Nick Radge – Daily Journal

[Nick Radge]

Quote:

What sort of exercises do you do?

Usually start drinking after breakfast

[Nick Radge]

Here is my underwater equity since 1995. Shows we’ve been here before, once in 1999 and again in 2011. Interestingly the 1999 drawdown occurred on a single day. The 2011 slap was -19.2% on a single day.

 

[KateMoloney]

Nick Radge post=13095 userid=549 wrote:

Quote:

What sort of exercises do you do?

Usually start drinking after breakfast

Cheaper than trading losses of late? 

[JulianCohen]

I think the knowledge that generally most of us are also in major draw downs is calming to the head noise.

[RobertMontgomery]

indeed the comments and sharing helps stay the course, yesterday was about -5%

[Nick Radge]

June 2022

ASX
Growth Portfolio: 0%
WTT: -1.35%
ASX Momo: -3.30%

US
HFT: -19.50% 
US Momo: 0%
MOC: -34.9%
DTVI: 0%

[TimothyStrickland]

Ouch Nick,

Oddly enough, it is encouraging to know that even my mentor has some serious drawdowns! Next 1000 trades!

[Nick Radge]

 Looking for answers…something has changed in the market over the last month. 

And another view shows the close of the $SPX from the low expressed as a percentage. I’ll go look at those other spike to see the impact on drawdowns

 

[JulianCohen]

What is that a chart of Nick? Volatility?

[Nick Radge]

I’m looking at various things to see what changed this month.

Top chart is the close off the low expressed as a percentage of the close.

Second chart shows the day’s volatility expressed as a percentage of the close.

[JulianCohen]

That first chart is quite telling. Basically the markets are not reverting as we are looking for them to do…it’s all just mean and no reversion [Dad trading joke there]

[KateMoloney]

Julian Cohen post=13146 userid=5314 wrote:

That first chart is quite telling. Basically the markets are not reverting as we are looking for them to do…it’s all just mean and no reversion [Dad trading joke there]

It is very mean !

[TimothyStrickland]

Interesting Nick. I thought things looked a little bit different to this month too but just didn’t know where to look. Seems like my suspicions were not invalid.

[TrentRothall]

This is just the SPX also, I am assuming that with the MOC systems you are trying to target the more volatile symbols each day, or something along those lines.

So it would be interesting to see a similar test done on the symbols that are being targeted, the distortion to the historical “normal” might be even more pronounced.

[Nick Radge]

Just ran the backtest back to 1990 for the MOC system. Current maxDD been seen several times, mainly in the Asian Currency Crisis of the late 90’s

27 Oct 1997 – single day was -51% (fuck me) but recovered immediately on the following day
31 Aug 1998 – 3 days to -52% but recovered 13 Jan 1999, about 4.5 months
19 Apr 1999 – single day was -45.8% but recovered 5 Aug 1999, about 3.5 months

 

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