Its my first month of trading and apart from a few teething issues things have gone pretty well.

Results are below:

1. US MR MOC (Combined R1, R2) -4.1%

Given I’m using leverage and the poor market performance I think this is a good result. I was expecting a bigger loss.

We did have a power failure this week so I was glad to be on a VPS.

Now I’m working on my next strategy which is a Rotational Momentum system on the ASX 100.

Cheers

It’s been an interesting week trading, I was away for most of it but still managed to place my orders and returned home to yesterday’s mess.  My thoughts below:

MOC System
-6.5% for the day on Monday.
66 fills from 80 orders on the R1000/R2000.

Post Mortem
Indexes were down ~4.5% for the day.
It was a down day that closed near the low, not good for MOC systems.
25% margin I’m using multiplies the losses.
Stretch in the system reduces losses.

Given the 25% margin and the -4.5% index drop my loss could have been much higher so -6.5% is actually an ok result on the day (although it doesn’t feel that way).  
The system worked well, I expect the stretch absorbed most of the potential losses.

ASX 100 Weekly Rotational
This system went live in June
The index filter allowed entry on 3 Jun (the only day this month it was green).
The index filter was red the following week so we exited with a 10% loss.
I placed exit orders with a -5% limit and 3 trades had a large gap down yesterday and did not exit, I adjusted the limit intraday to exit (I will revisit this).

Post Mortem
I ran backtests to confirm the live results and found one stock entered was different in the backtest.
I re-ran the exploration for 3 Jun and it was different to the original exploration due to ranking….a red flag.
I reviewed the Norgate logs thinking it was a timing issue with the data then Nick highlighted that one exploration included dividends and one didn’t so we can put it down to user error on the re-run.
The system worked as expected.

This loss is probably more uncomfortable, losing 10% on the first round of trades for new system puts some doubt in my mind but I’m happy with the testing and these results are in line with that.  I’m happy to put it down to normal trading (and maybe being a little unlucky on the timing).  Having said that, a fresh backtest indicates the system is now very close to its Max DD so I will investigate this further.

Overall, an interesting couple of days with plenty of experience gained which should make it easier next time.
These are my thoughts after 10 weeks of live trading so I’m kind of making it up as I go along, hope it makes sense.

Cheers

Slade

Thanks for the feedback, its good to know I’m on the right track. Cheers

JUL 2022

US MR MOC (Combined R1, R2)   +2.38%
All Ords Monthly Rot 0.00% (cash)

Surprised to be slightly up, its good news.

I wanted to post an update one of my systems that I finished recently, it went live in July and sat in cash for a month before entering the market in August. 

This system kind of evolved from a weekly system after I went off on a tangent during testing.

Below are the details.

All Ords Monthly Rotational System
Universe 
    All Ords Index.

Rules
    Index Filter 
    Dual MA filter on the $XAO
    
    Stock Filter
    Limit historical volatility using StdDev
    
    Ranking
    Dual linear regression slope (short term/long term) with minimum values (this is more like a filter as it excludes stocks)
    The long term linear regression slope used as the Rank value.
    
I think its a fairly simple system, there are two things I did differently that make it better for me to trade, one improves the returns, the other helps psychologically.

The index filter uses dual moving averages, short and long term, if the index is above either MA the system trades. In code this is using an OR operator rather then an AND operator as shown below.

IndexFilterUp =  
( 
    Index > IndexMALong  
    OR 
    Index > IndexMAShort
); 

This improved returns in backtesting, my theory why is that it gets you back in the market quicker following a drawdown.  If the market is going up in the short term and we are in the highest momentum stocks we may catch it.  It won’t always work but backtesting was positive, I’m happy to have a go and time will tell.

The other difference is also on the index filter, if the index filter goes red mid month the system goes to cash and sits on the sidelines until the next month.  This degrades returns slightly but I’m not yet comfortable sitting in multiple monthly systems if things go pear shaped early in the month.  With experience this will change and I will switch it off but for now I’ll leave it on.

That’s about it, Hopefully this is useful for somebody.

Cheers

SEP 2022

US
MR MOC1 – Combined R1, R2   -5.63%
MR MOC2 – Russel Microcap     -0.98% (testing in live account)

ASX
All Ords Monthly Rot        -0.15%
WTT                                 -6.40%

Not too bad all things considered.
I didn’t have a lot of time for research this month……hoping to fix that in Oct.
Cheers