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June 17, 2022 at 11:03 pm #114846BenOsbornParticipant
Pub didn’t help … now I’m down another 6.4% plus I have a hangover.
Getting quite uncomfortable now as it moves towards a 50% drawdown.
June 19, 2022 at 3:51 pm #114849SaidBitarMemberYes it is tough, especially when the drawdown is the largest than the tested history.
Anyhow I think the only thing to do is to keep pushing orders.July 1, 2022 at 11:56 am #114476BenOsbornParticipantJune 2022 Performance
US
Combined MOC -22.30% (-42.86% since late March 2022)ASX
Growth Portfolio -2.56 (-6.31% since Oct 2021)Tax return looking good this year, although I will probably win myself an audit.
July 29, 2022 at 11:13 pm #114477BenOsbornParticipantJuly 2022 Performance
US
Combined MOC 14.13% (-34.78% since late March 2022)July 29, 2022 at 11:43 pm #114972JulianCohenParticipantAt last
That must be a relief
July 29, 2022 at 11:59 pm #114478BenOsbornParticipantYeah I’ve got a smile on my face today after the last few months
July 31, 2022 at 12:08 am #114973KateMoloneyParticipantBen Osborn post=13262 userid=5409 wrote:July 2022 PerformanceUS
Combined MOC 14.13% (-34.78% since late March 2022)A little reward after the punishment
August 6, 2022 at 10:31 am #114479BenOsbornParticipantIt has been a while since my last update as work has been in the way yet again.
I have been working on a few things over the past two months when I have had a chance.
I have developed a monthly rotational system for the NASDAQ as well as a weekly version that was to trade on the RUI (as the weekly seemed to trade on the RUI slightly better than the NASDAQ). The weekly system does not perform as well as the monthly momentum system, which doesn’t perform as well (in general) as the combined MOC systems.
Therein lies a dilemma that I have been struggling with for the past 4 weeks (many more actually). I understand overall the benefits of having a diversified collection of systems. It makes sense to me; I have combined my combined MOC systems with the rotational systems, messed with different capital allocations and can see the benefits in the greatly reduced drawdowns in terms of the whole portfolio.
However, this does come at the sacrifice of the larger potential returns of the combined MOC systems. At the moment, the majority of my funds are in the combined MOC system. My plan has been to grow my capital as fast as possible in a way that is not taking stupid risks or having unrealistic expectations (I’m not expecting to turn $5k into $1m overnight or anything). To do that, I am comfortable with the larger drawdown that goes with my MOC systems for now. I would then diversify out into other systems as the capital grows.
So when the weekly system turned on at the end of last week I made the decision not to split the small allocation I had for the weekly and monthly rotation systems and keep it just for the monthly (understanding the reasoning around signal luck).
But this is all part of the dilemma I have been struggling with in my mind. Is my thought pattern and plan logical, does it make sense or am I just being greedy and it is clouding my judgement? Is there more risk in my plan than I understand?
Apart from this I have been working on a Short MOC system. It is uncorrelated to the long systems and although it does have some flat periods, it reduces my drawdown and increases the overall gains (in backtest world anyway!). The API is currently being finalized (to add in shorting) so I can start testing the system.
There are some uncertainties with this system. I have been testing and refining on a wide universe which includes all shares that are listed on a major exchange and meets volume and turnover conditions. However, in reality I am not going to be able to short all of these stocks. TradeStation has a list of shares that you can easily borrow, the problem is that this changes daily. There are usually about 2500 / 2600 stocks on there though with 100 or so being added and removed daily. For the past few weeks I have then been testing on this universe each day. Although lower than the full universe, the results have remained fairly consistent. The real power is when it is combined with the other systems as it is uncorrelated. I am still unsure how it will fair in real trading but will live test it and see how it goes.
I have also been playing around with RealTest for the past couple of weeks. Really enjoying the features. The amount of time it has saved me in spreadsheet cleanup and manipulation for the MOC systems is amazing (maybe I went about it in excel the long way).
It also alerted me to a problem that I had in one of the MOC systems excluding a watchlist in my orders for amibroker. For the longest time I couldn’t figure out why RealTest and Amibroker didn’t match!
It has also saved me a lot of time in generating orders for the API as I have been able to automate more of it.
I am glad I learnt Amibroker first though and undertook all of the other calculations and spreadsheet manipulations manually as it has given me a better understanding. Will probably continue to use both.
Sorry for the long post!
August 7, 2022 at 12:05 am #114998TerryDunneParticipantHi Ben,
Really interesting post, thanks for taking the time to make it.
I’ve also struggled with the general concept of diversification V Return/drawdown. I trade 2/3 MOC (10 systems) and 1/3 MR (4 systems) and for ages have wanted to add trend following and/or momentum systems for the benefit of diversification. As you say, the problem is that return and drawdown deteriorate.
In the end it turned out I didn’t have to bother. The MOC systems in particular tend to make $$$ in all market phases and I have managed to add some diversification just by adding more of them. I know this sounds counter intuitive, but my live systems right now have drawdowns from 14% to 32% but across the portfolio the MDD is 13%.
Having said that, if I can find a system that back tests with CAGR in the 20% – 30% range and with a MDD of under 20%, I’ll be all over it.
As for shorting though, I’ve decided it’s not for me. The metrics aren’t as good, presumably due to the upward bias of the market and conceptually I can’t cope with the idea that my loss on a trade is unlimited. I see this as much more serious than the idea of duplicating (or not) trades in different systems.
Best wishes,
Terry
August 13, 2022 at 7:35 am #114480BenOsbornParticipantThe new API for the short system was ready for testing this week. It has worked as it should. Just my luck that the first two days testing on demo the short system made some nice profits, the day I go live it takes a nice loss!
As you mentioned Terry, with the short system there is that chance of an “unlimited” loss. Some of those meme stock’s had huge daily runs. With some of the filters I have I don’t seem to get those stocks in my universe but who knows what stock might have a big daily run in the future.
I did do some testing with relaxed filters which meant some of these stocks met the criteria and it did significantly increase drawdown. I then did some testing around using an emergency stop. I want to have it far enough away so that it won’t ordinarily get hit before a stock reverses (killing performance), but not so far away that my account would take a really significant hit if one of these events did occur. In testing I did find that it did significantly reduce the drawdown on the system when my filters were loosened and these type of stocks were in the universe. The programmer is now adding the ability for an emergency stop to be placed at x * fillprice (I will only be using it for the short system and not the long systems).
Obviously this is good in theory but I am aware that I might face some serious slippage in a fast moving market.
Apart from that, the rollercoaster continues as this seems to be another bad month for me so far. I have now given back last months gains and am sitting right on the max drawdown that I encountered again. Still have the second half of the month to go and who knows what will happen.
One thing I am finding recently is that I am getting results that differ to the backtest more often (and not in my favour). This is because TradeStation has less shares available that you can use full margin with and this has become less and less over the past few months. Earlier I found it would pretty much wash out over time but it hasn’t been as much lately. At least I know the reason but it is frustrating all the same.
August 14, 2022 at 12:41 am #115005JulianCohenParticipantI have shorting as part of my MOC strategies and have been running shorts for about a year or so, so here are my thoughts on the whole thing.
First off, I will never hold a short overnight…I want to be out of it at the close. Just one of my rules, and that prevents some element of getting caught short in a bad situation (I wonder if that’s the origin of the expression…anyway)
Marsten’s API has a take profit function built in, which can be reversed for shorts so that means I have an emergency stop loss built in at a 40% move against me. It has only executed once in the time I have traded shorts and that was last week. It’s just there as a safety net, and I agree with you totally on this point. Marsten uses it too BTW but he holds shorts overnight…
The main issue with shorting is that you can never be sure of getting a fill. So I have approached it mentally in a different way. Although I check my actual trades against the backtest every day, I ignore non-fills for shorts. No point in knowing the specifics as there’s nothing you can do. I do monitor the overall performance of the short strategies against the backtest though and while they offer some benefit, I will continue to run them. Should that breakdown then I will reconsider.
When backtesting shorts, I try to get the maximum CAGR for the lowest MDD, or basically the best MAR I can achieve; I like to see that the backtest does have non-correlation between shorts and longs, but I don’t consider it as a robust nor trustworthy process.
This does go against the rigorous training Nick has instilled in us, I feel, however, I am very aware of the issues, and while they perform as I want them to, then I am prepared to trade them. Note I said they perform as I want them to and not perform as the backtest, as they won’t do that.
So although I trade shorts I am fully prepared to drop it as a strategy should it not perform the way I want it to overall.
This of course leads to another question, such as how long should it underperform before I drop it?
Dunno…is the answer. Without intending to sound facetious, whatever allows me to sleep at night I would suggest.
September 1, 2022 at 12:27 am #115006BenOsbornParticipantAugust 2022 Performance
US
Combined MOC -12.21% (-42.74% since inception (late March 2022))Quick and dirty breakdown (as I don’t have exact separate stats):
MOC1 RUI -3.57%
MOC1 RUT -4.11%
MOC2 RUI –1.18%
MOC2 RUT –5.95%
MOC Short 3.01%September 14, 2022 at 9:51 pm #114481BenOsbornParticipantAnother day, another loss lately. I am now in a 53% drawdown and I must admit it is getting a bit uncomfortable.
Still following my system perfectly but starting think about at what point I am just going to have to stop trading it. 60% drawdown? I don’t know.
September 14, 2022 at 10:29 pm #115038KateMoloneyParticipantWow Ben – hats off to you for sticking to the process.
Didn’t you say you started the MOC in May? Had you started in 2020 or 2021 you would have looked like a genius.
For what its worth (and I’m no expert) I had a rule when I started trading MOC.
If I lost more than X% of my initial capital then I would either stop trading and/or consult with Nick about the system.
For example, if the max back tested drawdown was 30% then I set a rule that if the drawdown exceeded 35% then I would stop and reassess.Start date dependency can play such a bit role in the amount of profit we make (or don’t make). Still, it doesn’t make what you are going through any easier. The best person to speak to about it would be Nick or Craig since they’ve been around the block a few times.
For what its worth, my MOC trading hasn’t been profitable since April. Since June it has hit max DD 3x. There is a pattern of the system making healthy profits (5% – 10% profit MTD) and then having them all wiped out in 1 or 2 trading sessions. Considering this my initiation into becoming a decent trader
September 15, 2022 at 6:25 am #115040GlenPeakeParticipantFWIW Ben, for the year to date I’ve had 6 losing months and only 2 winning months…. so it’s been a tough year for all trading systems, ASX/US long term/short term etc.
I’d echo Kate’s comments.
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