Nick Radge – Daily Journal

[ScottMcNab]

Nick Radge wrote:

Scott – no. You’re over complicating the issue. The position sizing is done before the orders are loaded into BatchTrader.

Last night the system only generated 8 orders again, so each was allocated 10%. Has nothing to do with BatchTrader

System uses market orders to enter rather than limit orders then ? Not sure why I assumed moc system had to use buy limit orders.

[Nick Radge]

Quote:

System uses market orders to enter rather than limit orders then ?

No mate – you’re missing the point!

The position sizing is done BEFORE the orders are loaded into BatchTrader. They are calculated as static allocations.

1 order = 10%
2 orders = 10%
3 orders = 10%
4 orders = 10%
5 orders = 10%
6 orders = 10%
7 orders = 10%
8 orders = 10%
9 orders = 10%
10 orders = 10%
11 orders = 10%
12 orders = 10%
13 orders = 10%
14 orders = 10%
15 orders = 10%
16 orders = 10%
17 orders = 10%
18 orders = 10%
19 orders = 10%
20 orders = 10%
21 orders = 9.5%
22 orders = 9%
23 orders = 8.7%
24 orders = 8.3%
25 orders = 8%
26 orders = 7.7%
27 orders = 7.4%
28 orders = 7.15%
29 orders = 6.9%
30 orders = 6.66%
31
.
.
.
40 orders = 5%
41 orders = 5% (limit 40)
42 orders = 5% (limit 40)
43 orders = 5% (limit 40)
.
.
.
100 orders = 5% (limit 40)

[ScottMcNab]

Thanks Nick. I think I finally get it. The idea is to boost the position size on those days when you know there are going to be fewer positions as there are fewer buy setups in the exploration than the default number of positions.

[Nick Radge]

…that time when 85% of your trades are winners and you realise your position sizing was incorrect.

[Anonymous]

Quote:

I liked the Idea and wanted to try it, so i modified the codes to check the number of signals per day and to adjust the number of positions accordingly. then i ran 4000 MCs to compare with my previous MCs.
i was expecting to find the STDEV tighter but the result was almost the same at leas the stdev for CAR and DD.

Said – curious how you coded this…what function did you use to count the number of setups on a given day?

[TrentRothall]

What i’ve done previously Brent is just adjust the code to enter on the next open if a signal occurs with max positions set to 100 or whatever you need and just exit positions the next day. Then count the necessary data excel

[SaidBitar]

Brent Hause wrote:

Quote:

I liked the Idea and wanted to try it, so i modified the codes to check the number of signals per day and to adjust the number of positions accordingly. then i ran 4000 MCs to compare with my previous MCs.
i was expecting to find the STDEV tighter but the result was almost the same at leas the stdev for CAR and DD.

Said – curious how you coded this…what function did you use to count the number of setups on a given day?

i added all the signals to a new ticker and run a scan after than i used the values of that ticker in position sizing

hint:

Code:

AddToComposite(BuySignal, “~~~SystemSignals”, “X”);

[Nick Radge]

ASX MR -1.04%
ASX Growth Portfolio 0%

US MOC -0.30%
US HFT +2.61%
US Momo +10.12%

[LEONARDZIR]

Nick,
Nvda is going parabolic on weekly charts. It is making great money for US momo. Any thoughts about exit or just wait until it drops out of top stocks?
Len

[Stephen James]

Nick is away at the moment. My thoughts are follow the system and wait for an exit signal, which won’t be this month by the looks!

[JulianCohen]

Len Zir wrote:

Nick,
Nvda is going parabolic on weekly charts. It is making great money for US momo. Any thoughts about exit or just wait until it drops out of top stocks?
Len

I have it in my WTT system. The entry signal was June 2016 at $47.27 so it’s probably a long term ten bagger. Or maybe not. Either way, gotta stick with the program

Happy New YEar

[LEONARDZIR]

Thanks Craig.
Len

[LEONARDZIR]

Julian in the Us momo system I use the 15% gap rule so keeping nvda was a judgement call. Since nvda should not strictly be a holding. At this time.
About your WTT. Nick used the Russell 3000 price 1-10 in his book for statistics. Clearly you are using a different universe if you use WTT. Could you share that universe so I could retest the WTT. So far I have found the WTT pretty inferior in returns to rotational momentum in the US.
Len

[JulianCohen]

Len Zir wrote:

Julian in the Us momo system I use the 15% gap rule so keeping nvda was a judgement call. Since nvda should not strictly be a holding. At this time.
About your WTT. Nick used the Russell 3000 price 1-10 in his book for statistics. Clearly you are using a different universe if you use WTT. Could you share that universe so I could retest the WTT. So far I have found the WTT pretty inferior in returns to rotational momentum in the US.
Len

It’s funny as I have not found a good return on testing the Momentum on the US markets, so I’m just using it on the ASX.

Can you explain a little more how you are using the 15% gap rule? I use it sometimes as a filter to entry.

I am using the Russell 3000 with price 1-100. 500K average volume and turnover, SPX Index filter over 10 periods, I then order the results by a momentum ranking as there are so many buy signals. I guess it’s a combination WTT and Momentum this way

Len feel free to reach out by email : [email protected]

[LEONARDZIR]

Julian, I either don’t take a new position or discard a holding if a 15% gap in last 100 days.
Here are results from 2006 to 2016 single runs
With gap filter:
Car DD Risk parity
16.6 26 0.1
17.8 26 0.2
Without gap filter
17.6 23 0.1
19.5 25 0.2.
I also ran the WTT on Russell 3000 price 1-100 with ranking from 2006 to 2016 single run and got CAR of 10% with 34% drawdown..
Couple of things. No selection bias in rotational momentum.
I am probably based on my test results going to trade it with risk parity of 0.2 and no gap filter in 2017.
Len

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