Why isn't everyone rich trading these systems?

[Roller_1]

Okay I will show the sequence I took.

1. run exploration XKO after close on 16/06/2016 (note not before this time and no trades before)
2. result is a list of stocks that met the 3 lower lows, close above ma(100) and close below ma(5) (is that bit confusing?)
3. calculate the limit order price of c - 0.5 * atr(10) to buy today 17/06/2016
3. posted stock list with their limit orders on forum

But if you run an exploration today do you get a buy signal for MIN again even though you bought it today?

 

[elbee]

1) It is the limit order that doesn't back test true in my opinion as it buys the low often and we know that isn't possible.[/B]

If you are going to backtest this system you will need to include in your code a test to ensure the limit price is achievable on the buy day.

eg

SetTradeDelays(0,1,0,0);
Setup = BuyRule1 & BuyRule2 & BuyRule3 & Turnover;
Buy = Ref(Setup,-1) AND L <= Ref(C-ATR(10)*0.5,-1);
BuyPrice =Min(O,Ref(C-ATR(10)*0.5,-1));

 

[rb250660]

Okay I will show the sequence I took.

1. run exploration XKO after close on 16/06/2016 (note not before this time and no trades before)
2. result is a list of stocks that met the 3 lower lows, close above ma(100) and close below ma(5) (is that bit confusing?)
3. calculate the limit order price of c - 0.5 * atr(10) to buy today 17/06/2016
3. posted stock list with their limit orders on forum

I know what you did and it wasn't achievable in real life. Is that a bit confusing?

But if you run an exploration today do you get a buy signal for MIN again even though you bought it today?

 

[Wysiwyg]

But if you run an exploration today do you get a buy signal for MIN again even though you bought it today?

Of course because it meets the rules. The exploration will result only the stocks that meet the rules. LNK did too.

 

[Wysiwyg]

I know what you did and it wasn't achievable in real life. Is that a bit confusing?

LOL ... You don't understand but that is okay as I have opened the positions and will close them when their close is above previous bars close. Too simple.

 

[rnr]

Of course because it meets the rules. The exploration will result only the stocks that meet the rules. LNK did too.

View attachment 67135

You need to include some code to remove additional buy signals once you have entered a trade that hasn't exited.

 

[rb250660]

My strategies tell me the following in sequence for each trade:

Buy signal (I should buy tomorrow)
Entry (I bought today)
Hold
Sell Signal (I should sell tomorrow)
Sell (I sold today)

Maybe you should code this in too.

As rnr states, you don't keep buying into trades (as you have done) when your strategy already indicated you have an open position (unless you are scaling in, which you aren't).

 

[Wysiwyg]

You need to include some code to remove additional buy signals once you have entered a trade that hasn't exited.

Capital available would limit buying capability but ExRem would remove excess signals in the code. Not sure what the ExRem process is though. Maybe alphabetical elimination.

 

[Roller_1]

Capital available would limit buying capability but ExRem would remove excess signals in the code. Not sure what the ExRem process is though. Maybe alphabetical elimination.

you need some code either using a loop or whatever that says - only buy if rules are met and no trade is on.

My strategies tell me the following in sequence for each trade:

Buy signal (I should buy tomorrow)
Entry (I bought today)
Hold
Sell Signal (I should sell tomorrow)
Sell (I sold today)

This is good to track trades too

 

[Wysiwyg]

If you are going to backtest this system you will need to include in your code a test to ensure the limit price is achievable on the buy day.

eg

SetTradeDelays(0,1,0,0);
Setup = BuyRule1 & BuyRule2 & BuyRule3 & Turnover;
Buy = Ref(Setup,-1) AND L <= Ref(C-ATR(10)*0.5,-1);
BuyPrice =Min(O,Ref(C-ATR(10)*0.5,-1));

Yes that is a better back test procedure. Thank you.

 

[Roller_1]

Yes that is a better back test procedure. Thank you.

Where are you at with your test positions Wysiwyg?

 

[Wysiwyg]

Where are you at with your test positions Wysiwyg?

So today the trades that met the criteria. Will post the exit price (next day open price) of these 4 when their c > ref(c, -1). STO gets sold on Monday open price.

1. TWE = no buy
2. STO = buy at $4.16
3. PRY = no buy
4. MIN = buy at $8.135
5. LNK = buy at $8.14
6. CAR = no buy
7. BPT = buy at $0.62

2. STO c > ref(c, -1) = sell at open price next day 20/06 @ $4.43 for Gain of 6.49%
4. MIN c > ref(c, -1) = sell at open price next day 21/06 @ $8.60 for Gain of 5.72%
5. LNK c > ref(c, -1) = sell at open price next day 21/06 @ $8.22 for Gain of 0.98%
7. BPT c > ref(c, -1) = sell at open price next day 21/06 @ $0.67 for Gain of 8.06%

Fantastic results for a short hold but a 1.6% Index rise following entry day made a big difference. 1.6% Index down day and the results would be very different. Looking at it objectively of course.

 

[Roller_1]

2. STO c > ref(c, -1) = sell at open price next day 20/06 @ $4.43 for Gain of 6.49%
4. MIN c > ref(c, -1) = sell at open price next day 21/06 @ $8.60 for Gain of 5.72%
5. LNK c > ref(c, -1) = sell at open price next day 21/06 @ $8.22 for Gain of 0.98%
7. BPT c > ref(c, -1) = sell at open price next day 21/06 @ $0.67 for Gain of 8.06%

Fantastic results for a short hold but a 1.6% Index rise following entry day made a big difference. 1.6% Index down day and the results would be very different. Looking at it objectively of course.

Yes it has been a good month for mean reversion really!

 

[rb250660]

How are your positions today? Haha

 

[Roller_1]

Haha i only have 4 out of 20 positions in my system luckily - PLS is down about 18% at the moment...

 

[rb250660]

I sold everything I had at yesterdays close.

 

[Roller_1]

I sold everything I had at yesterdays close.

Yeh i didn't place any new orders just held existing positions.

 

[Roller_1]

Yeh i didn't place any new orders just held existing positions.

Turned out to be a expensive lesson, i think i would have preferred a loss rather than missing profits!! follow the system

 

[lftrader]

Do these Amibroker exploration generate correctly the signals if they are for the next open?