Paul’s Journal

[PaulBailey]

OK, so this feels like a post that has been a while in coming. I started the course towards the end of last year, loved what I learned – but then encountered a prolonged market downturn.

I’m running a single ASX100 based momentum system and it turned back “on” at the very end of July, triggering a buy signal for the 1/8/2022.

August 2022 result +9.5%

Which was kind of fun to watch.

More importantly I understand why my system did what it did, and also understand why it triggered a sell on one of my positions for 30/8 with an additional position.

Still learning, and today will be a down day – but it’s a long game and I’m pleased to be in a position of improved knowledge with regards to where I was at a year ago. Still running small positions whilst I learn.

[PaulBailey]

September 2022 update:

Sat out of the market for most of the month.

Overall result for my WTT system: -0.7%

Feels like it might be a while before I’m back into the market. Now in 100% cash once again.

[PaulBailey]

October 2022 results:

Launched a version of Nick’s Weekly Swing system; my own Weekly Trend Trader turned back on yesterday.
October 22
Swing: +1.0%
WTT -0.5%

FYTD
Swing +1%
WTT +10%

Really enjoying comparing and contrasting what the two systems are up to.

[PaulBailey]

I think it’s been almost a year now since I started on Nick’s course, and several months now since I started trading my own system (formally happened on 1/7/22 – although I was out of the market for a lot of time).

Just thought I’d recap.

Currently I’m running the ASX 100 momentum system that I built as part of the course, it’s not particularly special, but it seems to work. I imagine several of you are running something similar. AND I’ve been running Nick’s weekly ASX swing system for the last few weeks.

Since 1/7/22:

My ASX Momentum system has made 18 trades, with 5 currently open. Giving a % performance is a little difficult as I am adding money to my self wealth account every week. Suffice to say I am happy with the results, if I work the % gain out on my current dollar value in the market it is + 11.5%, pretty happy with that.

It’s early days for me with the weekly swing system. I’ve made only very mild changes to the original code. Being a Friday afternoon – I don’t have any open positions. I’ve made 5 trades since 12/10/22 and again, same issue – but if I base my performance around todays allocation to that strategy I’m +2% since 12/10/22 – again very happy with that.

Most importantly, I understand why I’m going in and out of trades at particular times.

Cheers everyone

PB

[PaulBailey]

OK,
here’s how November 2022 panned out:

ASX Momentum +4.4%
Weekly Swing +1.8%

Since 1/7/2022
ASX Momentum +14.8%
Weekly Swing +1.9% (started trading late October)

[PaulBailey]

December 22:

ASX Momentum – -6.7%
ASX Swing – -2.2%

Since 1/7/22
ASX Momentum – +4.2%
ASX Swing – -0.6%

Total portfolio since 1/7/2022
+.9%

[PaulBailey]

OK, it’s taken me a while to get the point where I am comfortable thinking about January.

I made a rookie mistake with my system and went out of some good positions, into others by getting my amibroker settings wrong.

Ultimately it didn’t end up costing me any dollars – more of an annoyance.

Separately to that, had to buy a car so withdrew cash from my account so I stopped trading the ASX swing strategy.

Finally, in January (& Feb for that matter) I did not do well.

Jan 23
ASX Momentum – -5.5%
ASX swing – not traded

FY 22/23
~-2%

Sticking with the plan eh.

[PaulBailey]

Feb 23
ASX Momentum – -10.0%
ASX swing not traded.

My system is now at historic max DD.

Will return to trading ASX Swing in March as well as ASX Momentum.

[PaulBailey]

Just realised it’s been many months since I posted.

1. Have switched to RealTest and slowly learning the admittedly much easier coding language.
2. Have still not gone back to ASX Swing
3. ASX Momentum:

April +1.0%
May -8.2%
June +1.9%

Have recently challenged myself to think about how to code for the All Weather portfolio Nick has been talking about on Twitter, but for the moment my best is mid single digit CAGR. So I am yet to crack the code.

[PaulBailey]

I’ve been “playing along at home” as Nick has progressed his ideas regarding flavour variations of the All Weather ETF strategy.

Initially I could only get a ROR in the high single digits / low double digits with a Max DD somewhere just north of 20%.

Knowing that Nick had successfully constructed a system with a ROR of 19% and Max DD of -14.7% helped a lot – made me understand that such a system was *possible*.

This process has also made me very familiar with coding and re-coding Realtest – at least within the boundaries of the system I’m trying to develop – which has been very useful.

Where I’ve landed:

A 6 ETF strategy:
TLT – 20 year Treasury Bond ETF
VIG – Dividend appreciation ETF
VNQ – Real estate ETF
DBC – Commodity tracking ETF
GLD – Gold ETF
QLD – a 2x leveraged Nasdaq-100 ETF

I’m using a simple 200 day MA to screen for entry trigger.

I’ve looked at returns over multiple time frames and they are very steady.

10y ROR 20.96% Max DD -22.91% Average exp 60.71%
5y ROR 19.37% Max DD – 21.97% Average exp 53.77%
1y ROR 20.27% Max DD -10.6% Average exp 44.7%

There are some lean years in the backtest:
2015 +0.7%
2016 +1.1% 

And two negative years
2011 -7.3%
2022 -10.3%

I feel like it’s now time to run this system I’m happy with the parameters. It’s taken me a month of thinking to get to this point.

Look forward to reporting results.

[Nick Radge]

Sounds good Paul. What’s the volatility?

[PaulBailey]

Confession / help request:

How to measure volatility…..

[Nick Radge]

You can add the following code to your results column formula for volatility

Vola:     {%2}      StdDev(S.NetPct,Periods)*SQR(S.BPY)

[PaulBailey]

Volatility is much higher than yours – around 20% depending on the time frame…….

I can wind ROR back and get better Vol I imagine.

Think I’m OK with where it’s at though….. which is of course a bit against the philosophy of “all weather”.

[PaulBailey]

OK September 2023:

Weekly Trend following: +3.1% – YTD -10.7% Max DD -15.1%

Will activate my version of an ETF Strategy this month, although buy signals are triggered only when a 200 day MA is breached so I expect the initial ramp up to be slow. Also, the system is relatively low volume – 19 trades per year.

[Author]

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