Glen’s Journal

[GlenPeake]

Thanks Kate.

[GlenPeake]

JUNE 2022

ASX
WTT -1.40%        (Since Go Live in JAN 2019: +25.36%)
ASX100 RTN 0%

XSO RTN 0%

US
MR#1 -12.11%
MR#2 -10.36%
MR#3 -15.57%
MR#4 -11.43%
MR#5 -9.61%

NDX100 RTN 0%
R1000 RTN 0%

Total Account: -3.65%

Year to date Drawdown:        -16.57%
Current overall drawdown:    -19.14%

Currently STILL stuck holding a position in $AVZ.au in the WTT portfolio, this is the only MOMO position I’m holding atm.

Some big % numbers being posted again this month, unfortunately they are all red numbers.   I believe it’s much the same for most of us, so just have to keep pushing buttons and ride it out atm.

[GlenPeake]

JULY 2022

ASX
WTT 0%        (Since Go Live in JAN 2019: +25.36%)
ASX100 RTN 0%

XSO RTN 0%

US
MR#1 +4.53%
MR#2 +3.25%
MR#3 +3.92%
MR#4 -10.57%
MR#5 +1.27%

NDX100 RTN 0%
R1000 RTN 0%

Total Account: +0.14%

The ASX XSO monthly rotational is switching back on for August and the WTT is back in the game as well from Monday.

[GlenPeake]

AUGUST 2022

ASX
WTT -7.36%        (Since Go Live in JAN 2019: +16.13%)
ASX100 RTN 0%

XSO RTN -2.96%

US
MR#1 -8.73%
MR#2 +0.45%
MR#3 -0.20%
MR#4 -4.53%
MR#5 +3.21%

NDX100 RTN 0%
R1000 RTN 0%

Monthly Total Account: -3.37%

Current Total Account Drawdown: -21.76%

PAR.au & PNV.au, were the 2 positions within the WTT that were responsible for most of the negative return for the month. The ASX100 monthly rotational kicks back in today.
 

[GlenPeake]

In addition to my monthly stats and on the back of Nick testing/developing an ASX Swing system, I’ve also been going down the rabbit hole on my own version of an ASX Swing system.

Here’s some sample stats…… as it is targeting all ASX stocks, I think there are some ‘dormant’/lower liquidity stocks (that ‘wake up’ and my entry setup captures) which in reality might not be completely tradable in real time, so some of the higher return backtests seem to contain some of these stocks…. so need to find the right balance in terms of turnover filter settings and momo entry/setup.

I’d also like to see the Percent Wins increase a little bit, currently my system sits at around 60%, but Nick’s version sits @ around 66%.

Thus far, I’m noticing that some of the better backtest returns come from the lower denomination stocks i.e. sub $1 etc…. currently I have my min share price set to 0.20c. But more research required here. I think the ‘edge’ with my version of the system, works better on stocks that are not part of the ‘blue chip’ flavour of stocks, at least that’s what I’m noticing thus far….but a still early days and very much a work in progress.

A few samples across different versions of the system:
 
 

[GlenPeake]

SEPTEMBER 2022

ASX
WTT -1.99%        (Since Go Live in JAN 2019: +13.82%)
ASX100 RTN +8.12%

XSO RTN -6.91%

US
MR#1 -9.93%
MR#2 -13.89%
MR#3 -13.40%
MR#4 +10.3%
MR#5 -3.09%

NDX100 RTN 0%
R1000 RTN 0%

Monthly Total Account: -2.28%

Current Total Account Drawdown: -23.55%

Currently for the 2022 year…. 7 negative return months and only 2 positive return months

On Monday, the ASX100 & XSO RTN systems revert back to 100% cash, while the WTT will reduce open positions down to just 3 holdings (2 of which are coal stocks).

Best mean reversion trade this month came from MR#4 system with $VTYX

 

[GlenPeake]

OCTOBER 2022

ASX
WTT –1.17%        (Since Go Live in JAN 2019: +12.49%)
ASX100 RTN 0%

XSO RTN 0%

US
MR#1 +4.86%
MR#2 +14.98%
MR#3 +6.66%
MR#4 -0.38%
MR#5 -1.16%

NDX100 RTN 0%
R1000 RTN 0%

Monthly Total Account: +1.10%

Current Total Account Drawdown: -22.70%

[GlenPeake]

NOVEMBER 2022

ASX
WTT -2.50%        (Since Go Live in JAN 2019: +9.67%)
ASX100 RTN 0%

XSO RTN 0%

US
MR#1 +2.31%
MR#2 +11.27%
MR#3 +1.17%
MR#4 +1.27%
MR#5 -0.08%

NDX100 RTN 0%
R1000 RTN 0%

Monthly Total Account: -1.49%

Current Total Account Drawdown: -21.43%

The WTT is back to 100% invested. Both the ASX100 & XSO Monthly Rotational systems are back to 100% invested for this month also.
 

[GlenPeake]

DECEMBER 2022

ASX
WTT -8.40%        (Since Go Live in JAN 2019: +0.46%)
ASX100 RTN –9.65%

XSO RTN -4.63%

US
MR#1 -15.11%
MR#2 -6.32%
MR#3 -3.12%
MR#4 +0.90%
MR#5 -9.28%

NDX100 RTN -4.19%
R1000 RTN -11.39%

Monthly Total Account: -7.5%

Current Total Account Drawdown: -27.47%

Was great to catch up with Nick and the team in Sydney a few weeks ago. All the best for 2023.

 

[GlenPeake]

JANUARY 2023

ASX
WTT +2.84%
ASX100 RTN +1.31%

XSO RTN 0%

US
MR#1 +8.24%
MR#2 +7.21%
MR#3 +14.34%
MR#4 +13.91%
MR#5 +5.99%

NDX100 RTN 0%
R1000 RTN 0%

Monthly Total Account: +1.59%

Best MR trade for JANUARY came from MR4 with GNS +65%.
 

[GlenPeake]

Been testing out a few ideas for another Rotational system (currently testing a Monthly version), this time for the XAO All Ordinaries universe.

Uses 15 positions and a Worst Rank Held of 20.

I was playing around with the Index Filter against the XAO for this system and then as a ‘change up’ tried using the XSO as my index filter instead…. this added 6% to CAR/ROR and MaxDD was basically the same.

A few test samples below:
 

Results Continued

 
 

[KateMoloney]

Interesting change in results Glen.

Silly thought, but I wonder if that is because that index excludes heavy weights like BHP?

I recall Nick talking about it on Twitter and how the index was higher last year because BHP was up and was such a large % of the index.

[GlenPeake]

Kate M post=13821 userid=5397 wrote:

Interesting change in results Glen.

Silly thought, but I wonder if that is because that index excludes heavy weights like BHP?

I recall Nick talking about it on Twitter and how the index was higher last year because BHP was up and was such a large % of the index.
 

Yeah, not entirely sure myself….. certainly possible i.e. exclusion of Blue Chips in the XSO
I was thinking about it earlier and one possibility that I was mulling over was maybe when the “growth stocks” i.e. small/mid caps start moving Upwards i.e. XSO constituents, then best to be aligned with the market when they start moving….

I also think that my Dual Momentum criteria for the system is capturing/targeting these ‘growth stocks’ that have good MOMO. etc

[GlenPeake]

FEBRUARY 2023

ASX
WTT -4.66%
ASX100 RTN -10.46%
XSO RTN -5.94%

US
MR#1 -0.41%
MR#2 +6.36%
MR#3 +1.03%
MR#4 -5.13%
MR#5 +3.17%

NDX100 RTN -3.29%
R1000 RTN -6.36%

Monthly Total Account: -1.92%

The grind/chop continues……

Mean Reversion trades seem to be picking up in this market, with all MR Systems positive for 2023. With MR#3 leading the way up 15% year to date (JINX Deployed now that I’ve said that).

 

[KateMoloney]

OK Glen, stop talking … don’t jinx it!

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