Rob’s Journal

[JulianCohen]

Rob August has been shite for my MOC system. I have many days with no trades and mostly 2 or 3 when I do get some. Three months ago I had 20-30 a day.

Don’t worry….it will come back, and you are not alone in this so it’s no biggie.

[RobGiles]

Cheers Julian.
Had a good chat to Nick today about SB. my backtests suggest my MOC system runs at about 2.5%. Here’s my MCS “averages” sheet:
Avg Range Min Range Max
Annual Return (CAR) 39.08% 35.53% – 42.96%

Max Trade % Drawdown -28.84% -29.52% -16.11%

Max Equity % Drawdown -8.59% -11.08% – -7.17%

# Trades 9009 8901 – 9106

Trade Win % 56.82% 56.17% – 57.46%

Trades Loss % 43.18% 42.54% 43.83%

Average % Profit / Loss 0.34% 0.32% – 0.37%

Profit Factor 1.46 1.41 – 1.53

If I end up getting a CAGR of up to 10% below the lower reading of 39% and Max DD blows out to 20%, I’d still be happy with the results….where else can I park my money and get the same? So what I’m hoping is the there is roughly a 10% margin for error in the CAGR that will allow SB to do its thing and I’ll still be happy to take the risk of trading the system on. Don’t know if this is overly simplistic, but its where I’m at presently.

[ScottMcNab]

Why not test it Rob and remove the uncertainty ?

[RobGiles]

Fair question…because I’m still trying to get my head around what the code is doing…I’m still very green in the coding space I’m afraid Scott. Are you sure will give you definitive answers to your questions? With 2.5% SB I’m not looking for or expecting certainty as I don’t believe any amount of analysis can do that with a system that has SB. I may also be completely wrong

[ScottMcNab]

The positionscore formula gives the same results as Said’s exploration/excel combo so I now have confidence in it. The only question it answers is what is the worst possible outcome (due to SB). It is just a quicker way and gives results in a format I am used to seeing in Amibroker. I think it still prudent to treat it with some caution/skepticism though.

I am not saying it is the correct way to go for everyone but I wanted to know what the worst could be. It was something I felt I needed to know in order to keep trading it live. As long as I was ok with the worst possible result, then I felt I could move on.

As it turns out, if I had not done these tests and had kept using my previous system it seems likely I would have experienced results over the next few years well below the expectations I had formed from my backtesting (due to the SB in my US systems) once volatility picked up. It is possible (likely perhaps) that your system does not even suffer from the same SB issue mine had.

[RobGiles]

Interesting and thanks for sharing. I will bung the code in mine and see what it says as well and let you know how it goes.

[RobGiles]

OK so I’ve had another day where there have been backtest “fills” in the last 20mins of trade hence I didn’t get them in real time (on the 30th). Both missed trades were positive P&L, albeit pretty small (+0.1% and +0.04% respectively). Of course the only fill I got on the day was a loser @ -0.7%.

So these missed trades in the last 20mins CAN be profitable. I’ll continue to monitor.

[RobGiles]

About to go away for a week so will stop trading the MOC system tomorrow. To date:

US MRMOC -2.4% since inception (16th Aug 17), 62 trades

ASX Growth – +4.0% since inception (1st Mar 17)

Working on the Momentum / Rotational system. Working my way through testing the various parameters.

[RobGiles]

MOC system has had a good few sessions this week (for e.g. it made 1.3% overnight) bringing me back from a 2.5% DD. Maybe I’m looking at it too hard, but it appears the S&P ‘s pull back towards its longer term MA’s is creating better conditions for the MOC system. Just thought I’d share.

[RobGiles]

US MRMOC
-0.5% since inception (16th Aug 17)
up 2.1% for the month
132 trades
Win/Loss Ratio 1.09

ASX Growth Portfolio
+9.11% since inception (1st Mar 17)
up 5.1% for the month
Win/Loss Ratio 1.48

Have done more work on the Momentum Rotational system and got it to where I’m happy. Have looked at the 20, 15, 10 & 5 year backtested performance. Tuned it for the past 5 years. Believe its a very robust system with few degrees of freedom, based on Clenow’s approach.
– S&P500
– Monthly rebalancing

Looking to invest at the beginning of the month, so after tonight’s session. Hopefully this doesn’t mark the end of this current bull market!

[ScottMcNab]

Congrats on the milestone Rob…always exciting to go live with a new system…all the best

[RobGiles]

Scott McNab wrote:

Congrats on the milestone Rob…always exciting to go live with a new system…all the best

Cheers Scott. Now have to decide how much capital to allocate to it….proving to be a harder decision than anticipated!

[RobGiles]

US MRMOC
+1.3% since inception (16th Aug 17)
up 1.4% for the month
207 trades
Win/Loss Ratio 1.10

ASX Growth Portfolio
+12.58% since inception (1st Mar 17)
up 3.5% for the month
Win/Loss Ratio 1.67

USMOM1
+2.0% for the month
1st rotation happening tonight

There’s been a few comments from members adding $$ to various systems for various reasons which is obviously a response to market conditions and thereby a discretionary decision. It’d be interesting to start a thread that looks at the decision framework that people use when reducing or increasing allocations to various systems.

[JulianCohen]

Rob Giles wrote:

US MRMOC

There’s been a few comments from members adding $$ to various systems for various reasons which is obviously a response to market conditions and thereby a discretionary decision. It’d be interesting to start a thread that looks at the decision framework that people use when reducing or increasing allocations to various systems.

I’m pretty sure most of us would be buying the equity dips in a trend following system. It’s a well known practice and I think Nick posted something about it. I could look it up but we all know my propensity not to do that

[RobGiles]

Julian Cohen wrote:

Rob Giles wrote:

US MRMOC

There’s been a few comments from members adding $$ to various systems for various reasons which is obviously a response to market conditions and thereby a discretionary decision. It’d be interesting to start a thread that looks at the decision framework that people use when reducing or increasing allocations to various systems.

I’m pretty sure most of us would be buying the equity dips in a trend following system. It’s a well known practice and I think Nick posted something about it. I could look it up but we all know my propensity not to do that

Thanks Julian…I’ll go searching for it
Thing is Nick’s been adding lately and I would imagine that its on well and truly out of the last dip? Nick?

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