• Australian (ASX) Stock Market Forum

Hello and welcome to Aussie Stock Forums!

To gain full access you must register. Registration is free and takes only a few seconds to complete.

Already a member? Log in here.

Weekly Portfolio - ASX

Discussion in 'Trading Diaries and Journals' started by Warr87, Aug 4, 2019.

  1. Warr87

    Warr87

    Posts:
    349
    Likes Received:
    644
    Joined:
    Jun 28, 2019
    but if i'm in weekly, and do 1 recent bar, then it will use the last weekly bar friday.
     
  2. Warr87

    Warr87

    Posts:
    349
    Likes Received:
    644
    Joined:
    Jun 28, 2019
    I also just noticed that my index filter is only on for some of the symbols which also makes no sense.

    really wish i knew what was going on.
     
  3. Warr87

    Warr87

    Posts:
    349
    Likes Received:
    644
    Joined:
    Jun 28, 2019
    upload_2020-5-11_20-32-6.png
     
  4. Warr87

    Warr87

    Posts:
    349
    Likes Received:
    644
    Joined:
    Jun 28, 2019
    upload_2020-5-11_20-40-10.png

    New mystery. What is explore showing the date 17/5/20 when the last bar is from 8/5/20? As you can see my buy signals from the last formed bar (friday, 8/5/20) is shown.
     
  5. Trav.

    Trav.

    Posts:
    836
    Likes Received:
    1,107
    Joined:
    Nov 27, 2017
    It's hard to help without the code but

    - Maybe an issue with the timeframeset for the index healthy - if it is used? If so maybe strip sytem back for simplicity
    - Explore dates maybe looking into future - perhaps run code check and profile in AFL formula editor (real long shot here ;) )
    upload_2020-5-11_19-35-16.png

    Sorry I can't really help but maybe a couple of things to check / eliminate.
     
    Lone Wolf likes this.
  6. Lone Wolf

    Lone Wolf

    Posts:
    436
    Likes Received:
    146
    Joined:
    Dec 4, 2008
    Check that your filter is still on the appropriate watchlist.

    On the old Premiumdata, were you running the maintenance script on a regular basis?
    From the website:
    Look at one of the codes you had a buy for that disappeared, go through each of the filters/buy criteria to make sure it passes each.

    I find the interpretation window helpful to plot all your entry and exit criteria. Then you can step through the chart day by day and see what's stopping the trade from triggering.
    upload_2020-5-11_21-38-54.png
    Code:
    //Debug interpretation code
    printf ("Filters:");
    printf (StrFormat("\nXAO Index Constituent? = %g", NorgateIndexConstituentTimeSeries("$XAO") AND NOT OnLastTwoBarsOfDelistedSecurity));
    printf (StrFormat("\nPriceRangeFilter = %g", priceRangeFilter ));
    printf (StrFormat("\nVolumeFilter = %g", volumeFilter ));
    printf (StrFormat("\nIndexFilter = %g", emaFilter ));
    
    printf ("\n\nBuy Conditions:");
    printf (StrFormat("\nBuy = %g", Buy) );
    printf (StrFormat("\nBuyCond1 = Cross(H,Ref(HHV(H,10),-1)) ) = %g", Cross(H,Ref(HHV(H,10),-1)) ));
    
    printf ("\n\nVariables:");
    printf (StrFormat("\nH = %g", H) );
    printf (StrFormat("\nHHV(H,10) = %g", HHV(H,10)) );
     
    Skate and Trav. like this.
  7. Lone Wolf

    Lone Wolf

    Posts:
    436
    Likes Received:
    146
    Joined:
    Dec 4, 2008
    It looks like some of the stocks are looking for a different index symbol to the rest. Are you using something smart in your code to determine the appropriate symbol for the index filer? For example, comparing each symbol against its relevant sector index?
     
    Trav. likes this.
  8. qldfrog

    qldfrog

    Posts:
    5,019
    Likes Received:
    3,861
    Joined:
    Jun 8, 2008
    what about the fill gap options
    upload_2020-5-11_21-49-18.png
    That could maybe affect some code differently?
     
    Trav. likes this.
  9. Trav.

    Trav.

    Posts:
    836
    Likes Received:
    1,107
    Joined:
    Nov 27, 2017
    @Lone Wolf I questioned this the other day and @Warr87 was only using the XAO at the time, but I did provide some code to do as you say but I don't think @Warr87 is using this at the moment
     
    Lone Wolf and qldfrog like this.
  10. Warr87

    Warr87

    Posts:
    349
    Likes Received:
    644
    Joined:
    Jun 28, 2019
    @Trav.
    Now I am really puzzled lol. I never had this come up while using the Premimum Data databased .... I don't even know what code would be future referencing.

    upload_2020-5-11_22-47-33.png

    @Lone Wolf I ran my maintenance script every friday before I did my update. And I did check the watchlist (i've made that mistake before).

    negative.


    Done
     
  11. Lone Wolf

    Lone Wolf

    Posts:
    436
    Likes Received:
    146
    Joined:
    Dec 4, 2008
    I have no idea if this is relevant, but I came across this comment from someone on the amibroker forum who was having trouble with incorrect dates in his explore list.
     
    qldfrog likes this.
  12. Warr87

    Warr87

    Posts:
    349
    Likes Received:
    644
    Joined:
    Jun 28, 2019
    crisis averted. I recently put in a new line of code when testing the exploration: VolHist = Ref(V, 10);

    Any "Ref(C, 2)" etc., is futuring looking. No future looking code was in my buy/sell coniditions (thank god).
     
    qldfrog, Trav., Skate and 1 other person like this.
  13. Warr87

    Warr87

    Posts:
    349
    Likes Received:
    644
    Joined:
    Jun 28, 2019
    6th position now filled. MSB started trading (security issues) this morning.

    On another update, I am getting frustrated getting my Norgate data to work into my python backtesters. It was even admitted by Clenow in his section on backtesting in python that the hardest part about python is intergrating the data feed at first which is usually because of the lack of documentation on how to implement it. He also noted that most of the systems available are mostly for US Equities so any non-US equities will present even more problems. Writing the strategies is relatively easy, and versatile once data is available.

    Looking at Zipline and Backtrader as backtesting engines. Pyfolio for analysis.

    Any advice from someone who has integrated Norgate data and Zipline or Backtrader would be greatly appreciated!
     
  14. Warr87

    Warr87

    Posts:
    349
    Likes Received:
    644
    Joined:
    Jun 28, 2019
    Week 16:

    Buy: 5 buy signals
    Sell: None that I hold.

    Moved a few stops up. Overall down another 0.5% but I'm very optimistic.

    upload_2020-5-15_19-42-32.png
     
    Skate, Newt, qldfrog and 1 other person like this.
  15. Warr87

    Warr87

    Posts:
    349
    Likes Received:
    644
    Joined:
    Jun 28, 2019
    I got filled on PPH, CAN, ELD, and AEF. I made a mistake as there were only 4 buys this week, not 5 (the 5th one I already held from last week).
     
    qldfrog and Saqeeb like this.
  16. Saqeeb

    Saqeeb

    Posts:
    56
    Likes Received:
    140
    Joined:
    Jul 3, 2019
    @Warr87, you had PPH as a buy for last week. You also have this again for this week?
     
    Skate likes this.
  17. Warr87

    Warr87

    Posts:
    349
    Likes Received:
    644
    Joined:
    Jun 28, 2019
    I had RMS last week and this week. And PPH as well.

    I just double checked and I now have 2 positions in PPH .... good pickup @Saqeeb . Looks like I've screwed up ...
     
    Saqeeb and Skate like this.
  18. Warr87

    Warr87

    Posts:
    349
    Likes Received:
    644
    Joined:
    Jun 28, 2019
    Sold second position. Thankfully not a loss though with commissions I certainly didn't come out on top.

    Holding 2 positions in the same stock throws out my 2% capital rule for risk management.

    I blame rushing to run my system and place orders on Friday between my work schedule. Have to be more careful.
     
    Newt, Skate and Saqeeb like this.
  19. qldfrog

    qldfrog

    Posts:
    5,019
    Likes Received:
    3,861
    Joined:
    Jun 8, 2008
    Did similar today, 2 parcels of same size same price, only realised this evening when entering into spreadsheet..just pray for no unexpected collapse of that share before tomorrow
     
    Warr87 and Skate like this.
  20. Warr87

    Warr87

    Posts:
    349
    Likes Received:
    644
    Joined:
    Jun 28, 2019
    Week 17
    Buy: 3 signals (Repeat signals: AEF, PPH, ELD)
    Sell: None

    9 open positions, 3 more to be added monday. Open PL of $338.

    Stop losses raised. My portfolio made 1.41% this week (lost a bit today actually). A few of my positions are having another round of signals which I like to see (sustained signals in one direction is a good sign for me that they are strong).

    upload_2020-5-22_19-47-54.png

    Week to Week changes:

    upload_2020-5-22_19-48-2.png
     
    qldfrog, Skate, Newt and 1 other person like this.
Loading...

Share This Page