Still in cash :-)

[TrentRothall]

I haven’t looked into Bandy’s stuff for a few years now but he seems to be focussed on single market systems i believe and i haven’t actually seen any proof that he has made big bucks or actual profits from trading, i could be wrong though!

I have an old hard cover copy of PPS too!

[MichaelRodwell]

Yeah academics and doing are two different things.
I’m sure a few things to develop ideas that are fit for purpose.

Re: PPS – the “Valuable software” included with the book comes on 1 floppy disk!
I wish I had an old PC to fire it up and take a look!

[MichaelRodwell]

Enter the Key Idea!

The coding section seems to be winding down now and moving into thinking about the actual system.

I have one more week before I head to the US for a week so plan to go through as much as the content as I can and then start over again from day one when I return. 20 or so hours on the plane also means a fair amount of time to do some reading. There are 5 books which I have on my list:

– Unholy Grails (the more I can think like Nick the better)
– Stocks on the move
– Dual Momentum
– Following the Trend (most likely skim this for nuggest of gold – have you found any? Let me know!
– The new sell and sell short

I’ve been enjoying some of Meb Faber’s content also so I will check out his books which I think are downloadable from his website.

To date so many gaps have already been filled for me when it comes to AmiBroker (thanks Craig!) so I’ll be looking to consolidate even more on my return before heading off the US again.

Penciling in March to get serious on the actual system with Nick

[ScottMcNab]

Might be easier to focus on one system type at a time (mean reversion or momentum/rotational) and do a deep dive into the system to get your head around the intricacies of what makes each one good or bad. I remember feeling really under pressure for time but in retrospect would advise focusing on just one for however long it takes…but that was just me of course

[MichaelRodwell]

Thanks Scott. I really appreciate the advice and I agree that would be the best approach.
I do feel some time pressure with getting things done before the end of the 6 months but when I look back to my original reasons for getting involved it was for one system. Probably why I’m feeling a bit torn – I think I know where I am going to end up but want to be open until the decision is made. Thanks again!

[ScottMcNab]

When I went to introduce a rotational system a year or so after my course had finished I paid the couple of hundred bucks (cant even remember how much now) to get Nick and Craig to go over the new system…paid for itself in the first few months..If I ever come up with an idea for entirely new system in the future I am sure I will so that again

[TimothyStrickland]

Agree with Scott. Focusing on one system type is better as they are all very different and require unique thought processes. I started with a trend system as they have a lot less moving parts (code wise) to deal with. My mean reversion system was much more complicated to code. I had to reach out to Craig 3-4x during my trending system development for instance. For my mean reversion system I think I was sending Craig an email every day for a month (probably an exaggeration but you get my point).

[MichaelRodwell]

Cool, thanks Tim. I just saw your your post re: your MR system too. Looks very good!

Appreciate the feedback.

[MichaelRodwell]

This afternoon I completed the theory section of the course.

Mind blown! :woohoo:

In such a short time I have learnt so much.
So many potential pitfalls I am now aware of.

I’m celebrating how far my knowledge has come while ensuring I continue o plug the gaps.

Now with a few weeks of travel ahead of me i’m going to spend some time collecting my thoughts on what system to focus on first and then more longer term how I will plan to structure my trading and portfolio of systems.

By March i’ll take another run at the coding section to consolidate the learning there and then get started with a system of my very own :ohmy:

[MichaelRodwell]

I had a chat with Nick today about the path forward. a few things I decided:

1. Pick something to do and do it well. Be thorough and focused. For me, that’s a rotational monthly system. It may change but until I have an adequate reason, that’s where I will spend my time.

2. Stop making assumptions. Stop answering questions that you don’t know the answer for. Code the system, test, adjust.
2(a). Stop trying to figure out a intra-month scale out exit for a monthly rotational system before you have a monthly rotational system. Then, after you have a monthly rotational system probably spend your time doing something more productive.

3. Keep it simple. Change and progress will happen over time. A pretty good system at the end of the 6 months is better than a perfect system that never happens. It’s also better than 20 started systems that never get finished or traded.

4. Set some objectives. Here they are:
– 20% CAGR
– 25% MaxDD
– More to come

Another 2 busy weeks at work and then it’s all ‘systems’ go.

In other news I just go booked in for Noosapalooza! Hope to see you there!

[JulianCohen]

With reference to 2 (a) I found that it works quite well on Australian systems, but doesn’t work well on US systems. So if you are going to trade US then put it out of your mind….for the moment (bearing in mind that you should really only trust what you have tested for yourself)

[TimothyStrickland]

Awesome Mike! Those are some realistic goals. You will be able to get better than that I feel once you know and practice making systems.

I agree you should focus on one thing and one thing only. I know guys who have built a ton of systems but they break in a few months and then have to make a new one. Be an expert on your one system. Remember you only need one good one.

Don’t rush the process. I have been with Nick for over 2 years now, I followed his systems for a year and then I signed up for the mentor course. It is my 1 year anniversary of the mentor course and I had no idea I would be so confident in my trading abilities than I am now.

[MichaelRodwell]

Thank you Tim. I’m enjoying the challenge! I appreciate the word of encouragement. What you and the other members are doing is an inspiration to me. I’ve pretty much read all of the posts on this board and it’s great to see the collaboration.

Today I’ve spent most of the day in Brisbane airport. Starting early with a double flat white in the Qantas lounge, followed by 2 hours on the tarmac and now back in the lounge where the bubbles are flowing freely.

The upshot, time to work on my system and I’m happy to report the first run is complete. Don’t get me wrong, this is version 1.0 and it’s not tradeable but it’s a start and a platform the build on.

I’ve scheduled my next meeting with Nick to go through 3 things:

1. Quick code check. Because the course didnt focus specifically on rotational systems I want to make sure my understanding of what AB is doing is correct

2. Operation and testing. Get my settings sorted so I can start back testing with some purpose and perspective rather than picking dates our of the air and hoping my settings are correct.

3. Brainstorm a couple of things I could be looking at to improve the system once I’ve confirmed with Nick I have good baseline to work from. This that come to mind from reading the forums:

– Exit criteria, ie, only rotate out of stock if it falls out of the top x, not just the top x positions

– Ranking, without getting fancy, smooth out measure of momentum beyond just taking out gaping stocks. Thanks Said and Brent for your discussion on this in the system graveyard (that place is gold).

So easy does it… one increment at a time. Right now I feel a bit stuck and unable to progress so I will continue my research.

[MichaelRodwell]

Now that my ghastly month of travelling is behind me I can get focused on making progress with my system. The first point of call was to get my code signed off by Craig (thanks Craig) and schedule some time with Nick to discuss next steps.

As a side note, being stuck on a plane for 30+ hours did give me time to tinker with AmiBroker and do a lot of back testing. Most of it was a scatter gun approach but it did give me some appreciation for the levers I can pull and how they effect the outcome.

Being more methodical and purposeful was a topic I spoke with Nick about and I now have a pretty clear set of tests to run to evolve my thinking and understand my system.

[MichaelRodwell]

Assuming (dangerous I know) I managed to digest and action everything from my previous call with Nick I now have a bench mark and starting point from which to continue my testing and research.

It feels good to be anchored somewhere and also be anchored in the context of my ability, goals and progress.

To recap, my objective is to design a system with 20%+ annual return and 25% or less MaxDD. Preferably monthly or weekly.

Behold, the bench mark:

Annual Return: 16.09%
Max system DD: 19.50%

Very excited about this

[Author]

Posts