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Weekly Portfolio - ASX

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qldfrog said:
Just make sure you also play your backtests against the few recent periods is all i can suggest
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I agree. I prefer to run my systems against various dates in the past before I use the last 2 years, though. If my backtest for recent data doesn't match historical data then I also know there is a problem. I personally find evaluating systems on recent data only to be unreliable.

Each to their own, though. So far my systems have matched up to their backtested results.
 
The different portfolio performances you've noticed due to different start dates is due to luck. It's just luck that sees the system buy at the start of what turns out to be a great trend. Start later and the system misses the perfect entry. A system with multiple entry strategies will produce subsequent signals to get into this trend. This is a significant factor in the performance of @Skate 's systems.

All systematic traders need to be aware of the significance of luck when they start. System traders that started their long equity systems in Feb20 got slammed. Just unlucky. When they get the signal to resume buying they'll rely on luck at the start.

System traders have the idea that when the system says go they buy as many of their buy signals as possible even if it means being fully invested quickly. If they want to reduce they effect of luck on their performances then they need to plan for it. The easiest way to reduce the dependence of luck is to stagger the starts.
 
peter2 said:
The different portfolio performances you've noticed due to different start dates is due to luck. It's just luck that sees the system buy at the start of what turns out to be a great trend. Start later and the system misses the perfect entry. A system with multiple entry strategies will produce subsequent signals to get into this trend. This is a significant factor in the performance of @Skate 's systems.

All systematic traders need to be aware of the significance of luck when they start. System traders that started their long equity systems in Feb20 got slammed. Just unlucky. When they get the signal to resume buying they'll rely on luck at the start.

System traders have the idea that when the system says go they buy as many of their buy signals as possible even if it means being fully invested quickly. If they want to reduce they effect of luck on their performances then they need to plan for it. The easiest way to reduce the dependence of luck is to stagger the starts.
Click to expand...
One other way is for the signal used to enter to be a cross more than a more than ,less than....
I hope what i mean is clear

Enters will be slower..that killed me in early 2019....
 
peter2 said:
The different portfolio performances you've noticed due to different start dates is due to luck. It's just luck that sees the system buy at the start of what turns out to be a great trend. Start later and the system misses the perfect entry. A system with multiple entry strategies will produce subsequent signals to get into this trend. This is a significant factor in the performance of @Skate 's systems.

All systematic traders need to be aware of the significance of luck when they start. System traders that started their long equity systems in Feb20 got slammed. Just unlucky. When they get the signal to resume buying they'll rely on luck at the start.

System traders have the idea that when the system says go they buy as many of their buy signals as possible even if it means being fully invested quickly. If they want to reduce they effect of luck on their performances then they need to plan for it. The easiest way to reduce the dependence of luck is to stagger the starts.
Click to expand...

Definitely agree. I started my system 30 Jan. Simply bad luck. Nothing I can do as wondering when the best time to start ... well no one knows, only in hindsight.

I also thought about restricting buy signals to a maximum per week. This was an idea a while ago. It would have saved money in the current crisis, though one has to wonder how many great trends you would also miss if you staggered them.

When peoples index filters turn back on, everyone is going to be bombarded with numerous buy signals. Will be interesting to see how that unfolds.
 
Warr87 said:
I got an email around lunch saying that my order had been placed in the market. It is concerning considering I placed this order on the weekend. The lag was unexpected.

In other news, if you are trading currencies right now, you should be having a good time. I have been trying to run a daily (d1) system on a pepperstone demo account. Started with $10,000. I tried a simple 5/10 EMA crossover with ADX to confirm. It was generally speaking, losing me money. I got down to $8800. But I also caught a couple of the big trends going right now.

USDCAD - long - +570pips
EURUSD - long - +290pips
AUDUSD - short - +350pips
Dash - short (5 contracts) - +600pips
Litecoin - short (8 contracts - +300pips

This brings my experiment to +$4800 while sitting on $9150. Believe it or not, I'm still not 100% with this system I was trying. I wish I knew how to code in C so I could actually backtest this idea and not do it as a discretionary trade. What I also learned from this is that I am not good at position sizing. I have the $10,000 account and at first was just using $10,000 for a trade but then quickly went to $50,000 per position. I lost money in the beginning as the winners were small position sizes while I lost a few at the bigger positions. Not really sure what the optimum position size would be. Even at this $50,000 size per contract the current gains are great. From -12% to what will likely be +50% is obviously good.

What I wish I had was some more knowledge in C to confirm this system with backtesting. Current market will make someone money as it is a strong and confirmed trend. Likely winnings is more due to luck.

If any more experienced currency traders have something to add, that'd be great!
Click to expand...

Try using the ATR for determining position size.
I also use it to determine initial stop position.
 
I use standard settings just need to decide which time frame you use both for ATR and entries.
 
I am in a similar boat as you as I traded FX live awhile ago without much success. But have recently gotten back involved, only demo at moment but this time using ATR for position sizing and stop.
Got the idea from Nonosense FX.
Working on a discretionary system and looking at going live when I am able to double my Capital in the Demo account if I can at all.
Also it gives me something to do while my Stock system waits.
I also like the idea that it is recession proof.
 
Mine is discretionary leaning at the moment. I want something more systematized and mechanical, but cTrader requires C programming. If I could get some data into something I am comfortable programming with I could at least develop some beginning systems. Something for me to work on when I have a little more time. In the mean time I'll continue doing what I am doing to get some bearings about what I am doing. I want some FX trading for diversification and the fact that it is scalable. I'm in no rush. (It would, however, be good given that since equities is on the downtrend, FX could provide a different avenue for some trading especially given the strong trends in the various dollars.)
 
Index is still down, therefore still no trading.

I was happy to be out, and now I'm feeling eager to get back in.
 
Current ideas and thoughts going forward.

Tempted to buy Radge's large cap momentum strategy (it is monthly) and run it as part of my SMSF when I get that up (will likely be in the new financial year). Will obviously modify it for my own means. Why buy this if I already have a number of systems, some of them monthly too? His system is proven (at least to some degree) and I will make it my own.

In my quest to find a mean-reversion strategy to compliment a trend strategy, I decided to create a daily pullback strategy. They are not the same, but I can't get any MR strategy to work on the ASX. It tests alright. This leads me to an open question: 1) is there a way to compare the correlation of your systems with AB? 2) Compare equity of more than 1 system (I'd like to see how my equity would go if, say, I put $100,000 into the monthly momentum strat and $50,000 into the Pull-back strat)?
 
The first option (using AB composite codes) just wouldn't work. I ended up going the excel route and modified it a little. I got the following the work:

upload_2020-5-3_14-48-40.png

I could save the composite codes but the 'buy and hold' part with the 2 tickers just wouldn't work. Followed all the steps but would only buy 1, not 2. Frustrating but what I got at the end was ok.
 
upload_2020-5-3_15-46-51.png

upload_2020-5-3_15-47-2.png


Not 100% that I did this correctly. The fact that I have 1 as a daily system and the other is weekly probably means I have screwed up something. However, As you can see the maxDD goes down when you include both systems at once.
 
There were a few mistakes in the above charts but nothing major. I figured out how to get the values in a weekly format even if it's a daily system.

And some more metrics in excel:


upload_2020-5-3_17-15-15.png
 
More analytics:

upload_2020-5-3_22-58-33.png

ST = SuperTrend

My pullback system has the least correlation to other systems with DD. All returns are highly correlated (they are all long only systems, though the level of correlation is still higher than I would have liked). Conclusion, they will gain around the same time though the DD appears to be at different times.

upload_2020-5-3_23-3-37.png

upload_2020-5-3_23-3-50.png
 
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