy system: now 94% invested , -$2.4k, -3.6%
Guppy: -$1.5k or -2.9%
weeklies:
QFSec (new weekly) 75% invested; -$0.7k or -0.9%
QFDuc :+$4.6k or +4.9%

overall: 29% cash, no change over the week so better than XNT.

 

[qldfrog]

another heart attack day....plenty of buy sell today, from -400 to finish -3.5k in a couple of hours..going down as market was redressing.
Sadly I had to check as I was entering updated orders positions past the open.
Today even saw some open sold reverted by my broker at 5:30PM??? Explanation requested...
Can I please get that functionality too???? :-(

 

[qldfrog]

ok, cross order explained the reverted orders,
buggers as I ended selling nearly 10% below the open 3 days after..so here goes 500$
another week and disappointed actually especially after today
Was going reasonably well and the last 1.5h saw the portfolios lose $3k..
anyway, this is what it is but incredibly volatile:
now back in the market and exposed: 9% cash only, we are all in..for the systems

Dailies:
Flying bat still crashing but lowest weekly loss at -$1.5k or -2.3%
Guppy -$2.8k or -5.7% outch, unexpected
Volatility systems went ex div, and dividends not yet in ;
so lower results that reality but i will stick to the raw figures:
volatility ASX: -$0.8k or -1.55%
volatility US: +$54 or +0.3%;
probably $1k pending

weeklies performing better:
QFSec +$0.7k or +0.9%
QFDuc +$1.7k or+1%

overall:-$2.7k or -0.75%

 

[qldfrog]

another volatile weekwith various mixed result but followed the lower trend:


Dailies:
Flying Bat was getting better and only -$80 or -0.1% but now only 64% invested
Guppy surprising: $0.9k or +1.86% , unexpected
Volatility systems not good and some exit at loss today:;
volatility ASX: -$1.7k or -3.4%
volatility US: -$0.3k or -1.9%;


weeklies performing very differently but feeling the pain of not acting this week:
QFSec +$0.3k or +0.3%..surprised..good..
QFDuc hammered today -$3.4k or -3.5%

overall:-$4.2k or -1.2%
so in short, my best performers performed poorly: volatility ASX and QFDuc steeply down;
while my laggards out performed:
the Bat and QFSec...
not sure what to make of this.
I also had 4 stocks into fund raising...

 

[qldfrog]

more bloodshed, was a really bad idea to start new systems in June:
I will go on this later on, but now the raw data:
daily systems:
Flying bat scorched on the high voltage lines:
-$4.6k or -7.3%, only 2 parcels left
Guppy:
100% cash -$1.3k or -2.8%
volatility ASX:
100% cash +$1.1k or +2.3%
volatility US:
100% cash +$0.5k or +3.1%

weekly systems:
QFSec 94% invested -$0.7 or -0.9%
QFDuc 95% invested -$1.4 or -1.4%

so a dreaded week: my systems definitively not liking the trendless up down of small caps
especially the daily systems jumping in out and loosing $6k in a week
overall:
-$6.4k or -1.9%
and this will not recover as all dailies are in cash but 2 parcels
I analyse the big losses on the Flying Bat:
all the paper gains went, plus more until my do not buy triggered and systems slowly offloaded even the winners
All the losses were much higher due to the small cap/ high volatility of the realm I use;
I do not know when the current market style will end so will restrict the realm for FB next week to a slighly less volatile domain
For the other systems, well actually kind of OK based on how they should react
So one more rule for the Frog:
Do not start a system in the statistically bad months of may/june, reduce potential win and go for stability in small cap realm for daily

 

[qldfrog]

more bloodshed, was a really bad idea to start new systems in June:
I will go on this later on, but now the raw data:
daily systems:
Flying bat scorched on the high voltage lines:
-$4.6k or -7.3%, only 2 parcels left
Guppy:
100% cash -$1.3k or -2.8%
volatility ASX:
100% cash +$1.1k or +2.3%
volatility US:
100% cash +$0.5k or +3.1%

weekly systems:
QFSec 94% invested -$0.7 or -0.9%
QFDuc 95% invested -$1.4 or -1.4%

so a dreaded week: my systems definitively not liking the trendless up down of small caps
especially the daily systems jumping in out and loosing $6k in a week
overall:
-$6.4k or -1.9%
and this will not recover as all dailies are in cash but 2 parcels
I analyse the big losses on the Flying Bat:
all the paper gains went, plus more until my do not buy triggered and systems slowly offloaded even the winners
All the losses were much higher due to the small cap/ high volatility of the realm I use;
I do not know when the current market style will end so will restrict the realm for FB next week to a slighly less volatile domain
For the other systems, well actually kind of OK based on how they should react
So one more rule for the Frog:
Do not start a system in the statistically bad months of may/june, reduce potential win and go for stability in small cap realm for daily

I actually keep quite cool as these losses were compensated nearly to the $ by serious gains in the investment portfolio which did very well this week..weird world

 

[Warr87]

hope your systems were alright today. All of mine took a beating.

 

[qldfrog]

hope your systems were alright today. All of mine took a beating.

I took a beating,
systems: out of the 6, 4 were all cash by friday,thanks God or more exactly the backtests... one sold only today but no more buy,and last staying invested
Out of these 2: lost 3k for roughly 250k so in line with market

Then add 3k+ of losses for the investment portfolio...
I turned negative for july...
The blue chip went down and dilver took a hit...
So lost 6.5k on a day..yep, can not go like that for too long..
Hope it cheers you up

 

[Warr87]

I took a beating,
systems: out of the 6, 4 were all cash by friday,thanks God or more exactly the backtests... one sold only today but no more buy,and last staying invested
Out of these 2: lost 3k for roughly 250k so in line with market

Then add 3k+ of losses for the investment portfolio...
I turned negative for july...
The blue chip went down and dilver took a hit...
So lost 6.5k on a day..yep, can not go like that for too long..
Hope it cheers you up

my losses weren't too bad, but around 1-3% for each of my accounts. I can only hope that the losses don't continue all week so my weekly and month don't take too much of a dive. they've been a little flat the past 2 weeks. was surprised to see the red across the board though, lol.

 

[qldfrog]

as I am preparing my tax return data:
in FY20-21, my systems ended evenretty pathetic actually:
Some good return in the first 6 month in line with the great rebound of the market July till October/November
and then Guppy and the Bat blew 31k on H2 while the others were average at best; overall (before div and after fees)-700$ so basically flat in the meantime, my broker got more than $27k yes $27k
I know who I am working for.
Will obviously have to act on this