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Saaa-wing batter

Discussion in 'Trading Diaries and Journals' started by Gringotts Bank, May 10, 2017.

sentifi.com

Aussie Stock Forum Sentifi Top themes and market attention on:

  1. tech/a

    tech/a No Ordinary Duck

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    What do the + and - % relate to

    Capital invested?
    Profit ?
    R?
     
  2. Gringotts Bank

    Gringotts Bank

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    Actual % profit (sellprice - buyprice)/buyprice*100%. If a constant risk-per-trade is applied, then such a figure is not all that important, obviously. But stocks can gap, so it needs recording.

    I haven't calculated the RRR, but it looks to be around 0.6.
     
  3. Gringotts Bank

    Gringotts Bank

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    Summary at 3 weeks using notional 100k capital base, leverage and 1% risk per trade. Assumes 0.6 average RRR.

    • current closed profits: $7000 (approx)
    • if all open trades lose* from this point on, total profit will be: -$8500 (approx)
    • if all open trades win "................................................": $13500 (approx)
    • if half of open trades win "...........................................": $2500 (approx.)
    All depends on what happens with the remaining trades. Current win rate in a down market has been very high. Ords is -1% over the same period.

    *the idea with the system is that any stock which gets stopped out is shorted. The two stocks which have been stopped out so far proved to be excellent shorting opportunities (SIG, NCK), so maybe some of the losers can be recouped. That would make things interesting.

    Next step is to get the coding improved for ease of scanning and maybe backtesting. Currently takes nearly 30 minutes to find the stocks of interest which won't work if trying to enter at the close.
     
    Last edited: May 27, 2017
  4. CanOz

    CanOz Home runs feel good, but base hits pay bills!

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    Lever up......
     
  5. Gringotts Bank

    Gringotts Bank

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    I'm not confident enough yet. I'm still only placing some of the trades.

    The edge does seem to apply across different instruments and time frames but is very time-consuming to find it. That's the main constraint, along with funding.

    MFF @ 1.965
    HFR @ 1.025
    AIA @ 6.62
    IOF @ 4.71
     
  6. Gringotts Bank

    Gringotts Bank

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    Sell SAS .23, +10%
     
  7. Gringotts Bank

    Gringotts Bank

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    AKP @ 16.45
    IPH @ 4.98
    ECX @3.9
    MTR @ 3.07
    AQG @2.12
    BAL @5.73
    BAP @ 5.39
    SFR @6.11
    MFF @ 1.965
    AIA @ 6.62
    IOF @ 4.71


    closed:
    AOG +2%
    EML +2%
    SSM +6%
    RMS +2%
    ING 0%
    SIG -8%
    OZL +3%
    SBM +8%
    AWC + 2%
    MYX +1.5%
    SGR +1%
    PRU +10%
    SLC +6%
    BKL +2%
    SIG [short] +21%
    SKC +3%
    EMC +10%
    CIM +5%
    NCK -7%
    NCK -7%
    SAS +10%
    APE - 8%
    BGA -6%
    HFR +2%
     
  8. Gringotts Bank

    Gringotts Bank

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    APE short 7.35
    BGA short 5.97
     
  9. tech/a

    tech/a No Ordinary Duck

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    You have no allowance for slippage
    In and out
    If your swinging long short and trading CFDs you'll have high slippage


    Plus transaction costs
     
  10. Trembling Hand

    Trembling Hand Can be found on the bid

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    Thats besides the point. The exercise is to be as vague as possible in the process so as to claim success and proclaim all mentioned theories above and below from here on in legitimate and backed by 'sound evidence'.
     
    cynic, ThingyMajiggy and Quant like this.
  11. Gringotts Bank

    Gringotts Bank

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    I actually had this coded up. I've done this many times, either coded it myself or paid someone else to do it.

    And guess what...?

    There was no statistical edge! I was trading on confidence (ie. an approach which looked very real, but wasn't). Everything is well and dandy until you put your technique under the microscope and have an honest look with a backtest. Then when the maths comes in, you're like "what???", and you start to doubt yourself. And when you doubt yourself, you make losing trades with the very same system!! It's the confidence that puts you in tune with the flow of the market, and it's the confidence which makes you the money.

    So the moral of the story is - don't worry about edges or special techniques. Real edges do exist, but none of them are particlarly juicy. If they were juicy, hedge funds would be all over them like a rash and trade them into the gorund.

    Big Mike is big on the psychological edge. He says all the top traders spend their time honing that part of their game. I agree with him. In fact I'd say it's 95% of the game.
     
    Last edited: May 18, 2018
    Skate likes this.
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