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Weekly Portfolio - ASX

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Warr87

Joined
28 June 2019
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Trade Plan:
Goal - to be consistently profitable trader (and to survive).
Entry/setups - Simple EMA Cross. Only stocks that trade between $0.20 and $3.00 are included in scan. To buy on open on Monday.
Scans- Using AB to scan market EOW.
Money management / Risk management - Starting capital is $20,000. Max 15 positions with 30% trailing stop puts risk at 2%.
Exits - Exit is either triggered via trailing stop or EMA cross. Assessed EOW.
Other - Going long only. System will perform better in an overall upwards trending market.
Universe - ASX 300 (back testing has shown it should work very well on All Ords as well, though some years not so much. Restricting to ASX300 appears to produce more profitable trades in the long term. Backtesting for this year has All Ords to be very profitable in this system).


Week 1:
Trades: WPP
No other's found for this week.

Scanning for the month gives us: VEA: 27/07/19, KAR: 19/07/19, AHY, SIG, MSB: 12/07/19, AX1, VCX: 05/07/19.
 
Week 2:
WPP was bought @ $0.65 on Monday

2 Signals generated for this week:
WSA, RBL, will be bought at Monday's open.

I am still trying to find something additional to add into my system to improve it (as it's just a simple crossover right now). Backtesting with an index filter didn't help. I continue to search.
 
willoneau said:
I had RBL as a signal to buy last week at 1.40 but didn't buy it.
Click to expand...

I like RBL. Looking at my chart I can see it almost crossed over last week but didn't completely finish this until this week. It also closed well above my longer term EMA.
 
Week 3:
No new buy signals.

Plenty of sell signals, though nothing I was holding.

I also have a question for those people reading this. How do you implement your index filter in your system? Is it Index closes above an Index MA? A smaller MA above a longer MA? Closing higher than last week? Etc. I'm interested in how other members implement the filter into their system.
 
Warr87 said:
Week 3:
No new buy signals.

Plenty of sell signals, though nothing I was holding.

I also have a question for those people reading this. How do you implement your index filter in your system? Is it Index closes above an Index MA? A smaller MA above a longer MA? Closing higher than last week? Etc. I'm interested in how other members implement the filter into their system.
Click to expand...

Hi @Warr87

If you search my ‘Dump it here’ thread & posts by ‘Skate’ you will get at least 14 posts I’ve made about Index Filters

Index filters are very common in trading
An Index filter is the most common way to gauge if the market index is moving higher or lower and the filter comprises of a “simple moving average set against the index and time frame you are trading”

The answer you are seeking to your question is found here:
https://www.aussiestockforums.com/posts/1010779/

And here: https://www.aussiestockforums.com/posts/1010780/

But what I’m suggesting is for you to read all the post I’ve made about Index Filters to get a feel how to implement one that will be beneficial to your trading style & the type of strategy being used.

There is not one Index Filter that suits all strategies.

Skate.
 
Week 4:
Buy: IFN, SCP

Sell: No sell signals.

Current portfolio: WPP, RBL, WSA, IFN, SCP

Had a bit of time to play around with index filters. Had some success. Still working through it all and hope to do a wide range of testing this weekend with time permitting.
 
So I was doing some backtesting with index filters which went alright. I then decided to buy historical data from premium data. This is my system with an index filter on the ASX300, Index Filter XKO:

upload_2019-8-24_14-15-8.png

I am also noticing a difference in some of my numbers from the data I downloaded with AQ from Yahoo.
 
Warr87 said:
Trade Plan:
Goal - to be consistently profitable trader (and to survive).
Entry/setups - Simple EMA Cross. Only stocks that trade between $0.20 and $3.00 are included in scan. To buy on open on Monday.
Scans- Using AB to scan market EOW.
Money management / Risk management - Starting capital is $20,000. Max 15 positions with 30% trailing stop puts risk at 2%.
Exits - Exit is either triggered via trailing stop or EMA cross. Assessed EOW.
Other - Going long only. System will perform better in an overall upwards trending market.
Universe - ASX 300 (back testing has shown it should work very well on All Ords as well, though some years not so much. Restricting to ASX300 appears to produce more profitable trades in the long term. Backtesting for this year has All Ords to be very profitable in this system).


Week 1:
Trades: WPP
No other's found for this week.

Scanning for the month gives us: VEA: 27/07/19, KAR: 19/07/19, AHY, SIG, MSB: 12/07/19, AX1, VCX: 05/07/19.
Click to expand...
Great plan description, although IMHO you should have a confirmation for your Cross. To help reduce wipsaw entries and improve win rate.
 
willoneau said:
Great plan description, although IMHO you should have a confirmation for your Cross. To help reduce wipsaw entries and improve win rate.
Click to expand...

I agree. I would like something else to help confirm my cross. I am also thinking of adding in a stale exit and changing trailing stop based on index performance (@Skate ).

I've seen some code on this but not sure how to include it into my system right now. Plan will be to set initial trailing stop as 30% and when index is down to tighten it to 20 or 15% (will test a few numbers). Will also work through some numbers for a stale exit too. Not sure if it will improve things but will test it out none-the-less.
 
Week 5:

No buy or sell signals for my portfolio.

Will give more of an update later in the week with time permitting.
 
I promised to give an update and instead I missed out even on posting last week ... needless to say some things came up and I haven't had the time to post. Unfortunately life got in the way.

Week 6 & 7:
Sell: WPP @ 0.55 (Still above ISL, however EMA crossed back over). 0.5R loss.

No other buy/sell signals. Pretty quiet unfortunately. Still 4 other positions still open (RBL, WSA, SCP, IFN).
 
I'm a bit shocked this works. Did some sceptical backtesting and there do seem to be robust parameters that consistently give profit, and ASX300 seems superior to All ords or ASX200. And moving average crosses are supposed to be long dead!

All the best with your strategy :)
 
Newt said:
I'm a bit shocked this works. Did some sceptical backtesting and there do seem to be robust parameters that consistently give profit, and ASX300 seems superior to All ords or ASX200. And moving average crosses are supposed to be long dead!

All the best with your strategy :)
Click to expand...

Thanks Newt. I'm still always a little shocked that it is working. The EMA crosses are simple but as you said, some do consistently give profit. I know different combo's would work well against other universes too. I have found that my combination works well with the ASX300.

Week 8:
Operator error has caused some mistakes. Entirely my own stupid fault. I bought historical data from Premium Data and in doing so had to change how I referenced indexes in my code (Using free sources such as Google you had .AX or ^ infront of indexes, as opposed to premium data). Long story short, I missed a bunch of buy signals because nothing passed my index filter with incorrect references to the index.... But I guess this is why we do paper trading first so when I make this mistake it doesn't cost me.

What I should have bought: MSB from last weeks scan, and MYR from the week before.

Buy Signals for this week: CDD, HT1. Will buy on Monday's open.
Sell Signals: Plenty, but none for my portfolio.
 
Newt said:
I'm a bit shocked this works. Did some sceptical backtesting and there do seem to be robust parameters that consistently give profit, and ASX300 seems superior to All ords or ASX200. And moving average crosses are supposed to be long dead!

All the best with your strategy :)
Click to expand...

I think the value filter $0.2-$3.0 will play an important part. When combined with the ASX 300 it amounts to less than 100 stocks when I did a quick screen. (c.f 206 stocks in All Ords and 40 in Asx 200)
For me things to consider
1)Haven't backtested the rules my self but if there is big difference in ASX 300 and All ORDS results I would be a bit concerned about whether the system there is risk of over fitting.

2)As Newt says "Moving averages are supposed to be long dead!" I guess never write anything off. This recent episode of chat with traders with Nick Radge actually touches on the idea that old ideas can sometimes be rehashes in different settings. Nick mentions how trend strategies seem to work better in longer time frames in recent times.
 
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