Ben’s Journal

[BenOsborn]

September 2023 Performance

US
Combined MOC -0.43% (-61.74% DD, -58.27% since inception (late March 2022))

NDX Monthly Rotational -7.49% (-9.61% DD, -3.35% since inception Dec 2022)

[BenOsborn]

October 2023 Performance

US
Combined MOC -4.9% (-63.66% DD, -60.36% since inception (late March 2022))

NDX Monthly Rotational 0.5% (-9.15% DD, -2.86% since inception Dec 2022)

Worst MOC performance since March.
NDX Rotational was up over 4% a week ago before taking a dive.  Index filter will switch it off now.

[ChrisThong]

Same here Ben, and it is challenging, and hope that November will be better!

[BenOsborn]

First decent day for me in a while.  KTB gave it a good boost.

[GlenPeake]

Noooiiicccceee!!!!!

If only all MOC trades played out like this…. lol

Well done!

You’re well overdue a decent day (or many days)…

[BenOsborn]

November 2023

US
Combined MOC +2.31% (-62.82% DD, -59.45% since inception (late March 2022))

NDX Monthly Rotational – No Trades – (-9.15% DD, -2.86% since inception Dec 2022)

Schwing (semi – discretionary) +4.88% (went live mid-November)

[BenOsborn]

December 2023

US
Combined MOC -0.14% (-62.87% DD, -59.50% since inception (late March 2022))
Actually had a technical issue work in my favour.  Trading platform crashed prior to market open without me knowing and shorts got belted in the session and would have been down 3% for the day if orders were entered)

NDX Monthly Rotational – No Trades – (-9.15% DD, -2.86% since inception Dec 2022)

Schwing (semi – discretionary) +7% (went live mid-November)

2023 Year

MOC 1 RUT                          -1.74%
MOC 1 RUI                           -3.23%
MOC 2 RUT                          -4.04%
MOC 2 RUI                           -4.70%
MOV VIXEN                         -1.88%
MOC DEVIATE                     -0.42%
MOC COD                            +4.71%
MOC MR                              -3.32%
MOC SHORT                       +0.68%
MOC SHORT 2                    +0.44%
COMBINED                         -13.7% (Most of the year’s loss occurred in March (12.6%)).  

NDX Monthly Rotational   +0.9%

Schwing (went live mid-November) +12.2%

Hopefully 2024 is better for my MOC systems and I can start climbing out of that drawdown!

[BenOsborn]

January 2024 Performance

US
Combined MOC -3% (-63.98% DD, -60.72% since inception (late March 2022))

NDX Monthly Rotational – No Trades (system on hold) – (-9.15% DD, -2.86% since inception Dec 2022)

Schwing (semi – discretionary) +9.13% (22.48% since mid-November 2023)

After a lot of thought and almost 2 years of significant drawdown I have decided to put my MOC systems on hold and watch their theoretical performance over the next few months.

[TerryDunne]

Hi Ben,

FWIW, I think you’ve made an excellent decision.

Hopefully some space from the daily order placement might allow some fresh ideas to come to the surface.

I’m a huge fan of MOC, but not with a 60% drawdown.

Best of luck!

Terry

[BenOsborn]

Turn all of my MOC systems off and they start performing, who would have guessed! haha

Theoretical Performance
February – +4.9%
March – +7%

I actually started trading the MOC systems again around mid-March but missed a few days when I was away for work and had some computer issues.  Of course, they were the few good days of the second half of the month and the days I actually traded were fairly flat.

Stepping back for about 6 weeks did allow me to view the systems with a bit more perspective:
– The majority of my drawdown was caused by previous iterations of the overall combined MOC systems
– In the 10 or so months since I had revised the systems following some advice from Nick, the overall system was only in a relatively small drawdown
– If I had have kept trading the system, it would now be positive for the last 12 months

While it would have been nice to have had the gains that I missed, it is nothing in the scheme of things when taking a long-term view and I have come back feeling refreshed and more confident.

March 2024 Performance

US
Combined MOC +0.27% (part of the month)
Schwing (semi – discretionary) -3.58%
 

[BenOsborn]

April 2024 Performance

US
Combined MOC +0.89% 
Schwing (semi – discretionary) +8.15%

MOC was 4.5% better until last night!  Caught a stock that tanked in 2 systems.  You win some, you lose some.

[BenOsborn]

May 2024 Performance

US
Combined MOC +0.48% 
Schwing (semi – discretionary) -1.39%

The month started out great for both systems and then went south in the 2nd half.  Swing system was up 8% / 9% before having only 2 positive days in the second half.  Fell asleep after a long day at work and missed putting MOC trades on one night and missed out on a 1% gain.  Shit happens, onto the next month!

[BenOsborn]

June 2024 Performance

US
Combined MOC -2.37% 
Schwing (semi – discretionary) -8.69%

July 2024 Performance

US
Combined MOC -5.89% 
Schwing (semi – discretionary) -3.58%

Rough couple of months.  All the damage to MOC was done in 3 sessions where I got hammered 4% / 5% in each session.  The rest of the month was ok.  Schwing system I got caught in a biotech which came out with bad trial results and gapped down below my stop resulting in a loss 10x what I had intended.

[BenOsborn]

August 2024 Performance

US
Combined MOC +8.7% 
Schwing (semi – discretionary) – No trades taken

I have made a few changes lately brought on by some observations in my results compared to the backtest over time.

TradeStation has less trades stocks available with full leverage compared to IBKR and the list changes daily (called a Special Margin List).  Each day I would have to download the list and exclude them from my universe of stocks before I ran my orders for each system.  Since I started a couple of years ago, this list has grown from about 6500 stocks to exclude up to somewhere in the 9000s. 

This didn’t really appear to be a big deal on the surface.  In general, my monthly results in the past were fairly similar to the backtest (in terms of % gain or loss) even though the list of stocks to exclude changed daily.  Running 10 or 20 year backtests with random copies of the exclude list were always profitable and didn’t show large changes in drawdown or CAGR (although they were not as good as not having to use the list). 

However, this year I started to notice some discrepancies that were outside my tolerance level. As an example, one month I got hit with some sizeable losses on a few different stocks.  The daily backtests matched but at the end of the month my live trading showed roughly -2.5% whilst the backtest was roughly +4%.  The main reason for the difference was that these stocks had been moved onto the special margin list after the big losing days and didn’t show in the backtest.

I quickly lost a lot of confidence in the backtests using a changing special margin list.  Sure it appeared as though everything balanced out over time but what if it started to hide things more often with the increasing numbers of stock on the list?  It was really bothering me that it didn’t match (or closely resemble at least).

So I thought it is pretty rare that my system would enter all 40 positions (average is 12) so I would try not using the special margin list and see how often I ran out of margin because of the stocks not using full leverage.  It ran ok for a while, there were only a couple of occasions when I ran out of margin.  Backtests matched a lot closer.  Then a big day came.  I could only enter 13 positions out of the 36 that entered in the backtest because I ran out of margin as all of the stocks had less leverage leverage at TradeStation.   The difference was 13% on the day in live trading compared to 28% in the backtest (days like this are rare).

I thought I can’t handle these discrepancies in my backtest to live trading so I need to change broker.  Whilst I couldn’t previously use IBKR for leveraged systems I found out that I was now able to so I have moved across to IBKR part way through this month. It has been smooth sailing since (knock on wood).

Some of the other changes I have made more recently is that I upped my liquidity filter a lot.  I found one of the other reasons my results could differ were stocks entering on the backtest whereas in real life I wasn’t getting filled as there were very little shares available at my price, if it even traded there at all (some of those trades where there is a random 100 shares trading somewhere below your limit order and it never really trades near your price).

I have also added some new short and long systems trying to bring down the drawdown correlations overall.

[BenOsborn]

September 2024 Performance

US
Combined MOC -2.8% 
Schwing (semi – discretionary) – No trades taken (life has been busy)

The issue with the Real Test order cut-off time cost me about 1.75% in gains before I figured out what was going on.  At least I make sure I double check that every night now!  

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