[Nick Radge]

I doubt this could be coded into AB.
I would suggest that take the conservative route as a benchmark and move along from there.

The other important things is to recognise that compounding or more advanced position sizing takes time to show itself and usually the time factor (aka patience) is the great undoing of most new traders. It’s all a mute exercise if one can’t apply a strategy for any extended length of time.

[Nick Radge]

THURSDAY

No US positions
Write article for ASX on technical view of Australian Banks
Speak at Aust. Independent Retirement Assoc local meeting (65 attendees)
Running extensive Monte Carlo’s on Mean Reversion adjusted exit (will post results in coming days)
1 position closed in ASX. 1 new order placed for tomorrow. Very quiet all round.
Dinner party with old friend from Sydney Futures Exchange

[Nick Radge]

Thanks Steve. Great to have you here – we’ll get you over the line.

[Nick Radge]

Thanks Scott. Welcome aboard and I hope you’re enjoying your time here in Noosa paradise.

Quote:

“Stocks on the Move” by Andreas Clenow…my limited coding and rusty statistics meant I haven’t been able to test it…I can’t get past the R-squared for stock ranking but that is a post for another time.

We’ll be able to help you with this down the track.

[Nick Radge]

Great observation.

We have looked at this in the past. Our solution was to find a base average volume at the start of the test period and then use a CPI adjusted volume/turnover on every following year.

CPI = 3% as an example

That said, with the advent of modern technology and openess of markets you may want to increase the CPI to a higher level.

[Nick Radge]

WEDNESDAY

Early start to Sydney airport to beat peak hour traffic
Clear emails
Stalked by viewer from last nights TV show (his wife had to shoo him away)
Fly back to Noosa
Welcome Michael to Mentor Course
Skype and calls with students and prospective clients
Believe it or not found some time to test out a slightly different exit for my mean reversion system (will post something in the coming days)
Two exits snagging wins in BGA and MFG. Entered IFN right on the close
One order for ASX tomorrow.
Going to Jimeoin tonight for some comic relief

[Nick Radge]

Thanks Oliver. The rule of thumb with the Turtles is to pyramid and do so fast. They can add numerous positions on in a single trading session. That may prove too much for most people. The other thing that needs attention is that the initial risk actually increases in the first few pyramids.

Here is my Turtle code at work. It shows two entries, the first down at $8.24 with an initial exit eventually at $11.87. The last two pyramids lost money.
The second entry is $13.26 with pyramids all the way up to $15.92 with an exit at $12.99 so all positions exited at a loss.

The code here is probably a little negligent in that it keeps entering positions and continues with the 10-day low exit.
Also to keep in mind is that the longer a trend travels, the closer to the end you’ll achieve, which is why the Turtles entered quickly.

[Nick Radge]

ok. Thanks Paul.

The quick tip here is to book a session with Craig so he can get you through.

Bigger picture Craig and I will discuss how we can incorporate this into the course – but chat with him first so he can offer up help and also provide us with the required feedback to make the changes to better serve those coming up behind you.

[Nick Radge]

Scaling in and out has been tried and tested over the last 40 years, namely starting with the Turtles and more recently by Dunn Capital. Dunn calls is ‘Adaptive Risk Profile” which means they basically scale into and out of positions slowly. Here are a few links that offer some background.

http://www.dunncapital.com/methodology.php
http://www.futuresmag.com/2015/09/25/william-dunn-legendary-cta-building-legacy-last
http://toptradersunplugged.com/009/

My experience is that the win% tends to drop and the w/l rises to compensate. Obviously the level of commission and complexity of managing positions needs to be considered, but it’s a worthy pursuit – obviously false breakouts will be allocated a lower average loss than a successful trend.

We circumnavigated this using other techniques, mainly because our clients (a) couldn’t cope with increased commission drag, and (2) level of complexity

[Nick Radge]

TUESDAY

No US trading so nothing to do
Fly to Sydney
Visit my Father
Run ASX mean reversion system – amend and place new orders
TV Studio for YMYC

[Nick Radge]

Quote:

if i run a backtest over historical constituents ($XJO for example) and don’t include a filter using IsIndexConstituent(“$XJO”), am i potentially including a stock that was not in the $XJO on a given day? OK it seems clear now the answer is probably yes.

You are correct. You’ll get any stock that was in the universe at some stage in the past and not at the specific point when it was.

Quote:

is there a difference using IsIndexConstituent(“$XJO”) to IsIndexConstituent(“$XJO.asx”) if all my asx data has the suffix .asx?

I believe you only use IsIndexConstituent(“$XJO”)

[Nick Radge]

Where you plot indicators and how you layout each chart is a personal choice & entirely up to you.
I will have Craig comment on code specifics.

[Nick Radge]

A layout will save any indicators and annotations on any specific stock. However, you can still scroll through the stocks and the same indicators will appear on each one. Annotations or trendlines will only appear on the saves stocks though.

Let me know if this clarifies. Else I can do a quick video for you.

[Nick Radge]

It went through ok.
We’ll assess the answers and will respond if they’re incorrect or need comments.
Thanks.

[Author]

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