Oil’s Journal

[TaranveerSingh]

Great that you’ve started. onwards and upwards!

[OliverBenson]

May 2021

MOC Long 1 – 5.64%

[OliverBenson]

June 2021

MOC Long 1 -2.33%

A fairly uninspiring month. One big up day followed by lots of small down days and then got massacred by $SPCE earlier this week. I am heartened by how little I am bothered by having a losing month, my only other 2 live months have been green so far.

I have been working on my MOC Short and am just about hapy with it now. Clearly it will be more turbulent than the long system – lets see how we go. Hoping to launch in the next couple of weeks.

[OliverBenson]

July 2021

MOC Long 1 -0.63%

[OliverBenson]

August 2021

MOC Long 1 0.35%

[OliverBenson]

September 2021

MOC Long 1 0.96%

I’ve been a bit conflicted for a few months on what to do next. My original plan for the MOC system was to develop and launch a long system with 20 x 10% positions which I have done and run since launch in early april. I had always planned to then develop and launch a short MOC and run 20 x 10% on the same capital to maximise the full leverage and to be equally exposed in both directions.

I have developed a short system I am happy with in testing but have held back from launching it. I had a call with Nick a couple of months ago which I had really just intended to be a final sense check before launching the short MOC. However, he talked about how the short side is very different to the long side, which echoes what I have read in a number of other people’s posts on the forum. Primarily that you are much more likely to get divergent results in live trading from the backtest results owing to short orders not getting filled as reliably.

I also noticed that my system only got ‘respectable’ looking results when testing on the full R3000 and when restricted to only R1000 the results are significantly worse, even with the stretch reduced to bring the exposure back up. What I believe Nick said was that your system will do most of its trades in the R1000 as the liquidity is greater there than in the remaining 2000 that make up the rest of the R3000.

Part of me says – “so what if the short system looks a bit weak and will probably underperform the backtest? – it’s ‘free’ leverage you might as well use it…” However that just feels like a cop-out and ‘disrespectful’ to the whole enterprise and all the hardwork and scrutiny that’s gone in thus far.

Therefore I went back and started looking again at my long system’s leverage/position sizing. I have decided to increase from 20 x 10% to 30 x 10% as I am happy with the backtested metrics and daily returns. Having now had the best part of 6 months of live trading, I feel comfortable enough with the resulting increased volatility. I can’t quite muster the balls to go to 40 x 10% so I think this is where i will draw the line for exposure in any one direction.

I now plan to try to find a short system that looks half decent at 10 x 10% on the R1000 and launch it alongside the long, thus utilising the full 400%. In terms of defining ‘decent’ I think if I can find something with a CAR of around 10% and a MaxDD of around -10% I will be happy with that and let the majority of the returns come from the long side.

[OliverBenson]

October 2021

MOC Long 1 +4.49%

[OliverBenson]

November 2021

MOC Long 1 +4.06%

[Nick Radge]

Nice work Oli.

[RobertMontgomery]

You have a nice run going Oli, good work.

[OliverBenson]

Thank you guys, but I think you jinxed me!!! Day 1 of December and I got crushed good and proper -6.39%! Worst trading day so far by quite a margin.

To be honest it’s probably a lesson learned the best way (the hard way) – I was starting to be a bit too pleased with how things were going and getting used to a nice straight upward equity curve.

I just went back to my design stage workings and looked at the backtested daily returns chart which puts it all in perspective (i.e to be expected at least once or twice a year). A walk in the park compared to some outlier days back in 2008.

[RobertMontgomery]

Yes, today was brutal on all my systems also, but like you said focus on your edge and it will play out over time.

[OliverBenson]

Daily returns from 2000 to present helps put it in perspective. Definitely a rough day but not unheard of…

[SaidBitar]

It was tough day but it is OK, as long as the systems did what they were supposed to do then all is OK
The day opened high and declined to the close

[OliverBenson]

December 2021

MOC Long 1 +3.12%

December started with a bloodbath on day 1 where I was down just under 6.5%. This was immediately following a run of a few red days so I was in about 10% drawdown (significantly the worst so far). Amazed how it bounced back so quickly to end up green for the month.

2021 Results Since Launch (9th April)

MOC Long 1 +23.90%

Overall I am amazed and grateful for how things have gone this year. I still can’t really believe I am actually trading real shares with real money and making real P&L. 18 months ago this all just seemed unattainable.

In terms of performance, I am more than happy with +23.90% which is in line with the backtest metrics (system shows c.30% CAGR over 20 years) although this isn’t fully accurate as I stepped the leverage up gradually from 10×10% to 20×10% to 30×10% since launch.

The 2 most challenging periods were a) going sideways for about 3 months during the summer and b) getting hammered on December 1st. Both were disheartening at the time in different ways (slow questioning self-doubt vs immediate kick in the face shock) but having lived through both and seen the system just take off and recover I am hoping I’ll be better prepared for next time.

Thank you all for your input and comradery this year. I wish you and your families all the very best in trading and in life for 2022.

And Nick, thank you especially for everything. I wish you and your family well with your current covid outbreak – if it’s any consolation we all have had it at Chez Benson over the last few weeks and are coming through it fine. I hope and trust you will all do so too.

Very Best Wishes All.

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