Weekly Systems

In response to a recent question and stealing from something I did sometime ago...

Advantages of long term weekly systems;
1. Big money comes from big moves. Some of the biggest winners in the Australian market took several years to develop.

2. Less trades, less mistakes (although I still seem to manage!). Less trades (or trading) does not mean that less money is made or that less money is committed to the market. I am often fully invested.(I spent 6 months out of the market last year!)

3. Less time required (although the more capital the more time it takes). Much of my time is spent researching systems and strategies (not lately though - just trading). I also work, although my hours are quite flexible.

4. Reduced noise. Weekly charts allow the trader to stand back from the market and see the bigger picture. When I am on holidays I will often only check the prices on the weekend to see if any exit signals have been triggered.

5. Liquidity becomes less of a problem. I can buy or sell a stock on more than one day in a week, just as some might buy or sell several times through the day to get the position they want. I will buy up to 8% of average weekly volume, although I rarely do.

So weekly systems suit me, although each to their own.

I use the All Ordinaries index (around 500 stocks) as my universe of stocks.

The number of trades that trigger is dependent on the trading system used, the time frame and the number of stocks scanned. One of the systems I am currently using ranks the trades. I limit myself (in this system) to the top 4 stocks in the list. Another system allows discretion - flip a coin, look at the fundamentals, consult the stars, whatever, to make the final selection from the possible trades presented.

I use 1% risk position sizing. I don't worry too much about portfolio heat - I can easily have 20 trades running, although some will be below 1% risk due to lack of volume.

My biggest problem lately is adding extra money into the portfolio when it becomes available. I have been looking into the future and position sizing based on capital that will become available in the next 6 months from other sources.

I'm off to Europe for a while,

regards
stevo

AmiBroker testing and Excel

Many system testers focus on optimising variables like moving averages. But it is also possible to get a better understanding of position size, risk and other trade parameters.

The following charts were generated from Amibroker optimise runs. I optimised a number of criteria, %Risk, minimum position size $, capital and maximum number of trades held - all at the same time. What results is a lot of data that I then transfered to Excel. Using Autofilters and pivot tables in Excel I can fix some parameters, as well as exclude others, and create 3D charts as shown below.


I had some fun with colours - the default ones set on my version of Excel didn't really work for me.


So in the one spreadsheet I have, amongst other things, a large number of 3D combinations to consider. I lose the ability to rotate the charts but I did customise the colours to my liking. It's a little time consuming generating pivot tables and determining what values to include / exclude, what parameters to fix and what value to fix them at but I feel I am only scratching the surface with Excel.

regards
stevo