Sean’s Journal

[Nick Radge]

Weekly will be:

DofW = dayofweek() < Ref(dayofweek(),-1);
LE = Ref(BuyTrigger,-1) AND NOT OnLastTwoBarsOfDelistedSecurity;

Score         = Ref(ROCFinal,-1);
Score         = IIf(LE,score,0);
PositionScore = IIf(Year()>=1960 AND DofW,score,scoreNoRotate); 

[GlenPeake]

Hi Sean,

This should rotate Fortnightly on a Monday and cater for Public Holidays on a Monday i.e. Rotate on the Tuesday

FYR:
Discussed in this series of posts: https://edu.thechartist.com.au/forum/progress-journal/12-nick-radge-daily-journal.html?start=288#9152

////////////////////////////////////////////////////////////////////////////////////////////////////////////
Mon = FirstDayofWeek = DayOfWeek() countMon = Cum( Mon ); // count Mondays
// rotate only on Monday, every 2nd one
EOM = Mon AND (countMon % 2 == 0 );

score         = Ref(Rank,-1);//score is the rotational criteria
Score         = IIf(LE,score,0);
PositionScore = IIf(Year()>=1985 AND EOM,Score,scoreNoRotate);

////////////////////////////////////////////////////////////////////////////////////////////////////////////

 

[smurfki0808]

 

Nick Radge post=14207 userid=549 wrote:

Weekly will be:

DofW = dayofweek() < Ref(dayofweek(),-1);
LE = Ref(BuyTrigger,-1) AND NOT OnLastTwoBarsOfDelistedSecurity;

Score         = Ref(ROCFinal,-1);
Score         = IIf(LE,score,0);
PositionScore = IIf(Year()>=1960 AND DofW,score,scoreNoRotate);
 

So Nick, your US TLT strategy operates on two rotations right, weekly and monthly. The analogy for me would be running half my capital as a weekly rotation as per your suggested code here, together with half my capital in a monthly rotation. The hypothesis being, when a position takes a nose dive, it will likely be replaced in the weekly version, but held in the monthly till end of month. And, if a new front runner turns up in the weekly rotation, it might push its way in on that time frame. As your notes say, it should be unlikely that a 10 different symbols would be held at any one time. Another reason to get into RT!

[smurfki0808]

Glen Peake post=14208 userid=314 wrote:

Hi Sean,

This should rotate Fortnightly on a Monday and cater for Public Holidays on a Monday i.e. Rotate on the Tuesday

FYR:
Discussed in this series of posts: https://edu.thechartist.com.au/forum/progress-journal/12-nick-radge-daily-journal.html?start=288#9152

////////////////////////////////////////////////////////////////////////////////////////////////////////////
Mon = FirstDayofWeek = DayOfWeek() countMon = Cum( Mon ); // count Mondays
// rotate only on Monday, every 2nd one
EOM = Mon AND (countMon % 2 == 0 );

score         = Ref(Rank,-1);//score is the rotational criteria
Score         = IIf(LE,score,0);
PositionScore = IIf(Year()>=1985 AND EOM,Score,scoreNoRotate);

////////////////////////////////////////////////////////////////////////////////////////////////////////////

 

Thanks Glen, I see that there is nothing new under sun, you guys raked over these coals a few years back. It is interesting that the fortnightly rotation fares worse than the weekly rotation. Hence, the benefit of the weekly and monthly rotations running in tandem. Glad I could test these three differing rotations to quell the gnawing. Cheers

[smurfki0808]

Seems like August 2023 was a challenging month for lots with their various strategies, me included. I can be thankful that our managed Growth Fund held its head up above water.

My ASX MR#1 system was progressing quite well, until signal luck hit with a big stick. A position in $MSB.au, was hit by a trading halt, followed by reporting and got summarily whacked, delivering the 2nd largest losing position in backtesting since 2005, for a 67% loss. Three good lessons came from this. Firstly, upon closer scrutiny of the backtests, I saw that it happened before and when the largest loser occurred, I could see that the portfolio recovered quite quickly, after about 8 trades, so that was encouraging. Secondly, I revisited the role of stale exits, rather than waiting for an upbar exit. Had I been using a stale 3-bar exit at this time, $MSB.au would have been in and out with a small profit instead of a whopping loss. While stale exits take a little bit off the performance, I can see they add to the psychological comfort. If there is no bounce after 3 days, then let it go and find the next one. And thirdly, I finally got one to bounce my way with a good trade on $EML.au, which I picked up on low of the day prior to reporting. After report it jumped, resulting in a 36% profit. So signal luck can go our way too, carry on.

The upside of my ASX WTT is that I can see positions starting to accumulate some useful profits, e.g. $DUR.au, $MRM.au, and $C79.au. These positions have managed to survive the chop and stay in the trade. No $AVS.au unfortunately, but that’s signal luck for you.

ASX EMO is doing its job of plodding along and picking up some useful returns from the likes of $BGL.au and $BOT.au.
 
ASX MOMO was having a great month, until reporting…

ASX WTT:  -4.8%
ASX MOMO: -4.2%
ASX EMO: -3.2%
ASX MR#1: -7.5%
Managed Growth Fund: 0.6%

Total for month  -1.1% taking total drawdown back down to -22.9% and back to where I was in May and June of 2023 and October 2022. Sideways

[GlenPeake]

Thanks for the update Sean…. A nice catch with $EML.au….. Well Done!

FWIW: I was also in $MSB.au prior to the news catalyst and the dump thereafter…. Swings and roundabouts I guess.

[smurfki0808]

Glen Peake post=14232 userid=314 wrote:

Thanks for the update Sean…. A nice catch with $EML.au….. Well Done!

FWIW: I was also in $MSB.au prior to the news catalyst and the dump thereafter…. Swings and roundabouts I guess.
 

Well, that is reassuring to me Glen, glad to be sharing the swings, see you on the round about! Sharing the rides is a bonus of the forum, thank you.

[smurfki0808]

Trading halts on the ASX when in short term mean reversion positions, are getting a little tiring. Now LLL.au, I entered MR trade on the day that they went into Halt and then Suspension. Upon resumption, whacked.

Is this another little lesson for me why same day MOC systems might be preferred? What do other people use as a tactic in this situation? Do you sell on the resumption and simply get out? Thanks.

 

[GlenPeake]

What do others do? I’ll let you know if/when $AVZ.au comes out of its suspension…… lol

But in all seriousness….. I don’t think anyone here would question you if you sold on open immediately after it comes out of suspension….. dropping 50%….. unlikely to do a V shape recover in a day or so…. I probably just ride it out…..and SELL when the SELL signal triggers….take the loss and move on.

As it turns out, it looks like your SELL was triggered yesterday and your selling on OPEN today…. so there’s probably not going to be a huge difference in today’s OPEN price and the OPEN price after the suspension was lifted…..

Can’t really avoid it….. you can minimise the damage by diversification of multi systems….which you’re doing, so the percentage ‘hit’ isn’t going to wipe you out etc…. and the loss only represents a small % of total account etc….

Unlucky mate…..

[smurfki0808]

Glen Peake post=14259 userid=314 wrote:

What do others do? I’ll let you know if/when $AVZ.au comes out of its suspension…… lol

Can’t really avoid it….. you can minimise the damage by diversification of multi systems….which you’re doing, so the percentage ‘hit’ isn’t going to wipe you out etc…. and the loss only represents a small % of total account etc….

Unlucky mate…..
 

Yes, I too have AVZ.au taking capital out of the game. Maybe there should be a rule for ‘region of operations’ saying stay clear of African complexities, haha.

Yes, I hear your wisdom, it is what it is in volatile times. Out of LLL.au now, and waiting for the big bounce by end of week to exit the same in WTT.

Thanks Glen,

[smurfki0808]

At what point does being stubborn transfer from being a strength to a threat? In future, I hope to look back on these times, and reflect fondly on the value of sticking with the process.   

I continue to become more comfortable trading my ASX MR#1 strategy, even though several trades were whacked after being caught in suspensions. My processes for running the strategy are smoothing out, and the more trades I execute (50 completed now), the more value I can see in having this type of strategy in my stable. After all, the strategy nearly made a profit for the month!

Otherwise, I’ve continued building and testing a range of strategies to complement my existing ones to develop different equity pathways (XAO Monthly/Weekly rotation, XTO Monthly rotation, ASX weekly volatility breakout, ASX MR#2 RSI). As yet, I’ve not deployed any of these new strategies, but given market dynamics, I’m hesitant…. Is there ever a better or worse time to deploy?

I’ve followed the All Weather Portfolio discussions, and tinkered with concepts to understand the rationale and think about how such an approach might fit in my portfolio longer term, replacing my Managed Growth Fund.

ASX WTT:  -1.7%
ASX MOMO: -9.2%
ASX EMO: -10.5%
ASX MR#1: -0.6%
Managed Growth Fund: -0.8%

Total for month  -3.5% taking total drawdown to -24.9% and to a new max DD, exceeding -24.1% at Dec 2022.
 

[smurfki0808]

Another month, more chop. This month, I had to do some digging as confidence took some hits.

The relentless chop on my WTT has taken a toll. The last few months has seen the most consecutive losing trades in my entire backtest period: vis. 22 in a row! But, in live trade, I’ve had 16 losing in a row, followed by a single small win, and then the next 6 losing trades…certainly trying times. The downward reversals in the markets seem to be quite in sync with my WTT recently taking up new positions, haha. 

My ASX MR system successfully picked 4 positions that went into trading halts, and suspensions for capital raise, and upon resumption got smashed. Not much I can do about those, but it did prompt some further research. To preserve mental capital, I investigated the effects of both a regime filter and a stale exit on the performance of the system. Yes, overall potential reduced, but the bottom line was a stark increase in the CAGR/MaxDD ratio and the Recovery Factor. So, for peace of mind and willingness to continue, I’ve decided to implement these modifications.

So now, all my systems are well into portfolio protect, with most of the cash on the sidelines, doing as they should.

ASX WTT:  -4.43%
ASX MOMO: 0.0%
ASX EMO: -5.08%
ASX MR#1: -13.35%
Managed Growth Fund: -0.4%

Total for month  -1.7% taking total drawdown to -25.8% and to a new max.

[smurfki0808]

Is that green shoots of spring I’m starting to see? This month I’ve continued to explore what I need to do to bring more systems online, and take some steps to achieve that.

One major step, was for a newbie like me to finally get US data. I am in the early days of exploring how my ASX systems convert to US Markets. However, some pleasant surprises met me when I did. For example, when I took my ASX XTO monthly rotation strategy and applied it to either the NDX (CAGR c. 24.4%, MaxDD -31.7%) or RUI (CAGR 29.9% MaxDD -45.4%) constituents achieved promising results, with zero alterations to settings. So, this is encouraging and warrants bit closer examination. But, it was the catalyst for me to deploy ASX XTO RTN onto the market with entries made on 1 December! Seeing as the Chartists ASX MOMO is still in protect, I thought it a good opportunity to split capital and apply 1/2 to my strategy to see if proof is in the pudding.

My ASX MR#1 system is sitting on the sidelines abiding its regime filter.

ASX EMO and ASX WTT are starting to pick up new positions being back in portfolio invest. Perhaps a milestone has passed in my ASX WTT strategy, with a position for the first time going +100% return, with MRM.au plodding along nicely to make a right side fat tail. It seems like a lot of sifting to find that grain, but I will take it. 

ASX WTT:      +2.4%
ASX MOMO:  0.0%
ASX XTO RTN:  live on 1 December
ASX EMO: -4.6%
ASX MR#1: 0.0%
Managed Growth Fund: +0.3%

Total for month +0.25% taking total drawdown to -25.3%, the worm is turning,…

[smurfki0808]

December was an encouraging month to end 2023. My ASX MR#1 strategy came back on line and I successfully deployed my XTO rotation strategy. 

After Christmas I tuned the key variable in my strategies to the recent 6 years of data (2018-2023). I could see no reason to change my default values, which is confidence building.

ASX WTT:      +4.3%
ASX MOMO:  0.0%
ASX XTO RTN:  +7.3%
ASX EMO: -1.6%
ASX MR#1: +3.0%
Managed Growth Fund: -1.4%

Total for month +0.00%, yes, it was above $0! Total drawdown stays the same at -25.3%. 
 

[smurfki0808]

January went by in a blur of school holidays and work commitments. But, I felt overall it was a positive month of executing.

My ASX MR#1 strategy was on line, had some wins and some losses. It does appear that for some exits, I unduly influence the open price, which is disappointing. The signals have about 56% win rate, but the occasional big whacks have really hurt the W/L ratio. However, I’ve committed to completing 100 full trades, and shall then evaluate each to see just how well I am replicating the backtests.

Otherwise, my STT issues appear to have settled down after I removed it from the cloud and only run off my PC.

All my systems are now fully invested. And yes, it was a green month!

ASX WTT:      +0.3%
ASX MOMO:  +4.5%
ASX XTO RTN:  +2.7%
ASX EMO: -2.4%
ASX MR#1: -2.2%
Managed Growth Fund: +1.2%

Total for month +0.7%, Total drawdown on the move -24.6%. 

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