Rob’s Journal

[JulianCohen]

Well answering on his behalf, there’s buying the dips and also buying due to conviction. You don’t have to wait for a dip if you don’t want to. In the long run, adding on will make you more money if your system is good.

[RobGiles]

Julian Cohen wrote:

Well answering on his behalf, there’s buying the dips and also buying due to conviction. You don’t have to wait for a dip if you don’t want to. In the long run, adding on will make you more money if your system is good.

Cheers Julian and thanks for providing a response. Was hoping that in a forum dedicated to systematic, non discretionary trading, posting a question as to where discretion is being exercised by members in a meaningful way (i.e. decisions on how much to allocate to a system given market conditions) would create a bit more interaction.

[JulianCohen]

Rob Giles wrote:

Julian Cohen wrote:

Well answering on his behalf, there’s buying the dips and also buying due to conviction. You don’t have to wait for a dip if you don’t want to. In the long run, adding on will make you more money if your system is good.

Cheers Julian and thanks for providing a response. Was hoping that in a forum dedicated to systematic, non discretionary trading, posting a question as to where discretion is being exercised by members in a meaningful way (i.e. decisions on how much to allocate to a system given market conditions) would create a bit more interaction.

I think we are pretty much all in agreement that although it would appear counter intuitive to buy dips on a trend following system, we all know it works ergo nothing to discuss. So you either add on a dip or you add when you have extra cash or add when you think there’s a discretionary reason to. Either way you add to a good system, you make more money.

[ScottMcNab]

My decision to add cash to the systems was not related to current market conditions or any predictions Rob. I am not looking to time the cash increase in any way.

[LEONARDZIR]

To me allocating more to your systems is a result of experience trading the systems and profits.
When I first starting trading my systems one year ago I was hesitant because of my past trading experience. So I had a trading account for my systems and an investing account. Now after one year with nice profits the line between my trading and investing accounts is growing fuzzier by the day. Gradually I am replacing my primary stock holding which was VTI with my trading systems mostly US MOMO but my other systems to a lesser degree.So to me increasing allocation to my systems is all about developing trust in my systems. I think Julian has it right you increase allocation based on conviction

[Nick Radge]

As Julian stated, conviction and drawdown. When I managed money back in the late 90’s, Goldman Sachs waited for our system to go into drawdown before they would allocate. It’s like buying a quality company at a discounted price. Problem was for Goldman is that we continued higher for the following few years without drawdown.

My allocations to US systems has been considerably less to that of my Australian trend system, so part of the new allocation (I have doubled my allocation to both US Momo and US DTVI) is to close that gap.

I intend to double my allocation again to both systems on the next major drawdown – which may come in January with US tax selling.

I also intend to double my allocation to my US MOC system.

[RobGiles]

Thanks guys that’s been very helpful.

Does anyone here foresee a scenario where they do the opposite to adding on a DD…i.e. they take some dollars off the table let’s say from a TF system and reallocate it to a MR system? Or an alternative scenario where a TF system has gone 100% to cash and those funds are partially reallocated to a MR approach?

[RobGiles]

Apologies for the lack of engagement lately, been off the radar a bit for the past month due to business commitments.

US MRMOC
+1.7% since inception (16th Aug 17)
up 0.4% for the month
249 trades
Win/Loss Ratio 1.13

ASX Growth Portfolio
+19.4% since inception (1st Mar 17)
up 6.8% for the month
Win/Loss Ratio 1.80

USMOM1
+0.5% since inception
-1.5% for the month
2nd rotation completed yesterday
Looking to double allocation if Nicks view re US tax selling in Jan plays out.
Question: If we get a drawdown mid month, is this the time to add to exposure or does one wait until the beginning of the next month when the next rotation occurs?

[Nick Radge]

I’d do it mid-month if you get the decline.

Nice effort on the GP.

[RobGiles]

Got the most fills on my MOC system last night (22). Disappointed that it was net down 1.15% given its the first piece of vol we’ve had in a long time. Its well within the realms of normal, but just frustrating.

[ScottMcNab]

I ended up adding a MRV with 2-3 day hold for that same reason Rob…frustrated when closed down on entry day and then climbed back in next few days….MRV can work well in sync with MOC…..MRV helps on those days when reversion comes after a day or two and MOC helps limit downside a bit in those times when it just keeps on falling…gives a bit of diversity for not much extra work on the coding/system design

[RobGiles]

S MRMOC
+1.0% since inception (16th Aug 17)
-0.7%% for the month
314 trades
Win/Loss Ratio 1.05
*traded intermittently over Jan as was away on holidays.

ASX Growth Portfolio
+22.9% since inception (1st Mar 17)
up 3.5% for the month
Win/Loss Ratio 1.88

USMOM1
+6.5% since inception
-6.0% for the month
3rd rotation tonight

[RobGiles]

Scott McNab wrote:

I ended up adding a MRV with 2-3 day hold for that same reason Rob…frustrated when closed down on entry day and then climbed back in next few days….MRV can work well in sync with MOC…..MRV helps on those days when reversion comes after a day or two and MOC helps limit downside a bit in those times when it just keeps on falling…gives a bit of diversity for not much extra work on the coding/system design

Cheers Scott, appreciate the insight. Yes I’m keen to develop a similar system as well as a swing trading approach as per Nicks new system. Would be good to share ideas. I’m starting mentoring again next week so am looking forward to increasing the coding skill base and furthering my learning.

[Nick Radge]

Your US Momentum was -6.5% for the month?

[RobGiles]

Nick Radge wrote:

Your US Momentum was -6.5% for the month?

sorry, fat fingers….+6.0%

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