Weekly System min vol/turnover requirements

[TrentRothall]

HI Guys

Is everyone doing something like minimun ave vol/turnover > 1,500,000 for weekly systems?

I guess being a longer term system there is scope to being able to trade smaller cap stocks than a MR system.

[JulianCohen]

For my WTT and momentum rotation I have >500,000 on EMA(50) for ASX but if the account were more than 300-400K I think I would have to revise this. For S&P I wouldn’t bother, but ASX is much more sensitive for volume

[TrentRothall]

Yeah ok, you haven’t had any issues getting in or out as yet?

[TrentRothall]

My concern with a 50 week ema on the volume would be missing a stock that has started to move and becomes more liquid because more shares are being traded. But need to test that theory

[SaidBitar]

I use 3 weeks average of 2.5M for both liquidity and turnover

[SaidBitar]

Julian Cohen wrote:

For my WTT and momentum rotation I have >500,000 on EMA(50) for ASX but if the account were more than 300-400K I think I would have to revise this. For S&P I wouldn’t bother, but ASX is much more sensitive for volume

if you want to use lower weekly volume it is also good idea to test that maybe you need to buy on multiple days in order to get the required size for example you want to buy 50K of a stock that has weekly volume of 500K then i believe that you will buy 10K everyday till you get all your size. In this case your buy price is not the open of the weekly bar but it is the average of all the opens. so i test with the following buy price is any random price between the high and the low of the weekly bar
if the system is still Ok then you don’t need to worry much about volume even if the account size is big.

[TrentRothall]

Thanks again Said that is a great tip!

[JulianCohen]

Trent Rothall wrote:

Yeah ok, you haven’t had any issues getting in or out as yet?

Not yet but I have only run it a couple of weeks. I am actually quite concerned about the ASX. I am running an account size of about 250K for my two ASX MR systems and also the WTT. I have adjusted the MR systems to only run on ASX 200 or 300 as I was getting concerned about size issues. I think I’m going to go back to the drawing board on the ASX MR systems and find one that will work on a bigger account size. It might be tough to find but I think I have to do it as I don’t think my systems as they are will handle the position size. 25% CAGR is all well and good in backtesting but if you can’t physically trade it then ……

Thinking about it I will probably test the All Ords universe and use volume limits to restrict the universe size down instead of restricting to ASX 100 or 200

[ScottMcNab]

Hi Said,
Have u tried dropping to a daily timeframe for testing entries on (eg) open each day (while retaining weekly for entry setups) rather than random price between high and low?

[SaidBitar]

Scott McNab wrote:

Hi Said,
Have u tried dropping to a daily timeframe for testing entries on (eg) open each day (while retaining weekly for entry setups) rather than random price between high and low?

This is one of the problems of Amibroker the intercommunication works only in one direction i cannot read daily data on a weekly system.

you can test the worst scenario that is any random entry between the open and the High and if this is good then you have no issues.

[SaidBitar]

Julian Cohen wrote:

Trent Rothall wrote:

Yeah ok, you haven’t had any issues getting in or out as yet?

Not yet but I have only run it a couple of weeks. I am actually quite concerned about the ASX. I am running an account size of about 250K for my two ASX MR systems and also the WTT. I have adjusted the MR systems to only run on ASX 200 or 300 as I was getting concerned about size issues. I think I’m going to go back to the drawing board on the ASX MR systems and find one that will work on a bigger account size. It might be tough to find but I think I have to do it as I don’t think my systems as they are will handle the position size. 25% CAGR is all well and good in backtesting but if you can’t physically trade it then ……

Thinking about it I will probably test the All Ords universe and use volume limits to restrict the universe size down instead of restricting to ASX 100 or 200

I have one idea maybe it is stupid but you can test it use AORD and for position sizing use the following condition
Minimum between x% of equity or 5% of the MA(volume, 20 days) in this case you will not miss a trade that may make money and you will not be stopped with the volume/equity

[JulianCohen]

Why x% of equity as a volume condition? I’m not sure I follow you

Do you mean set a condition that volume * 0.05 must be greater than x% of equity?

[SaidBitar]

Regarding the Mean reversion system assuming the position size is x%.
if your position size is very small in comparison to the daily traded volume then there is no problem and nothing to worry about but to be in this situation you have to minimise the traded universe.
In order to have a larger universe and not to face the problem of having your position size comparable to the daily traded volume especially if you want to exit on the close since the position will be doubled then the workaround for this is to reduce your position size.
i was saying you can reduce your position size to be equivalent to 5% of the average daily volume. And you can add this to your explore so it will check automatically and give you the correct position size that you need.

here is an example:
assume XYZ is trading at 0.5 and your normal position size is 25000$ then you need to buy 50K shares.
if the average volume for XYZ is 200K shares per day then your trade will be around 50% of the average daily volume since (50K BUY and 50K Sell) so instead of buying 50K shares you can buy only 5% of the daily volume that is 0.05*200K = 10K shares and in this case your trade will not be more than 10% of the daily volume so the effect on the price will not be huge and you still can take the trade.

the advantage of this is that you can get larger universe the disadvantage is that you will have less exposure.

[JulianCohen]

Said Bitar wrote:

Regarding the Mean reversion system assuming the position size is x%.
if your position size is very small in comparison to the daily traded volume then there is no problem and nothing to worry about but to be in this situation you have to minimise the traded universe.
In order to have a larger universe and not to face the problem of having your position size comparable to the daily traded volume especially if you want to exit on the close since the position will be doubled then the workaround for this is to reduce your position size.
i was saying you can reduce your position size to be equivalent to 5% of the average daily volume. And you can add this to your explore so it will check automatically and give you the correct position size that you need.

here is an example:
assume XYZ is trading at 0.5 and your normal position size is 25000$ then you need to buy 50K shares.
if the average volume for XYZ is 200K shares per day then your trade will be around 50% of the average daily volume since (50K BUY and 50K Sell) so instead of buying 50K shares you can buy only 5% of the daily volume that is 0.05*200K = 10K shares and in this case your trade will not be more than 10% of the daily volume so the effect on the price will not be huge and you still can take the trade.

the advantage of this is that you can get larger universe the disadvantage is that you will have less exposure.

OK I understand. I thought you might have found a way to set a condition of entry to be that it can only take a position if the volume is greater than position size times 10. I’ll test your hypothesis and see what the effect is. My gut says position size is everything but I will certainly test it.

I will try and play with the code to see if I can call SetPositionSize early in the code where the conditions of entry are. That way I can make it a condition that Volume is far greater than SetPositionSize

Do you think that will work?

[ScottMcNab]

Said Bitar wrote:

Scott McNab wrote:

Hi Said,
Have u tried dropping to a daily timeframe for testing entries on (eg) open each day (while retaining weekly for entry setups) rather than random price between high and low?

This is one of the problems of Amibroker the intercommunication works only in one direction i cannot read daily data on a weekly system.

you can test the worst scenario that is any random entry between the open and the High and if this is good then you have no issues.

I was thinking of making it a daily system but pulling out weekly data for setups using something like;

prevweekclose = TimeFrameGetPrice(“C”,inWeekly,-1);

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