Nick Radge – Daily Journal

[GlenPeake]

Nick Radge wrote:

October 2020

ASX Momo +9.61%

Very nice work on the ASX Momo Nick!!!!

[Nick Radge]

November 2020

ASX
Growth Portfolio: -2.19%
WTT: +7.84%
ETF: +3.33%
ASX Momo: +0.18%

US
HFT: +11.60%
US Momo: +23.68%
MOC: +2.36%
DTVI: +16.92%

[GlenPeake]

Nice work Nick!!!!

The US Momo systems have been stellar these past 6 months! Well done!

[TimothyStrickland]

Wow, nice movement on the US Momo.

[Nick Radge]

Early days yet, but adding shorts to my day trade strategy is having a nice positive influence.

Winning days has gone from 53.7% to 59.1% and W/L ratio has moved from 1.01 to 1.34.

[GlenPeake]

Thanks for the update/feedback Nick.

In terms of your Multi-day HFT Mean Reversion Short system, how are the numbers looking thus far? Any other feedback/thoughts regarding trading a multi-day short strategy?

[Nick Radge]

The multi day is a very different beast and I’m still trying to get my head around the volatility. Even though its the same universe as per the day trade, the multi day swings are just that much bigger.

P&L to date is about -1.5% on the short side, but that really masks the underlying volatility.

I’m either going to lower the leverage or test volatility position sizing for that one.

[GlenPeake]

Thanks for the feedback Nick.

Yep… I recall your comments during the last monthly Mentor call, around the ‘beastly’ ride….. some of the charts look VOLA if trading a short position e.g. a stock like ‘EDIT’ this month would be not so great if getting SHORT @ the $30-$40 level and then seeing the stock go Parabolic into the mid $60’s with no pullback etc….

[TerryDunne]

Hi Nick,

Do you mind sharing the level of leverage you’re using on your MOC shorts? Also, are you assigning capital to the shorts or reusing capital assigned to an existing long?

The small amount of work that I’ve done on MR shorts makes me think the drawdowns/swings/risk are such that I wouldn’t touch them…of course, I’m a short sceptic so my views should be taken with a huge spoon of salt.

Having said that, I’m still keen to add a short MOC system or two, for the ‘free’ extra return and the diversification, facing into your idea of “getting comfortable being uncomfortable”. I’m hoping that only being exposed to unlimited up moves for a few hours may make it tolerable.

Really interested in your shorting journey, thanks for posting!

Terry

[JulianCohen]

Hi Terry

I have been running shorts for about two months now but only in an MOC system. In your case I would recommend going that way. From what you have said so far, I doubt you would feel comfortable having a short going against you and not having a stop in place or running it overnight. With an MOC your stop is in place and you never have to sweat it overnight.

[TerryDunne]

I think you’re right

[Nick Radge]

I’m using full leverage and I’m using the full account balance both long ad short.

Both those are probably dumb, alas that’s how I’m going to learn first hand about any issues.

The short side is proving extremely beneficial for the MOC. It’s too early to call it on the multi day.

[Nick Radge]

Well, after looking at todays numbers I’m going back to the drawing board with the multi day short system. Been seriously run over in last few days. If I’m struggling with the volatility, then I doubt any of my clients could deal with it.

My first point of call will be the universe. I’ll move away from the full market and stay with the R-1000.

[Nick Radge]

So the R-3000 looks better with an 18% CAGR and maxDD of -14.5%. See how that plays out for the next month.

[Anonymous]

Nick Radge wrote:

I’m using full leverage and I’m using the full account balance both long ad short.

Both those are probably dumb, alas that’s how I’m going to learn first hand about any issues.

Doing the hard work for us so that we don’t have to!

For what it’s worth Nick, I’ve been spitballing with Alex a bit about whether or not to use stocks past the R3000 for the short side. One MOC system that I wrote seems to backteset fine on the bigger universe (although likelihood of fills is another story, eh Alex?), and the other performs better when constrained to the R3000.

Thanks for the updates.

[Author]

Posts