Glen’s Journal

[JulianCohen]

What do you mean by a weighted ROC Howard? Are you using an EMA of the ROC?

[Howard Lask]

Julian, I am using a blended ROC calc combining a short term ROC with 70% weighting and longer term ROC with 30% weighting as the ranking mechanism

[GlenPeake]

Yeah… I found it tricky to get something I was happy with on the RUI as well… some 20,000 plus backtests in RealTest etc

Mine is a combo of short term/long term ROC (not weighted)… and dual MA on the stock….

The system kind of morphed into Momo Mean Reversion system… so average hold times are short i.e. about a month.

[Howard Lask]

Thanks Glen. Thankfully RT is fast, 20,000 tests in AB is not really viable.

A quick follow up clarification question if that’s ok … are you using the stock dual MA as a component of the ranking criteria or as an entry filter?

[GlenPeake]

Dual MA as a stock entry filter.

[JulianCohen]

Thanks for the weighted ROC Howard…makes a big difference…not that I haven’t seen it before of course as it’s in the examples in RT, but sometimes someone says something that makes things click in a different way.

Sorry for hijacking the thread Glen

[Howard Lask]

Glad it helped Julian – I found it made a marked improvement to my rotational systems

[GlenPeake]

MAY 2021 Stats

ASX
WTT +1.2% (Since Go Live in JAN 2019: +38.49%)
ASX100 RTN -4.6%

US
MR#1 -3.8%
MR#2 -5.8%
MR#3 -0.5%
MR#4 +13.4%

NDX100 RTN -3.1%

R1000 RTN -4.6%

Total Account: -0.72%.

Best Mean Reversion trade came from MR#4 with a 33% winner in $MOXC…$MOXC

[GlenPeake]

JUNE 2021

ASX
WTT +0.8% (Since Go Live in JAN 2019: +39.59%)
ASX100 RTN +6.7%

US
MR#1 +3.9%
MR#2 +5.0%
MR#3 +5.7%
MR#4 -4.3%
NDX100 RTN +10.1%

R1000 RTN +0.1% (Green is Green )

Total Account: 3.3%

I bit of chop in the WTT for June. I went from reaching new equity highs for the WTT earlier in the month, then within 3 sessions went into a snap -6% drawdown mid-month, then recovered towards the end of the month, to finish approx. 2% from those new equity highs….

Some nice Mean Reversion trades were also executed during the month (for 3 of the MR systems anyway), hoping this continues.

.

[GlenPeake]

JULY 2021

ASX
WTT +2.77% (Since Go Live in JAN 2019: +43.45%)
ASX100 RTN +9.5%

US
MR#1 -4.7%
MR#2 -15.9%
MR#3 -18.3.%
MR#4 +5.2%

NDX100 RTN +15.0%
R1000 RTN -0.5%

Total Account: +1.41%

Took a bit of a haircut in the MR systems this month. A combination of low Win % and getting stuck in positions that struggled to revert…. the DD is within system specs so no dramas there.

The fact that the total account still managed a positive return for the month, just highlights/reinforces the benefits of a diversified suite systems.

A sample of some of the MR trades below:

The best MR trade of the month was from the MR#4 system in $NAOV

[GlenPeake]

AUGUST 2021

ASX
WTT +2.8% (Since Go Live in JAN 2019: +47.48%)
ASX100 RTN -6.25%

US
MR#1 -0.69%
MR#2 -1.52%
MR#3 -4.94%
MR#4 -3.35%

MR#5 +10.9% (Paper traded during AUGUST, will Beta Test Trade during SEPT) MR5 was developed in RealTest and I’ll run/generate orders from RealTest,

NDX100 RTN +4.67%
R1000 RTN +19.35%

Total Account: +2.15%

The month closed out with new equity highs. Kind of a choppy month, $MRNA bolted early then retraced in the NDX100 system.

$FMG and other Iron Ore positions tanked a bit in the WTT portfolio, but other positions like $ASM, $DUB held up OK. New equity highs for the WTT portfolio.

The R1000 RTN system was the star system this month and kicked on nicely, mainly due to ($UPST)

I’m going to run all of my MR systems out of RealTest from SEPT onwards. Ease of management of systems out of the one APP, RealTest automatically keeps track of account balance(s) & therefore adjusts position sizing accordingly and auto generating CSV order file(s) means one less manual step and less chance of mistakes.

[GlenPeake]

Started developing a new system this weekend…… only early days atm and this is not the final version, but so far it’s looking OK.

It’s a monthly rotational system for ASX Small Ordinaries universe (XSO).

I started using my NDX100 Monthly RTN system as a template for the XSO.

Below are the stats for
2015-2021
2010-2021
2005-2021

(Zoomed IN)

Monthly Stats Breakdown:

[GlenPeake]

Drawdown graph:

[JulianCohen]

I was trying to get XSO to work the other day and I can’t get any trades.

I added XSO to the constitute.csv file and RT shows it when I type inXSO….What are you using for the main set of data? Do you have a dynamic watch list of all ASX stocks set up?

[GlenPeake]

Yep….. I hit the same hurdle yesterday and then emailed Marsten. He experienced similar…. he then emailed Richard @ Norgate to get clarity (no reply from Richard as yet)…

It looks like the constituents for XSO is not fully functional in Norgate atm…… (guessing)

In the interim I did this…

“The S&P/ASX Small Ordinaries index is used as an institutional benchmark for small-cap Australian equity portfolios.
The index is designed to measure companies included in the S&P/ASX 300, but not in the S&P/ASX 100.”

So I’ve modified the Import section and imported the ASX300 with the $XKO & $XTO constituents and then edited the canhold to exclude the ASX100 members as follows:

---

IncludeList: .S&P ASX 300 Current & Past
Constituency: $XKO, $XTO // ASX300 & ASX100

canhold: InXKO and not(InXTO) and factor > 0

---

The below code is Marsten’s NDX Rotate Example script modified for the XSO.

I ran a SCAN to generate the CURRENT symbols that it produces and it matches the CURRENT Small Ords XSO Listing of stocks etc…..

(Still need to check the historic part, but believe it looks correct etc)… Let me know if you spot something that doesn’t look quite right.

Code:

/////////////////////////////////////////////
// NDX Rotate
// shows one way to implement this popular momentum-based concept
// requires Norgate data to avoid suvivorship bias

Import: // assumes Platinum subscription level
DataSource: Norgate
//IncludeList: .S&P ASX Small Ordinaries Current & Past
IncludeList: .S&P ASX 300 Current & Past
IncludeList: $XAO.au // import $SPX symbol if want to use for Index Filter
//Constituency: $XSO
Constituency: $XKO, $XTO
ExcludeList: Examplesexclude.txt
StartDate: 1/1/2000
EndDate: Latest
SaveAs: XSORTN.rtd

TestSettings:
DataFile: XSORTN.rtd
StartDate: Earliest
EndDate: Latest
BarSize: Daily
//HolidayList: Examplesholidays.txt // only needed for generating tomorrow’s orders
AccountSize: 100000

Data:
// uptrend: c > Avg(C,200)
// bullmkt: Extern($SPY, uptrend)
factor: 0.4 * PctChg(C,63) + 0.2 * PctChg(C,126) + 0.2 * PctChg(C,189) + 0.2 * PctChg(C,252) // IBD RS factor

// canhold: InXSO and factor > 0 //
canhold: InXKO and not(InXTO) and factor > 0 //
// canhold: factor > 0 //

posrank: #rank canhold * factor

Parameters:
positions: 5
worstrank: 5

Strategy: ASX_XSO_RTN
Side: Long
Quantity: 100 / positions
QtyType: Percent
MaxPositions: positions
EntrySetup: EndOfMonth and canhold and posrank <= positions EntryScore: factor ExitRule: EndOfMonth and (posrank > worstrank or not canhold)

/////////////////////////////////////

[Author]

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