Scott’s Journal

[RobGiles]

Good luck with the US Rotn system Scott

[ScottMcNab]

New MRV and MOC systems started with changes directed towards minimizing leverage and selection bias rather than maximizing cagr/maxDD ratio

both trade 2x leverage….
MRV has 40 positions at 5%
MOC has 20 at 10%

selection bias…since 2000:
MRV has 17 days when issue
MOC has 11 days

now …time to leave alone and find another hobby

[SaidBitar]

hahahaha very good
i have one idea that maybe will make you go back again

[TrentRothall]

haha Said’s out to get you Scott :]

[ScottMcNab]

Yeah…I don’t fancy my chances either.

[ScottMcNab]

One little threat of nuclear holocaust and bam !…there goes the month…paying the price for being heavy NDX

[JulianCohen]

All that hard work watching the NASDAQ go up and it’s all gone in a moment. That’s trend following for you. Amazing how it always happens on the last day or so of the month.

[LEONARDZIR]

Scott,
I had a slightly different view of the tech selloff. I am still up for the year on my nasdaq momo system and I used yesterdays tech selloff to add a bit more money to the system. We will see if that was a mistake but I have been looking for a pullback to add money.

[ScottMcNab]

By chance, I have also added significantly to my momo systems for the new month Len. Fingers crossed everyone keeps taking their happy pills leading into the end of the year holidays.

[Nick Radge]

What selloff?

[ScottMcNab]

Are most people doing their US monthly rotations on the last day of the month rather than the first ?

[SaidBitar]

i place the trades on the first day of the month (today) because this is how i backtested

[JulianCohen]

Said Bitar wrote:

i place the trades on the first day of the month (today) because this is how i backtested

Yup me too. Does anyone rebalance existing positions?

[ScottMcNab]

Thanks Julian and Said…I tested both but didn’t seem to make any difference…I have always had this nagging feeling that it would somehow be better to get in a day early but seems not

I think Nick mentioned that only re-balance if things go way out of whack…maybe once or twice a year

[RobGiles]

I’m doing my 1st rotation tonight, so 1st day of the month. I’m not rebalancing, but I remember someone saying they did if it got too far out of whack.

What about position sizing…are you basing positions of the M2M valuation of the account or the starting equity?

[Author]

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