Thanks for the feedback Skate: Is it the strategy you actually run ?..I know you have an hybrid approach and so leverage multiple systems but, is the code you backtest above something you actually run?
Reason I ask is that your entry into BRG is quite “lucky”: entry on a day where the share jump 21pc, want to make sure this is not some test code with maybe a future looking part or similar.
Indeed I expect much difference between your code and my current version as I have changed the initial base code you provided a LOT to suit my style (aka less DD ideally, etc)
I understand if you feel answering is providing too much information.
Thanks again
No problems explaining if it helps.
qldfrog, let me explain how I would trade this strategy. I have coded the CAM Strategy to your stated requirements.
Requirements
Starting date – Week ending Friday 8th February 2019 (Explore for new signals)
Purchase date – Monday 11th February 2019
20 Positions
$5K positions
$100K Starting Equity
1. Buy in the pre-auction (place orders before the Mondays open)
2. I take every signal in order till the 20 positions are filled.
3. Follow the strategy without question.
QUESTIONS
1. “Is it the strategy you actually run ?”
This is my CAM modified Strategy – Do I trade it ? – Not yet, but I’m thinking about trading it as it’s quite different to my Hybrid Breakout Strategy. Meaning its not correlated.
2. “I know you have an hybrid approach and so leverage multiple systems but, is the code you backtest above something you actually run?”
Yes, this will be the actual code I’ll be trading, I’ll start small $300K portfolio with 20 positions @ $15K.
3. “Reason I ask is that your entry into BRG is quite “lucky”: entry on a day where the share jump 21pc, want to make sure this is not some test code with maybe a future looking part or similar.”
Luck plays a big part of trading. That an honest signal from the CAM Strategy (no fudging involved)
Luck (re-post)
To a great degree, our success or failure in the market is a function of our luck. We like to think that our results are a direct consequence of our insight and efforts, but the reality is that luck plays a big part in how we do.
Trading is all about price movement. (re-post)
Nothing works perfect in trading so the next best thing is to accept ‘that sometimes it works well and other times not so well. Those that can handle that tend to do well. I say just go with the flow. Trading success is all about just luck & you create your own luck by doing all the right things.
4. “Indeed I expect much difference between your code and my current version as I have changed the initial base code you provided a LOT to suit my style (aka less DD ideally, etc)”
There is a huge difference in our strategies, I didn’t get many of your signals. The base code of my CAM Strategy is the exact same code I’ve supplied to you. I included additional code my CAM Strategy with added parameters.
Important to understand
The CAM strategy will pump out a large number of positions that’s why the PositionScore is critical.
Graphics
Let me post a few graphics so you have a better understanding (correlated to the date you have given in your post 8th Feb 2019)
Skate.
CAM Strategy using the Backtest feature for AA Positions – this is what you see using Amibroker. (BRG) Long entry 11th Feb 2018
CAM Strategy using the Explore feature for AA Positions – this is what I see using Amibroker. (BRG) Long entry 11th Feb 2018 (includes my pre-auction calculations) – I have only listed the first position instead of a huge list. It aligns with the Backtest AA position signal for reference.
Explore signal
CAM Strategy 8th February Backtest report
CAM – (AMI) Chart as you listed a purchase (for signal comparison)
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