Ken’s Progress Journal

[KenHall]

Jan 2022 Stats

WTT ASX -17.6%
ASX Momo -6.1%
US Day Trade L 21.6%
US Day Trade S -0.6%
TLT US -20.0%

[KenHall]

Feb 2022 Stats

WTT ASX -1.3%
ASX Momo 7.7%
US Day Trade L 10.5%
US Day Trade S -1.5%
TLT US -0.1%

Mostly in capital protect mode now across the strategies with a few positions still live in the WTT.

The MOC long system still doing it’s thing well with another goof day bringing in most of the return for Feb.

[RobertMontgomery]

Yes, the “goof day” on 2/24 reminded me I never know what can happen and I just need to place the trades. Yesterday, we had a power outage for an hour or so that paid for my VPS subscription. Stuff happens.

[KenHall]

March 2022 Stats

WTT ASX 5.7%
ASX Momo 0% PP
US Day Trade L 2.7%
US Day Trade S -1.4%
TLT US -0.4% Mostly PP

[KenHall]

April 2022 Stats

WTT ASX -1.0%
ASX Momo 0.0% PP
US Day Trade L -7.65%
US Day Trade S 0.0%
TLT US -4.6%

Had some operational issues with APM / IB / Speedy on Fri 22nd which meant I kept a load of MOC positions over the weekend, this time it cost me! Otherwise Day Trade Long would have been neutral for the month.

Need to be a more attentive to reviewing things daily!

[KenHall]

May2022 Stats

WTT ASX -23.7% **
ASX Momo 2.3%
US Day Trade L 0.65%
US Day Trade S 0.32%
TLT US -0.2% Mostly PP

** WTT took some hits this month – in addition to being in the trading halt of AVZ Minerals we had the TAH (-80%) spinoff of TLC. It’s not as bad as it looks with TAH as TLC wasn’t yet recognised in the portfolio, but will be next month. 

Feeling comfortable about being in mostly cash now and it’ll be interesting for sure to see how things pan out and what I learn if we have a sustained bear market / recession. It’ll be my first while trading Equities!

[KenHall]

June 2022 Stats
WTT ASX -0.7%
ASX Momo -1.9%
US Day Trade L -13.64%
US Day Trade S -0.1%
TLT US PP

 July 2022 Stats
WTT ASX -1.0%
ASX Momo 2.3%
US Day Trade L 0.5%
US Day Trade S -1.0%
TLT US PP

Had most of June off with a well overdue visit to family in Scotland which was awesome, so posting a double month update…

Been further developing/testing/evaluating the (intraday crypto futures) MOC style system I’ve been working on over the last few months…

Added a short side to the system based on regime flip – this appears to help to keep the equity curve heading in the right direction and reduces MaxDD but I’m not yet fully convinced as it’s not showing robustness against another similar market I’ve tested.

I’ve analysed actual trades vs Amibroker expected backtest results for 100 trades (2 months) – although there are some + and – differences in %profit and exit price (mkt orders) – on average it turns out they even out. Specifying that price has to go below my (long) limit order to consider a fill in AB, and using accurate symbol level TickSize and LotSizes has helped a lot with backtest vs live order placement and trading accuracy.

I’ve been trying out RealTest for the first time to help with analysing the profile of the MOC system. It’s trivial (in comparison to AB) to see the effect of multiple long/short stretch levels simply by defining each stretch as it’s own strategy within a RT script/portfolio. RT’s ‘Summary Report’  has been particularly useful to evaluate how each stretch level/strategy contributes to portfolio level ROR, MaxDD, no of trades and expectancy etc. An an aside, the quality of discussion and example scripts/strategies shared in the RealTest forum appears to be excellent.

I’d still like to test volatility based position sizing and a market breadth type regime measure before committing fully to the system.

And I’ve started to look at the merit of bringing the idea back to daily stocks – which will have some execution hurdles to overcome with IB – possibly needing to use Alera’s APM Conditional Order/OTL capability which allows you to ‘Create a new Limit Order’ once our initial order has been filled.

[KenHall]

I had my systems off for the last couple of months of the year while I helped a Tesla compete in the Australian leg of a recreation of the 1968 London to Sydney marathon, ran a marathon in bits across outback Australia raising funds for RFDS and then raced my first half Ironman triathlon in Dec after a big year of training.

System performance for the year appears to be as expected, but recognise I need to put some manual effort in taking account of spinoffs / mergers etc to accurately track monthly performance rather than just read from the Alera PNL stats.

CY2022 Stats
WTT ASX       -33.36%     
ASX Momo     2% 
US Day Trade L      4%
US Day Trade S     –4.1%
TLT US        -31.8%

Overall account performance for my main account for the year doesn’t look too bad (-12.5%) but this is due to not having all cash allocated or not making use of leverage appropriately to reduce counterparty risk.Speaking of which, I was caught up in the FTX debacle/fraud at the end of the year while galavanting around the country – I had been testing a long/short MR system on FTX and my withdrawals were not honoured before they went into administration! Expect it will be a long time if I ever see anything back from it. I got me thinking what I could do better to mange this type of risk.

Remove funds from brokers/exchange if not tradingRemove funds from brokers/exchange if regime filter is active
Minimise funds/counterparty risk by using provided leverage
Spread diversify funds/risk between multiple brokers/exchanges
Review if I even need to be exposed to the risk – see this excerpt titled “ENOUGH”  from Reducing the Risk of Black Swans by Larry Swedroe that I’ve reposted in the psychology section of the forum.

I’m not convinced the FTX contagion is finished yet (DCG / Genesis / Binance etc) so will stick to developing/backtesting crypto systems for the moment – no trading!

Moving on to 2023 the concept of a portfolio of loosely/un-correlated systems as presented in Laurens Bensdorp’s – Automated Stock Trading Systems appears attractive to me. My own limited research has confirmed the value of combining systems to smooth returns and minimise drawdowns. This will involve porting and testing systems with RealTest as it’s easy to see the impact of a portfolio approach compared to AB. I know a few on this forum have done this already and Nick himself has recently committed to doing this as well, so I’ll be in good company and there appears to be lots of help both here and in the realest forum.

Happy New Year to you all!

[Author]

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