[WENKIT LUI]

Hi Nick,
Not sure if this is the right thread, but I’ve just calculated my capital gains for FY20-21 and I’ll have to pay ATO a significant amount…which I’m not complaining about because it means my systems had performed well
I was listening to one of your old podcasts on Better System Trader about trading for a living, and one of the things you mentioned that it’s not a good idea to trade for a living, is that modelled system performance (compounded) do not account for the tax impact…which in Australia is quite significant.
So, a quick question about modelling the impact of tax on backtesting system performance, is there a function within AmiBroker that can do this or is there a back of the envelope method that you use?
Many thanks,
Kit

[WENKIT LUI]

Hi Nick

Thanks for sharing your portfolio construction a while ago. I’ve been considering the “strategic holds” component of my portfolio, at the moment it is zero.

Yesterday I ran the exploration on my ASX weekly trend trader, and PFP.au (Propel Funeral Partners LImited) popped up as a buy. I’ve submitted a buy limit order per my system rules, but I’m just wondering if you have any exposure to this stock in your strategic hold portfolio, or whether you see potential in it as a buy and hold?

Cheers,
Kit

[WENKIT LUI]

Yup, I’m doing a little on the side via the ASX and US Power Setups

[WENKIT LUI]

Ditto Scott. The HelixTrader results do appear too good to be true after I ran some quick tests myself.
Personally a weekly rotational system that is not superior to a monthly system.is “too much work” for my liking
I suspect that restricting the system to 3 companies per sector is something that HelixTrader have done to improve the system but I haven’t tested this

[WENKIT LUI]

Hi Nick

Thanks for sharing this.

My personal experience is that A rotational system on the ASX does work. I am trading a monthly version on the ASX All Ords universe.

For me it would be interesting to re-engineer this weekly system and check the correlation of the system performance with my monthly version.

Cheers
Kit

[WENKIT LUI]

Hi Rob

I tested “the distance from the 52 week high” as a ranking criterion, but the results weren’t good enough. Just to be clear, the backtest results I posted uses ADX(Duration)*RSI(Duration) as the ranking criterion.

In regards to ROC / ATR, I’ve used 252 days (i.e. one year expressed as no. of trading days) as the duration and it works for my system.

Yes I’m still using a GapUp filter.

[WENKIT LUI]

Hi Rob

I’ve also tried applying a weighted momentum measure to be a little different from the crowd, as Nick said in his recent relative momentum webinar – it hasn’t added a lot of value, but who knows maybe in future.

Another filter you can try is one which Nick mentioned in his one of webinars. It measures how hard a stock is trending vs. the overall index, and the stock is bought only if it’s trending harder than the overall index. I’ve interpreted this as ROC(C,Duration) > ROC (Index, Duration).

In regards to your question, Said Bitar in his reply has hopefully answered it

[WENKIT LUI]

Thanks Said. You’re right, maybe it’s not quite right – but it works somehow

I guess with roc/atr you are trying to account for volatility in measuring roc.

On this note: have you tried to use Nick’s Bang for Buck filter as a ranking criteria in your systems? The calculation takes into account the share price, so it should overcome the bias towards lower-priced stocks?

[WENKIT LUI]

Hi Rob

Unfortunately I made a mistake in that backtest, I ran it with adjusted prices instead of unadjusted prices. I have re-run it with unadjusted prices and here are the results for 1/1/2007 to 31/12/2017.

CAGR: 20.8%
Max System Drawdown: 26.01% (occuring in 2010. and 2011 was a bad year too, the annual performance was -8.2%, but all the other years are positive)
Profit Factor: 2.64
Payoff Ratio: 2.30
Win %: 50.45 %

If I change the start date to 1/1/1997, the CAGR drops to 18.26% and the Max System Drawdown deteriorates further to 28.94%.

Apologies for the misinformation. The maximum system drawdown is probably in the uncomfortable zone for a few people, but I’ve been telling myself that anything under 30% is okay.

Note: To rank the stocks, the system currently uses a combination of ADX and RSI (rather than using percentage distance from the 52-week high, as per Nick’s article – this didn’t work for me).

At the moment I’m testing a ranking criteria which another member has shared under the Trading System Graveyard topic, it’s ROC(C, Duration)/ATR(Duration). For the period 1/1/1997 to 31/12/2017, the backtest shows an enhanced CAGR of 20.54% and a reduction in the max system drawdown to a more tolerable 25.97%.

I would be happy to hear from you (or anyone else!) if there are any other ideas regarding ranking criteria

Cheers
Kit

[WENKIT LUI]

Hi Rob

Your topic caught my eye as I have just developed an ASX momentum system on the All Ordinaries universe.

For 1/1/2007 to 31/12/2017, the backtest results are:
CAGR: 21.7%
Max System Drawdown: 22.16%
Profit Factor: 2.48
Payoff Ratio: 2.37
Win %: 51.09 %

As with all systems, the start date affects the metrics. From memory, I think the worst max. system drawdown was 25-26%, which is within my tolerance. In my case, I found that liquidity filters do enhance my system performance. I use Min Share Price $0.5, Max $100, average volume 300k (volume EMA 50 days)

How I measure momentum is based on Nick’s article below.
https://www.thechartist.com.au/Shares-Stocks/52-week-high-rotation-strategy.html

However, I am measuring the market for stocks within 5% of their 52-week highs, instead of 10%. Maximum 5 positions and hold the stock if it stays in the top 15.

It’s taken me a while to test a myriad of different filters, but I was finally happy with the system’s performance metrics and recently started trading the system as of 1 October 2018. Time will tell if it’s a good system and whether I can continue trading it psychologically.

Hope this helps and good luck!

[WENKIT LUI]

Hi Nick,

Happy New Year and thanks for sharing this. If trading a cash account without this Free-Riding rule, I believe the following code needs to be included in a system:

SetOption(“SettlementDelay”, 3 ); // this will cause that proceeds from sale are only available for trading on 3rd day after sale

If we were to include the Free-Riding rule into a system running on a cash account, please correct me if I’m wrong – but I suppose we need to include alternative code to prevent violation of the condition as described.

[WENKIT LUI]

Hi Oliver and Nick,

I’ve started doing some online research into mean reversion regimes and found the above idea i.e. buying the weakest momentum stocks using a one-month lookback period, quite interesting because it’s a mean reversion strategy derived from a momentum-based strategy.

I stumbled on something similar last night called the Clenow Plunger strategy.

Article: http://www.followingthetrend.com/2014/06/a-counter-trend-indicator/
Rules: http://www.followingthetrend.com/?mdocs-file=2643&mdocs-url=false

Again, it’s a mean reversion strategy derived from a momentum strategy, in this case Andreas Clenow’s.

Just wondering if you (or anyone you know) has tested these rules before and if yes, how it compares with the Antonacci mean reversion strategy described above?

I’m still making my way through the trading system mentor course and haven’t reached the point of testing system ideas…probably getting a little ahead of myself, but this is interesting

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