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MovingAverage

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Happy FriYay all,
So with all this recent discussion about weekly systems thought I'd share the current performance of my live weekly trades. The graph below is the unit value of my portfolio (not $$ value) and it tells a lot about how my real weekly portfolio is tracking. This is from the start of the year. You can see the Covid draw down which corresponds to an overall system draw down of around 15%. Pretty much all of that draw down has been recovered. The past month certainly has seen it's ups and downs but overall tracking in the right direction. Would love to hear how other live weekly portfolios are tracking.
Cheers MA

View attachment 107574

I'm still a cranky bastard @qldfrog
 
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@Skate I'm interested to note you're re-balancing. So am I correct to assume that if any of your open positions drop to below 5% of total portfolio value then you will buy more to get it up to 5% and that if an open position is more than 5% of total portfolio value you will sell down whatever is required to get it to 5%? I've always found this difficult to model in AB sims.

@MovingAverage, that's not what I'm talking about when I talk about rebalancing my position size.

Rebalancing is simply calculating the dollar size of the next bet or series of bets
Pyramiding works both ways, the bet will either increase or decrease according to the trading funds available.

Trading in the pre-auction necessitates dollar re-balancing of positions sizing
Re-balancing will be a direct correlation to the current trading account balance. I increase the size of the next series of bets averaged to have all my trading funds deployed in the markets. Using a (+/-) 3% premium results in "unused" fund. The outstanding funds are added to the regular bet size of the portfolio.

"Pyramiding Explanation" (positionSize)
Pyramiding "PositionSize" is a re-balancing technique to reinvestment profits. "Pyramiding (re-balancing) my PositionSizes" ensures every trading Dollar is put into the markets "to fight the good fight".

How?
Position-sizing uses the trading Bank balance to calculate the size of the next bet or series of bets. It's simply a way of putting every dollar to work.

What is the Re-Balancing Formula?
Trading Bank Balance/outstanding positions = new "PositionSize"
This will now be the new bet for each & every pending trade (the new PositionSize also calculates the number of shares to buy in the pre-auction)

Most fail to realise pyramiding works both ways
Pyramiding position sizing works for me as all available funds are constantly in the markets. Most fail to realise pyramiding works both ways. When trading is not going well, position sizing decreased because of the compounded losses, even a string of losses is reflected. But hey, when times are good why shouldn't I take advantages of these conditions & increase my bet sizes. It's the "make hay while the sun shines" theory.

The uploaded "Skates Modified WTT Strategy" has a re-balancing feature built into the "Exploration Analysis"
I've explained in a previous post that re-balancing can be done on the fly. When I uploaded the constructed "Skates Modified WTT Strategy" I explained re-balancing is done through the Parameter icon. The parameter icon is the "red circled" small [slider Box] icon on the menu bar.

How to change the parameters?
"Left-click" on the parameter icon, a list will appear so you can alter (a) "the bet size" (b) The Strategy Breakout Period or (c) change the chart style. I've decided to have a portfolio size of $100k with 20 positions = $5k initial bet size (as shown in the parameter dialogue box below - the red arrow). The parameter setting allows you to adjust your bet size on the fly. Changing your bet size is done by changing the "Trading Funds" dollar size. The strategy will automatically re-calculate the new number of shares to buy.

Position size Capture.JPG

Additional information about re-balancing
https://www.aussiestockforums.com/posts/1088002/

Skate.
 

MovingAverage

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Very interesting @Skate. For me it does beg the question whether we should ignore the many and varied position sizing strategies. When discussing strategies and their viability across different markets should we not be excluding external factors such as position sizing? Should we agree a position sizing approach that doesn't impact the output of the system? Maybe agree that system modelling/simulation are based on a fixed $100000 staring capital with a 20 position $5000 position. Exotic position sizing strategies can mask the true performance of systems. Not % of portfolio or re-balancing. Just a thought.
 
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Very interesting @Skate. For me it does beg the question whether we should ignore the many and varied position sizing strategies. When discussing strategies and their viability across different markets should we not be excluding external factors such as position sizing? Should we agree a position sizing approach that doesn't impact the output of the system? Maybe agree that system modelling/simulation are based on a fixed $100000 staring capital with a 20 position $5000 position. Not % of portfolio or re-balancing. Just a thought.

Re-balancing
Starting portfolio $100k X 20 positions = bet size $5k

If we are "lucky in trading"
Closed profits are added to increase the bet size, meaning every dollar is in the markets

If we are un-lucky & heaven forbid we lose when trading
With "closed losses", the bet size reduces as your trading funds diminish

Rebalancing your Trading funds
When you first start trading a new strategy the portfolio size is fixed. A $100k Portfolio your first 20 bets are fixed (the first 20 bets = $5k per bet) Un-used fund due to trading in the pre-auction using (+/-) the 3% premium - the funds are never fully invested meaning the original bet is never fully exercised (used). The closed profits or losses (plus outstanding funds) calculates the next bet size. Profits compound & your trading balance increases. Meaning, "closed profits" compound & to invest the extra profits the size of the next bet increases. Re-balancing my bet size is a simple strategy that works for me.

Skate.
 

MovingAverage

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Re-balancing
Starting portfolio $100k X 20 positions = bet size $5k

If we are "lucky in trading"
Closed profits are added to increase the bet size, meaning every dollar is in the markets

If we are un-lucky & heaven forbid we lose when trading
With "closed losses", the bet size reduces as your trading funds diminish

Rebalancing your Trading funds
When you first start trading a new strategy the portfolio size is fixed. A $100k Portfolio your first 20 bets are fixed (the first 20 bets = $5k per bet) Un-used fund due to trading in the pre-auction using (+/-) the 3% premium - the funds are never fully invested meaning the original bet is never fully exercised (used). The closed profits or losses (plus outstanding funds) calculates the next bet size. Profits compound & your trading balance increases. Meaning, "closed profits" compound & to invest the extra profits the size of the next bet increases. Re-balancing my bet size is a simple strategy that works for me.

Skate.
To me that is the simple % of portfolio approach. My confusion over term "re-balancing", which I understand to mean readjusting open positions to meet a requirement. All good.
 
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Hi @Skate . . . I haven't been spending as much time on the forum over the past year but have logged in again recently as time permitted as see your thread is still trending well :)

Appreciate the efforts you have made to openly share your learnings in this thread.

Skates version of WTT Strategy
Over the past few days I have spent some time going through your version of the WTT strategy and the code you have posted at https://www.aussiestockforums.com/posts/1088195/ and there is something I wish to raise or discuss in the interest of learning for all those reading.

Making use of historical index constituents
I think I raised it earlier in the thread at some point many months ago and that is to do with making use of historical index constituents whilst using AmiBroker. It may only be available to those using the platinum version of Norgate Data which I do and as I understand you don't.

Backtests with AmiBroker
I believe you have previously said backtests mean jack all. However, I am of the belief that they warrant tremendous value as they are the initial evaluation of whether a strategy warrants further investigation - in your case paper trading.

Breaking up posts
Over the next few posts I plan to show some backtests of Skates version of the WTT Strategy as generously shared in post https://www.aussiestockforums.com/posts/1088195/ showing the difference in results when making use of historical index constituents.
 
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Amending Index Filter Code
I copied and paste Skates version of WTT Strategy in AmiBroker and amended the index filter code as follows
//=================================================================================
//2. The "Index Filter" - decides when we will trade & also our trailing stop levels
//=================================================================================
Index = Foreign("$XAO","C",True);
MAfilter = MA( Index, 10 ); // 10 week lookback period
IndexBuyFilter = Index > MAfilter; // Index Filter = ON: When the close is greater than the 10 week simple moving average the Index Filter is ON [trailing stop set to 20%] + [buy + sell signals generated]
IndexSellFilter = Index < MAfilter; // Index Filter = OFF: When the close is less than the 10 week simple moving average the Index Filter is OFF [shortens trailing stop to 10%] + [only sell signals generated]

Backtest Period 1st Jan 2019 to 31 Dec 2019
For this post I ran all backtests on the period 1st Jan 2019 to 31 Dec 2019.

Backtest 1 - Skates version of WTT Strategy (after amending index filter)

The first backtest I ran is on watchlist All Ords (502 matching symbols) this is the index as it stands today.
1.png

Backtest 2 - Making use of Historical Index Constituents
Platinum users of Norgate data are able to make use of Historical Index Constituents https://norgatedata.com/amibroker-usage.php This means that before a trade is taken the software checks to see it is in the relevant index at the time the trade is entered. This backtest I ran on watchlist All Ords (502 matching symbols) but included code to ensure the stock was in the All Ords at the time the trade was entered.
2.png
Backtest 3 - Making use of Historical Index Constituents
This backtest I ran on watchlist All Ords Current & Past (2085 matching symbols). This backtest takes into account trades for stocks that were once in the All Ords but have since been removed with the condition that when the trade was entered it was in the All Ords at that time.
3.png
 
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Backtests with AmiBroker
I believe you have previously said backtests mean jack all. However, I am of the belief that they warrant tremendous value as they are the initial evaluation of whether a strategy warrants further investigation - in your case paper trading.

@willy1111, welcome back. Thank you for taking the time & effort to conduct the series of backtests on "Skates Modified WTT Strategy". The difference between the backtest results are a real eye-opener.

"I believe you have previously said backtests mean jack all"
Yes I have, many times. If you believe the backtest results you'll become a millionaire in a few short years - "but in live trading", you'll tend to struggle to achieve those results (for a variety of reasons). I trade in the pre-auction & only take the signals from the "Exploration Analysis" (#shares at the Buy & Sell offer)

Paper trading
Before I start trading a new strategy it undergoes rigorous paper trading, taking the signals generated by the Exploration Analysis without intervention.

Skate.
 
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@willy1111 Thank you.

Would you get more reliable results if you used a liquidity filter rather than inclusion in an index ?

Hi @peter2 . . . happy to run a backtest on the full asx + delisted (that is no inclusion in any index) - what liquidity filter would you like to see?

I believe the WTT Radge is displaying on his twitter feed is for the full asx, ie index inclusion is irrelevant).

I believe the code posted by @Skate has a liquidity filter of turnover (close * volume) greater than 500,000 for the current week. I believe Radge uses a liquidity filter of turnover and volume ema greater than 500,000 over the last 7 periods.
 

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Hi @peter2 . . . happy to run a backtest on the full asx + delisted (that is no inclusion in any index) - what liquidity filter would you like to see?

I believe the WTT Radge is displaying on his twitter feed is for the full asx, ie index inclusion is irrelevant).

I believe the code posted by @Skate has a liquidity filter of turnover (close * volume) greater than 500,000 for the current week. I believe Radge uses a liquidity filter of turnover and volume ema greater than 500,000 over the last 7 periods.
I believe it is a micro-cap WTT portfolio.

 
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Backtest 4 - Ignoring Indexes
For this backtest I created a new watchlist which includes the entire current ASX + ASX Delisted Stocks (4662 symbols) and removed any criteria to be in an index. The liquidity is left unchanged at turnover greater than 500,000 for current week. Same period 1st Jan 2019 to 31 Dec 2019.

4.png
 
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Backtest - Skates version of WTT Strategy (after amending index filter)
The first backtest I ran is on watchlist All Ords (502 matching symbols) this is the index as it stands today.

@willy1111 while you're going strong could you please do one more backtest of "Skates Modified WTT Strategy" as uploaded.

Meaning
1. "NOT" amending index filter (Backtest as is) as the original WTT Strategy uploaded has a "buy filter" (the terminology in the strategy was used incorrectly)
2. Backtest the original uploaded WTT strategy
3. The backtest using the All Ords (502 matching symbols) but included code to ensure the stock was in the All Ords at the time the trade was entered.

Skate.
 
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@willy1111 while you're going strong could you please do one more backtest of "Skates Modified WTT Strategy" as uploaded.

Meaning
1. "NOT" amending index filter (Backtest as is) as the original WTT Strategy uploaded has a "buy filter" (the terminology in the strategy was used incorrectly)
2. Backtest the original uploaded WTT strategy
3. The backtest using the All Ords (502 matching symbols) but included code to ensure the stock was in the All Ords at the time the trade was entered.

Skate.

@Skate I am happy to oblige.

1. Cut and paste into AFL Forumla editor and I get the following so not able to backtest until corrected - it is not a filter so shouldn't have any impact:
2.png
So I have amended as follows:
3.png

I also increased the initial equity from $100,000 to $300,000 as follows :
5.png

2. Backtest as is using All Ords (502 matching symbols) - (no requirement to be in index at time of trade).
6.png

3. Backtest using All Ords (502 matching symbols) -
(requirement to be in index at time of trade by adding code "AND NorgateIndexConstituentTimeSeries("$XAO");" to buy conditions).

7.png



 
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Making use of historical index constituents
I think I raised it earlier in the thread at some point many months ago and that is to do with making use of historical index constituents whilst using AmiBroker. It may only be available to those using the platinum version of Norgate Data which I do and as I understand you don't. However, I am of the belief that they warrant tremendous value as they are the initial evaluation of whether a strategy warrants further investigation - in your case paper trading.

@willy1111 thank you for doing this backtest for me. Looking at the comparison between the backtests with & without (Norgate's Index Constituent) the results are "chalk & cheese", being miles apart. The backtest results confirm it pays to have the Norgate's Platinum subscription when developing a new strategy.

I've just looked at the data that I use with Norgate and have clarified a misconception. My subscription level with Norgate does NOT include all historical movements, as such the data I have submitted will not be correct. Sorry for anyone being misled here. As has been commented before on backtests - care needs to be taken

@CNHTractor your follow up post confirms @willy1111 sentiment about the inaccuracies of backtest results when you are not using Norgate's historical index constituents. Note to self, "refrain from posting backtests in the future"

Skate.
 
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I've received a few "PM's" that I'll share snippets of

1. The first "PM"

The private message was about posting the "Exploration Analysis" buy & sell signals with my paper trading weekly updates of the "HappyCat & WTT Strategies". By posting the buy & sell weekly signals it may "encourage" others to follow them.

Snippet
"The way you post is very much like providing a signal service". The concerned member has a valid point & I'll cease posting the buy & sell signals.

2. The second "PM"
The second private message was in regards to coding of a "Bollinger Bands Breakout Strategy".

Snippet
"skate i just saw your post on feb 9 i am still trying to improve my BBO system can you do a post or 2 about BBO please". The BBO (AFL) can be downloaded here: https://www.aussiestockforums.com/posts/1078122/

What I'm thinking
After reading a few different posts I've decided to paper trade my "Tesla" version of the "BBO strategy" with added bells & whistles. As I already post weekly updates of the "Action Strategy", "HappyCat Strategy" & the "WTT Strategy". I'm now planning to post the paper trading of the "BBO Strategy" also.

There are many who trade a variation of the BBO strategy (there must be ongoing interest)
The "BBO Strategy" is a robust idea, a trusted workhorse that works in all time periods. My only gripe is with the standard "BBO Strategy" settings & parameters no longer work as originally intended. The uploaded BBO strategy has a new way to implement the brilliant idea of John Bollinger.
I have just started playing around with @Skate BBO system he posted.
That leaves room for one more system ideally suited to going nowhere market, preferably weekly if possible and with a different strategy. I spent the afternoon yesterday on this but ultimately results were not as good as expected so back to the drawing board

Skate.
 
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BBO logo 2.jpg
Forget backtesting
Using "Share trade Tracker" with "Norgate data" ensures paper trading results are 100% accurate.

Paper trading a strategy using Amibroker exploration analysis
Religiously taking signals referencing the number of shares to (buy & sell) at the "offer" price will confirm if the strategy is tradable. Paper trading this way ensures the reliability of results.

In the next post
I'll post the paper trading results of the "BBO Strategy" to bring it up to speed with the other two paper trading strategies. (HappyCat & WTT)

Skate.
 
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