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Weekly Portfolio - ASX

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qldfrog said:
Spread the word.buy on Monday
While you and i sell...
Another bloodbath in the US last night
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I agree! Let's do this, lol. I think the majority of weekly system traders will be offloading on Monday while shorter term swing traders or shorter term systems in general will probably go in the market to buy. One can only hope that it cancels everything out, haha.
 
I have all but 1 of my fills as of today. I usually leave my orders good until wednesday, but my current ones are good til canceled. If I don't get my fill by the end of tomorrow I'll chase. It's been close to my limit order anyway so I'm not that worried about it.

On other news, I added in some more money as planned (had planned this before the coronovirus kicked off). Hopefully it will work out well with any rebound that comes along.

Time will tell.
 
qldfrog said:
I think i saw a dead cat bouncing yesterday:-(
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Haha yea. Probably was. I certainly hope I can still get my last fill.

I wouldn't be surprised if this week is down, or flat, and we drift a bit further down before the market rallies. But who knows, will watch and wait. I just want to survive long enough to exploit my edge ;).
 
My final sell didn't get filled. I lowered it and I will check it during the day to see where it's at. I wont lose much by the adjustment I have made.
 
Not playing the smartass but i invite you to reflect on the following
Warr87 said:
I wont lose much by the adjustment I have made
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You made the adjustment and based on this will not lose much.i think it is fundamentally a wrong mindset
The market is in charge not you.
If I say, i put a sell on my bhp at $200 a share and will make a nice profit, how would you react?
Share could open down 20pc tomorrow.. who knows ..not me!!
I hope you understand my point
And hopefully your sell will be activated:xyxthumbs
 
Week 6

Buy: none (index filter)
Sell: WJA, AVZ, ADH, JLG (all index SL)

Index down -3.4% this week. To put it in context, the XAO ws 7121 the first week I started and is now 6287 (-13.27%).

Index filter remains on as the XAO went down again this week. It seems I chose one of the worst times to start my system as I started a few weeks before this crash has happened (just enough time to get a full 20 positions). This will bring my consecutive loss right up, and further expand my draw down. At the moment I only have 3 positions that have survived the down market and my tightened SL. Hopefully they wont get stopped out next week.

Psychologically: I was able to shake off last week, but the further down trend is certainly shaking my confidence as I see my money disappearing not long after I put it in. I will keep trading. The fact I am going to have more consecutive losses than my system tested for is not good. However, I don't know of many systems that would have been able to predict the current market downtrend. At least I know with my market filter I wont be opening any more positions and will be there to take advantage of any momentum after this downtrend is over. While my MAP strategy is a trend following strategy, it does do well in slightly sideways markets, so at least I know after this downward trend I should be ok. Hopefully my first year wont be a negative year.
 
Only 1 position got a sell. Like last week, I will keep my orders in and if they aren't filled by Wednesday I will chase.

It's sad to see the markets driving down again today. It's also sad to see my account balance, especially given I have added money to it. Hopefully in 6 months I will look back and laugh at my draw down and look at how far I came up since then. Even in my 2011 backtest prompted by @Skate, my system works.

I keep soldiering on.

In other news, I have been paper trading using pepperstone demo account using d1 candles. Was in a 12% draw down but now, I'm at +20% or so. I was short some crypto, and long a few majors in FX. Few of my positions are up 300-500 pips each. I was just paper trading a 5/10 EMA crossover with an ADX filter. Still not sure its a good system, but I wanted something that I could spend 15mins at the end of each day on. This market has given a number of people plenty of opportunities, particularly in some FX pairs.

I was also looking at full automation options on the weekend. Theres a few options out there.
 
Ran a backtest on the previous 6 bars to compare to my results. Backtest yielded -21%. I'd have to double check my results but it would be similar. Just another test to make sure my system is behaving correctly. Why is this important? Got to follow the system. Backtest and paper trading matched with my forward testing. Backtest and live results match. Conclusion, my system will work and I will recover.
 
I had to go chasing my sell orders today. Lost a little to slippage but not much I can do. Hoping the price rallys to get my fill may not be the best option. Micro managing positions may work to squeeze a little out but not worth it in the long run (I see it as a form of meddling with the system).

I had to fix my excel sheet as I had a few things not quiet right. I got it done yesterday and got a proper look at my draw down. Sitting at -17.5%. Will have to update with the new orders being sold. I will leave that for the weeks end review. Look at the almost instant loss off my portfolio from my system start is killing me psychologically. People have survived worse. I'm sure others on here have also suffered close to my -17% DD.

Question for those that follow my thread: Any recommendations on automating trading? I am looking at AlgoTrader that has an interface to IB. Still waiting on prices from them. This is not something I will be doing straight away, but I have always maintained I want to move into a fully automated setup eventually. This would be more to start in a couple of years, but by the time I find something, test it, paper trade to look for bugs, then I would go live (so a lengthy development process).

FYI, I had a look and it appears it doesn't cost too much to pay for a programmer to help with an IB python script to interface with the native API.
 
Warr87 said:
I had to go chasing my sell orders today. Lost a little to slippage but not much I can do. Hoping the price rallys to get my fill may not be the best option. Micro managing positions may work to squeeze a little out but not worth it in the long run (I see it as a form of meddling with the system).

I had to fix my excel sheet as I had a few things not quiet right. I got it done yesterday and got a proper look at my draw down. Sitting at -17.5%. Will have to update with the new orders being sold. I will leave that for the weeks end review. Look at the almost instant loss off my portfolio from my system start is killing me psychologically. People have survived worse. I'm sure others on here have also suffered close to my -17% DD.

Question for those that follow my thread: Any recommendations on automating trading? I am looking at AlgoTrader that has an interface to IB. Still waiting on prices from them. This is not something I will be doing straight away, but I have always maintained I want to move into a fully automated setup eventually. This would be more to start in a couple of years, but by the time I find something, test it, paper trade to look for bugs, then I would go live (so a lengthy development process).

FYI, I had a look and it appears it doesn't cost too much to pay for a programmer to help with an IB python script to interface with the native API.
Click to expand...
about DD I am seeing money hemorrhaging on both of my systems, I should have exited when I decided to wind down system2,
but instead, I wanted to let the winners run..after all, I have nearly 6 months of already running "selection"...wellllllll that was maybe a reasonable choice but not in hindsight
If it helps yes you are not the only one in DD
 
I think anyone would have done that. It makes sense to let the winners run until they triggered a sell.

Haha, yea. A few would be in a DD. I think what caught most people was the suddenness of the drop in the market. I have heard of some people who have started trading just before the '87 crash, or the 2008 GFC. Those who survive and learned have done well. Let's hope the same situation happens here lol.
 
Just keep chugging.

Long only equities systems are always going to eat it in an environment like this.

The return of classes of trading strategies has a lot to do with how many people are chasing the same returns. If a lot of participants are running momentum or trend following systems, the returns are pretty much guaranteed to be lower as they all chase the same relative strength or breakouts or whatever.

The plus for you if you keep chugging is a lot of traders get washed out or give up, so you have to compete with fewer people for the same breakouts.

Plus, I bet you, if you buy the breakouts that start when the market stops going down, they will be long term winners. The one I always think of is Apple and Amazon. In Sep 2009, just 6 months after the SPX bottomed, they were already breaking 2007 highs.
 
Thanks @InsvestoBoy . You will be right I think. Right now I am thinking about my position size shrinking meaning my returns will be lower when things kick off. But this wont be unique to me. And good point about the competition being shaken out. Some of my best winners in back testing were held for a very long time as well.

At least I haven't started my SMSF yet. That would have made me very sad if I had started that at the same time as this strategy lol.
 
My drawdown is 18% and that's not including this weeks drop, I'm not looking forward to updating the spreadsheet tomorrow.

Fortunately, I was lucky to have started my weekly trend following system in Dec 2018. I didn't go backwards much, until I went forwards.

I really feel for you Warr87, what a sh*t time to start :(

The trick is to keep your emotions in check, don't freak out and follow your plan - which you seem to be doing :)

A fully automated system would definately make times like these a bit easier.
 
yea I never got an opportunity to get forward a little bit. Got a full 20 positions then market went down haha.

I will keep following. I was alright the first week but it is definitely getting harder. Trying to keep the emotions in check. This thread helps, and I keep this here in the hope others find it helpful too to see the psychological side of trading.

I have always wanted a fully automated system. You still have to wait it. But once I start running more than 1 system, an automated setup will make it more feasible. I don't see a lot of info from aussie sites on how to go the fully automated route.
 
We're fortunate to have a decent "brotherhood" of regularly posting system traders in recent years on ASF. It certainly helps psychologically being able to benchmark both good and bad times against others here.

I'm still more confident than ever that the last few years have laid solid foundations for long term trading returns. 2020 is certainly evidence that "trading consistency" is an extremely tricky concept to pin down. You're biggest DD is always potentially just around the corner, and risk management has to be set accordingly. Back to the paperwork and records - still writing up all the trades in recent weeks for the records.....
 
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