Daniel’s journal

[DanielBaeumler]

Dec 2019

ASX
Growth Portfolio: – 0.9%

US:
MOC: -3.4%
MR: -7.1%

Acct: -2.1%
Acct 2018: -9.4% (in EUR)

Made some operational mistakes this year. Apart from that, trading results were obviously disappointing (probably like for most of us). On top of that, currency was also working against me.

All the best for 2019 to all of you !

[DanielBaeumler]

Jan 2019

ASX
Growth Portfolio: -0.1%

US:
MOC: +0.4%
MR: -0.3%
NDX and SPX Momentum systems in cash

Account: +0.1% (in EUR)

Very quite for me this month. I see that some of you show good results on MOC systems which is how it’s supposed to be in periods where momentum systems are switched off.

[DanielBaeumler]

Mar 2019

ASX:
Growth Portfolio: -2.33 %

US:
MOC: -4.92 %
MR: – 0.38 %
SPX Mom: + 4.46%
NDX Mom: + 3.25%

I had one really bad day on my US MOC system ruining this month performance. Overall, recent performance for this system has been fairly weak with flat months January and February (while most of you showed great results). However, my mid and long term back tests are very promising. Hence, I’ll leave my hands off for now.

[DanielBaeumler]

Apr 2018

ASX
ASX growth: +8.41%

US:
US MOC: -0.58%
US MR: +0.79%
SPX Mom: -1.3%
NDX Mom: +3.1%

I have change my US MOC system. Biggest change is moving from R1000 to R3000. Backtest is showing significantly better performance. However, on 2-May, I noticed already a big gap btw backtest and real trading with one stock not getting filled due to low volume at the daily low. Let’s see how it finally works out…

[LEONARDZIR]

Daniel,
I also switched to R3000 from R1000 last month because of marked improvement in backtested results. For the most part my IB portfolio matches my amibroker portfolio. I think I had 2 stocks that were not filled by IB but recorded as filled by Amibroker.

[LEONARDZIR]

As an aside, I made the switch after a conversation with Caesar Alvarez who told me the R3000 is an excellent universe for mean reversion.

[SaidBitar]

the only thing to be careful about in R3000 is that not all the stocks have 4:1 margin especially the ones that are outside R1000 (under R2000) most of them are 1:1 or 2:1

[JulianCohen]

Also I’m sure you will get many more days where the IB trades don’t get filled but Amibroker does. Going outside the R1000 leaves you open to this sort of thing. I would suggest you try backtests with an aggressive turnover or average volume parameter and see what happens.

I get some missed fills on the R1000 every now and then…with the R3000 it will be much worse.

[ScottMcNab]

Surprisingly I found it only happened once or twice a month over the time I traded the R3000 but I am sure it all comes down to size of the order. I was only using 2x for MRV and not 4x …had each position set at 10k and worked ok if that is of any use as a starting point Daniel
caveat
Only traded if for six months so not huge sample size…was couple of hundred trades only

[JulianCohen]

That’s a good point Scott. I think as long as the trade size is commensurate with the index, then things should be OK.

I’m very interested to see how you go Daniel. Do keep us updated please

[Anonymous]

Hi Guys, I just started a new post in the “Performance Metrics & Brag Mat” discussion regarding the topic of slippage (or missed trade entries) on MOC systems. I would love to get your thoughts. I have started to become a bit concerned about the missed entry orders on my MOC systems (Russell 1000 and even S&P500 constituent lists) and how that will impact the actual realized returns relative to my Amibroker backtests.

[DanielBaeumler]

Guys, thank’s a lot for this great feedback. For sure, I will keep you updated.
So far, I’m running it on 4x, max 40 positions. Very few days with more than 20 trades. Exposure 10.3%. From 2009 to-date, CAR is 35.1%, MAR 1.65. Fairly even distribution. I’ve also added a volume filter with V and MA(V,100) > 750k. Taking it down to 2x is cutting performance in half.
For now, I’ll leave it on 4x and see how it progresses

[DanielBaeumler]

May 2019

ASX
ASX growth: -4.1%

US
US MOC: +4.5%
US MR: -2.4%
NDX Mom: -7.8%
SPX Mom: -16.8%

Acct: -4.3%

First month after I changed my MOC system from R1000 to R3000 (in addition to some system adjustments). While I was very pleased with my 4.5%, AB backtest delivered 6.1.%. 10 trades came up in the backtest which didn*t show up in reality. One was due to low volume at the daily low (no fill) the others were trades from other exchanges or pre-opening prices which I’m not trading but the AB backtest is bringing up.

It’s obvious that the AB backtest results are less reliable than the ones I got from trading R1000. Nevertheless, the performance is still much better than my previous system (at least in this past month). We’ll see…

I’m trading now for over 2 years. My overall performance is about -10%. I made some operational mistakes I hopefully learned from. The main contribution to this disappointing performance is probably too much risk. I leveraged all systems to the max (MOC 4x, US Momentum 2x) which hit me hard last October and also this month. Taking the risk looked very obvious to me trying to make the most out of my funds with systems in place delivering great backtest results.

My Momentum systems will go in cash next month. Probably a good point in time to do some more analysis and spend some more thoughts on how to move on.

[Nick Radge]

Nice work Daniel. That’s an impressive result for the MOC.

I know Len has been exploring a much larger universe after he had a dinner with some US traders including Cesar Alvarez. He’s trading all stocks….a universe of about 5250 or so.

[LEONARDZIR]

Yes looking at a larger universe but get excellent results with my MOC with the R3000. Basically higher CAR but higher MDD compared to trading R1000.

[Author]

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