Weekly Portfolio - ASX

The MAP strategy - Live


Week 1 - first scan run 31 Jan 20. First buys placed for 3 Feb 20
Buy: WJA, RUL, QMS, ALG, NEU, CCX, DTL, AEF

Week 2
Buy: AVZ, MAH, RMC, CL1, ADH, JLG, MSG, ORE, VRL, PAR, PPH

One of my positions wouldn't fill. I tried again and still had my open position closed. Trading was suspended so that position was never filled.

Week 3
Buy: APD
Sell: None

A number of buy signals for positions that I already hold. That is always something I like to see!

I'm up 1.1%

And the chart above

If you take dividends into account you are maybe better comparing to xaoa?
Not very important just a few % at the end of the year

That's a good point. I may add that in.

As some may already know, I have been paper trading a CAM system too (ideally for a SMSF I want to setup). When I updated it on Friday, I noticed that it is still flat. I backtested it over the last few months and my current paper traded results are similar to the backtested results. When backtested over the past year the results are 30% return. Obviously the CAM system is sensitive to relatively flat conditions. I can't get the results of @Skate and his CAM system, but I will continue to look at it to see if I can tweak it to not be so flat and be more consistent.

I also started a Supertrend (monthly) paper trade. My back test results are good so I wanted to try it out. This is another candidate for the SMSF. I tried changing the conditions to only enter if the ST started within the last couple of bars, but for some reason this harmed performance, as opposed to buying if the Close > ST. I will look at it further and see what happens. Anyone who has more experience with this, please let me know. Would be good to see how others have dealt with it.

Re your observations on CAM performance last few months, those are probably quite valuable observations for learning and experienced traders doing backtesting or testing. Strategy performance and the resulting equity curve can be quite variable according to subtle factors such as:

* Stock universe (All Ords, ASX 300, Small Ords, Full ASX, Listed/Delisted stocks, etc)
* Data providers, and their assumptions (excluding or including dividends, adjusting price for share offers, handling or not handling trading halts, etc)
* Variations in strategy coding - even small differences in interpretation of strategy intent and implementation in code can greatly affect trade selection during testing and trading
* PositionScore - even if you and Skate have identically implemented CAM using the same data provider and stock universe, its not unusual for traders to ultimately have significant "intellectual property" in scoring of stocks (for weeks you have too many coming up to trade)
* Index Filtering, variable protective stops, stale filters - similar notes to above for PS - even the most helpful trader has to limit how far they go sharing all their coding secrets and preferences.

That raises the question of competition and market efficiency. For short term traders and those employing mean reversion it might be very detrimental to suddenly be competing for orders and price against others using your exact strategy. For weekly or even daily trend following, its probably unlikely retail traders from ASF will affect price too much (most of us have tiny portfolio size to other market participants). In fact I've long wondered if its mildly beneficial for trend traders to share their strategies as it might increase the tendancy for a trending stock to continue doing so for some time - as other buy in and create my interest and hype for that stock. The risks for the "giving trader" are probably a lot less than giving out say a specific 2 day mean reversion strategy.


Because of the variablies listed above, equity curves can take on a somewhat fractal nature as you zoom in. For weekly trend trading, it might take as long as 2-3 years for your equity curve (and paper trading) to show strong similarities. Depending on what your Monte Carlo tests look like you probably already understand that luck and trade selection can results in surprising variations in equity curves for 2 traders with the same strategy (where PositionsScore etc are not implemented).

We're all keen to see some profits in real trading and paper trading, but.......
When I look at Skates CAM performance last 8 months from the Dump it Here thread, it does appear fairly linear, but if you look at last few months actual profits are in order of 3%. I've been up and down 3% over a few days lately as the markets bounced around through Coronavirus and other challenges.

I've been meaning to play with CAM again, but my original work had similar observations to yourself (quite difference performance to Skate) which I put down to lack of knowledge on my part, or any of the points above.

I agree @Newt.

I think the biggest difference with my variation of the CAM system is ranking. CAM is good finding a trend, adjusting the position score to catch the one with the highest probability of going up would maximize returns, even in a sideways market.

I think the CAM system itself can be quiet good. I added a few things which helped with my results (and as you mentioned, stock universe can be a big influence). I've used elements of it to help design other systems as well.

I also back test and compare to my paper trading to make sure that I am tracking and use it as a walk forward. Knowing that my system is performing on live data how it performed in the past, gives me greater confidence that it will continue to do so (and therefore match up to the overall backtested results).

I have also gotten a lot of coding help from people here at ASF. But obviously this is limited as you have mentioned. I also noticed that as my AB coding skills improve, my ability to implement and design half-decent systems increase. I get an idea, and at least now I can implement some basic code to test the general thesis to see if its worth developing further. The help and code-snipets from members here as definitely accelerated my learning. I've also given a few bits of my own code to others (though as you mentioned, reserve some of it for yourself as you're not going to give away your trade secrets).

I'm going to continue to paper trade the CAM system as I still have faith. It's worked for many others.

The Supertrend paper trade is just once a month so I'll continue on with that too.

Feel like an idiot, but of course the elephant in the room is what parameter values you use for any given strategy - should be prominent in list above.

There's no right or wrong implementation of any startegy, but ideally we'd all like to be in a position for robust returns and hopefully a profit over any given 12 months (or at least 2 years).

Sounds like you're having fun on the journey and learning lots...

I certainly am enjoying the journey thus far. If I can survive, and make a profit, the journal will continue and expand. This has combined my interest of computers/programming with investing.

If it helps, my cam2 ( system 2 ) has return of 50pc or so on full 2019 year yet
both actual and backtest from 08/2019 to now are really low..just above breakeven...
While my sys1 (cam too ) is good
A same base principle can have multiple outcomes

Thanks @qldfrog. That's a good comparison and something to keep in mind. And when you start can have a huge impact on the outcome too. Anything started after August last year probably has been flat or negative.

Warr87 said:

Thanks @qldfrog. That's a good comparison and something to keep in mind. And when you start can have a huge impact on the outcome too. Anything started after August last year probably has been flat or negative.

Click to expand...

And do not forget the importance of your exit/ stale criteria and or any SL

Yup. exactly. My criteria probably aren't too different, but the difference is still there.

Anecdotally, a start on 1/01/2019 vs a start on the 25th/02/19 for my system1 cost me 2 digits percentage return on the year
just for a few weeks.

It's something important to remember!

This is also the nature of trend following. A few big wins will give you the majority of your gains.

My last position is filled (APD). There is a trading hold on AVZ (up 30% from when I bought it). And an upcoming dividend payout for QMS coming up this week too.

So far it's been a good start to the system.

And given the small size of my positions my fills have been good.

Week 4:
Buy: AVH (can only put in order once CL1 settles)
Sell: CL1

at 1.5%. Tracking with the XAO. I wont consider any tracking to be indicative of my system until at least 3 months in. Only had my first sell signal today. But so far I am happy.

Need a little advice from people running a live system.

I have a sell in right now and have a buy to fill its place. Do people wait until its cleared and then put in their buy order as soon as it happens (meaning it probably wont get filled until possibly wednesday), or do you not fill this position until next week?

I try to just get the buy in after the sell ( assuming not enough funds). Sometimes it is a pain because price runs away - but I just then use a limit order equal to the open price.