Scott’s Journal

[ScottMcNab]

April 2018

RUI LOO -3.3%
RUI MRV 0.4%

NDX Rotn -1.86%
RUI Rotn off due to Index filter
SPX Rotn off due to Index Filter
Aus (XTO) Rotn 5.1%

[ScottMcNab]

RUI Rotn system kicked off again last night and it picked up MTCH

Ideally Zuckerberg would have announced his plans for a facebook version of Tinder 24 hours earlier

[ScottMcNab]

May 2018

RUI LOO 1.5%
RUI MRV -2.4%

Rotn systems
NDX 2.7%
RUI 5.6%
SPX 1.3%
XTO -3.3%

[ScottMcNab]

MRV system I have been trading backtested to 1985 on SPX..
1987 would have had more impact than I would have hoped but good to know

[ScottMcNab]

June 2018

RUI LOO 0.7%
RUI MRV 0.0%

ROTN
NDX -2.6%
RUI 1.6%
SPX -1.7%
XTO 3.4%

[ScottMcNab]

was a bit hasty it seems when I said on the monthly call on Monday that the Asian markets weren’t that great for my rotation system…the exception is Singapore which is such a dog for both MRV and rotn that it makes me think I have configured something incorrectly or there is a fundamentally different market behaviour

the following results are using the current rotation system I use in US and Australia …10 positions at 10%

[Nick Radge]

Wow. So nice diversification there

[ScottMcNab]

Scott McNab wrote:

worst drawdown is always in front of you ?

I started paper trading this ETF system at the end of 2017….hasn’t really enjoyed 2018 to date…made me think a bit harder about that statement

I thought this was interesting…when I run the same backtest today….magic…better results…guessing this is survivorship bias in action with the volatility ETF’s that blew up in Feb no longer being in Group 4

[LEONARDZIR]

Scott,
I think you mentioned before but what are Group 4 ETF’s. In fact what are Group 1,2 and 3 ETF’s

[ScottMcNab]

Hi Len….If you look under “Groups” heading (below Markets) in Amibroker Symbols tab then #4 is ETF’s…almost 3k of them but no “current and past” WL for ETF at this time

[LEONARDZIR]

Thanks Scott. Very nice ETF returns with you rotation strategy.

[ScottMcNab]

I haven’t been able to get a decent result with a rotational strategy on ETF’s Len. This is a MRV (buys at mkt on open) system.

[LEONARDZIR]

Scott,
My error.
Similarly I’ve not had good results using a rotational strategy with etf’s

[ScottMcNab]

started CBT on RUI and XAO

was checking backtest and noticed that backtest for today had a trade that I did not take live…further looking indicated that this stock was not even in my DDE that I made this morning before market open…but it is now (for the date 6/7/2018 to 6/7/2018)… don’t recall seeing this in last few years but it is most likely error on my part somewhere rather than CBT

DDE from 6am this morning

DDE tonight at 5pm

[ScottMcNab]

Ok..found my error….last update from NDU on Friday was done before market close (3.45) and when logged on this morning saw there was data for Friday without realising not the final data…not done that before….have to stop the late nights on Sundays !

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