CT Journal

[ChrisThong]

MR#1 is fully invested and holding 10 positions. Placed 7 orders last night and all filled. It looks like the US market is getting volatile.

On the other hand, ASX100 rotational is in drawdown at the moment, and the drawdown percentage is within the tested level. Gotta roll with the punches.

This remind me of my first day training of Muay Thai in that the first punch or kick is always painful and hard to take it.

[GlenPeake]

Similar story here for the MR systems…. 2 of my MR systems are fully invested… the other 3 MR systems are close to fully invested…. if the US market can go positive in the next session or 2, you’ll see how these MR systems exploit their edge in real time…. which should put a smile on your face

As for the ASX100 RTN…. we’re all in the same boat there….

[ChrisThong]

I learn something new today. It was all because of one trade with MR#1 and the symbol was FSLR. I set a profit target at $95.85 and my order was partially filled. When I checked the high of the day for the symbol and it was $95.81.

As such, I checked on the trades by using “time & sales” function in TWS and found that there were a number of trades filled at $95.85.

Then I called IB and asked why the high of the day was $95.81 and not $95.85 consider there were trades filled at the latter price. The response from IB is that for a price to be recognised as a high, in this instance, the transacted quantities must be over 100. As in this case, the transacted quantities were less than 100, hence it was not recognised as the high of the day.

[JulianCohen]

I didn’t know that. Answers a few questions

[ChrisThong]

September 2021

AU Market

ASX100 Rotational -6.76%

US Market

MR#1 +0.31% (Started in mid Aug 2021 YTD +2.07%)

MR#2 -1.09% (Started on 27/9/2021 – paper trading result for now)

ASX100 rotational strategy sold two positions and replaced two.

Currently looking to build either a trend following system or another rotational. For trend following, I have been testing WTT for All Ord and I have the following results:

[ChrisThong]

MR#1 entered KLAC and DCT on last saturday (US Friday trading session), whereas my backtest shows otherwise. Again, checked on the “Time & Sales” reports in TWS shows that they are odd lot fills, being quantity transacted less than 100, hence the price where my orders were filled were not recorded as low of the day.

Well, MKT order has been placed for these two tickers to exit tonight.

Shit happens hey!

Also on another note, GO PENRITH PANTHERS!! not that I follow NRL, but hey it is my city!

On the rotational front, I made a mistake in September 2021, when I ran the exploration, as I had “Pad & Align” ticked and signals generated with that, including BSL.au. The worst part is that I did not do a backtest after I bought all the positions to ensure everything goes as plan. I found out this in October 2021 where BSL.au moved from above 100MA to below it. Position exited in October 2021.

Another shit happens!!

[ChrisThong]

In respect of WTT, the initial backtests with the same rules as Nick’s WTT book tested in XAO, I have the following results:

1. CAR: 23.3%
2. MDD: 20.88%
3. MAR: 1.12
4. Payoff: 1.93
5. Win %: 49.93%

No other filters are being used, apart from price filter.

I have the following ideas, mainly inspired by Glenn, being:

1. Index ADX filter; or
2. Absolute/Stock ADX filter; or
3. Stale exit together with ADX(that means the ADX for n bars after trigger bar is lower than ADX for the trigger bar).

The idea for the above is to limit the false breakout as much as possible.

[ChrisThong]

Quick update in relation to the above ideas, I have tested them and so far nothing interesting coming out from it. If you have an idea, test it, validate it and trade it. I am still in the first stage.

Also, just gotten my second dose of Pfizer yesterday, and body is aching! Having said that the “Freedom Day” has gotten some people crazy in that there were long lines of people heading to KMart!

[GlenPeake]

Chris Thong wrote:

In respect of WTT, the initial backtests with the same rules as Nick’s WTT book tested in XAO, I have the following results:

1. CAR: 23.3%
2. MDD: 20.88%
3. MAR: 1.12
4. Payoff: 1.93
5. Win %: 49.93%

The numbers look good Chris…..

FYI: Have a play around with the MAX Positions…… and see if the numbers improve and are stable/robust etc…..

On the back of Nick ‘tweaking’ the Max Positions for the Growth Portfolio, I’ve recently been doing some further tests and seeing some improvements in the WTT when reducing the number of positions from 20.

Also (if you haven’t already done so), maybe look into something like this: WTT Vola Trail Stop

Cheers

[ChrisThong]

Thanks Glen. I tested the n-bar exit as well as the volatility stop, and I just need to keep testing. My concern of the WTT is the less than 50% win rate, in that it may be difficult for me to follow. Hence, I hope to find something to deal with the false breakout and hopefully will increase the win rate to over 50%.

[JulianCohen]

Hi Chris,

The WTT is designed to have a low win rate. 30-40% would be reasonable…but small loses and big wins…it has the fat tails to the right of the distribution curve….That is the very essence of Trend Following. It can be hard to trade it I agree, but it is worth it in the long run.

That’s why we describe Trend Following as death by a thousand cuts…waiting for that one big win…but when the win comes..it’s a wonderful thing!

I reckon you have to be some kind of madman to enjoy trading it, so I don’t blame you

Having said that, I am one of those madmen!

[ChrisThong]

Oct 2021

AU Market

ASX100 Rotational -4.02%

Index filter is red for rotational strategy for Nov 2021, hence all positions will be exited on Monday. I just realised that I have made another error with this rotational strategy, in that I have forgotten to adjust the account balance when purchasing the October 2021 position, hence the position was bought using the initial account balance rather than the lower account balance as the account was in drawdown at that time. Lucky that I have extra cash in the account.

US Market

MR#1 +2.14

MR#2 -0.47

MR#2 is still in a paper trading phase, while I am organising capital. Hopefully, I will be able commence live trading in Nov 2021.

In terms of strategy building, I will be revisiting the WTT and hopefully build a weekly rotational for either ASX or US market.

One question for the reader of my journal, when do you adjust your account balance for compounding purposes? What I mean is that, say, I am running MR#1 with $100k capital, and now, after 2 months of trading, say I have gained $2k, hence account balance of $102k. Do you run exploration based on $102k, or you would have a pre-determined amount, say, when the account balance gained $10k or more? or you would review at the end of the year?

[TrentRothall]

Myself personally I adjust every day. I guess it depends on how are you have tested the strategy. If you are using compounding then the strategy would be tested adjusting the position size each day based on your account value. I think I have read that some people do it weekly, but you probably wouldn’t want to go to much longer than that with a MR system. Especially if you went into a drawdown, you could be over sizing your positions pretty quickly.

[Nick Radge]

Every day.

[ChrisThong]

Thanks Trent and Nick.

A stupid question, I should be using the STT’s market value for opened positions plus available cash, am I right?

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