Said Bitar Daily Journal

[RobGiles]

Very enviable MR returns…well done

[SaidBitar]

yes from time to time it makes good returns

[SaidBitar]

MAR 2019

US MRV:0.61%
US MOC:-2.73%

US WTT:-0.72%

SPX MOMO:2.72%
NDX MOMO:0.8%

TOTAL:0.14%

[SaidBitar]

APRIL 2019

US MRV:6.11%
US MOC:-5.31%

US WTT:-0.25%

SPX MOMO:0.1%
NDX MOMO:1.14%
Had to swtich both momentum systems off because i was moving accounts from IB UK to IB USA

TOTAL:1.09%

[MichaelRodwell]

Hi Said,

Just a heads up. Be sure to double check your trading permission in your new account. Mine got screwed up and I’ve had to delay trading my new system while I re-apply… this is after the move to IB Australia.

[SaidBitar]

I wanted to share the performance of each system separately and the performance of all of them combined

1- WTT (weekly trend following R3000)
Note that the system has changed and been modified many times small changes all the time but here is the performance from day 1 the benchmark is SPY

Ok the system is not the most appealing but i have high hopes in it i think the weird performance is because it was invested most of the time in stocks that got delisted and healthcare

[SaidBitar]

2- SP500 Momentum
again the benchmark is SPY
and note since last month the system is off (for some reason the moment i switched it off the market became better i have to switch it on ASAP)

[SaidBitar]

3- NDX Momentum
the number of stocks that are held at the same time it is small and the system is relatively new but it is volatile also this one is temporary off

[SaidBitar]

4- US MOC
OH this system changed more than i can remember the only thing that didn’t change is the name of the system
honestly recently i thought it is broken so i checked it over and over in the past weeks and i reached the conclusion that the current market conditions are not suitable for it but apparently things will change
since mid 2017 selection bias was removed thanks to Julian and it became a bit more aggressive

[SaidBitar]

5- US MRV
The Special one (it is like my spoiled kid)

[SaidBitar]

Finally all the 5 merged
Sorry for the images now i noticed that i took the snap shots on the monitor which has high resolution so they are a bit large in size

Sad thing that if i would have held the SPY since 2015 i would have been better, but this is just temporary hopefully soon things will turn.

there are many other systems that i traded and i switched off since 2013 some of them did good other did bad but here is just some overview

[JulianCohen]

My MOC is exactly the same Said. I also checked it over and came to the same conclusion. I have reduced the account size until it starts to behave itself!

I’ll ask before anyone else does….How are you doing all the pretty graphics?

[LEONARDZIR]

Julian, Said,

Do you have criteria for when to shut off a system? I was looking at my MR and MOC. You can months with small losses(or large losses) and suddenly the next 2 months are up big and can account for a significant portion of the yearly profits. I can’t figure out when to stop trading a system so continue to trust the backtests and motor on.

[JulianCohen]

I ran my system back through 1995. Around 2000 it had a 48% drawdown. I had always been testing it from 2005 onwards where it looks great. At the moment my MOC is in a 28% drawdown. No I don’t have a criteria to switch it on and off, but I figured that cutting back the position size will let me sleep easy at night, and that’s my decision making process.

I realise that I had loaded it up too aggressively and now I’m paying the price for it. I won’t switch it off, as it will come back, but while it’s making up it’s mind about when to recover, I’ll keep running it but at a lower account size.

When it does recover will I add back to it again? Ideally I’d like to think I wouldn’t as I don’t think that would be the right thing to do. I’m sure greed will take over at that time, as I am quite cognisant of my failures as a human being. Maybe in the future if anyone sees me writing on the forum that I am planning to add more to my MOC as it’s going great guns, you wouldn’t mind giving me a verbal kick in the head!

[LEONARDZIR]

Julian the psychology of trading trumps the system rules. Just had a similar experience with a one day drawdown in my moc and mr. I am also back on track with a smaller account. I mentioned in another post that a daily P&L extremely helpful in knowing the potential future volatility.

[Author]

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