Weekly Portfolio - ASX

[qldfrog]

Yes just do a
Buy = Buy AND Open<=BuyStopPrice

Sorry just noticed already there suggestion..
The other point to be aware of is that your 3pc margin on buy or sell order might be rejected.. especially after rounding if deemed too far from expected open price.
And be aware that the same rejected price might be accepted, still before opening, a few min later...

 

[Warr87]

I get no change using the following:

// buy on the next bar
Buy = Ref(MapBuyCondition, -1);
BuyStopPrice = Ref( Close, -1) * 1.03; // 1.03 is 3 %

// now we check if buystop was hit
Buy = (MapBuyCondition AND PriceF AND Index_UP) AND Open <= BuyStopPrice; // Was H is code and changed to Open

// if Open price is above the buystop, then we use Open for entry
BuyPrice = Max( Open, BuyStopPrice );

Something to look into.

 

[qldfrog]

I get no change using the following:

// buy on the next bar
Buy = Ref(MapBuyCondition, -1);
BuyStopPrice = Ref( Close, -1) * 1.03; // 1.03 is 3 %

// now we check if buystop was hit
Buy = (MapBuyCondition AND PriceF AND Index_UP) AND Open <= BuyStopPrice; // Was H is code and changed to Open

// if Open price is above the buystop, then we use Open for entry
BuyPrice = Max( Open, BuyStopPrice );

Something to look into.

BuyPrice = Max( Open, BuyStopPrice ) is wrong.you buy at the open in that case as it is within range to remain an active buy

 

[Warr87]

Handling limit orders in the backtester

www.amibroker.com

Googled limit orders for AB. The link above is very similar to the post from @Trav.

I corrected a few things and the results I got were +3% over the lsat 49weeks. Obviously needs a bit more work as that doesn't seem realistic.

Buy = Ref(MapBuyConditionFull, -1);
BuyStopPrice = Ref( Close, -1) * 1.03; // 1.03 is 3 %

// now we check if buystop was hit
Buy = Buy AND Open <= BuyStopPrice; // Was H is code and changed to Open

// if Open price is above the buystop, then we use Open for entry
BuyPrice = Max( Open, BuyStopPrice );

 

[Warr87]

BuyPrice = Max( Open, BuyStopPrice ) is wrong.you buy at the open in that case as it is within range to remain an active buy

Removed that and its now +13%.

Sells haven't been figured in. Could be a tomorrow thing if I have the time lol.

 

[Warr87]

Honestly I think it's shaping up to be just using market orders for the open may be more realistic for my system. During the COVID market crash I did manage to save a few % with my orders, but overall it may be that just making sure I enter the position at the open is the better idea.

But will see what happens with a little more testing.

 

[Roller_1]

I'm pretty sure you need to use a limit order to get into the opening auction and get the true open as per your tests. If you use a Market order you will get the first available transaction after the market opens, not during the auction which decides the true open.

Why not just place a limit buy 10% above previous close? That's what i do for both buy and sells, always get the open unless a big gap.

 

[Warr87]

I'm pretty sure you need to use a limit order to get into the opening auction and get the true open as per your tests. If you use a Market order you will get the first available transaction after the market opens, not during the auction which decides the true open.

Why not just place a limit buy 10% above previous close? That's what i do for both buy and sells, always get the open unless a big gap.

I like that idea mate. I can't remember who said it, but I remember 'market orders are for chumps', lol.

 

[Roller_1]

I like that idea mate. I can't remember who said it, but I remember 'market orders are for chumps', lol.

But a word of warning always rout the orders to ASX exchange, CHI-x doesn't use the opening auction i don't think. Once i was just using Smart routing (on IB) and something went wrong with the ASX exchange i think or with the stocks opening time and i got filled at my LMT price when selling (10% below previous close) only happened once tho..

 

[Warr87]

But a word of warning always rout the orders to ASX exchange, CHI-x doesn't use the opening auction i don't think. Once i was just using Smart routing (on IB) and something went wrong with the ASX exchange i think or with the stocks opening time and i got filled at my LMT price when selling (10% below previous close) only happened once tho..

good to know!

With the MAP strat, it's on CMC. My HappyCat strat is with IB. I actually like IB and tempted to switch everything over to IB. I like the variety of algo orders on offer and I get the feeling that order fills are just smoother with IB. Eventually I'll move to the US markets too (i'm tempted with Radge's long/short daily system actually), and IB is good for that.

 

[Roller_1]

good to know!

With the MAP strat, it's on CMC. My HappyCat strat is with IB. I actually like IB and tempted to switch everything over to IB. I like the variety of algo orders on offer and I get the feeling that order fills are just smoother with IB. Eventually I'll move to the US markets too (i'm tempted with Radge's long/short daily system actually), and IB is good for that.

I'm trading a similar style to the daily in the US but a few differences, returns are nice and smooth. Hopefully live trading matches backtests in the long run.

 

[Newt]

I'm also split between both CMC and IB. Think IB allows you to, for example, place 3 sell orders and 3 buy order on the same day and have them go off. With CMC, if your already full invested, it won't accept 3 sells and 3 buys (buys would have to be placed after sells have executed).

 

[Warr87]

I'm trading a similar style to the daily in the US but a few differences, returns are nice and smooth. Hopefully live trading matches backtests in the long run.

similar style to radge's long/short daily? i do like the synergy of that combo that radge has. would need to ensure i have available margin for it though. it's tempting. would like to hear about yours.

 

[Warr87]

I'm also split between both CMC and IB. Think IB allows you to, for example, place 3 sell orders and 3 buy order on the same day and have them go off. With CMC, if your already full invested, it won't accept 3 sells and 3 buys (buys would have to be placed after sells have executed).

CMC is alright. But the lower commissions, 9 accounts under 1 master IB account, and the order placement like you mention, certainly gives it more appeal even if you aren't taking advantage of the API. Though I originally went for CMC over IB so I would still have the shares registered under my CHESS. That being said, I am so entirely sick of the mountains of useless mail I get related to CHESS holdings. Essentially junkmail.

 

[Newt]

In no hurry to close CMC as like to be a bit diversified across brokers and may one day get into using the API and other markets IB offers.

Amen to the paperwork issue. Also worried initially about IB being outside CHESS, but way over that now - constantly trying to figure out which registry is involved for a new position, update dividend payment info for those that don't do it automatically - then the paperwork from both CHESS and the registry. Versus on demand electronic reports from IB = zilch paper!

 

[qldfrog]

I'm pretty sure you need to use a limit order to get into the opening auction and get the true open as per your tests. If you use a Market order you will get the first available transaction after the market opens, not during the auction which decides the true open.

Why not just place a limit buy 10% above previous close? That's what i do for both buy and sells, always get the open unless a big gap.

Mentionned before but some brokers wl not allow that, even the 3pc around close price is sometimes rejected by bell direct in my case

 

[Roller_1]

similar style to radge's long/short daily? i do like the synergy of that combo that radge has. would need to ensure i have available margin for it though. it's tempting. would like to hear about yours.

I don't know the rues of the strat that he sells and no doubt its probably better than mine. I'm not using leverage either, 5 longs and 5 shorts @ 10% of account each. I built it in RT, i also tweaked my MR in RT after moving across from Amibroker

You're right though about his diversification of strategy types, i'm following a similar path after getting hit of a 25% DD in March. I realized i need more strategies. I'm running 3 different ones now

 

[Warr87]

I don't know the rues of the strat that he sells and no doubt its probably better than mine. I'm not using leverage either, 5 longs and 5 shorts @ 10% of account each. I built it in RT, i also tweaked my MR in RT after moving across from Amibroker

You're right though about his diversification of strategy types, i'm following a similar path after getting hit of a 25% DD in March. I realized i need more strategies. I'm running 3 different ones now

I was papertrading a daily strategy in an attempt to diversify. Have to remember though that any long equities strategy is going to be fairly correlated. Adding a shorting component is good. In my experience the shorting strategies just lose me money. Some people do it well, I haven't been able to pull it off even in simulation. I imagine the US market offers more opportunities though. Not only with more shortable stocks but just more opportunities in general. I think the US will probably have better shorting opportunities but until I upgrade my norgate to include US I guess I wont know, lol.

Diversification can also come in different markets. If you had the capital, no reason why you couldn't trade in the europe market too. Will be a long time until I have the capital to even think of going outside of Aus or US, lol.

 

[Roller_1]

Diversification can also come in different markets. If you had the capital, no reason why you couldn't trade in the europe market too. Will be a long time until I have the capital to even think of going outside of Aus or US, lol.

That's the issue isn't it, too many ideas not enough $$ lol. I am maxed out at 3 strategies atm

1 weekly trend on asx, 1 asx MR, 1 US short term.

Hopefully by the end of the year i'll be able to introduce a US momentum

I haven't even looked into shorting on the ASX liquidity on the long side can be bad enough for short term systems

 

[Warr87]

That's the issue isn't it, too many ideas not enough $$ lol. I am maxed out at 3 strategies atm

1 weekly trend on asx, 1 asx MR, 1 US short term.

Hopefully by the end of the year i'll be able to introduce a US momentum

I haven't even looked into shorting on the ASX liquidity on the long side can be bad enough for short term systems

hahaha, yup. waaaaay to many ideas and not enough capital. I had to stop a while ago with codingnew systems. Had a few ideas going that were testing well. But I don't have the money to trade them. I can dust them off when I have more money but no point spending hours designing a system I can never trade.

I have my super account trading a monthly momentum. trading the week asx here. i stopped papertrading the daily asx because of time constraints. instead of the daily i could go US. I've also never gotten a MR system to work on the asx so haven't even bothered. i may just cop up to buying radge's short term long/short and then modify as needed. it should be a tax deduction anyway. but thats probably at least 6months away.

i think a momentum style in the same vain as Clenow would work great in the US markets. I also revisit every now and then an ETF strategy based on 'The ivy Portfolio'. thats likely to be effective in the US given the availability of ETFs (i've tried on a watchlist made of just Aus ETFs but doesn't seem to work at all). the markets are big enough in the US to run a strategy like Radge's or clenow's momentum strategy on blue chip type stocks, while having another strategy aimed at those on the smaller/medium end.

Oh, and futures/commodities. I run a strategy on those right now using CFDs. If it was easier in australia to run futures strategy directly then I would, but right now I just have to rely on CFDs instead.

ahhhh, the options. at least I have places to put me equity when it grows, lol.