- This topic is empty.
-
Intra month update:
Firstly, it was great to put a few faces to names in Sydney on Tuesday @ the lunch Nick put on, cheers Nick for orgainising!!
I’ve been back into the coding/research these last few weeks, trying to work on a monthly Rotational System, targeting the NASDAQ 100, that will also work on the ASX.
I’ve tried quite a few different bits and pieces from the simple to the more, ‘not so simple’, then back to simple. Sometimes you get an idea that is like an itch that needs to be scratched, so you have to test it out etc.
A sampling of some of the things I’ve been testing:
* Index/Regime Filter variations
– Using some of the Norgate indicators as a Filter e.g. “#DJI%MA200” (which shows the percent of stocks above there 200 Day MA), and other Breadth indicators.
– Adding up the number of days the Index Filter has been RED in a range of days for the month
– Using various indicators, both in isolation and combination, e.g. ADX, PDI MACD etc as Index filters.* Combing ranks via the use of StaticVarGenerateRanks()
Details here:
https://forum.amibroker.com/t/positionscore-using-combined-ranks/576/5So far, my stats for 1/1/2005 – 1/1/2020 on the NASDAQ 100 are
CAR: 27%
MDD: -23%Still a work in progress……
System is made up of a:
– Simple MA index filter
– Short/Long term ROC
– Stock MA filterSo only a few moving parts.
For a Robustness comparison, here is the same system, with no changes except changing the index filter code over to the XAO.au, against the ASX100
February 2020 Stats
ASX WTT -11.57%US MR#1 +3.41%
US MR#2 -1.44%Last week the WTT system was up approx 3% for the month of FEB and @ new equity highs and sitting at 38.4% return since go live in JAN 2019.
One week later, @ 19.85% return since go live.The WTT is operating within parameters, i.e. drawdown is @ approx -15% from equity highs last week.
7 Sells to place for Monday’s open and will be 60% invested once they’ve been sold off. (Spring cleaning is several months early this year).
Top performers for the month: not much
Worse performers for the month: all stocks not mentioned above
…… There were several stocks down in the -30% range for the month….. but the one that takes the cake is PAR.au…. down approx -47% for the month.Both of the MR Systems were tracking to return in the 5-10% positive range for the month, but not to be. Amazed that MR#1 stayed in the green.
Development of the monthly rotational systems continues……
Also, just to add that without the Mentoring Course, who knows where my head would be at when the market goes into these sorts of ‘downturns’….. so there’s comfort in following the process and sticking to it…… instead of going around and around in circles via the Beginners Cycle. :silly:
Just wanted to show a chart of the WTT system Max Wait Days to new equity highs…. Currently sitting @ 5 days…..
This is from 1/1/2019 to 28/2/2020
ASX100 Monthly Rotational Update:
Index Filter Mod
Courtesy of Mike’s Index Filter idea around the MA Crossover on the Index… Cheers Mike….
I’ve made a change on the index filter for the ASX100 Monthly Rotational Build.
I’ve seen improvements in consistency around drawdown, lowered exposure and MAX wait days stats e.g. over the past 15 years the MAX wait days was just 224 days.
In the next few posts I’ll post Backtest reports compare to the previous standard MA Index filter vs The ‘Modded’ Index Filter
1998 – 2/3/2020
2005 – 2/3/2020
2015 – 2/3/2020Still developing and testing, but the ‘Rodwell Modded’
Index Filter is looking like the way forward atm.The below reports are run on the ASX100 with dividends.
- You must be logged in to reply to this topic.