Daniel’s journal

[DanielBaeumler]

After some back and forth with my systems and trouble with STT reporting, I finally start joining in with my results

July 17:
US MOC: -1.19%
US Swing: 0.61%

ASX MOC: 0.24 %
ASX Swing: 3.30 %

August 17
US MOC: -0.48%
US Swing: -1.91%
US Momentum: 2.61%

ASX MOC: 1.84%
ASX Swing: 2.70%

In August, AB is showing 4.15% on my ASX MOC. The difference is mainly related to two trades showing big profits in AB but no fills because of ‘printed’ prices which were never traded in real life. I hope this is not happening too often…

[DanielBaeumler]

My September results:

ASX:
MOC: +0.55%
Swing: +1.38%
Momentum: Paused – no signals

US:
MOC: -1.66%
Swing: +1.62%
Momentum: +0.93%

I have reviewed my US MOC system. Great average performance over the past 17 years but weak over the past 24 months (flat in last 12 months). I’m now running my ASX MOC on the US market with adjusted parameters and position sizing. Overall performance is similar but results should be lanced. Let’s see….

[DanielBaeumler]

should be lanced.

should be more balanced

[DanielBaeumler]

My October results:

US:
MOC: + 3.6%
MR: – 2.8%
Momentum: + 7.9%

ASX:
MOC: + 0.3%
Swing: + 1.8%
Momentum: pause (coming back in November)

Notes:
Results are based on STT reporting. Unfortunately, STT numbers look better than my IB account statement which does not grow in the same way (IB Reports/Portfolio Analyst/monthly report – comparing Value previous month with this month).

Anybody the same issue?

[Nick Radge]

STT will only report closed equity data and will not account for open P&L

[DanielBaeumler]

Nov 17

US MOC: +2.15%
US Swing: +1.49%
US Mom: +8.21%

ASX MOC: -1.24%
ASX Swing: +6.63%
ASX Mom: -2.57%

Globa ETF: -0.77%

Total: 3.85%

If each month could be like this one…

[LEONARDZIR]

Great results particularly US MOMO

[DanielBaeumler]

Cheers, Len. Hope the US market stays as bullish as we all hope. I’ve also shifted some funds towards my momentum systems and the US market.

[DanielBaeumler]

December results:

US:
US MOC: +0.36%
US MR: -0.53%
US Momo: -1.23%

ASX:
ASX MOC: -0.76%
ASX MR: -1.85%
ASX Momo: + 4.20%

Global ETF: 3.04%

Wishing everybody all the best for 2018 and great trades. I’m very happy to be part of this fine community!

[DanielBaeumler]

Jan 2018

US MOC: -1.0%
US MR: +5.3%
US Momo: -0.3%

ASX MOC: -1.5%
ASX MR: -1.8%
ASX Momo: -5.3%

Global ETF: +6.5%

Total account: -0.7%

Overall, my month was not really successful considering how the leading US markets performed.

US: Looking at the numbers from all the others, my momentum system looks rather weak. I verified the parameters and found the ‘trouble maker’: C > MA(C,40). Removing this parameter would have delivered +15.2% for the month. In the long run, it adds value, but not to a large degree. I need to look deeper into it. Interesting case anyway…

ASX: Over the last 6 months, the performance of my ASX MOC is flat. The only party who may appreciate me trading this system is IB (I don’t even want to mention the commissions I threw at them…). Even if the idea of trading US and ASX MOC systems back to back from the same account is very tempting, I will finally pause it for now.

My ASX Momentum system is running on ASX100. A momentum system on large caps is obviously not a perfect match (although ASX100 is paying nice dividents). Need to give it some more thoughts…

[JulianCohen]

A couple of thoughts Daniel,

On the US Momo why did you choose such a close MA?

ASX MOC – Welcome to the club. It seems like in theory it should work but the commission drag is a bastard! I’m a little baffled though as the backtest includes the commission so we should be getting the desired results. In my case I was using the ASX 300 and the fills I was getting, or rather missing, is what made me give up on it. I got too pissed off checking the bad or missed fills every day.

[ScottMcNab]

Take some heart Daniel..I have been pulling my hair out trying to see if I can get my rotn momo systems to come even close to the returns others are posting and have come up empty…so 15% for the month by changing 1 parameter sounds a very positive discovery

[DanielBaeumler]

Julian, to tell you the truth, I don’t remember exactly how it came in. The general concept is to select titles with a high and stable growth long and short term but to remove candidates showing extreme growth in the last month. Nevertheless, when I looked at the code yesterday, I was wondering myself…

[SaidBitar]

Daniel Baeumler wrote:

ASX: Over the last 6 months, the performance of my ASX MOC is flat. The only party who may appreciate me trading this system is IB (I don’t even want to mention the commissions I threw at them…). Even if the idea of trading US and ASX MOC systems back to back from the same account is very tempting, I will finally pause it for now.

Seems not only me having this pain.
whenever i have free time i sit and try to improve these systems but till now there is no results especially when i put the condition L + 0.01 < BuyPrice. what i noticed that Australian stocks behave a bit different from US stocks, they tend to move a lot in one direction so on a bad day they drop much and on a good day they go up but not as much as they drop. i will continue to tinker with them a bit either i will find one thing that works or i will switch to longer term.

[DanielBaeumler]

February 2018

ASX:
ASX MR: +2.0%
ASX Mom: + 16.7% (thank’s to A2M)

US:
US MR: -0.6%
US MOC: +0.2%
US Mom: -4.0%

Global ETF: -7.0%

Total account: +1.2%

According to AB, my US MOC should have returned +10.2%. I lost about 3% due to enforced closing of positions by IB during the first frenzy days in that month (margin issue with 2 MR and 1 MOC system running in the same account with maximum leverage). On 5 days, my MOC system was exposed to selection bias which is quite high considering a total of 33 selection bias days from 2000-2017 (avg 1.8/year). Good example that backtest results and reality can be quite different.

Overall, I’m very pleased with the month. At the beginning of the month, I was far away from thinking that this month would close with a positive result. Good and very valuable trading experience for me.

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