CT Journal

[ChrisThong]

Hi All,

Hope you guys are doing well. I am from Penrith Sydney and current in a lockdown. Hopefully, Sydney will come out good and lockdown will be lifted this Friday.

I started the course back in April 2021, and have finished the course materials. Now I am going through them for second time. Among other things, my objectives for the course is to learn AFL in a proper way, and also, learn to do the tests properly.

For me, the coding part of the course is quite straight forward, however I am struggling with Nick’s part of the course. I am struggling with it not because of the course materials, but that part of course requires one to look inward and search for strengths and weaknesses. Hopefully, a second, or third or more attempts, will give me more insight and understanding.

While, I am doing a second run of the course materials, I am also building a Mean Reversion system, and aiming at trading it in the R-1000. I would like to thank Craig for helping me with the codes and answering silly questions that came his way!! Also, thank you Nick for the suggestions, which are great and very helpful. A call with them have clear so many doubts!! There will be more calls from me, as I go along!!

Once, I have completed the MR system, I am aiming to build a rotational and/ trend following system. Hence more to come from me.

[TimothyStrickland]

Welcome Chris,

I joined the group years ago and I am still learning new things. In fact, it has become a life long pursuit. Keep learning!

[ChrisThong]

Hi Tim,

Yes, it is. I am glad that I signed up for this course and be part of this community. Keep learning and improving!!

[ChrisThong]

First of all, thank you Nick and Craig for helping, and also answering all my questions (including stupid and silly ones)

Just completed a MR strategy and will be trading it in the Russell 1000. Organising my funds at the moment, and hopefully can commence live trading soon.

[ChrisThong]

A slight issue came up togay with my MR code. On 5/7/2021, I tested the code from 1/1/2005 to 5/7/2021 and the CAR was 21.02, MDD 17.64 and MAR of 1.19. Today, I ran a backtest for the same period and the CAR was down to 20.64, MDD went up to 19.08. Hence MAR is 1.08. Sent the AFL to Nick and he did a backtest, and results are about the same as what I have, above. Still trying to find out why. I sent an email to Norgate Data and was told the followings:

“Whilst it’s possible that a historical correction was made that may have affected the outcome of a trade (causing a cascading “butterfly” effect), it’s more likely to be a settings change in our experience.”

I went on Skype with Nick and he checked the settings in my AB and found no issues.

[ChrisThong]

Was looking at Rotational strategy and bought the book namely “Stock on the move” by Clenow from Amazon. It got delivered quite fast and surprisingly, as this is first time for me, that I got a book with the right cover but the contents are entirely something else. The contents are from a writer namely something Johnson, and they are relating to learning python!

[Nick Radge]

Best get a refund!

[ChrisThong]

Return was initiated!!

[ChrisThong]

In respect of the issue that I written above, I found the cause and it is related to the tickers of BBWI (was known as LB until last Monday), HCA and EXEL. These tickers were not entered in the initial backtest and was entered in the subsequent backtest. Hence, it suggests that Norgate Data has made some changes to the Historical prices. If I exclude these tickers in my backtest, I am able to get the results back to approximately what I have had on 5/7/2021.

[ChrisThong]

MR Strategy that trades in R1000 has gone live today with 2 positions filled being AN and TT. Another milestone has started. I must admit that I could not have made it without the assistance of Nick and Craig. Hence, thank you very much!!

[GlenPeake]

Glad you sorted your backtest mismatch.

Good Luck with the MR system Chris!

For my MR systems, August has been veeeerrry quiet, due to low Volatility, basically no trades.

[ChrisThong]

Thanks Glen. Overnight, I have 3 fills and altogether I am holding 5 positions.

[ChrisThong]

My first and second attempts of the second part of the course learned that there are two ways of doing backtest.

Firstly, it is divide the period to three parts, and use one of the part as In Sample and build the strategy from there. Once a strategy has been built, one would test it using the Out Of Sample data.

Secondly, build the strategy using the data, say, 1/1/2005 to 5/7/2021. If the strategy is profitable, then test it with data variance, signal variance, and parameter optimisation test (to test the stability of the parameters). In other words, no walkfoward test.

Am I understanding it correctly?

[Nick Radge]

Usually, #1 is used when doing heavy optimisation. It however can be used with or without optimisation.

[ChrisThong]

Thanks Nick for clarifying it.

A quick update, I have finished coding and testing a monthly rotational strategy for ASX100. Had a chat with Nick about it this week and will give it a go. At this stage, I will be trading it with my super account.

[Author]

Posts