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Weekly Portfolio - ASX

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I think the recent DD would be hard if I didn't have others here who are more experienced and going through the same.

Consistency this year will be a tricky thing. Could be large potential once this DD is over. Could also be known as a big bear year for the market too.
 
For those that were interested, I got a response from AlgoTrader. The price they quoted me was, in my opinion, an enormous amount (particularly for someone operating at 100,000USD and under). I wouldn't consider the price of their software until I had at least 500,000. While their software does look good, you could probably stick together something with freely available python testing engines. I have also found traders/programmers who have experience with the IB API, so something purpose built can be done relatively cheap for automation.

I will probably do a system update tomorrow.
 
Week 7
Buy: None (index filter)
Sell: MAH, APD (both due to index filter SL)

System at -20.81% compared to XAO which is now at -27.39%. Officially beating the index i guess :p

I was looking at my excel sheet and saw QMS but couldn't find it in my shares account. After some back and forth and a lot of confusion, I googled it and saw that QMS was delisted. Will have to double check what the payout I got for holding it.

I ran my system but before I even double checked what sell orders I had, I saw that my SL's had triggered anyway. This was another massacre for the XAO as it lost 11.1%. It certainly has been a great fall. Thankfully my index filter has had me leaving my positions. While the market is down, and so are many markets around the world, there are some currencies that are doing very well right now. My demo account with Pepperstone is doing amazing right now.


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With fewer positions in the market I wasn't hit as hard as the overall market went down. I think this is true for a number of people on here who already had their positions sold off. As the market continues to move down those of us who are already out will be preserving our capital.

I also bought the book, "The Ultimate Algorithmic Trading System Toolbox" by George Pruitt. I wanted to buy it for a while. Looking forward to getting through this book!
 
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!
 
Also, "The Ultimate Algorithmic Trading System Toolbox" by George Pruitt is turning out to be a great book for anyone wanting to be a system developer. He even provides code that you can use to run systems in Excel if you dont want to pay for Amibroker. I'm up to the section on Python.

Highly recommended thus far.
 
Thanks for the recommendation.

I'm going to have plenty of free time so this may help keep me occupied.
Do the provided examples and ideas presented lend themselves to being coded in Amibroker?
I'm very comfortable coding if there is no ambiguity in the concepts contained in the book.
Everything can be coded IF the concepts are well presented.

I'm always trying to improve my edge.
Thanks.
 
He gives examples of Amibroker, EasyLanguage and Python. I haven't got to the appendicies yet but it contains examples. He explicitly says that Amibroker is learnt best by looking at examples. If you know how to code you will be well ahead of most.

Are you after system design books, coding for system testing, or books for ideas? I am a book worm so I tend to do reading when I can.
 
I have collected a good library over the years and was not looking for more but my interpretation of your positive comments about the book piqued my interest.
I'll check it out when I get home.
Thanks.
 
It cost me $70 on kindle. It's a little more than I usually spend but for a beginner I thought it was good. I also got some out of it too.

It probably is more skewed towards examples for VBA/Excel and Python. Even includes monto carlo python code in the appendix. But I do like the detail it goes into AB and its optimization.

Don't want to steer you wrong. Even though I am more experienced than some, I found it a good addition to my library.
 
Thanks for the honest reply.
For the business we're in $70 is nothing.
Education is everything and I look forward to checking it out. Love learning.
Thank you.
 
I agree. $70 isn't much but when I can breeze through a book in a few days I found myself spending too much money on books. I try and pace myself these days with my spending. But I'd rather give up $200 in books in tuition then run a sub-par system and hemorrhage money in the market.

I'm not sure if you have listened to them before, but I found the podcast 'Chat with Traders' to be good. From my reading and those podcasts, I got a few ideas. I now have a few systems that backtest great. As my coding skills increase I find it easier to test those ideas in AB.
 
Week 8/9

Buy: None (index filter)
Sell: last positions finally sold

I found that these last few shares (3 positions) were hard to get rid of. WJA was in the market for a couple of weeks and I saw no volume. It just sat there. Finally got a sale last week. The other 2 positions were quiet difficult. I can't get away from work to adjust my positions so I would have to check when I could and adjusted down. I probably could have been more agressive and perhaps was trying to recover more of my money. I lost quiet a bit on these ones too. Overall I have done good with getting fills but the last week or 2 have made me wonder if there is improvement to be made. At times the way I go about it has given me better fills. Hard to compare I guess. Falling market and small liquidity. Never good for anyone.

In total I have lost 23.31%. This is obviously disappointing though still within my maxDD. It could have been worse as well since each position represents 2% risk and I had 20 positions.

This weeks XAO and XAOA candles are interesting. There has been some buying pressure keeping a further freefall from continuing. Whether this is sustained, who knows. I wouldn't be surprised if it was another month, maybe 2, before I start getting buy signals. I am also confident that I can break even this year. Perhaps a tall order given where I am, but I have faith in my system.

I am also keeping things in context. I still have a job. I have known a lot, and it seems to be the norm, for people to be losing there jobs right now. Losing some money in the share market is perhaps not the greatest concern. I certainly feel for retirees and those who have lost their jobs. I'm glad I don't find myself in that position, and I am certainly lucky for that! I hope things improve for people soon!


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In other news, I haven't altered my plans for creating a SMSF to run a system on. Though which system I run, I'm not sure. I have a number of working algo's and given all the algo's I have paper traded have done better than my backtests, I am confident in my algo's performing the way they should. Any created SMSF will likely be in the new financial year.
 
Advice wanted. The following is a sample of my current systems.

Initial account size: $100,000
Positions: 20
Period: 1/1/2012 to 1/1/2017

Modified CAM (Daily)
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upload_2020-3-30_21-9-27.png
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EMA ADX Weekly
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upload_2020-3-30_21-13-27.png
upload_2020-3-30_21-14-23.png

CAM Modified (Weekly)
upload_2020-3-30_21-15-31.png
upload_2020-3-30_21-16-10.png
upload_2020-3-30_21-16-59.png

SuperTrend
upload_2020-3-30_21-18-16.png
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upload_2020-3-30_21-19-49.png
 
Plan is to run a system in a SMSF. So far I'm edging towards the Weekly EMA. I'm wondering if I run the MAP strategy if there will be too much correlation to my current MAP strat.

Will also diversify the SMSF with ETF's but in the beginning will rely on whatever system I start on.
 
Week 10:

Index filter still on. Personally I am happy about that as my worry is that there will be a bit of a whipasaw when the market rebounds. I could be wrong as I don't have a crystal ball, but I'm not sold on the fact we are at the bottom of this cycle. My MAP system does ok in a sideways market, so hears hoping we can at least get that going at some point.

On another note, hoping to look at Ernie Chan's books soon when I get some time.
 
Warr87 said:
Week 10:

Index filter still on. Personally I am happy about that as my worry is that there will be a bit of a whipasaw when the market rebounds. I could be wrong as I don't have a crystal ball, but I'm not sold on the fact we are at the bottom of this cycle. My MAP system does ok in a sideways market, so hears hoping we can at least get that going at some point.

On another note, hoping to look at Ernie Chan's books soon when I get some time.
Click to expand...
A general point coming from an ill informed person BUT
I notice you run and compare your backtest on fairly old data
Still worthwhile but 8 years ago, you had few ai systems, more discretionary system, less O/S funds.far less money invested by super and far less "free money"
Do you not question the value of backtests on these relatively old data.
None of these would be anywhere like current instability and all data was in a bull market
Good to compare in specific markets but maybe the wrong data to use and decide to trade tomorrow.i have the deep feelings system should match a time, will become obsolete and one risk is to become complacent and not renew/ reoptimise year after year
 
Warr87 said:
Week 10:

Index filter still on. Personally I am happy about that as my worry is that there will be a bit of a whipasaw when the market rebounds. I could be wrong as I don't have a crystal ball, but I'm not sold on the fact we are at the bottom of this cycle. My MAP system does ok in a sideways market, so hears hoping we can at least get that going at some point.

On another note, hoping to look at Ernie Chan's books soon when I get some time.
Click to expand...
A general point coming from an ill informed person..i mean me
BUT
I notice you run and compare your backtest on fairly old data
Still worthwhile but 8 years ago, you had few AI systems, more discretionary system, less O/S funds.far less money invested by super and far less "free money"
Do you not question the value of backtests on these relatively old data?
None of these would be anywhere like current instability and all data was in a bull market
Good to compare in specific markets but maybe the wrong data to use and decide to trade tomorrow.i have the deep feeling system should match a time, will become obsolete and one risk is to become complacent and not renew/ reoptimise year after year
 
I run all backtests against a variety of time periods. I use older data to look for a robustness and to make sure that my system has been curve fitted for more recent data. And since I want to run my systems for 2 years minimum, I also think its necessary to run it against that size of minimum data (if not longer). I will also vary the date I start so I'm not having my system being successful based off a few lucky trades.
 
And sorry for double entry..seems like phone was playing up
Did not meant enforce point x2
Just make sure you also play your backtests against the few recent periods is all i can suggest
 
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