June 2024

[RichardKoziel]

Hi All,I am halfway through the Mentorship and learning a lot, as well as unlearning some bad habits/beliefs. Just got back from vacation in Alaska and refocusing my efforts on building uncorrelated trading systems. So far, I have your basic Momentum Rotational Long System paired with a Mean Reversion Long System. I would like to pole the audience and ask what other type of trading system would complement what I already have?  

Thank you for your advice.
RickJun 2024Momentum 1              6.70%MR 1               0.9%

[KateMoloney]

Welcome to the group Richard.
Are you using real test?

It is great for testing multi systems to see what type of systems work well with your existing suite of systems.

I’ve been playing around with RUI short MOC or MR. 

[Nick Radge]

There are many variations and styles you can choose, and don’t forget that similar styled systems can be traded on different parts of the market for diversification

Here’s a brief breakdown of what I do

ASX
Growth Portfolio Trend following Small Caps
WTT: Trend following Micro caps
ASX Momo: Momentum Large caps
ASX Momo PLUS: Momentum Small caps

US
HFT:Multi day mean reversion Russell 1000
US Momo: Momentum Russell 1000
DTVI: Momentum Nasdaq
ETF Diversifier:  Broad portfolio of sector/index/other ETFs

All Weather
US:   Static portfolio of 6 ETFs 3x Growth 3x Defensive
ASX:  Dynamic portfolio of 11 ETFs  6x Growth and 5x Defensive

[ScottMcNab]

I didn’t pay enough attention to tax at this stage of the course (not to say you’re not of course) when considering system design. Where I live taxes on short term systems can be very high…meaning I need a cagr of over 20% to beat what a long term / low turnover etf or stock system in a low tax retirement structure can achieve with relatively low volatility. May be relevant…or not

[RichardKoziel]

I struggled with Amibroker and then found Real Test and made the switch. I enjoy the combined strategies function of RT. I’ll look into shorting systems a bit more. Thanks, Rick

[RichardKoziel]

Yes the ETF and All Weather Portfolios are on my to do list. Is there any merit in exploring Portfolio allocation weighting as the market environment changes? (i.e adding more money to the strongest performing portfolio). Or are the timing mechanism to slow to react effectively?
Rick

[RichardKoziel]

Yes the tax man
But when I hear the Politicians talk they say it is REVENUE not taxes. Some disconnect!

Rick

[TerryDunne]

Hi Richard,

This might not be quite what you mean, but I modify the amount of cash allocated to my systems in two ways:

1. Each 6 months, I run back tests for the prior x years and use one of the system metrics to pro rate available funds for each system. I use UPI as my metric, but one could just as easily use MAR/Sharpe etc..

2. I adjust my daily trade size by the % return of each system over the last 90 days. So if the ‘standard’ allocation is $10k per trade and I’ve made 5% in the last 3 months, my trade size is $10.5k. The same applies on the down side, if the system has lost 5% over the last 90 days, trade size would be $9.5k

Having said all of that, I’m not sure how much difference it makes. One of my systems went on a run a few years back and profit ramped up significantly. Of course, when a run comes to an end, drawdown is worse for a period of time too, so…

Best wishes,

Terry

[RichardKoziel]

Thanks Terry,
I’ll let you know if I come up with anything promising on the portfolio weighting idea. I can see how it would be a double edge sword that cuts both ways. Thanks again.

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