CT Journal

[JulianCohen]

I keep a seperate spreadsheet because STT only gives you closed equity and the dashboard has so much stuff on it I get confused. So each day I take the Net P&L number and add that to my initial starting amount and mark it on a spreadsheet. Then that’s the figure I use as the account total.

Maybe there’s a thing on STT that gives you that number but I’m not sure where.

[ChrisThong]

Nov 21

US Market

MR#1 +2.03% (Inception CAGR 6.36%)

MR#2 -1% (inception CAGR -2.53%)

AU Market

ASX 100 Rotational 0.0% (Index filter turned red for Nov 21) (Inception CAGR -10.51%)

Notes:

1. Nov 21 is an interesting month for both trading and personal wise. For personal, I had an operation for my sinus in late October 21 and still recovering, hence I have taken some time off for testing and system building. Operation had to be done due to constant sinus infection and blocked airway. Hoping to get back to testing and building of system in Dec or perhaps, Jan 22 during my time off. I have been thinking of building a WTT or another rotational, either in US or AU market. The results from Glen’s ASX Small Ord rotational look good!! Well done Glen!!

2. MR#1 was achieving new equity high in the first two weeks of Nov 21 and return at that stage was more than 4% then it got smacked down at the end of the month mainly by CERT and JAMF.

2. Paper trading for MR#2 finished, and I will be trading it live tomorrow US session, so beware for extra volatility!!!

[KateMoloney]

Hope you get better soon.

[SteveWallbrink]

Speedy recovery Chris
And well done on the rapid rollout!

[ChrisThong]

Dec 21

US Market

MR#1 +4.54% (Inception CAGR 11.19%)

MR#2 +5.48% (inception CAGR 5.48%) – I started live trading of this strategy in Dec 2021

AU Market

ASX 100 Rotational 0.0% (Index filter turned red for Dec 21) (Inception CAGR -10.51%)

[ChrisThong]

[code type=”//=================================================================================
// Momentum Squeeze Indicator
//=================================================================================

_SECTION_BEGIN(“Bollinger Bands Parameters”);
//=================================================================================
//Bollinger Band Parameters
//=================================================================================
BandTopPr = Param(“Band Top Period”, 20, 1, 1000, 1);
BandTopWidth = Param(“Band Top Width”, 2, 0.1, 10, 0.1);
BandBotPr = Param(“Band Bottom Period”, 20, 1, 1000, 1);
BandBotWidth = Param(“Band Bottom Width”, 2, 0.1, 10, 0.1);

BandTop = BBandTop(C, BandTopPr, BandTopWidth);
BandBot = BBandBot(C, BandBotPr, BandBotWidth);
//=================================================================================
_SECTION_END();

_SECTION_BEGIN(“Keltner Channel Parameters”);
//=================================================================================
//Keltner Channel Parameters
//=================================================================================
Length = Param(“Keltner Channel MA Length”, 20, 1, 1000, 1);
ATRMul = Param(“Keltner Channel ATR Multiplier”, 1.5, 0.1, 10, 0.1);

KCMA = MA(C,Length);
KUP = KCMA + (ATRMul * ATR(Length));
KDOWN = KCMA – (ATRMul * ATR(Length));
//=================================================================================
_SECTION_END();

//=================================================================================
//Squeeze On/Off
//=================================================================================
// Notes
// If both of the following conditions are true, then the squeeze is on for that period
// If they are not both true (one or both Bollinger Bands fall outside of the Keltner Channel), then the squeeze is off for that period.
// Upper Bollinger Band < Upper Keltner Channel
// Lower Bollinger Band > Lower Keltner Channel

SqueezeTog = ParamToggle(“Squeeze Toggle”, “On|Off”, 0);
SqueezeFilt = IIf(BandTop < KUP AND BandBot > KDOWN, 1, 0);
SqueezeFiltOn = IIf(SqueezeTog, SqueezeFilt,1);

_SECTION_BEGIN(“Momentum Parameters”);
//=================================================================================
//Momentum Histogram Parameters
//=================================================================================
MomoPr = Param(“Momentum Periods”, 20, 1, 1000, 1);

HighestHight = Ref(HHV(H, MomoPr), -1);
LowestLow = Ref(LLV(L, MomoPr), -1);

MidLine = (HighestHight + LowestLow)/2;
MAClose = MA(C, Length);
Delta = C – ((MidLine + MAClose)/2);
LinRegDelta = LinearReg(Delta, Length);
//=================================================================================
_SECTION_END();

//=================================================================================
//Chart Plotting
//=================================================================================
// Parameters
//

---

UpMomoColour1 = ParamColor(“UpMomo Color 1”, colorDarkGreen);
UpMomoColour2 = ParamColor(“UpMomo Color 2”, colorLime);

DownMomoColour1 = ParamColor(“DownMomo Color 1”, colorDarkRed);
DownMomoColour2 = ParamColor(“DownMomo Color 2”, colorRed);

Color = IIf(LinRegDelta > 0, IIf( LinRegDelta < Ref(LinRegDelta,-1), UpMomoColour1, UpMomoColour2), IIf( LinRegDelta < 0,
IIf(LinRegDelta < Ref(LinRegDelta,-1), DownMomoColour1, DownMomoColour2 ), colorYellow ));
//

---

// Plotting
//

---

SqueezeOnColour = ParamColor(“Squeeze On Colour”, colorRed);
SqueenzeOffColour = ParamColor(“Squeeze Off Colour”, colorGreen);

RibbonColour = IIf(SqueezeFilt,SqueezeOnColour,SqueenzeOffColour); //sets the color with condition/truearray/falsearray
Rib = IIf(SqueezeTog,Null,1);
//Links with the index filter toggle – if off, Null – if on, plot 1 (ribbon height in percent of pane width)
Plot(Rib,””,RibbonColour,styleArea|styleOwnScale|styleNoLabel,-0.0001,190);

//Plot(BandTop,”BandTop”, colorAqua, styleLine);
//Plot(BandBot,”BandBot”, colorAqua, styleLine);
//Plot(KUP,”KUP”, colorYellow, styleLine);
//Plot(KDOWN, “KDOWN”, colorYellow, styleLine);
Plot(LinRegDelta, “Momo”, Color, ParamStyle(“Momo Style”, styleHistogram, maskAll));

//=================================================================================
//Interpretation Window
//=================================================================================
”

---

“;
“SqueezeFilt ” +WriteIf(SqueezeFilt, “Yes”, “No”);
”

---

“;
“BBandTop ” +NumToStr(BandTop,1.4);
”

---

“;
“KUP ” +NumToStr(KUP,1.4);
”

---

“;
“BBandBot ” +NumToStr(BandBot,1.4);
”

---

“;
“KDOWN ” +NumToStr(KDOWN,1.4);
”

---

“;
“HighestHight ” +NumToStr(HighestHight,1.4);
”

---

“;
“LowestLow ” +NumToStr(LowestLow,1.4);
”

---

“;
“MidLine ” +NumToStr(MidLine,1.4);
”

---

“;
“MAClose ” +NumToStr(MAClose,1.4);
”

---

“;
“Delta ” +NumToStr(Delta,1.4);
“][/code]

[ChrisThong]

I was doing some research about momentum indicator for my next build, which is another monthly rotational system, either in ASX or US market.

I came across this momentum squeeze indicator created by John Carter.

Below is the link to StockChart, for your information:

https://school.stockcharts.com/doku.php?id=technical_indicators:ttm_squeeze

Can I have some coding masters here to check whether my coding is correct?

As of now, I am thinking how to deploy the above indicator for my next build. I am thinking of deploying it as stock filter. Can I please have your opinion please?

[ChrisThong]

Jan 22

US Market

MR#1 +2.5% (Inception CAGR 12.34%)

MR#2 +1.78% (inception CAGR 12.84%) – This system is two months old now.

AU Market

ASX 100 Rotational -20.40% (Inception CAGR -28.77%)

Jan 2022 is a month where my mental state has been tested, particularly in the ASX100 rotational system. The index filter for this system went red for Nov and Dec 2021 then it went green in Jan 2022. As Nick said, next 1000 trades!

One good news is that my MR systems are in green, and this shows the importance of diversification of systems.

Objective for Feb 2022 is to re-visit the WTT system and, perhaps, a ASX300 or ASX Small Ord rotational (traded by Glen).

Keep trading!!

[ChrisThong]

Firstly, those that affected by the flood in Qld and Northern NSW, you are in my prayer.

Feb 2022

US Market

MR#1 +3.22% (Inception CAGR 15.95%)

MR#2 +1.67% (inception CAGR 9.16%)

AU Market

ASX 100 Rotational -24.14% – this strategy went to cash on 1/2/2022 and no signal for March 2022. At least I have a month to think about this strategy whether I should continue.

It has been really busy at work (due to understaffed) and soccer season starts, that’s mean I have less time for myself and strategy testing, as I will be coaching a team while being a referee. But then, it will be fun!!

My objective for March 2022, and apart from think hard about the ASX 100 Rotational, is building a MOC system. I have completed WTT system. I will share some stats for both systems soon.

As far as I know retail trader s in Aus cannot setup a margin account with IB due to ASIC regulations. My question is how do you guys (those that is living in Aus) set up a margin account with IB?

[HendrikBotha]

Hi Chris,

Congrats on another month of positive returns.

Sorry to be the bearer of bad news, but you won’t be able to get a day trading margin account as an Australian retail trader at IB. I went through this exercise a few months ago. You’ll have to go with a different broker like Tradestation or Alpaca.

[ChrisThong]

Thanks for the confirmation Hendrik. I know Craig uses TradeStation for his day trading, perhaps I should set up a call with him.

[Craig Fisher]

Happy to chat Chris.
Book a call whenever it suits. Away for a couple of days at the end of next week.

[ChrisThong]

Attached are some stats of the MOC system that is in progress.

Universe: R1000;
Stretch: 0.5 of ATR 10;
Max position: 40;
% of equity per position: 5%;
Index Filter: No – I found that it works better with no index filter;
Min share price: $10;
Max share price: $500
Min avg volume: 300k
Margin setting: 100;

I am skeptical of the performance and have checked the code numerous times. Currently, I am checking the trades.

Can I please have your opinions. Thank you.

[BenOsborn]

Hi Chris,

Margin of 100 means that you are using no margin. Is that what you were intending?

40 positions at 5% would equate to 200% of your equity, meaning that you would need at least some margin available (overnight margin at least). Margin would need to be set at 50 to simulate this.

(Note: I am fairly new to the program so happy to be corrected if I have misunderstood this)

Regards,
Ben

[Nick Radge]

That is correct Ben.

Chris,
You’re using 50% LVR, so your testing won’t be able to be replicated in the real world unless you have access to margin.

Nick

[Author]

Posts