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qldfrog weekly Skate inspired system

Discussion in 'Trading Diaries and Journals' started by qldfrog, Feb 25, 2019.

  1. qldfrog

    qldfrog

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    And to be clear, i have always had a SL embedded among the causes for exit, but it is only checked at the EOW so the not so bright idea to try to merge an intraday SL during the week.
    Not a good idea
     
    Saqeeb, Newt, fergee and 2 others like this.
  2. qldfrog

    qldfrog

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    So so week
    System1 $366 gain
    Of the 3 shares bought back on Monday to reverse the manual SL of last week:
    DHG a bit below BKW a bit higher..both within 1 %
    and FWD a gain of $224
    the interesting bit : this system will be 1y old in a fortnight and we are nearly breakeven with the XAOA
    Two ways to see that:
    one is you would be better investing in an ETF...
    or
    You matched the index, covered the losses of your various mistakes and got the same results as the index with lower exposure along the year
    I take the later

    System2 $233 gain

    ---
    Start 25/02/2019
    Total invested $ 100,000.00
    Cash remaining $8.81
    Current portfolio value $120,045.05
    Profit $20,045.05
    Nb of active positions 19
    Nb max position 20
    Return since 25/02 20.05%
    Annual return so far 20.96%
    purchase value per position $6,002.25
    Invested percentage 99%
    dividends $ 1,387.81
    Average per week: 385.4817308
    invested 120,036.24
    upload_2020-2-14_20-38-4.png
    3 buys proposed, no free cash available to take the opportunities
    ---
    system 2

    Start 5/08/2019
    Total invested $ 100,532.76
    Cash remaining $1,992.27
    Current portfolio value $100,989.63
    Profit $456.87
    Nb of active positions 19
    Nb max position 20
    Return since 5/08 0.45%
    Annual return so far 0.88%
    purchase value per position $5,049.48
    Invested percentage 97%
    dividends $ 1,065.25
    Average per week: 15.75413793
    upload_2020-2-14_20-46-11.png

    5 sells, 6 buys on Monday
     
    Skate, peter2, Newt and 3 others like this.
  3. qldfrog

    qldfrog

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    System2 sold AFG, NCK, NEU, OCL, PPC for a total loss inc brokerage of $775
    and bought ECX, MIN,MNY, MP1, SCP, WAF with 2 lots undersize as I was missing cash
     
    Skate, Warr87 and Saqeeb like this.
  4. qldfrog

    qldfrog

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    System1 loss of $44 (nearly $1k today)
    System2 gain of $1931
    Important week:
    we now have a calendar year of System1
    The yearly end result:20.0% and we have had 1.5k of dividends so a bit of franking credit to add;
    Not as good as Skate and the other big players but quite happy with my first year return matching the xaoa and with less capital at risk along the way and quite a few human errors/mistakes which will not occur again hopefully
    .
    I do not take into account any cash interest gained:
    Start 25/02/2019
    Total invested $ 100,000.00
    Cash remaining $8.81
    Current portfolio value $120,000.67
    Profit $20,000.67
    Nb of active positions 19
    Nb max position 20
    Return since 25/02 20.00%
    Annual return so far 20.51%
    purchase value per position $6,000.03
    Invested percentage 99%
    dividends $ 1,575.27
    Average per week: 377.3710377
    invested 119,991.86
    upload_2020-2-21_21-44-19.png

    One buy, one sell on Monday

    System 2:
    Start 5/08/2019
    Total invested $ 100,532.76
    Cash remaining $5,011.17
    Current portfolio value $102,921.58
    Profit $2,388.82
    Nb of active positions 19
    Nb max position 20
    Return since 5/08 2.38%
    Annual return so far 4.42%
    purchase value per position $5,146.08
    Invested percentage 94%
    dividends $ 1,118.10
    Average per week: 79.62733333

    we have some 5k of cash locked with the QMS shares bought back so might have to wait before being able to reinvest that cash for the last position
    upload_2020-2-21_21-46-4.png

    One buy, one sell on Monday
     
    peter2, Newt, debtfree and 2 others like this.
  5. qldfrog

    qldfrog

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    Thinking along and welcoming your inputs:
    I currently have 2 systems live: 1 & 2 with #1 first anniversary tomorrow to the day
    I am happy with the decent performance of system1 and the learning process and discipline gathered along;
    System2 is a system1 improved version under certain market behaviours so not always better but sometime
    I do not have extra cash available for play at the moment:

    I am playing with 2 others systems on paper, both better in backtests than these 2 (and this does not include the zigzag grail)
    What would you do?
    Close slowly one of your running system (slowly, just not investing anymore to let winners go as it took long enough to get these selected, but not investing anymore) and ramp up system 3 or 4?
    Have you met such dilemma?
    Up to you
     
    fergee and Skate like this.
  6. qldfrog

    qldfrog

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    today:
    System1
    sold LIC @8.8 for a loss of $93 after brokerage
    and purchased 2620 PSQ @2.036 ( a bit of slippage) for a total of 5345.6
    System2
    sold PSI @3.1 for a loss of $173.8 after brokerage
    and bought 2096 CWY@2.28
     
    Skate and fergee like this.
  7. qldfrog

    qldfrog

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    Just a note for historic reason: the note about potential close of a system was done before the big fall today so was not influenced by market conditions as that money would get reinvested anyway

    system1 yearly profit went from 20% to 16.5% after today's fall, since Thursday night nearly a quarter of profit evaporated while system 2 loat 2/3rd of its profits....
    :-(

    I spent today and the week end reviewing systems and backtesting checking MC etc
    A separate hint I want to share:
    be aware of this fct: LastValue
    it will trigger a future looking alert if you run the Tools/Code check and Profile in amibroker
    I use this for various display tricks so think about commenting the function if looking for code future leaks
     
    Skate and Warr87 like this.
  8. qldfrog

    qldfrog

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    a question for AB users:
    I was going thru Skate Bolinger bands results and noticed average # bar helds on winners and losers were very small compared to mine, then realised weird figures on my weekly backtest results
    , a share purchased 01/09/18 and sold 01/04/19 was quoted as being held more than 200 bars...actually realised in my results: 1 bar is day whereas Skate bar is as expected a week bar
    Has anyone faced that issue, I obviously would like 1 bar= 1 weekly
    I use amibroker 6.30.0
     
  9. Habakkuk

    Habakkuk

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    I've noticed that too and meant to ask but as I have no experience coding daily systems, it slipped my mind. When I set Periodicity to weekly and look at the backtest results it shows daily bars, e.g. 21 bars = 3 weeks. I'm still on Version 6.20 but I don't think that is it. There may be a setting somewhere.
    Talking of settings, where do you select the day that shows on the weekly chart as Monday or Friday? It was mentioned here not long ago.
     
  10. Warr87

    Warr87

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    I haven't noticed this problem. Are you forcing things into weekly or using the settings set to weekly?
     
  11. qldfrog

    qldfrog

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    both in code:


    TimeFrameSet( inWeekly );

    and in setting weekly
     
  12. qldfrog

    qldfrog

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    [​IMG]
     
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  13. Warr87

    Warr87

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    my initial guess would be if you are forcing sections of the code to be weekly then the report will give you bars based on the settings. but if you have the settings also in weekly then I'm not too sure.

    Sorry I'm not much help with this one.
     
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  14. qldfrog

    qldfrog

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    I can try removing the weekly forced in the code..
     
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  15. Nina4

    Nina4

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    Have you got "Pad and Align all data to reference signal $XAO" Ticked?
    Toggling this on/off changes bar numbers in my weekly backtest report.
     
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  16. qldfrog

    qldfrog

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    Interesting, will check!!!
     
  17. qldfrog

    qldfrog

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    Did not work,, a 6 months holding is listed as 119 bars (roughly the number of open days)
     
  18. qldfrog

    qldfrog

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    As this week is quite bad and I do expect more sell than buy on my live systems, I will slowly wind down system2 and start my BBand one on Monday if I have enough liquidity
    I will then have 2 different algorithms, not just 2 variations of the same.We will see what happens
     
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  19. Nina4

    Nina4

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    Strange. I have Periodicity set to Weekly and nothing in my code other than

    if( Interval() != inWeekly )

    {
    Title = EncodeColor( colorRed ) + " Weekly Only";
    }

    if( Interval() == inWeekly )
    {
    My code.

    just as a visual reminder that this is a weekly system.

    Pad.JPGNo Pad.JPG
     
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  20. qldfrog

    qldfrog

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    Is your second screen shot supposed to be daily?
    I have the first settings ,i added the xao reference etc but still show me bars for days and not weeks
     
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