Miguel’s Journal

[Anonymous]

May Results

US

MRV -5.34%

Swing +5.85%

±Flat for the month on these

Other:
MOC – Not much development happening at the moment to replace the one I stopped trading.

[Anonymous]

June Results

US

MRV: +3.44%

Swing: +1.26%

Combined: +2.44% for the month (Separate capital has now been allocated to each, before I was sharing)

MRV is in DD since 26 Apr, currently -2.69%
Swing is in DD since 28 Jun, currently -0.97%
Like most gave away some in past few days.

[Anonymous]

July Results

US

MRV: -0.06%

Swing: +1.36%

MRV is in DD since 26 Apr, currently -2.76%
Swing is in DD since 10 Jul, currently -0.25%

[Anonymous]

Aug ’17 Results

US

MRV: -2.82%

Swing: +4.67%

MRV is in DD since 26 Apr, currently -5.24%
Swing is at equity highs

I have been trading my MRV for 1 year now with a 21.11% annual return.
I made an adjustment to it recently to reduce selection bias as it was starting to differ from the backtest results quite a bit, adjustment was increasing ave volume required. It was all good when things were flying. No harm done, all part of the learning experience and happy to be one year into systematic trading.

Swing system has been live for 10 months, currently 31.06% in profit.

Roll on the next year.
Thanks everyone for your contributions.

[LEONARDZIR]

Miguel,
Nice results. What is the difference between MRV and swing?

[Anonymous]

Thanks Len.

MRV trades Russell 1000, higher frequency and ave 3 day hold.

Swing (could also be mean reverting as it looks for extensions from an MA and exits when back to the MA). Hold time is ±7 days, low frequency and trades index ETF’s. Could be considered aggressive as I use 3 X leveraged ETF’s on US indices and then a basket of global index ETF’s (these are not leveraged).

[ScottMcNab]

Great results…Index ETF’s sound intriguing…

[SaidBitar]

Nice results and interesting idea about the index ETF
I assume that the correlation between them is low

[Anonymous]

Said Bitar wrote:

Nice results and interesting idea about the index ETF
I assume that the correlation between them is low

The correlation is high. At times when there is a sharp pullback…that continues lower the strategy will take a little bit of pain, 10-15% loss in a month is possible.
CAGR over a 10 year period is ±23% with a Max DD of 22%, the closed out DD was 12%:ohmy:

Recent returns — 5 years — 31% CAGR and Max DD of 14%. To put it in context –bull market–
I include some inverse ETF’s that go long the inverse in bear markets. There is not enough history to test these thoroughly as all of them are quite new. I can only start a full backtest from 2008.

±750 trades in the period (±10 yrs), 72% win rate, Ave P/L 1.50%

[Anonymous]

Sep ’17 Results

US

MRV1: +1.42%

MRV2: +1.41% A new one I have added, shares capital

Swing: +1.34%

MRV1 is in DD since 26 Apr, currently -4.16%
All others at new equity highs and total portfolio at new equity highs after being in DD since 8 Jun ’17. Max DD in that time -4.74%

[Anonymous]

Oct ’17 Results

US

MRV1: +2.91%

MRV2: +2.89% shares capital

Swing: +1.81%

Trend: +6.65% Rules based, discretionary. Been trading this for a number of years. Until I develop a systematic approach that I am “happy” with that can at least match this approach I continue to trade it. ±33% in the past year. Bull market has been kind.

[Anonymous]

Nov ’17 Results

US

MRV1: -0.72% in DD since Apr 17

MRV2: +1.59% shares capital

Swing: +1.55%

Trend: +14.41% Rules based, discretionary.

[Anonymous]

Dec ’17 Results

US

MRV1: -1.90% in DD since Apr 17

MRV2: -2.11% shares capital

Swing: +1.69%

Trend: -8.09% Rules based, discretionary.

Total: -3.76%

YTD (2017): 35.60%

MRV1: +9.70%
MRV2: +3.75% (started Sep ’17)
Swing: +33.67%
Trend: +34.74%

Allocation is 50% of funds to Trend and 50% shared by the other 3

Happy 2018 and thanks to all for your contributions in 2017.
Hopefully I can contribute more to the community in 2018 as I wind down some projects that kept me quiet in 2017.

[Anonymous]

Jan ’18 Results

US

MRV1: -0.33% was in DD since Apr 17 and made a new equity high this month, ended the month negative in the last 3 days! :huh:

MRV2: -2.02% shares capital

Swing: +1.44%

Trend: +3.66% Rules based, discretionary.

Total: +1.12%

[Anonymous]

Feb ’18 Results

Because of the way I share capital this was bound to happen one day. I accepted the upside and now accept the downside. Bigger picture I am happy with the results.

US

MRV1: -10.55%

MRV2: -7.91% shares capital

Swing: +0.65%

Trend: -13.46% Rules based, discretionary.

Total: -10.24%

Selection bias bit me in the butt too, so something I must work on to reduce. I would have taken the losses in Feb in any case, but in the bigger picture I have fallen away from test results. On the big down days I am giving more away and the few that there has been over the past ±18 months means I have dropped too far away from the back tests.

[Author]

Posts