Ben’s Journal

[TerryDunne]

One of my criteria before I can take a system live is that it has two meet the minimum benchmarks on both the R1000 and R2000 with identical everything. I wouldn’t run a system on the R1000 without being prepared to run it on the R2000, and vice versa.

Have you actually developed two new systems by using a new ranking? I guess you’d want to check how many trades duplicate…

[BenOsborn]

They are existing systems; all I have been doing is looking at the results if I was using different ranking methods.

When I was first developing the systems, I noticed that the method of ranking can have a big impact on how MOC systems perform so it was something that I had always meant to look at again down the track.

The systems are all profitable on both R1000, R2000 and other universes of stocks with all of the ranking methods I have tried as well as random.

[JulianCohen]

I use different ranking methods, primarily to allow me to trade two different strategies on the same universe without holding the same stock twice.

I will always take a lower MDD and a lower CAGR. The CAGR in reality rarely matches the backtest, missed fills, non fills on the low of the day, spoof fills at the start of the day, all that sort of thing. However you can be pretty sure the MDD will be worse than you ever thought it could be.

So I’ll take a low MDD and just let the CAGR play out in real time. If I get a great CAGR in backtest and it increases the MDD, I’m less likely to use it.

Mentally it is very hard to cast aside something that looks like it will make more money…but I have learnt to overcome that temporary greed.

[BenOsborn]

That was the other thing that I was testing with using different ranking methods, whether it would reduce the instances of holding the same stock twice.  Currently I have 2 long systems on RUI, 2 long systems on RUT and then a long system and a short system that looks at all stocks as long as they are listed on a major exchange.  At this stage I haven’t restricted them in terms of holding the same stock and will just leave it that way I think (for now anyway).

[BenOsborn]

November 2022 Performance

US
Combined MOC –5.42% (-54.07% DD, -49.91% since inception (late March 2022))

Breakdown:
MOC1 RUI    3.18%
MOC1 RUT  -4.32%
MOC2 RUI     1.99%
MOC2 RUT    -7.16%
MOCV            -0.11%
MOC Short     1.69%

[BenOsborn]

December 2022 Performance

US
Combined MOC -5.5% (-56.6% DD, -52.66% since inception (late March 2022))

Breakdown:
MOC1 RUI    -0.84%
MOC1 RUT   -2.11%
MOC2 RUI     -1.35%
MOC2 RUT    -2.75%
MOCV            -0.49%
MOC Short     1.94%

NDX Monthly Rotational -3.98% (first month)

Happy New Year all!

[BenOsborn]

January 2023 Performance

US
Combined MOC +1.13% (-56.11% DD, -52.63% since inception (late March 2022))

Breakdown:
MOC1 RUI    1.93%
MOC1 RUT   -1.27%
MOC2 RUI     0.7%
MOC2 RUT    -1.34%
MOCV            1.32%
MOC Short     -0.15%

NDX Monthly Rotational -3.23% (-7.08% DD)
 

[BenOsborn]

February 2023 Performance

US
Combined MOC +1.95% (-55.25% DD, -51.19% since inception (late March 2022))

Breakdown:
MOC1 RUI    0.32%
MOC1 RUT   2.12%
MOC2 RUI     -0.89%
MOC2 RUT    0.77%
MOCV            0.04%
MOC Short     -0.02%

NDX Monthly Rotational -6.90% (-13.5% since inception)

[BenOsborn]

March 2023 Performance

US
Combined MOC -12.5% (-61% DD, -57% since inception (late March 2022))

Breakdown:
MOC1 RUI      -2.95%
MOC1 RUT     -2.63%
MOC2 RUI     -2.23%
MOC2 RUT     -2.31%
MOCV             -4.54%
MOC Deviate   -0.02%
MOC Short     1.28%

NDX Monthly Rotational -7.57% (-20.04% since inception)

Thanks to Nick who took a look over my MOC systems.  Although I had reduced selection bias compared to how my system was running earlier last year, it was still likely having more of an impact than I estimated.  I have since undertaken a significant amount of further testing, swapped some systems out with others and reduced orders, resulting in a system with selection bias on 0.42% of days.  RealTest makes a huge difference running so many tests easily, would have taken me forever in Amibroker with all the changes.

[BenOsborn]

April 2023 Performance

US
Combined MOC -4.92% (-62.77% DD, -59.4% since inception (late March 2022))

Funnily enough I was actually very slightly positive for the month until this last week.

The work to reduce selection bias continued into the first week or two of the month.  Some systems have been swapped out for others to get the best mix of systems working together with the least selection bias.  Nothing wrong with the systems alone, the final mix of systems just perform better when combined (in theory anyway!).

Breakdown:
MOC1 RUI      -1.67%
MOC2 RUI     -0.71%
MOC Deviate   0.12%
MOCCOD       -0.38%
MOCMR         -0.89%
MOC Short     -0.56%

NDX Monthly Rotational -3.88% (-8% since inception)

I have noticed that I had made an error in my monthly calculations which overstated the drawdown.

Previous results should be:
Dec 2022                 -6%         
Jan 2022                  +3.22%
Feb 2022                 -1.12%
March 2022             -0.2%

[BenOsborn]

May 2023 Performance

US
Combined MOC -0.76% (-63.06% DD, -59.7% since inception (late March 2022))

Breakdown:
MOC1 RUI      -0.63%
MOC2 RUI     -1.21%
MOC Deviate   0.73%
MOCCOD        0.97%
MOCMR         -0.11%
MOC Short     0.62%

NDX Monthly Rotational 11.53% (2.61% since inception)

[BenOsborn]

June 2023 Performance

US
Combined MOC 2.49% (-62.13% DD, -58.7% since inception (late March 2022))

Breakdown:
MOC1 RUI      0.60%
MOC2 RUI      0.08%
MOC Deviate   0.75%
MOCCOD        0.87%
MOC Short     0.27%

NDX Monthly Rotational 3.90% (6.63% since inception Dec 2022)

[JulianCohen]

yay!! all green

[BenOsborn]

July 2023 Performance

US
Combined MOC -1.72% (-62.78% DD, -59.41% since inception (late March 2022))

Breakdown:
MOC1 RUI      -0.12%
MOC2 RUI      -1.09%
MOC Deviate   -0.63%
MOCCOD        -0.53%
MOC Short     0.73%

NDX Monthly Rotational 0.27% (6.92% since inception Dec 2022)

Started counting my MOC chickens before they hatched this month.  Was up nicely until 20 July when everything turned around!  You win some, you lose some. Bring on August.

[BenOsborn]

August 2023 Performance

US
Combined MOC 3.26% (-61.57% DD, -58.09% since inception (late March 2022))

Breakdown:
MOC1 RUI      -0.27%
MOC2 RUI      -0.88%
MOC Deviate   0.09%
MOCCOD        4.73%
MOC Short     -0.36%

NDX Monthly Rotational -2.28% (-2.28% DD, 4.48% since inception Dec 2022)

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