Rob’s Journal

[RobGiles]

USMOM1 -14.5%

ASX GROWTH (BLUE) -7.2%

USMOC1 -5.21%

Interesting that with the increased volatility, the MOC systems haven’t performed to provide the negative correlation to the trend following approaches. Assuming this will rectify itself over time.

[RobGiles]

Due to Index filters kicking in I’m 100% cash in US MOM and 77% cash in the ASX Growth Portfolio.

US MOC1 up 1.6%. I’ve mentioned elsewhere that I missed a 9.5% day, so would have been higher. I’ve added 50% more capital to the system, give we’re in more volatile markets.

[RobGiles]

Happy New Year

USMOM1 still 100% cash – down 10.7% since inception

USMOC1 +0.43% for the month, down 20.3% since inception.

ASX Growth Portfolio – 0.24% for Dec..
up 29.2% since inception

Couldn’t build an ASX momentum system that inspired me to trade it, so moving on to other research.

[MichaelRodwell]

Hey Rob,

Regarding the ASX momentum system, any thoughts on why you couldn’t get it to work? Was there a specific area causing the challenge?

Thanks

Mike

[RobGiles]

Hi Michael

Despite testing various momentum approaches, when I applied liquidity filters so that I could realistically enter and exit at the tested prices without material slippage, the Max DD just didn’t provide a big enough payoff for the CAR I could get. There’s much more enlightened systems coders in here than me, who I’m sure can get better numbers, but I’m not that smart.

I do think that a lot of the systems we test in here, especially on the ASX, don’t really take into account the slippage at execution if you are trading in any size. I am already experiencing slippage in the ASX Growth portfolio Blue signals when I go to execute, so my performance is unlikely to be as good as that published on the theoretical portfolio. So i am going to focus my efforts on US systems from here on.

Hope that helps.

[RobGiles]

US MOM1: 100% cash
US MOC: -0.3% for Jan’19
ASX Growth: +1.5% for Jan’19

Across all financial markets I’m still 48% cash. Watching US markets closely this month to see if I will add to discretionary positions.

[ScottMcNab]

Rob Giles wrote:

Hi Michael

Despite testing various momentum approaches, when I applied liquidity filters so that I could realistically enter and exit at the tested prices without material slippage, the Max DD just didn’t provide a big enough payoff for the CAR I could get. There’s much more enlightened systems coders in here than me, who I’m sure can get better numbers, but I’m not that smart.

I do think that a lot of the systems we test in here, especially on the ASX, don’t really take into account the slippage at execution if you are trading in any size. I am already experiencing slippage in the ASX Growth portfolio Blue signals when I go to execute, so my performance is unlikely to be as good as that published on the theoretical portfolio. So i am going to focus my efforts on US systems from here on.

Hope that helps.

Hi Rob and Mike,
I can “produce” numbers in the low to mid 20’s for CAGR but when start adding some equity and volume and making some realistic assumptions the returns drop down into the 15-18 range for CAGR …doesn’t look as good as the US systems for sure but I still like having some allocated for diversity and CHESS sponsorship… but suspect Growth system gives you that already ?

[Nick Radge]

Quote:

ASX Growth portfolio Blue signals when I go to execute, so my performance is unlikely to be as good as that published on the theoretical portfolio

Rob,
I’m not quite sure how your results have slippage over and above the published results.

The entry is the open.
The published results are the open.

What are you getting?

I should also add my results that are published are exact fills my portfolios get. Not exactly a small account…

[RobGiles]

I guess I’m referring to the fills I’m getting vs the “Last” quote when the signal is generated. There’s been times where in order to get the position away, when you look at the bids / offers racking up pre-opening, I need to place orders greater than 3% in order to get filled.

I’m finding it an issue in my discretionary trading as well, especially running stops intra-day.

[RobGiles]

Scott McNab wrote:

Rob Giles wrote:

Hi Michael

Despite testing various momentum approaches, when I applied liquidity filters so that I could realistically enter and exit at the tested prices without material slippage, the Max DD just didn’t provide a big enough payoff for the CAR I could get. There’s much more enlightened systems coders in here than me, who I’m sure can get better numbers, but I’m not that smart.

I do think that a lot of the systems we test in here, especially on the ASX, don’t really take into account the slippage at execution if you are trading in any size. I am already experiencing slippage in the ASX Growth portfolio Blue signals when I go to execute, so my performance is unlikely to be as good as that published on the theoretical portfolio. So i am going to focus my efforts on US systems from here on.

Hope that helps.

Hi Rob and Mike,
I can “produce” numbers in the low to mid 20’s for CAGR but when start adding some equity and volume and making some realistic assumptions the returns drop down into the 15-18 range for CAGR …doesn’t look as good as the US systems for sure but I still like having some allocated for diversity and CHESS sponsorship… but suspect Growth system gives you that already ?

Hi Scott,
15 – 18% in real time is good. What maxDD are you getting with that?

[ScottMcNab]

mid to high 20’s Rob.

[Nick Radge]

Quote:

I guess I’m referring to the fills I’m getting vs the “Last” quote when the signal is generated. There’s been times where in order to get the position away, when you look at the bids / offers racking up pre-opening, I need to place orders greater than 3% in order to get filled.

Slippage is defined as the difference between the ‘backtested’ execution price and the ‘actual’ execution price.

In this instance they’re the same.

[RobGiles]

Feb Performance:

US MOM1: 100% cash
US MOC: +0.7%
ASX Growth: +0.49%

[Nick Radge]

Good result for the GP.

[RobGiles]

Nick Radge wrote:

Good result for the GP.

Yep Its the only system that has made money since I did the mentor course. The system makes sense, its easy to follow and I don’t have a problem exiting the losing trades as they only represent 1% of equity.
MOM is in drawdown.
MOC had the large f%&kup at the beginning and the 1 day I missed last year it missed a 9% profit day I think it was. Everyone elses MOC seems to be making money, mine is doing bugger all. Very disappointed it hasn’t performed in this year’s volatility.

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