qldfrog weekly Skate inspired system

[qldfrog]

More journal like thoughts:
daily volatility systems will be left alone..wait and see

The weekly side:
Our new Sector influenced QFSec:
of the 8 purchases last monday, we lost 13% average during the week, so without opportunity to get out yet
a real disaster as we also lost open profit on top...
It is an issue I have no easy answer as the fall was brutal and BT matches real trade..so what next, on this on, I think I should carry on

I understand BT means sxxt but look at the difference of smothness lately:

here as well down trend since early 21...unsure what to do there, reduce amount per entry until when???

Lastly, QFDuc the old boy running various version since 05/2020, even the current version goes nowhere since2021 and especially since mid april.


I suspect I can improve the results by removing some of the version past "improvements..."
This is really underperforming under the current conditions

 

[qldfrog]

More journal like thoughts:
daily volatility systems will be left alone..wait and see

The weekly side:
Our new Sector influenced QFSec:
of the 8 purchases last monday, we lost 13% average during the week, so without opportunity to get out yet
a real disaster as we also lost open profit on top...
It is an issue I have no easy answer as the fall was brutal and BT matches real trade..so what next, on this on, I think I should carry on
View attachment 128226
I understand BT means sxxt but look at the difference of smothness lately:
View attachment 128227
here as well down trend since early 21...unsure what to do there, reduce amount per entry until when???

Lastly, QFDuc the old boy running various version since 05/2020, even the current version goes nowhere since2021 and especially since mid april.
View attachment 128228

I suspect I can improve the results by removing some of the version past "improvements..."
This is really underperforming under the current conditions

And for QFDuc, one tested version was more stable and better on the last period, so still good if we have a rerun of crash boom, but handling current situation;
Let's use it; it is not new and has been tested previously..and still a qfduc
and let's stick with it

 

[MovingAverage]

Good evening,
sorry for the delay as yesterday night and this morning, TheFrog and Frogette were trying to enjoy their last hours of freedom before house arrest.
After the disastrous start of teh week, well no surprise it ended up really bad
Here we are both for the week and for the month:
Daily:
Flying bat: the most immature and should be dangerous to trade:
-$0.8k or -1.4% and reengaged fully in on friday morning..ready for a fall on Monday
DL guppy:-$3.7k or -7.8% lost 1k just on the entries on Friday morning......
the biggest weekly loss since december...
Both now fully invested;
Volatility US:-$0.2 or -1% fair as we reentered fully invested;
Volatility ASX:-$0.4k or -0.8% Fair as we reentered fully invested;

The weekly:
QFSec -$5k or -6.5% outch with 3 stocks out of 12 losing more than 20%...
QFDuc -$3.9k or -4% third highest weekly loss since february 2020
So the systems managed to lose $14 k in a week or 4.2%;
luckily for the Frog, we only lost 6.6k so the investment portfolio went up 7.4k which is bloody good
But that bring me to:
the monthly results:
FB -$5.9k; Guppy:-$5.7k; volatility-$1k and nearly 0, QFSec -$3.6kand QFDuc -$5.3k
overall my systems lost 21k in a month (14k just last week) around -6%
yet as I only lost 2k overall, it means my investor portfolio gain got up 19k;
So the investments were booming:.4.4% for ASX shares and a few gains on currency/US stocks
so the question is WTF??
Let's try to understand this, especially the last week

Ouch, seems like a tough period for your systems. They all go through that.

You mentioned a Guppy system. Is that one of Daryl Guppy's systems? Haven't heard that name in a very long time. What's he up to these days? For a very long time he was always talking up his "Guppy Indicator"--which was a whole bunch of different period MAs. Are you trading his Guppy Indicator?

 

[frugal.rock]

@MovingAverage
FYI and there's a few more posts on the subject matter.

View attachment 116274



The two quotes by @qldfrog & @Warr87 got me thinking about making a post of a "simple trend trading strategy" - with a twist of course. As trend trading strategies go, using "Guppy's Multiple Moving Averages" would be a suitable choice as it's easy to follow & understand. The relationship between the 12 exponential moving average (EMA) tells the story of long & short term buyers.

The Guppy Multiple Moving Average (GMMA) indicator
This nifty homegrown lagging indicator provides an exciting approach using 12 (EMA). The Guppy Multiple Moving Averages is a great tool if you are considering building a trend-following system. The (GMMA), is a fine technical indicator that identifies the strength & changes in trends. The changes in the trend are indicated by the GMMA ribbon. The combined (EMA) ribbon times the entry & when to get out of a trade.

Multiple Blue & Red Lines (moving averages)
The (GMMA) is composed of multiple lines that help traders see the strength or weakness in a trend better than if only using one or two moving averages or (EMAs). Compression to the expansion of the “lines of the ribbon” tells one story whereas the reverse (expansion to compressions) tells another. On the other hand, the "crossing" of the ribbons, is a whole other story in itself.

GMMA Ribbon colours
The short-term investors are represented by the “Blue Ribbon” & the longer-term investors are represented by the “Red Ribbon”. To keep the post short, those interested can do their own research as to how these lines (of the ribbon) interact. We can use the association of the "GMMA ribbon" (the lines) to our advantage. The downside to (GMMA) - it’s a "lagging indicator" that will never catch the low of the pivot but at times goes very close.

Twisting the GMMA
I’ve twisted Guppy’s idea. I've taken the average of Guppy's slow & fast-moving (EMA's) then added a smoothing factor. Using the average of the EMA bands (IMHO) sharpens the usefulness of the indicator allowing me to turn the GMMA indicator into a complete trend trading strategy.

More to follow...

Skate.

 

[qldfrog]

Ouch, seems like a tough period for your systems. They all go through that.

You mentioned a Guppy system. Is that one of Daryl Guppy's systems? Haven't heard that name in a very long time. What's he up to these days? For a very long time he was always talking up his "Guppy Indicator"--which was a whole bunch of different period MAs. Are you trading his Guppy Indicator?

Not exactly his system, got my tweaks etc but the basic idea was provided by Skate post as indicated above by @frugal.rock ??
My variation on a daily version But still trend and Guppy concepts so different from other systemsaleays this diversification attempt which did not work obviously last week

 

[qldfrog]

So what were the decision and where do I stand by this morning?
the 2 weekly
QFDuc reverted to version 21 (-5 )which seems more suited to current market, some buy and sell today
QFSec: I will persevere with the current code, going nowhere in 2021 but positive in backtests since 2016..but there was a nasty period early 2016 and the current version if I had played it from start would have been OK
we carry on unchanged.no buy on this week (filter) but sells

The weekly:
Both Guppy and the Flying Bat had proper MC, decent but not flash long term returns on tests we are still going on, but I will reduce the amount invested while we are in a negative run on DL guppy..DL guppy has been losing in the last 3 months..But I still believe it has potential..but not in that market

 

[qldfrog]

Today was ok, 47 trades so half a grant in brokerage, and ahead.
But another day with more crash following SPPa few last week, and today POSin the investment side, Grange( GRR) trigered my trailing SL with 15% fall in the last few days
So quite a lot of up and down even on good shares

 

[qldfrog]

Today was ok, 47 trades so half a grant in brokerage, and ahead.
But another day with more crash following SPP
a few last week, and today POS
in the investment side, Grange( GRR) trigered my trailing SL with 15% fall in the last few days
So quite a lot of up and down even on good shares

 

[qldfrog]

OK week system wise, not so good with currency loses on the NY portfolio and on my investment side but happy with the systems picking up:
XNT up 1.9% so that is our reference:
Daily:
FB up 0.6 % or 0.3k, now fully invested
Guppy: packet reduced by half until I can see a positive trend after last week disaster
; But this cost $ this week as Guppy was up:
+2.9% or +$1.3k 50% cash due to reduced packets
volatility ASX:
+2.15% or +$1.1k ,full cash tonight
volatility US:
-1.4% or -$0.2k ,full cash tonight

weekly: a bit disappointing
QFSec: -1.5% or -$1.1k only 23% invested
QFDuc:+0.8$ or +$0.7k

overall for the week:
+$2.1k or +0.6% with 50% cash as of tonight
obviously we lost nearly 1.5k by reducing risk on Guppy but I will wait another positive week before reverting to full size packets
I missed a few good entries LKE etc as they went past my buy order so will try to model that in my backtest as this happens often

 

[MovingAverage]

OK week system wise, not so good with currency loses on the NY portfolio and on my investment side but happy with the systems picking up:
XNT up 1.9% so that is our reference:
Daily:
FB up 0.6 % or 0.3k, now fully invested
Guppy: packet reduced by half until I can see a positive trend after last week disaster
; But this cost $ this week as Guppy was up:
+2.9% or +$1.3k 50% cash due to reduced packets
volatility ASX:
+2.15% or +$1.1k ,full cash tonight
volatility US:
-1.4% or -$0.2k ,full cash tonight

weekly: a bit disappointing
QFSec: -1.5% or -$1.1k only 23% invested
QFDuc:+0.8$ or +$0.7k

overall for the week:
+$2.1k or +0.6% with 50% cash as of tonight
obviously we lost nearly 1.5k by reducing risk on Guppy but I will wait another positive week before reverting to full size packets
I missed a few good entries LKE etc as they went past my buy order so will try to model that in my backtest as this happens often

Hi Frog, you've reduced your exposure on guppy--what's your general approach to adjusting your exposure?

 

[qldfrog]

Hi Frog, you've reduced your exposure on guppy--what's your general approach to adjusting your exposure?

No general approach, it is a first and so not exact science
Guppy has had 3 months of ongoing not insignificant losses with the current condition/realm.Both Backtests/real trades confirmed
It is a decent system : was and will be again,especially with this running version;
So I try to stop the bleeding/reduce $ losses;
if I get 3 weeks (arbitrary) of above xnt perf, i will reinstall full size parcel.
Not real science but the current underperformance is real, and real trade is the only way I can realistically check any condition change;
with 2k parcels, I am down to lower exposure..This week was nearly 3% up, well above XNT
Another 2 over performances and i will revert

 

[qldfrog]

AB help required:
In real life, some shooting start buys are missed as my:
last close+3% (for example) buy values at open are overshot;
I would like to model that in backtests to ensure backtests are as near real results as possible:
so a Buy if O<ref(C,-1)*1.03
I can do that but in cases like that we want to ensure this buy is missed not just replaced by the next one based on the positionscore
so need to reduce on that day the total number of buys by one
And obviously this should not interfere with explore results;
If someone has already coded this , I would be grateful, otherwise i will do the yard yakka...
And share with you on demand

 

[qldfrog]

inspired by the LKE missed last week which had a 47c to 66c jump in a week and that my backtest will show as taken...which it was sadly not...

 

[rnr]

AB help required:
In real life, some shooting start buys are missed as my:
last close+3% (for example) buy values at open are overshot;
I would like to model that in backtests to ensure backtests are as near real results as possible:
so a Buy if O<ref(C,-1)*1.03
I can do that but in cases like that we want to ensure this buy is missed not just replaced by the next one based on the positionscore
so need to reduce on that day the total number of buys by one
And obviously this should not interfere with explore results;
If someone has already coded this , I would be grateful, otherwise i will do the yard yakka...
And share with you on demand

Hi @qldfrog,

Any code suggested in this post is in general terms only and not specifically AB code.

Firstly your buy code should be along the lines of O<=Ref(C,-1)*1.03 rounded down to comply with the following ASX requirements:-

Up to 10c minimum increment = 0.1c
10c up to $2.00 minimum increment = 0.5c
$2.00 up to $99,999,990.00 minimum increment = 1c.

Unless I am missing something critical, the following should be the case, as there is no "replacement stock" to be considered.

Given that you are using "positionscore" in your code and that you can calculate the number of system positions
available, then only that number of stocks would be allowed to participate in the opening auction for the next trading day.

Cheers, Rob

 

[qldfrog]

Hi @qldfrog,

Any code suggested in this post is in general terms only and not specifically AB code.

Firstly your buy code should be along the lines of O<=Ref(C,-1)*1.03 rounded down to comply with the following ASX requirements:-

Up to 10c minimum increment = 0.1c
10c up to $2.00 minimum increment = 0.5c
$2.00 up to $99,999,990.00 minimum increment = 1c.

Unless I am missing something critical, the following should be the case, as there is no "replacement stock" to be considered.

Given that you are using "positionscore" in your code and that you can calculate the number of system positions
available, then only that number of stocks would be allowed to participate in the opening auction for the next trading day.

Cheers, Rob

Thanks Rob,
Ok with rounding, not a real issue.
Let's say there are 10 free packets to buy on day D
If a packet shots up at open, the condition will remove it from the backtest buy..with future leak obviously but all good
If i do nothing else, another packet will replace that missed one so position score 11 will be selected and added in the backtest, i need to "dynamically" decrease the number of packets purchased but only on that day..
It is an area i do not often code so not so sure...
I could try that with a few tests so not impossible, but not That simple and wanted to leverage any experience in that area.
It is not very simple to google that issue as a bit difficult to phrase the issue...

 

[tech/a]

More journal like thoughts:
daily volatility systems will be left alone..wait and see

The weekly side:
Our new Sector influenced QFSec:
of the 8 purchases last monday, we lost 13% average during the week, so without opportunity to get out yet
a real disaster as we also lost open profit on top...
It is an issue I have no easy answer as the fall was brutal and BT matches real trade..so what next, on this on, I think I should carry on
View attachment 128226
I understand BT means sxxt but look at the difference of smothness lately:
View attachment 128227
here as well down trend since early 21...unsure what to do there, reduce amount per entry until when???

Lastly, QFDuc the old boy running various version since 05/2020, even the current version goes nowhere since2021 and especially since mid april.
View attachment 128228

I suspect I can improve the results by removing some of the version past "improvements..."
This is really underperforming under the current conditions

Just saw this.

One interesting method I have used a while ago is to trade the equity curve.

(1) Shut down or adjust your positions as you wish
(2) In the background paper trade full positions as you would normally. Plot your curve.
(3) Revert to normal trading when the Curve exhibits bullish-ness has returned.

There is a number of ways of determining a change of sentiment with the curve.

 

[qldfrog]

Just saw this.

One interesting method I have used a while ago is to trade the equity curve.

(1) Shut down or adjust your positions as you wish
(2) In the background paper trade full positions as you would normally. Plot your curve.
(3) Revert to normal trading when the Curve exhibits bullish-ness has returned.

There is a number of ways of determining a change of sentiment with the curve.

Thanks Tech/a, actually doing that the lazy way by looking at the backtest run using normal size position vs actual.
Obviously, it then becomes important that backtest match real world so, human error excepted, that should do the trick.
This triggered one of the following posts on how to have BT matching real world better to take into account the , not that infrequent cases where i miss entries as open shot up past my buy...
.There is still a lot of human intervention when deciding that conditions are back bullish for a system but i can decide something arbitrary.
Thanks for your input.and might definitively use it.

 

[tech/a]

not that infrequent cases where i miss entries as open shot up past my buy...

Proper Montecarlo Testing should help the curve.

 

[qldfrog]

not that infrequent cases where i miss entries as open shot up past my buy...

Proper Montecarlo Testing should help the curve.

true and MC actually done on the actual system under reduced sails if I remember well, not AB MC but real not taking 20% of of Buy using fake optimised on 1000 runs.
And true I could MC on the latest shorter period.Thanks for the alternate thinking..always hard when on your screen alone to take the step back

 

[elbee]

f a packet shots up at open, the condition will remove it from the backtest buy..with future leak obviously but all good
If i do nothing else, another packet will replace that missed one so position score 11 will be selected and added in the backtest, i need to "dynamically" decrease the number of packets purchased but only on that day..

I have recently switched from Amibroker to Realtest, partly because of the problem you have pointed out.
Realtest allows you to specify the maximum number of setups that can be considered for entry on any one day so if one packet is above the entry limit it will not be replaced by another with a lower position rank.