Anthony’s Journal

[AnthonyFuentes]

June 2024
[list]
[*]R1000 monthly rotational: -1.0%
[*]NDX100 monthly rotational: +3.3%
[*]MR 1: +0.8%
[*]MR 2: +0.7%
[/list]
Total account return this month: +3.12%
Total account YTD return: 26.79%

Cheers, everyone!

[AnthonyFuentes]

July 2024
[list]
[*]R1000 monthly rotational: -0.5%
[*]NDX100 monthly rotational: -3.5%
[*]MR 1: +2.1%
[*]MR 2: -1.3%
[/list]
Total account return this month: -4.59% 

August 2024
[list]
[*]R1000 monthly rotational: +0.9%
[*]NDX100 monthly rotational: -1.2%
[*]MR 1: +1.5%
[*]MR 2: +4.1%
[/list]
Total account return this month: +5.7%

Total account YTD return: 27.81%

July was brutal, in the end it was a small percent loss, but seeing those losses for what felt like an entire week there in July was tough. Mostly those losses came in the NDX100 rotational system. I am planning to work on that aspect of these combined systems as it’s the weakest link in the backtest and also in the forward test.

August saw a nice recovery and almost reached new equity highs.

Onto the next one. Cheers everyone!

[JulianCohen]

The trend following rotational strategies will have some brutal months. That’s just part of the strategy. I’d be a little careful about changing it too much, assuming the backtest looks OK that is. You might end up overfitting it a little

[AnthonyFuentes]

I agree Julian and thanks for the feedback. When I do have time to look into it I want to see how dynamic position sizing/rebalancing could work for those rotational systems. I know I’m going to give up overall PNL, but getting a smoother ride could make those tough months easier to get by.

[AnthonyFuentes]

September 2024
[list]
[*]R1000 monthly rotational: +5.1%
[*]NDX100 monthly rotational: +1.4%
[*]MR 1: +0.8%
[*]MR 2: +0.8%
[/list]
Total account return this month: +7.15%

Total account YTD return: 36.90%

Back to new equity highs in September and of course I’m forgetting all about my comments for July and August 
Nice to see many here continuing to perform well. Cheers everyone!
 

[KateMoloney]

Nice work!

[AnthonyFuentes]

October 2024
[list]
[*]R1000 monthly rotational: +8.8%
[*]NDX100 monthly rotational: +0.7%
[*]MR 1: -2.2%
[*]MR 2: +2.0%
[/list]
Total account return this month: +4.48%

Total account YTD return: 42.51%

A solid month.

It’s almost the end of the year and I’ve been trading this ensemble of 4 systems since the beginning of last November. My takeaways thus far with my backtest in mind are that the NDX100 system does seem to be the weakest of the bunch. Although this system has shown periods in the past where it has exceptional performance it can have some really sour periods, like the 50% drawdown around 2022 and the somewhat unimpressive relative performance vs. the overall market this year. In the following screenshot you can see when it gives it back, it really gives it back. Of course, this is one year, but something to chew on for me.

Cheers everyone!
 

[KateMoloney]

Nice work Anthony

[AnthonyFuentes]

November 2024
[list]
[*]R1000 monthly rotational: +12.9%
[*]NDX100 monthly rotational: +14.3%
[*]MR 1: -3.6%
[*]MR 2: -0.6%
[/list]
Total account return this month: +7.70%

MaxDD YTD: 6.20%
Total account YTD return: 54.31%

Cheers everyone!
 

[smurfki0808]

Another nice month Anthony. And then boom, your NDX100 comes to the party!

[PaulBailey]

No wonder your avatar is smiling!

[Author]

Posts