Obsessions, Yellow Roses & BNB

The 3 aren't related! I exited BNB this week for a small gain of 15%. It's the only exit signal I got last weekend.

I find myself browsing eBay and other online stores looking for CD's to listen to. Right now I have Jackson Browne Solo Acoustic Vol. 1 playing. I use my laptop as a remote and can search for whatever music is ripped to the network hard drive. Ripped to lossless format (FLAC) and played through my Transporter music is much more accessible.

It's only recently that I actually realised that I can be quite obsessed by an idea or an approach. I also realise that my obsessions can evaporate very quickly. My long term trading obsession doesn't seem to be going anywhere, although my desire to do research is quite low at the moment. I have no shortage of trading ideas to try out either.



Yellow Roses from Chicken Skin Music is a track I have always liked although many cannot understand why!

I'll post a picture of my trading room, ala ASX Gorilla ( http://theasxgorilla.blogspot.com/ ) although my room is very mobile these days - the lounge room, the kitchen, the veranda or work. Now where did I put my camera.

Yellow Roses say goodbye,

stevo

Another chart - AZZ exit

I noticed that I haven't been posting too many price charts lately. Here is a trade I exited at the end of June for a 31% gain. I have only had 2 other exits since then, BCF & FAN, and they lost around 9% and 6.5% respectively.

In the chart above the ribbon at the bottom of the price chart monitors a share index. Red means that this system turned itself off 5 weeks ago.

stevo

This blog is worth $1129.08

My blog is worth $1,129.08.
How much is your blog worth?

"Show me the money" Jerry Maguire

Optimising & % trades not taken

I did an 2 parameter optimise on a weekly system I am working on. The axis marked "Monte Carlo" is a dummy variable - the variable is not used anywhere in the system. The axis marked "trades not taken %" is where a % of buy signals were ignored at random.



With this long term weekly system the more buy signals ignored the lower the CAR (Compound annual return %). I could ignore 10% to 30% of the trades without a huge dropoff in performance.

The "Monte Carlo" axis shows the variation of CAR at different levels of trades not taken. If a big trade is always taken because no trades are ignored then this one trade could give a false impression of the system. By testing with a random buy variable it is possible to approach Monte Carlo simulations using a different randomising approach.

Also I randomised the buy and sell price over the week the signal was given (it's a weekly system) so, even at 100% of signals not ignored there was slight variation in the results.

Hope that all makes sense!

stevo

Red Victor One - no Turtles here!!!!

Ok, it's a capital liability rather than a capital asset and has nothing to do with trading - but it just shows how obsessed we can get! Makes my daily drive look very tame.

Stevo

Curtis Faith - Way of the- Turtle

Asx Gorilla put a link to this interview on his site. He makes some interesting comments on consistency and trading.

"It is easier to learn how to do it" "...the tools are much better"

stevo

3D charts & Trade-offs

The 3d plots are from a new system I have been working on and show a 2 variable optimise. The first chart plots Compound Annual Return, whilst the 2nd chart looks at drawdown. I find the 3d charts feature of AmiBroker a very useful tool - that's why I am posting these charts here.

What would be nice is if we could have 4 or 5 dimensional charts! I tried using Excel surface charts to get more insight but the 3d Amibroker charts are more convenient.


One variable (ATR multiplier) didn't have much impact over the range I tested - I could choose pretty much any value in the relatively tight range I tested. This suits me.


As is often the case using the values that give the best draw down result in lower CAR and visa versa. I could trade off CAR for lower draw down.

What was good is that I finally coded up profit target code. The following code was posted on the Yahoo AmiBroker site courtesy of Tomasz Janeczko;

/* a sample low-level implementation of Profit-target stop in AFL: */
Buy = Cross( MACD(), Signal() );

priceatbuy=0;

for( i = 0; i < BarCount; i++ )
{
if( priceatbuy == 0 && Buy[ i ] )
priceatbuy = BuyPrice[ i ];

if( priceatbuy > 0 && SellPrice[ i ] > 1.1 * priceatbuy )
{
Sell[ i ] = 1;
SellPrice[ i ] = 1.1 * priceatbuy;
priceatbuy = 0;
}
else
Sell[ i ] = 0;
}

All I had to do was modify it so that I also tested for a trailing stop. I initially tested using APPLYSTOP code but to set up the system I was more comfortable coding up the profit exit. Because the Sell is dependent on the buy what sounds quite easy does require something like the code above. GP's document on looping was also of value - it's in the files section of the Amibroker Yahoo site. The Yahoo site is a wonderful resource.

I will run some TradeSim tests before I take the system I have been working on live. As usual for me it's a longer term weekly system. I think I will call it Chaos, although Chicken & Chips is tempting! There is a small restuarant that does wonderful chicken & chips at Crows Nest and I do like my food. Why not name a system after food I like?

regards
Stevo

It's a blog - not a book

I guess that the posts on this blog don't really flow all that well. Hey it's a blog not a book.

There are some good books around about trading and trading systems Van Tharp springs to mind. Leon Wilson has a book with system testing in it - Breakthrough Trading. Lately I struggle to read trading books!

Dinner time.

regards,
stevo