Gavin's journal

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May 26, 2019 at 5:22 am #101918

#REF!McGrath
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I completed the course earlier this year. Settled on a monthly rotational system that trades the R1000. I found that keeping parameter settings simple & generic worked best. I only optimised the index filter length. System uses volatility adjusted position sizing. I found having 2 versions of the system one for backtesting & then another for operations useful in terms of having the operational parameters set.

Results over the test period were CAR 17.9% with max DD 16.4% for the system I adopted. Went live with the system in March. Results so far:

Mar: 1.41%
Apr: 1.62%

I also trade the growth portfolio. For 2019 to Apr 3.9%.

June 5, 2019 at 8:59 am #110043

#REF!McGrath
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May 19

ASX Growth -0.95%
R1000 Mom 0.71%

June 30, 2019 at 9:17 am #110084

#REF!McGrath
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June 19

ASX Growth 3.0%

August 1, 2019 at 9:02 am #110162

#REF!McGrath
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July 19

ASX Growth 2.6%
R1000 Mom 3.07%

August 31, 2019 at 9:25 pm #110257

#REF!McGrath
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Aug 19

ASX Growth -2.8%
R1000 Mom 0.4%

October 7, 2019 at 2:58 am #110339

#REF!McGrath
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Sept 19

ASX Growth 0.08%
R1000 Mom 0.33%

November 3, 2019 at 8:49 pm #110468

#REF!McGrath
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Oct 19

ASX Growth 0.77%
R1000 Mom -0.28%

December 1, 2019 at 1:19 am #110526

#REF!McGrath
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Nov 19

ASX Growth -2.79%
R1000 Mom 1.99%

January 4, 2020 at 12:35 am #110626

#REF!McGrath
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Dec 19

ASX Growth -2.88% (Annual 0.76%)
R1000 Mom -3.66% (Annual 3.81%)

Dec dragged down annual performance but happy I followed all signals. Still feeling my way a bit. About to do first currency hedge.

Goal for 2020 is to implement another 2 systems.

February 1, 2020 at 9:59 pm #110741

#REF!McGrath
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Jan 20

ASX Growth 2.02%
R1000 Mom 4.56%

March 1, 2020 at 5:35 am #110877

#REF!McGrath
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Feb 20

ASX Growth -8.72%
R1000 Mom -7.36%

April 1, 2020 at 9:20 pm #111043

#REF!McGrath
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Mar 20

ASX Growth -4.72%
R1000 Mom -1.25%

I’ve added Nicks NASDAQ trade long term system which is in cash.

August 3, 2020 at 9:51 am #111213

#REF!McGrath
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July 20

ASX Growth 4.4%
R1000 Mom 7.1%

September 2, 2020 at 8:40 am #111968

#REF!McGrath
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Aug 20

ASX Growth 6.7%
R1000 Mom -1.3%

does anyone know for a trade that has already been processed in TWS how to add a trade reference? I would like to separate my monthly trades from the mid-month trades which are under the same account.

September 2, 2020 at 11:20 am #112107

Anonymous
Inactive

Do you mean in the resulting Excel spreadsheet log file that can be exported from TWS? If yes, change the Order Ref. column to your heart’s content in Excel.

Or do you mean in some of the reports like flex reports in account management website? I don’t know how to do it here.
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