qldfrog weekly Skate inspired system

[qldfrog]

I guess you would know but this is handy to see those sneaky signals Tools>Bar Replay.

About the general stuff above, I excluded those below 10c (too volatile for me) plus it always made sense to me to use turnover as the ranking. Like you, I used 3% on entry but 5% on exit to place the entry on open.

Thanks,sadly the 5% is usually rejected.
But that makes me thinking
Obviously broker allows at least one increment so on penny stocks, i could try to test the allowed margin which will be higher and do a sp value based allowance for my order.not just a roundup
Sadly, rejection level varies and pre open orders are rejected in the period before the open.
I mean that value changes.i have had preorders rejected which were actually at( or below for buy) open.
I obviously asked Bell Direct the formula they use for setting their rejected thresholds, but they do not want to divulge.understandable but a pain.
I believe each broker is different in that regard.
Anyway, trigered an idea and thanksful

 

[qldfrog]

Great post. I'm sure that post helped you sort through a few concerns that you may have had. You may have made some decisions by thinking through your written words.

(1) I'm not sure the 3% is appropriate for smaller priced stocks where one tick may be 3%.

I can't help you with the problem of your broker not accepting orders that they consider too far away from the last close. I use conditional order to catch breakouts and re-entries and the trigger can be much higher than the close. These orders don't go into the market though and create limit orders when triggered.

Have you considered scanning the market and entering (buying) just before the close instead of the open next day? I scan on the 3pm data that I get at 3:20pm. I've got 40 min to scan and make my decisions before the close.

(2) Can't help you with ranking as I'm not a system trader. I use discretion to select the trades from those available.

You can apply a time stop to minimise the erosion of the penny stock bleeders.

AJX = good entry. The only way get the price spike exits is to target them with your trade management. This may or may not earn more profit overall. Your back testing should indicate the best mgt approach for your entries.

If the AB back tests match the trades then your doing your job. Tick.

I've noticed the same thing on many days. The portfolio value is usually higher in the early morning than at the close. Anecdotally I say it seems like 90%. I don't know what it is actually. It's so common that I don't want to know what it is in the morning because i'll be disappointed in the afternoon. I'll check the share prices but don't want to know the summary. LOL

The new Bat looks much better than the old one. Although your comparison periods are short. Compare over a longer period, although you know this.

Guppy. I'm curious as to the underlying tactics you're using in this system. I understand Guppy's work quite well and know his tactics should be a good robust producer. If it's not, that's a concern. There are two aspects to Guppy's trade entry, a setup and an entry trigger (confirmation). Both steps need to be defined for a trade to be valid.

The Duc's volatility entry is similar to my 1stBB entry. I know this produces too many entries. It may work better with a smaller universe based on price or volume traded or market cap or basic FA info. Ideas only.

Will do a proper reply in the coming days, interesting box of ideas there to test, or initiating reflexion

 

[Sir Burr]

Sadly, rejection level varies and pre open orders are rejected in the period before the open.

That would be annoying!
I had 5% for buy/sell for ages before I tweaked to 3%/5% but was 10c and above. Never had a rejection.
Talking about Interactive Brokers.

BTW not related but I've a spreadsheet to place multiple orders in a few clicks using exported csv from AB.
IB is pretty good for system trading

 

[Newt]

That would be annoying!
I had 5% for buy/sell for ages before I tweaked to 3%/5% but was 10c and above. Never had a rejection.
Talking about Interactive Brokers.

BTW not related but I've a spreadsheet to place multiple orders in a few clicks using exported csv from AB.
IB is pretty good for system trading

Would be interested to know how you do the export/inport Sir Burr. Did you have to do API programming or is there some easy way to import CSV into IB?

 

[Sir Burr]

Would be interested to know how you do the export/inport Sir Burr.

Can have the spreadsheet if you like but use at own risk
Easy to cancel trades in TWS if something goes awry but it's setup for sending trades to TWS before the market opens. You do need Excel skills to adjust it to suit or find problems if encountered. It's basically the spreadsheet here modified. There is some setting in TWS you need to set to allow access between TWS and the spreadsheet.

I have the spreadsheet import a CSV file from AB. It also imports your IB account cash balance and calculates position size. Couple of button presses will send multiple trades (buy and sells are separate) to TWS.

In AB run a Batch to do a couple of AA runs and finally Export to File (.CSV). Need to have the AA columns in the AB code setup in the right order.

So you need the exported CSV from AB open, the DDE spreadsheet open plus TWS open for it to work.

 

[Newt]

Many thanks SB, will check it out. Was on long term To Do list to investigate IB APIs - have heard Nick Radge talk about doing it - but DDE in Excel is something I'd be more comfortable messing with.

I've never loved TWS, and now their web product (WebTrader) is saying it won't be supported later this year so would be nice to have something bit smarter.

 

[qldfrog]

another bloodbath day, worse day ever for my systems...

Since our exchanges last week, I worked and refined 2 of the systems:

1. DL Guppy with changes which seems to bring consistency and better outcome; overall satisfied on paper

but lost 3% for the day
With 75% of its portfolio bought today and restored full size packet, all at a loss at the end of the session, not as bad as it seems; What a great timing.. it was NOT

The other daily I worked on was the Bat

1. ,FB still not satisfactory but better

Lost 2% today;

The system which really killed me today was the weekly QFDuc: 5% loss
This champion managed to get 5 of its 20 positions losing more than 9% each, on top of the smaller losses
Probably urgent that QFDuc get reviewed as it has had bad /meh meh performance since mid january
6m in a row of under performance
The only potential positive is that, being a weekly, it will not cast these loses until next week so potentially recovering..I can hope
Other systems were losing but within expected range on a down day
and yes at 11AM: my systems flat, at 3PM -5k and at close nearly doubling the losses
Overall losses of 3% so more than3 times the market;
If I match the market on the good day and do 3 time worse on bad days, no real point ...
When back home, I will carry on the back analysis and see if i can improve QFDuc in priority

 

[Warr87]

another bloodbath day, worse day ever for my systems...

Since our exchanges last week, I worked and refined 2 of the systems:

1. DL Guppy with changes which seems to bring consistency and better outcome; overall satisfied on paper

but lost 3% for the day
With 75% of its portfolio bought today and restored full size packet, all at a loss at the end of the session, not as bad as it seems; What a great timing.. it was NOT

The other daily I worked on was the Bat

1. ,FB still not satisfactory but better

Lost 2% today;

The system which really killed me today was the weekly QFDuc: 5% loss
This champion managed to get 5 of its 20 positions losing more than 9% each, on top of the smaller losses
Probably urgent that QFDuc get reviewed as it has had bad /meh meh performance since mid january
6m in a row of under performance
The only potential positive is that, being a weekly, it will not cast these loses until next week so potentially recovering..I can hope
Other systems were losing but within expected range on a down day
and yes at 11AM: my systems flat, at 3PM -5k and at close nearly doubling the losses
Overall losses of 3% so more than3 times the market;
If I match the market on the good day and do 3 time worse on bad days, no real point ...
When back home, I will carry on the back analysis and see if i can improve QFDuc in priority

for what its worth, my weekly took a massive hit today. I believe most damage was caused by SYD.

My commodities through CFDs are doing good.

My fingers are crossed that you recover some of those losses as the week goes by! Hopefully a review highlights any potential issues too.

 

[qldfrog]

another hard hit today, once again mostly by QFDuc the old system which lost more than 5%;incredibly bad as I was never suspecting it would be the system letting me down
DL Guppy no loss so very good considering a market falling 1% and a system fully invested so kudo for Guppy..and I hope the work I did this week end
QFSec and the bat not too bad with overall trend
Hope my losses cheer you up too if you have been hit

 

[Warr87]

checked my system today, and immediately thought of you mate. our systems are very correlated. what another crappy day. still 3 more days to go though lol.

my commodities remain strong. another reason why i'd love to run a proper futures strategy.

 

[peter2]

for what its worth, my weekly took a massive hit today. I believe most damage was caused by SYD.

Please explain how your weekly system was hit by SYD which has hardly moved this week (-0.8%). I don't believe it. If your "system" bought SYD after the TO news, then that's unwise, but if it did, then the price hasn't dropped much at all. SYD can't have "damaged" your portfolio at all.

My Combo portfolio (half spec and half midcaps) has lost 2% this week while the XAO index has fallen 1.6%. After four up weeks your portfolios should have gained enough to be able to lose a little when the market falls. If your systems haven't gained in those four up weeks then that's your real concern.

We run weekly systems to ignore the daily variations. Our positions sizes are smaller because the SLs are further away on the weekly charts. If you don't position size or use SLs then you spread the downside exposure across many positions.

If you're concerned by the daily variations in P&L then you're using too much risk. Lighten up and enjoy the journey.

 

[Warr87]

Please explain how your weekly system was hit by SYD which has hardly moved this week (-0.8%). I don't believe it. If your "system" bought SYD after the TO news, then that's unwise, but if it did, then the price hasn't dropped much at all. SYD can't have "damaged" your portfolio at all.

My Combo portfolio (half spec and half midcaps) has lost 2% this week while the XAO index has fallen 1.6%. After four up weeks your portfolios should have gained enough to be able to lose a little when the market falls. If your systems haven't gained in those four up weeks then that's your real concern.

We run weekly systems to ignore the daily variations. Our positions sizes are smaller because the SLs are further away on the weekly charts. If you don't position size or use SLs then you spread the downside exposure across many positions.

If you're concerned by the daily variations in P&L then you're using too much risk. Lighten up and enjoy the journey.

had to go back and look, I may have mixed it up with SYR? Either way, the majority of losses on that 1 day was from 2 different positions i believe.

my systems have gained over the past 4 weeks. overall its been good for me.

i also dont pay too close attention to daily PL. my checking is usually out of curiosity, or boredom. prob check more often these days as I am now trading a daily so I have to update my spreadsheets daily. but as you say, lighten up .

 

[qldfrog]

spent a bit of time on the QFSec and QFduc last night.was good to start afresh and check the basis etc; I added a few std exits or entry checks etc;
Same overall main ideas just refined
backtests results improving and do not seem to be too curve fitted;
Not that the last few days crash would be smooth..fair and expected but I would have had a better base to start the fall from;
And less reliance on ranking, a more exclusive buy list
I consider that an improvement;
a bit late to act on the weekly but might filter tonight the buy/sell I made with the old systems on Monday and remove /add the different picks without waiting for the Friday close..why wait longer ?
I surprised myself at how cold headed I am considering the number involved: stupidity or maturity..who knows.I do not expect a great day today...

 

[Warr87]

how did you go mate?

It's friday so I'm doing a check, and I'm finding almost all of my open profits gone (all but a few hundred $). Can't always be a win, but this seemed to be particularly brutal in my case. Hope you held up better than myself!

 

[qldfrog]

how did you go mate?

It's friday so I'm doing a check, and I'm finding almost all of my open profits gone (all but a few hundred $). Can't always be a win, but this seemed to be particularly brutal in my case. Hope you held up better than myself!

absolutely horrendous..XNT down 2% so could never have been great for my systems
here is the tally, no real improvement after the massacres on Monday Tuesday,
And as expected the weekly are absolute destruction:
Dailies:
Flying bat: -$2.2k or -4% now 23% invested
Guppy:-$2.1k or -4.5%
more disappointing:
volatility US:-$0.5k or -3% ->negative for this financial year
volatility ASX:-$2.7k or -5.2% back to $0 for this financial year

and the weekly system disasters:
QFSec as a new kid in the block:
-$4.4k or -5.9% with still 70% invested
and keeping the worst for last:
no typos:
QFDuc
-$11.9k or -12.6%; 90% invested

overall:
-$23.8k or -7.5% for all systems with the 2 weekly systemscontributing to 2/3 of losses
I have worked on these 2 last systems this week so can now compare both of these what the loss would have been with the new versions and check the status vs code.
the new version will only start on Monday
As the overall Frog losses (systems plus stock exposure asx/US) is "only a 20k loss for the week, it means the investment portfolio and currency exposure managed to gain nearly 4k in the last week;
probably the USD vs AUD gain.
even if stop loss exitsactivated on many of my investor stock and saw me leaving positions in BPT,OZL,S32 and IPL (but at profit);

let's now analyse if the code worked on this week would have done better.
Hope so..

 

[qldfrog]

a quick check on the weekly changes and yes we would have been better off with the new versions..not surprised but good check;
I also had an idea I worked on last night: I have 2 daily based on different strategies, what about a Mother Of All amalgamation of both?
It goes against the simplicity is best mantra but why not try:
the results: MOA FB better than FB, doubling performance on long term with similar drawdawn, and a different equity graph, a better one but it is subjective
DL Guppy is still better but I want to spread risk/behaviour so planning to switch from pure FB to MOA FB;
FB code still in , but supercharged with Guppy subsets, not all kept...
These would have increase the profit buffer and so would have kept a profit for this financial year ...
time will tell

 

[qldfrog]

a quick check on the weekly changes and yes we would have been better off with the new versions..not surprised but good check;
I also had an idea I worked on last night: I have 2 daily based on different strategies, what about a Mother Of All amalgamation of both?
It goes against the simplicity is best mantra but why not try:
the results: MOA FB better than FB, doubling performance on long term with similar drawdawn, and a different equity graph, a better one but it is subjective
DL Guppy is still better but I want to spread risk/behaviour so planning to switch from pure FB to MOA FB;
FB code still in , but supercharged with Guppy subsets, not all kept...
These would have increase the profit buffer and so would have kept a profit for this financial year ...
time will tell

So tomorrow will see new versions starting for weekly ,moa FB and small tweak only guppy.
After all these exits, it is nearly a start from scratch on monday morning and mainly no buy mode on by now

 

[martyjames]

Hi Frog, are you trading and daily momentum systems? There have been some real flyers in last month (eg Lithium stks etc) - have your systems caught any of these shorter term big moves?

cheers

 

[qldfrog]

Hi Frog, are you trading and daily momentum systems? There have been some real flyers in last month (eg Lithium stks etc) - have your systems caught any of these shorter term big moves?

cheers

Yes weekly and daily, but the losses were bigger than the win ultimately.
Last week losses while very harsh..were kind of ok,can be expected but the underperformance before are the actual worries.
The changes which will start this week should hopefully help significantly..but if the market goes down, i will go down ...
System like my weekly qfduc became complacent 2nd half of 2020, any dead weight could fly, and so was mine so all happy..but that is when i should have acted.not a year later.
Anyway, as long as i do not repeat the mistake.

 

[qldfrog]

interesting , both @peter2 and i mentionned it but while the market is chaoc, I have found one pretty good prediction:
my portfolio at close will be around 1% below its 2PM value;
was hitting like clockwork last week: small loss stable till lunch 2pm , increasing b closure;
yesterday
+$1.4k profit down to $400 loss roughly 1% of invested funds and today again
$2k to $2.4k profit closing to $500 profit for the day..
should we read something there?: is itsome ramp up for big players exit?
Anyone else experiencing this and what is the lesson to take from this behaviour?

This is with small caps play, my investment side is more stable with more ASX 200 stocks and kept the profits today