Rob’s Journal

[TimothyStrickland]

Pardon my ignorance Scott, but is that -21.76%. I have finished the course but do you at what point we have to consider a system unprofitable and move on? I’m sure I will learn that soon.

[ScottMcNab]

It’s Rob’s system Tim but I believe so. My understanding is that the decision to turn off a system is not 100% quantitative but is based largely on whether live performance deviates significantly enough from backtest metrics to raise suspicion that either something fundamental has changed such that the system no longer works or that the system was subject to curve fitting in it’s design (unlikely if steps in course were followed). So a system with a 20% drawdown may be perfectly within backtest parameters or may be right at the extremes. My reply to Rob’s post was to try and clarify whether the times he has been unable to place orders due to travel has contributed to the performance. If he has been travelling then he may not have had time to add the CBT code to the MOC system he launched in Aug2017 and that may also produce a positive change.

[TimothyStrickland]

Thanks for the information Scott. I didn’t see the quotes, duh. Those 2 points make a lot of sense. In the past I have traded based on mostly forward testing not back testing and it also wasn’t systematic trading. It does make sense that maybe a long term trend following system would be best for someone who travels a lot. Luckily for me, those days are over, well at least the Navy forced traveling = P.

[LEONARDZIR]

I have another take on whether a system is broken. I like to compare my results with results of other members trading a similar system in the same market with a one year look back . Although we all use different entries, exits etc I notice specific systems tend to have similar results. So for example if
most members MR systems on the Russell 1000 are up for the year and mine is
significantly down I take that as a sign that I need to rethink the system.
I realize this not quantitative and somewhat rough but I find it helpful.

[RobGiles]

Thanks for the replies to this month’s post.

If you refer to my update March 2nd it explains the API technical issue I had and my reluctance / failure to place orders following that incidence and its effect on the system’s return. Couple that with a number of days where I have been out of range or unable to place orders I am now in a 20% DD on this system (not including the costs to run the VPS). I might add that this system makes up a very small % of my investment capital.

Julian – yes I do have a VPS which I run my API from, but if I’m out of range, I’m out of range, or if I’m on vacation, I really don’t want to be trading, I want to switch off from work, so doesn’t help in those situations.

Scott – according to my backtest, if I had been able to take all trades for the past year I’d be up 17%.

So, begs the question, does anyone here miss trading days with their MR or MOC systems when on vacation? Is anyone prepared to take that risk? Has anyone developed a MR system that trades weekly rather than daily?

[ScottMcNab]

Hi Rob…I have taken my laptop with me over the last few years and plan to do so in the near future at least. I have not been going to exotic off the grid places however.

[JulianCohen]

Rob Giles wrote:

So, begs the question, does anyone here miss trading days with their MR or MOC systems when on vacation? Is anyone prepared to take that risk? Has anyone developed a MR system that trades weekly rather than daily?

If I’m going on holiday and won’t be able to trade I just switch everything off and leave it alone until I am able to get back to it. I’ll shut down all positions on daily systems and leave the monthly ones running

[RobGiles]

Julian Cohen wrote:

Rob Giles wrote:

So, begs the question, does anyone here miss trading days with their MR or MOC systems when on vacation? Is anyone prepared to take that risk? Has anyone developed a MR system that trades weekly rather than daily?

If I’m going on holiday and won’t be able to trade I just switch everything off and leave it alone until I am able to get back to it. I’ll shut down all positions on daily systems and leave the monthly ones running

Thanks Julian…yep that’s what I’ve been doing as well

[RobGiles]

US Momentum / Rotational System: For those that are interested, I sold down my overweight position in NFLX on the 13th July as I didn’t like the look of the bearish divergences on the weekly chart, and looking at how parabolic the monthly chart is just started to make me think this looks ridiculous. Don’t usually mess with my 3 mechanical systems, but I think it was Clenow who advocated re-balancing fortnightly (not for me). Anyway, Nick will probably get up me for it, but my 3% overweight position is now where it should be.

Any others do the odd rebalance when certain stocks get a bit lofty?

[LEONARDZIR]

They can always get more lofty.

[RobGiles]

*Results as @ 3rd Aug.
USMOM1:
-5.1% for the month
-5.9% since inception

USMOC1:
+1.73% for the month
-19.3% since inception

ASX Growth:
+0.4% for the month
+38.4% since inception

[TimothyStrickland]

Looks like the ASX Growth is carrying everyone else.

[RobGiles]

August ’18 performance:

USMOM1 +13.28% for the month.
Big gains in a lot of stocks like AMD +37.3%
+7.4% since inception (adjusted for 2 tranches of fresh capital invested May & July 2018).

USMOC1 -0.33% for the month
– 19.4% since inception.
Have traded the system using the CBT & ROC as a ranking approach.

ASX Growth +0.86% for the month.
+39.6% since inception.

System development:
– ASX100 Rotational. Experimenting with linear regression & ROC weighted over 2 periods. Test period Oct 2012 to Oct 2017. Still a bit of work to do to get desired results.

– NDX concentrated rotational.

[TrentRothall]

“System development:
– ASX100 Rotational. Experimenting with linear regression & ROC weighted over 2 periods. Test period Oct 2012 to Oct 2017. Still a bit of work to do to get desired results.”

Hi Rob,

Nice work on the US momentum!

Is there a reason you are only testing the ASX 100 system on the last 5 or 6 years?

[RobGiles]

Thanks Trent

Well I thought I’d choose a random 5 year period as my ‘In Sample’, try to get something that works then test it ‘Out of Sample’ to check robustness. Happy to take suggestions on a better methodology. How would you test it / what time frame would you use?

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