Recent content by soren_lorensen

hey guys, just posted for comment on Nicks tweet for info/further comment etc - I though you guys would be interested.. if that post has broken any rules then i'm happy for it to be removed as necessary.. i read the posts here on nick's LKE post on twitter and thread here back a bit and was...

I'm sure Nick has pointed out on his twitter in the past that they have had some technical glithes with the US systems running overnight in the past which caused problems but not sure the extents of it to be honest. I believe the US markets have some halts based on volitility and circuit...

Thank you for running those comparisons on the 2/12/24 month backtests. The performance of the US LONG daytrade is very solid from what i can see here. What do you mean the daytrading strategies should be discounted ... "they are NOT something that come ready to run out of a box" d'you mean...

obviously he sells this product, but... open source denoting software for which the original source code is made freely available and may be redistributed and modified. i'm guessing what he actually means is the code is viewable/editable by the purchaser and not open source in the...

thanks Dave, Do you know anything about Nick's MR system, he mentions the code is open source but i cannot find any link to the source code.

Yes agree Commsec would be a bad choice for MR systematic approach I didn't redact, nick does I'm pretty sure his daily post on PnL is his whole portfolio which i think is about 7 systems or thereabouts. but it's just @thechartist on twitter

Do you use any intraday strategies? Are your systems long only? There are many intra trading opportunities to be had, especially around earnings season - now i guess most of your systems are systems i.e. systematic, but even so, there are many intra day system, mean reversion etc, have you...

okay, noted and agree - but how's your's different and what time frame/systems are you applying it to? a simple ma filter over the longer term on weekly or monthly systems is still significantly better than buy and hold, but yes there will always be lag to exit and re-enter, 2008GFC took...

haven't come in here in a while but just reading through these notes on vwap and backtesting. Skate has developed a system using Nick Radge comments on his daytrading system and getting good results. Barney added - hey use Vwap as an indicator. Vwap or volume weighted average price is mostly...

sorry meant for @pythagoras

Yes, contact the developer, they have made it available to users of the aussiestockforum for 2hrs of equivalent consultancy, i.e. about $280+GST

Yes, the commission drag is relevant to the overall performance and needs to be considered. I have a couple of systems myself that perform okay 20-30% CAGR with similar drawdowns over a 15year period backtest. One thing that would be useful is the ability to code into the system the taxes...

With the Skate "Zebra" system, you have 20x$1K parcels, if you purchase the stock on Commsec, you'd have to always do better than 4% to just make the round trip. The commission burn will be a drag, this would be effectively paying 200 basis points to buy/sell - when many brokers offer 5-10bps...

Skate, thanks for detailing, assume you trade them all on ASX only? not US or other markets? we do have good US EOD data from PremiumD and i believe they will be adding a TSX set soon (Canadian market) Your systems are day/weekly frequency trading but no automated or script running intraday...

Skate, Wow, another system churning out the goods, how many do you trade? Pity you don't have the survivorship free bias data to run a 10 or 15yr backtest.