XTO (ASX) Systems

Originally posted by journeyman: ↑

Had a thought about this chat we had a couple of years ago and thought I'd check in on how everyone went with systematic trading??

I personally never got around to learning amibroker but did come up with a mechanical system for picking and exiting stocks and used a very complicated excel spreadsheet to do a very rudimentary (but reasonably diligent) backtest using free ohlc data ripped automatically from Yahoo. Part of the criteria is market cap size and I only had this data going back a couple of years. Part of it is also based on FA data but semi automated. I believe this TA/FA mix provides quite a unique edge of sorts. The stocks I buy are completely unknown to me.

In the 2020 year (including through the 40% crash in May/June) the back test would yield between an average return of around 90% across the whole portfolio fully invested with a 'buy and hold' strategy. With a couple of simple rules to focus on turning stocks over more consistently and money management strategies using a very crude systematic exit based on a peak volume estimate, the results produced between about 190% and 450%. Stupidly good results to the point that there must be an error right?! 2020 was a phenomenal year though.

There was about 50 trades or so during the period and money management was heavily focused on maximising the power of compounding returns.

I started trading the system with a $50k balance on 15 February this year and I'm pleased with the results considering much of the year has been at least 'patchy'and occasionally difficult market conditions... Almost 25% total portfolio return so far for 6 months. Without a few emotional/rule breaking errors along the way, the return would be almost 35% instead. Win rate was about 80% before an emotional liquidation of half of the portfolio after that day the DOW dropped 900 points. I think it needs a fair bit more time to produce an accurate win rate figure though.

Only time will tell if the results remain consistent long term, but my confidence in the system is definitely building.

Hope you've all stuck with it and managed to find a profitable strategy!

@sci9249
@Robo.T
@wilfran1pm
@VVX565
@zestfulmocha

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Hey Mate, interesting timing on your post as I log in for the first time in a long time! I have not been trading the ~18 months months and just last weekend have re-funded my accounts to get back into it.

I went down FX algo path, I made some okay early progress and some model break even, some win some loss - very much tried to take a portfolio approach to things rather than perfect any single model, but didn't keep it up for long enough to say I "made it work" to a level i'd say was showing longer ter success, but no regrets as I learned a lot before getting pulled away.

On a non-trading note I was in healthcare and got completely smashed when COVID first hit, ended up with no time to trade which is why I stopped (in fact I lost a bit because I was forced to totally neglect my portfolios with stupid working hours lol) - eventually decided to leave that company and am now am in a technical role in the RPA world - so decided it was worth taking the time off trading to build those skills in a new career trajectory, then put it to good use when I get back into trading, which I am now! So I'm looking at automating using mix of new skills/tools as well as old learnings and model ideas now that I have time in my life again - but with RPA I reckon it opens a lot of doors for autoating ASX trading, both TA and FA, which a lot of brokers/platofrms wouldn't otherwise offer you the data sets to work within.

Anyway long way of saying I gave it all up, but back to give it another crack!

P.S. - Glad to hear things are going well with your model, I also dabbled with some excel back testing, would be interested to hear about how you wend about yours if you ever want to shoot the breeze.

Cheers, Robo