- This topic has 816 replies, 2 voices, and was last updated 3 hours, 5 minutes ago by
.
-
Couple of the posts recently regarding performance of longer term systems so thought I would test again
only 2 systems here..first is a longer term TF system and other is rotational system…these 2 systems are then applied to different markets
so…the air conditioned lawn mowers purchased for the grounds keepers in the 90’s were sold off and now Jim’s mowing comes twice a year
It never is a simple as it seems though…rotn system on XAO looks like (was) a dog for last decade and NDX smashed it (even though exactly the same system)…but when compare to underlying index the XAO rotn system outpaced the returns compared to index while NDX kept pace. (edit…XAO done bit over 10% while Rotn on XAO returned over 100% when I look more closely)
I find these longer term systems harder to trade than shorter term systems…not unusual to be in drawdown for 2years. They can underperform a market for years too…but taken over any decade they have always kept pace or outperformed (so far)
In the end, I think we just have to accept what the market gives us and to diversify across systems and markets…unless we can predict which market will outperform in the next decade what other logical choice do we have?…the next decade may resemble any of the previous ones or be completely different again…may look like Tokyo in 90s or NDX in 90s or SPX in 70s :S
Ha…Those were the mind blowing stats that sent me of on a 2 week rotation binge..I couldn’t get anywhere close to them
This in turn made me refocus on original goal ..if I get to 70 and have achieved 15% CAGR and not greater than 25% DD for portfolio I will be thrilled (firstly to still be alive but also with) the results. I sometimes take for granted what we have been able to create in this course!
The 2 week dive resulted in a new rotation system which has a lot fewer moving parts…it also exits any day the index filter turns nasty but will not restart until next month (if index filter allows)…this hurts back-test metrics but is just what I need to do psychologically to be able to trade it going forward
I am a bit confused re the universe question…XAO is All Ords and XTO is ASX 100..was that the universe question sorry or was it more to do with filters used?Yep… universe. I.e. watchlist universe etc.
I.e.
Apologies for the confusion.
ASX100 for me (so far), has proven superior/stable for results in the monthly rotational backtests etc…..
Also from a diversification point of view…. My WTT universe targets XAO All Ords…. and because of MIN/MAX price filters will “generally” exclude some of the ASX100 stocks, due to the ASX100 stocks above my MAX Price filter of $10…..
Therefore, minimal correlation between my WTT system and ASX100 system…. sure there will be double ups here and there between my WTT/ASX100 ROTN, stocks from time to time, but that probably will ‘hopefully’ be a profitable outcome etc.
As a side thought, with exiting intra month for capital protection approach and psychological trade-ability (is ‘trade-ability’ even a word lol)…..maybe consider (if you haven’t already done so) Nick’s suggested approach, i.e. divide capital into 50/50, buy 50% at the start of month and then manage the other 50% using the weekly approach.
But your comment
“I sometimes take for granted what we have been able to create in this course!”…is certainly a valid one and resonates with me. It’d be even ‘tougher’ trading without the systems that we’ve developed from the course. I’d never be able to build/deploy the systems I have without Nick’s/Craig’s and the forum’s assistance.
We may not be seeing the big % returns we’d all love to be seeing/experiencing….. but we’re not wiping ourselves out, sitting on -50%, -60%, -70% drawdown etc keep in mind, that some of the big funds are also doing it tough (or even going out the back door).
It’s interesting listening to some of my work colleagues talk about how bad their SUPER is performing down circa 20-30%….. keeping in mind that for the majority, it’s being managed by the ‘professionals’…..
We’re certainly trading at a much higher/professional level than previous/most of the punters out there.
the MRV RUA was rejected for Jobkeeper on grounds it was just a lazy sod
Here are the current stats from 2020 (10 positions at 10%)
This system has a filter so only trades when price above a MA…so I combined it with another system in development but only used it when below the MA…so original system only above MA..new system only when below MA (10 positions at 10%)
- You must be logged in to reply to this topic.