Still in cash :-)

[MichaelRodwell]

Regular public services announcement.

New system launching this month.

It will take a miracle tomorrow for the index filter to switch on, so it looks like month one is sitting on the sidelines waiting.

[ScottMcNab]

Best of luck with the launch

[MichaelRodwell]

Market will probably rip early next month given I’ll most likely be in the sidelines.

[GlenPeake]

Good luck with the new system Mike…..!!! Launching and going to cash immediately, is not a bad way to start out in this VOL.

Is this an ASX Rotational? ASX100? or ASX300?

Would you mind posting a 20 year backtest report? I’m currently chipping away at a NDX/ASX100 rotational so I’d be keen to see how your backtest looks.

Cheers
Glen

[MichaelRodwell]

Hey Glen,

Yep, once I’m back online I’ll throw it up here.

It’s very bare bones.

MA filter
ROC ranking
7 positions (No WRH)
No stock filter

I’m travelling so it might be a day or so.

[GlenPeake]

Cheers Mike…. No rush….

I’m currently @ 5pos / 10WRH….. Otherwise similar to yourself…. I did have a MA on the stock, but swapped it out for a PDI check on the stock…. which seemed to help with the MAX wait days.

[JulianCohen]

WRH?

[GlenPeake]

Julian Cohen wrote:

WRH?

WRH = Worst Rank Held

[JulianCohen]

Thanks

[MichaelRodwell]

Without Nick and Craig, Monday would be the day I start searching for the holy grail again.

Not this time.

Same as before. Fire up the system and go for it.

[MichaelRodwell]

Buy the Bulls Monthly Momentum

Ma19 -7.79
Ju19 +5.49
Ju19 -0.54
Au19 -0.18
Se19 -1.72
Oc19 +3.46
No19 +0.46
De19 +7.48
Ja20 +3.46

Feb 20 -7.56

Total since inception: +3.85%

FY20 Total: -4.36%

—

Whoa! What a month.

Last month I commented on a great month becoming a good month after I copped a slap across the face…

This month was crazy – then a baseball bat in the face. A first for me – I’ve never been in a market selling off so fast!

I don’t track the markets on a daily basis so I’m not even sure how deep the intra month draw-down was but my account had got to a point where I knew it couldnt sustain.

I hoped for a orderly drawn out sideways correction but it wasnt to be.

Crude math is telling me about 17.5% DD from the ATH I reached. All in 5 days. A good lesson that the market does what it wants.

Is there a way to retrospectively get this info from TWS?

My index filter is green (yes… tomorrow I will be placing orders as usual) which is a bit different to mos that I am seeing.

Usually I don’t get up in the night to place my trades but on open I will make an exception because if there is a large bounce, I want to be a part of it…

Good trading friends!

[MichaelRodwell]

Glen Peake wrote:

Good luck with the new system Mike…..!!! Launching and going to cash immediately, is not a bad way to start out in this VOL.

Is this an ASX Rotational? ASX100? or ASX300?

Would you mind posting a 20 year backtest report? I’m currently chipping away at a NDX/ASX100 rotational so I’d be keen to see how your backtest looks.

Cheers
Glen

Check the attached Glen.

Let me know if you have any questions or you see anything that concerns you?

Seems to plod along most of the time and then come into sync and have a decent year.

This is with divs on…

Here

[GlenPeake]

Cheers Mike…. Thanks for that…

My reports are attached below.

I have 2 versions….

One with exactly the same settings as my current NDX MOMO build.

The second is with 1 setting tuned.

Comparing your backtest to mine… besides the CAR/DD…. (I’m running it against the ASX100 with DIVs…..)

A couple of stats that stood out and will be something to explore further from my side….

Your system is doing more than twice the amount of trades than mine…. approx 300 vs 600…

Your exposure is lower 71% vs 64%..

Your MAX Wait days is 100 days better than mine 430 vs 326 for you.

Still, chipping away at it…. But thanks for posting the reports.

Good luck with the system launch on the ASX!!!

[MichaelRodwell]

Thanks Glenn.

For me the ASX system is reasonably different than the NDX.

7 positions, not 10

No WRH vs 15 WRH

Simple MA index filter vs MA/EMA filter

Single indicator momo rank vs dual length weighted momo rank

The index filter is quite sensitive for my ASX system which is why it trades more but found this meant I didn’t need a stock filter. One less parameter to simplify.

[GlenPeake]

Cheers Mike.

Thanks for the details.

[Author]

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