Miguel’s Journal

[Anonymous]

The one table is the backtest results from 2007 to end Aug ’16
The other is live from Sep ’16

[Anonymous]

Feb ’19 Results

US

MRV1: 2.14%

MRV2: 2.33%

MOC: 0.54%

Swing: -2.15%

NDX-100 Momo: 0.00% (cash) – Back in today

Trend: -4.43% Rules based, discretionary.

Total A/c: -0.72%

[Anonymous]

Mar ’19 Results

US

MRV1: -0.55%

MRV2: 0.93%

MOC: -0.62%

Swing: 0.81%

NDX-100 Momo: 4.01%

Trend: -0.78% Rules based, discretionary.

Total A/c: 0.71%

[Anonymous]

Apr ’19 Results

US

MRV1: +3.66%

MRV2: +3.21%

MOC: +0.44%

Swing: +1.24%

NDX-100 Momo: +5.51%

Trend: -0.53% Rules based, discretionary.

Total A/c: +2.10%

[Nick Radge]

Nice.

[Anonymous]

R-3000

I tried testing one of my current mean reversion systems and tested it on the R-3000 instead of the R-1000 that I currently trade.
I also tried it on the R-2000.
The only change I made was to increase the minimum average volume to try and eliminate stocks with very low liquidity and therefore reduce slippage.

I had ±15% increase in CAR with little change in the maxDD

I also tried running the R-3000 and exclude the R-1000 which effectively should be the R-2000?
When I run the backtest on the R-2000 and on the R-3000 excl R-1000 I get different results.
I did these tests without much thought, it was only after that I thought about it and it raised the question of why I am getting different results?
Anyone have any ideas or am I missing something?

Two.
Is anyone trading the R-3000 or R-2000 and if so what is your experience. Are you getting a lot of slippage and if so what liquidity filters are you using?

My test was done using 50 period MA > 1mil for the volume.

Thanks

[ScottMcNab]

I used to use price>1, vol and ave vol>500k and turnover >1.5m
Occasional (once a month maybe) partial fill but all depends on size of each position of course

[JulianCohen]

I think the Russell 2000 is the Russell 1000 plus the next 1000 stocks, so it includes the stocks of the Russell 1000.

That’s why the results are different

[Anonymous]

Thanks Julian, that would make sense, but I checked with Mr Google

What is the Russell 2000 made up of?
It is made up of the bottom two-thirds of the Russell 3000 index, a larger index of 3000 publicly traded companies that represents nearly 98 percent of the investable U.S. stock market. While the S&P 500 is a suitable benchmark for large-cap portfolios, the Russell 2000 is the most common benchmark for small-cap ones.

[JulianCohen]

Well that’s interesting. I didn’t even think to look it up (obviously). In that case I have no idea why the results would be different

[Anonymous]

May ’19 Results

US

MRV1: -11.90%

MRV2: -5.73%

MOC: +0.72%

Swing: -8.94%

NDX-100 Momo: -8.57%

Trend: -2.27% Rules based, discretionary.

Total A/c: -5.82%

[Anonymous]

Updates:
Whether it is the right or wrong decision hindsight will tell.

I am stopping 2 of my systems:
MRV1 – After being up over 30% in the first year, all profits have been given back since Jan 18. The corrections in Feb 18, Oct 18 and May 19 have been about 10% declines each.
I will do some further testing and may find that using an index filter that is tighter to the index may suit better and may start again if I am happy with the testing.

Swing:
In the first year it was up close to 40% and has now given most of that back. Jan 19 was down close to 20% and almost another 10% in May 19. TBH, I think I got lucky with the initial good run and when it turned it proved why such systems can hurt. It is aggressive in position sizing and concentration. I kind of expected what I was in for when starting with this system but when it played out I didn’t really expect it. Expect the unexpected.

I will continue with MRV2, MOC & NDX-100 Momo. Except for MOC, the other 2 are in cash.
MRV2 – when it comes back on I will try out trading the R-3000 universe.

[Nick Radge]

Well, there’s certainly some volatility in both the ups and downs. Gotta take both into account…

[Anonymous]

Jun ’19 Results

US

MRV: +2.01%

MOC: -0.35%

NDX-100 Momo: 0.00%

Trend: +3.43% Rules based, discretionary.

Total A/c: +1.76%

[Anonymous]

Jul ’19 Results

US

MRV: +4.84%

MOC: +5.35%

NDX-100 Momo: -0.40%

Trend: +2.21% Rules based, discretionary.

Total A/c: +2.23%

[Author]

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