qldfrog weekly Skate inspired system

[qldfrog]

another short volatile week again
The market fell and the xnt fell by 0.51%

Mr Skate Platinum: +$413 or +0.82% back in the black.
Mr Skate FB: -$2.2k or -4.8% outch
My systems:
PBB :-$1.9k or -3.97%

MOA not invested:
-$425 or -0.8%

weekly BO 48% invested: -$0.66k or -1.74%

QFsec: fully invested -3.25k or -5.58% pathetic....

overall: -$8k so -2.75% ooooutch

 

[qldfrog]

Have to do it don't I:
another doom week again
The market fell and the xnt fell by 3.08%

Mr Skate Platinum: -3.5k or +7.36% outch
Mr Skate FB: -$2.2k or -5% outch
My systems:
PBB :+$1.3k or +2.6% great gain on MMG now sold, AR1 and OZM..not bad for a 10 position system but the rest did hurt.still in red since inception

MOA not invested: $0

weekly BO 48% invested: -$1.1k or -2.8%

QFsec: fully invested -4.3k or -7.8% pathetic this is a lost cause

overall: -$10k a round number...so -3.5% in perspective not so bad but still bloody hurtful as added to 13.5k lost on other market investment mostly due to PM falls and other discretionary shares falls;

 

[Warr87]

I think it was a painful week for most, mate.

 

[qldfrog]

Where are we today:
XNT down -1.6% so not that bad actually

Mr Skate Platinum: -0.62k or -1.34% fair
Mr Skate FB: -$3.36k or -8.34% outch
My systems:
PBB :-$1.4k or -3%
MOA not invested: $0

weekly BO 8% invested: -$1.55k or -4.3.8%
QFsec: 17% invested +3.6k or +7.1% great news but mostly with a 5k profit with GAL

overall:-$3.35k or -1.2% so reasonable outcome especially with a bad hit on FB

 

[qldfrog]

A good week looking at my reduced FY losses but what about the systems?

XNT up +1.1% this week;
a week when the US market has had its biggest day fall since covid crash and yet:
we Aussie are unstoppable


Mr Skate Platinum: no stock, unchanged
Mr Skate FB: +$0.7k or +1.8% good
My systems:
PBB : back to 62% invested +$3.6k or +7% YES!!
MOA not invested: $0

weekly BO 6% invested:+$277 or +0.77%
QFsec: went cash 0% invested +$92 or +0.17%

overall:$4.65k or 1.6% so good outcome seeing how we are now 82% cash for the systems

 

[qldfrog]

Not as good a week

XNT up +.054% this week;

Mr Skate Platinum: no stock, unchanged
Mr Skate FB: -$0.7k or -1.7%
My systems:
PBB : -0.9k or -1.8% NO! still above xnt since start
MOA not invested: $0

weekly BO 25% invested:-$670 or -1.9% disappointing
QFsec:not invested: $0

I restarted this week my ASX daily volatlity.$50k, daily run
I have the time again to do that but just went wrong nearly every day NOOO
Thanksfully a last minute catch up today reduced the pain
DL asx volatility -$745 or -1.58%

overall:-$3k or -1% disappointing

 

[qldfrog]

Let's talk heresy:
One of the key rule of nature/science for stability of any system is a feedback loop;
So more rabbits on an island, more fox as the food supply increases and this reduces the rabbit population soon;
In mechanical systems, you measure the speed to regulate it, in electronic/electric system, you connect a feedback loop and component;
I expect the same in a trading system;
But with system trading automation, what do you use?
past trend ROC, MA crossings, some ejection mechanism under index strains
I always though a ML could self adapt better to a chaotic volatile world but i have no time for developing this from scratch

As an amibroker person, I design systems with parameters
then run these systems against past data
and twist the parameters to ensure I have lower DD,
stable great results and so can expect a statistically good chance of earning above index returns.

Generally, these periods of back test are in years, decades for some schools and try to produce Holy grail systems,
working well under all conditions, etc
What is missing is a feedback loop;
Should not an optimal system be learning from recent past and adapt, morph to suit latest characteristics of the market;
If we do not have a ML platform, could not the answer be:
a recomputing of these optimum parameters with the flow?

A purposely re-tuning of parameters probably weekly for a daily system, looking back at the last 2/3 weeks of trading.
we would start from a previously verified system, ideally with few parameters and optimise/reoptimise these weekly.
And yes you want overfitting there
Obviously, impossible to BT such a system..well not really impossible but not easy to backtest..yet what do we trade for?
Backtest matching accuracy?
Or profit!!!
After all, this is the way non system traders work, they get the latest inputs and slightly modify their decision making process all the time
So has anyone played/or is running such a system?
->weekly optimisation of parameters on a daily system

 

[investtrader]

What you are looking for is the holy grail. Good luck with that.

 

[qldfrog]

XNT up +0.8% this week;

Mr Skate Platinum: no stock, unchanged
Mr Skate FB: -$1.4k or -3.6% outch
My systems:
PBB : -$1.1k or -2.3% still above xnt since start but in slight DD
MOA +$1.6k or +2.9%
weekly BO -$41 ,flat
QFsec:not invested: $0
ASX daily volatlity. +1.5k or +3.25%

overall:-+$600 or +0.2% disappointing as below XNT but still some profit

 

[KevinBB]

So has anyone played/or is running such a system?

I regularly speak to a person who runs a futures system that changes parameters according to certain rules. The whole thing is rules based, so not discretionary. He does very well.

KH

 

[qldfrog]

What a week:
the xnt lost 4.2%
USD exposure and non system investments including put options allowed the frog to finish flat but not on systems:

Mr Skate Platinum: closed this week, no extra loss
overall lost on that system 7.45% since November 2021
Mr Skate FB: closed this week, lost extra 200$,
overall lost on that system 22.5% since january2021

My systems:
PBB : ugly -$4.8k or -10.8% now in DD absolutely hammered
MOA -0.4k or -0.66%
weekly BO -$0.5k or -1.52%
QFsec :not invested: $0
ASX daily volatility. +0.6k or +1.2% and a human error costed me more than $1k on that one: being daily increase the probability of error drastically vs weekly

overall:-$5.3k or -2.35%

 

[qldfrog]

Another eventful day.
By tonight just got 30k invested in systems...
This morning was interesting, the ASX was going to fall big.
What doI do?
I had quite a few sales planned but also a dozen shares on buy based on 2 remaining engaged systems, i could:
can the lot, act as if nothing had happened or implement a half baked approach.
I chose the later,
i did not change my sell order and most went thru at open, a few had a costly deep fall at open and had to be manually sold early afternoon and i still an unsold packet tonight
For the buy orders, I reduced this early morning the buy limit to be latest share price -5% or more..
I got all my buys fulfilled..got a loss tonight but lower that if i had followed my usual process, and we will check on Friday if the move was good.

 

[qldfrog]

OK: end of the week and my son asked me:
Are we there yet...and I replied..not yet, not panicky yet and next week will see the BTD victims back in charge for a couple of days;
XNT fell a heavy 6.6% over the (short ) week..outch
I encurred heavy loss when selling at open and later on Tuesday

My systems:
PBB : ugly -$3.6k or -8.9% nearly OK vs XNT :-(
MOA: not invested: $0
weekly BO 28% invested only lost $1.5k or -4.54%
QFsec :not invested: $0
ASX daily volatility. +$3.1k or +6.4% ..that system really enjoyed the week

overall is sadly still negative for the systems:-$2k or -0.85% even with the volatility system flying
With systems currently 88% in cash overall.

 

[Warr87]

OK: end of the week and my son asked me:
Are we there yet...and I replied..not yet, not panicky yet and next week will see the BTD victims back in charge for a couple of days;
XNT fell a heavy 6.6% over the (short ) week..outch
I encurred heavy loss when selling at open and later on Tuesday

My systems:
PBB : ugly -$3.6k or -8.9% nearly OK vs XNT :-(
MOA: not invested: $0
weekly BO 28% invested only lost $1.5k or -4.54%
QFsec :not invested: $0
ASX daily volatility. +$3.1k or +6.4% ..that system really enjoyed the week

overall is sadly still negative for the systems:-$2k or -0.85% even with the volatility system flying
With systems currently 88% in cash overall.

Just a brutal week for most I think. Even my shorts didn't do well.

 

[qldfrog]

Time flies and the XNT went up 1.6% this week..no such luck for me:
Losses on the overall portfolio due to currency play and gold /PM levels
For the systems:
PBB : flat +$44 only 21% invested
MOA: not invested: $0
weekly BO 14% invested only gained 272$ or .8%
QFsec :not invested: $0
ASX daily volatility. no play this week so $0

overall +0.3k or +0.13%
Flat
With systems currently 94% in cash overall.

 

[qldfrog]

Time flies and the XNT went up 1.6% this week..no such luck for me:
Losses on the overall portfolio due to currency play and gold /PM levels
For the systems:
PBB : flat +$44 only 21% invested
MOA: not invested: $0
weekly BO 14% invested only gained 272$ or .8%
QFsec :not invested: $0
ASX daily volatility. no play this week so $0

overall +0.3k or +0.13%
Flat
With systems currently 94% in cash overall.

One point worth noting:
My systems have 2 packets of COE..which fell heavily last week and lost nearly $1.5k.
That single holding and the heavy cash allocation really affected last week overall results.

 

[qldfrog]

The EOFY:


What is this?
that is the minimum amount of paper printout and chess statements I am required to keep after a year of trading:
31kg of it to keep for the next 5y added to nearly 200kg of destroyed Borneo rainforest in the shed.
This does not includes div statements or the welcome letters from Links or Compushares which go directly to the recycle bin after shredding and I have all electronic communications activated ASAP

Mr Orangutan is thanking our system
-> around 3900 buy and sell trades so $8k or so of brokerage at $10 a pop.
for a 6 figure loss in the FY.
No good news for Mr tax man..but not great either for the Frog
Luckily, we are getting mandatory disintegrating cardboard straws with our cocktails to save the planet.
I now understand the relative attraction of IB/Saxo where you can fully rely on a 3rd party for the storage of your trades.
Obviously I record and use a cloud backed up electronic file to keep track and fill tax returns etc...
Let's go back to our systems in the next post

 

[qldfrog]

So let's start the new FY

XNT down -0.5% this week

My systems:
PBB :flat 30% invested but just enough gain for half a cappucino
MOA went back in 30% invested $229 gain or +0.4%

weekly BO 21% invested: $22 gain or +0.66% but pending distribution of $150 or so
QFsec: full cash, no trade
ASX daily volatility. reentered and lost 6.8k or -13.2% but pending a distribution of $4.5k so that is a more reasonable -$2.3k or -4.6%
overall after correction of pending distribution:
:-$2k or -0.9%

Have all a happy new financial year..
I will check the results in the last FY and try to post a summary, will not be nice.What will be important is the results postfix of my data issue so the last 6 months




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[qldfrog]

The Frog systems for the last 6 months.
Not trying to hide abysmal results in the first half of FY 21-22 but these systems and the running data used were all based on wrong data .
I lost a bucket due to that ->This was corrected at the end of 2021 and 1/01/22 was a new start.

Weekly PBB :started 19/04-> -18.6%
tracking XNT roughly:


Weekly MOA started 21/01
+8.7% beating XNT


Weekly BO started 8/11/2021
-32% ouch

Really have to consider if i should still run that one but last few weeks were not too bad yet invested
----
Weekly QFSec
Started mid 2021
Since 01/01/2022 -18.3% vs XNT -10% on the same period
Not a good look at all, I should ditch this


ASX daily volatility: started mid 2020 but with numerous interruptions..From its design, was not affected by my data issue...
Was last restarted 22/05/22 +6% in the last month and a half

Should carry on as beating the XNT on the last 2 years ..just a bit demanding time wise and sometimes investing against my best opinion..but results are here

---
we also have closed Mr Skate Platinum and Flying bats whose own implementations lost respectively 7.5% and 22.5%. Timing was not suited

US Daily volatility close mid february lost 7% on the year..I will not pursue
DL Guppy closed mid february flat since start of year...
DLBO started end december 2021, ended february with a 2% loss..beating XNT but a lot of work

will not pursue with daily systems overall..too much effort and a wrong meeting or appointment time and you lose it all
Volatility small cap ASX made $50 profit..a daily system..I stopped as my $50 profit was after paying $260 of brokerage,24 trades and daily work...not worthwhile

QFDuc was ended after discovery of data error:
Daily MOA same.

overall I lost a 6 figure amount on systems.Systems are more than 90% of my trading loss this FY ..
And only 27% of these losts resulted from my systems since January which is room for hope.

 

[qldfrog]

my next step is to compare these real life results vs AmiBroker Backtest, and determine which system i should keep running or stop.