Stopped trading my USMR systems. Reason: there is nothing in my backtests which include the type of action in this market. So I feel like I am trading blind.
Sitting in T bills.
Stopped trading us MR in . the middle of the month. Watched it go down 17% mark to market and then have a 25% upday. Started trading it again last week. The stats continue to look good but with marked increase in volatility as expected.
Was also using a bond rotation strategy but went to cash and tbills when looked like US bond market under duress.
With this massive surge in the US market it is conceivable that there is a monthly buy signal in US momo and aggressive Nasdaq systems at the end of the month before a significant pullback. This raises the possibility of a significant pullback after the buy signal.
If we get a buy signal at the end of this month I am going to use the model of 50% on the monthly and 50% on the weekly.
Of course a lot can happen in the next 2 weeks.
Another issue is the difficulty I am finding sitting on cash with a historic market rally. It turns out for me fear of missing out equals the fear of losing money.
I just read in the Financial Times that interactive Brokers took an 88 million dollar hit having to pay off margin calls on oil futures.contracts for some of it’s clients. Says it shouldn’t effect trading operations. Also being investigated by the Dept. of Justice for anti money laundering and privacy practices. Not sure what this means for our accounts at IB but bears watching.
The volatility on my MR systems is insane. I was up close to 6% this tuesday. Went down 6% on Wednesday and up 5% today and I am not using leverage. Function of the high VIX.
The volatility in my MR systems is insane! Yesterday I went out for a walk 45 minutes before the close down about 5%. Mostly down because I was short GRUB (UBER announced a potential takeover) and I was short 9 positions and long 1. Checked when I came back from my walk, after the market closed and was down only 0.5%. Today up 2.4%. So net positive 2 % for past 2 days with an 8% swing. I don’t use leverage.
I have shorts in my MR system but shorting is not for the feint of heart. Have had some good winners and then get slammed being short stocks like GRUB and TESLA. Also can’t always borrow shares to go short.
My MOC with 4:1 leverage is tame by comparison.
MOC(long ) -12.46%
MR(long,short) -6.21%
Nasdaq +6.3%
US momo +6.05%
Not happy with my long only MOC. Stopped trading it and trading an MOC that is long plus shorts. Max 10 positions at 10%, no leverage.Backtest CAR 31.35, DD 5.92.
