Still in cash :-)

[MichaelRodwell]

I’d like to think that the launch of my system triggered the volatility and sell of in the US markets but its was probably Trump playing chicken with China.

On the first couple of days I checked the market about 20 times which was a good exercise because I got pretty bored with it know that I wouldn’t be making and changes until the end of the month.

So rather than hyperventilating and being concerned with the inconsequential randomness I’m now spending my time working on a Weekend Trend Trader variant to put to work on the Aussie market.

More to come!

[MichaelRodwell]

This week so far my mind has mainly been focused on work as I travel around China.

It’s been a good thing though as I have missed a lot of the talking heads and noise regarding the markets.

In other news my WTT is just about completed so I am going to try and find some metrics that test out well for the ASX market.

If anyone has found parameters particularly useful I’d love to get a starting point

[GlenPeake]

Hi Mike,

A couple of suggestions that I played around with:

– Try testing/Lowering the MINIMUM entry value and see what happens, default WTT is $1
– Try testing the trailing stop % value when the index filter turns RED… So default WTT value is 10% when the index filter is in the red.. (I gave mine some more wiggle room, i.e. > than 10% etc)…. in backtesting, I found I was able to capture more of the bigger winners i.e. there were more 200%+ winners when I gave it more wiggle room, but you’ll also see more drawdown… so it’s a balancing act etc
– Play around with using a BUY LIMIT Entry as an entry condition…. i.e. you get a buy SIGNAL for stock XYZ on the Friday night weekly scan…. Stock XYZ closed @ $2.95 and had a high during the week of $3.05, use a conditional order/rising buy/limit if touched (various brokers use different terminology to describe they same entry) to ONLY buy during the following week if $3.06 is traded during the week etc… if it doesn’t trade at Previous HIGH + 1Tick during the following week, the order is canceled at the end of the week etc.
– Use the Selection BIAS code

I have a couple of other ideas, but that should get you going.

Glen

[MichaelRodwell]

Thank you Glen! Plenty to get on here. Thanks for the generosity of your time and knowledge. Hope I can pay it forward!

I’ll let you know how it goes!

[MichaelRodwell]

It’s been an interesting couple of weeks experiencing my system in the market. Although I haven’t triggered a market catastrophe I have timed my entry with one of my systems biggest draw downs for a while. Thankfully all of it hasn’t happened in May.

Currently my open equity draw down is 6.27% whereas my system back-test has it at 12%. The max in testing is approx 16% so it will be interesting to see if this checks out. Still a fair way to go before my index filter says get out.

A few things I’ve noticed:
– I must have screwed up my exploration because there is some variance in the positions in my backtest vs my portfolio. I cant figure out how this happened as 8 out of the 10 positions match

– There have been a few positions doing all the damage:
– QCOM -24%
– JD -15%
– CTRP -21%

For me taking 10 positions in the portfolio is probably a good decision as I’m not worried about these at all.

All this is probably a bit premature as its not the end of the month but it was on my mind as I had some time to check on things.

[GlenPeake]

Hey Mike,
You’re not alone in the QCOM trade… both of my Mean Reversion systems held positions during the selloff…. so it may not have been you that triggered the selloff….. it could have been me

[JulianCohen]

Me three!

[GlenPeake]

Hey Mike,

Just in regards to your explorer/backtest reports not matching up….. I’m just going to take a wild guess and suggest double checking your ranking to the decimal point value….
See my post below for further clarity:
https://edu.thechartist.com.au/kunena/progress-journal/413-glen-s-journal.html#6654

It may not be related but, thought I’d mention it.

[MichaelRodwell]

thanks Glen. I checked it out an its not related but really handy to know!

[TimothyStrickland]

Me Four! I got put into the QCOM trade earlier and then got hit with the 20% Nasty. There were a few other MR trades I got hit with that brought the system down past 15% very quickly. Oddly enough this past week in the volatility the MR is recovering some of its losses while the rest of the market goes down.

Based on my index filter I am very close to going on the sidelines again, with a drawdown worse than when I started, unless of course we have some good rallies the next 2 days. Time will tell!

[MichaelRodwell]

It will be interesting to see how the companies in the NDX with exposure to the trade war will fair from a momentum perspective. I’ve noticed a few other names coming up in the ranks while the likes of JD, QCOM etc get hammered.

Going into this drawdown straight off the bat was expected. Murphy’s law… I’m good with it though as Nick said when I launched the system “It’s going to happen so getting it out of the way isn’t a bad thing”.

Another quote I like is from Jerry Parker “what got you into this mess is exactly what will get you out of it…” keep trading and following the system.

[TimothyStrickland]

Yep. I mean compared to some of the other great investors the drawdown for us is mild. Bill Dunn experienced nearly a 50% drawdown right from the start and even Warren Buffet has weathered 2 50% drawdowns and several 37% ones. it is a part of the process.

[MichaelRodwell]

May 2019 Results:

Buy The Bulls Monthly Momentum: -7.79%
The result should have been worse (-10.3%) but I screwed up a couple of positions.

The worst monthly result since January 2005 and the second worse performing month ever (in my testing)

Whoa… way to enter the market.
Of course this was going to happen right? (sorry – please see previous warning)

Like the great Mike Tyson said, “Everyone’s got a plan until they get punched in the face”.

In back testing my system is at about 14% drawdown which is just a couple of points away from the all time high drawdown. So in some respects I’m quite lucky that I missed a fair amount of this action. I also got lucky by screwing up the operation of my system and not taking a couple of trades that would have cost me a 2% more.

My system is also approaching the second longest wait time since last high… It could go on for a lot longer though (according to testing)

My index filter says trade… so come Monday morning trade I will.

Thank you to everyone here for inspiring me to pull the trigger.

[Nick Radge]

Well, I think the best outcome is that you seem rather nonchalant about it all!

[MichaelRodwell]

Yep, feel very comfortable with where I’m at. I’ve realised the key for me is understanding.

Understanding why the system is doing what it’s doing. Is it doing what it should be doing (yes!) etc.

I don’t particularly like it but I recognise that obsessing over something that is 100% expected to happen is futile.

Let’s see how it plays out this month.

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