Still in cash :-)

[MichaelRodwell]

Account has made some ground back this week: 3.2%. It has felt strange to be in the market and backing myself when most of the traditional index filters are telling others to get out. Of course in the large scheme of things it means nothing but if there was something that was on my mind the most, it was going it alone. Probably because I’m taking ultimate responsibility and backing my unique idea – a first for me.

[MichaelRodwell]

With my US Rotational System now running I have decided to spend some time developing a system for the ASX. Originally I started down the path of a Weekend Trend Trader variant but after a discussion with Nick I changed tact and went back to the trusty monthly rotational.

I’m quite pleased with the results so far considering all I have done is taken my US system and simplified it even more.

I’m using 5 positions on the ASX 100 and measuring the momentum with ROC and ADX. As I have written about before I have been taking a different approach with my index filter which uses a combination of SMA and EMA’s to get me in and out of the market.

Can anyone make any suggestions on areas of investigation to lower draw-down?

I feel my current results are within my expectations but the close I am to 1:1 CAR:MDD the more comfortable I feel.

[ScottMcNab]

If you are splitting the cash between US and ASX systems your portfolio drawdown should (in theory) be less. I would question whether the drawdown is at a level where any additional complexity needed but personal decision of course

[MichaelRodwell]

Thanks Scott. Appreciate the feedback. I’m comfortable with it, just want to hunt down any obvious areas I might have missed. You’re right, on portfolio basis it’s slightly better.

[ScottMcNab]

If maxDD really bothering you and don’t want to run the risk of curve fitting the system to each market then could increase from 5 to 8 (or even 10) positions ?

[MichaelRodwell]

I havent had much luck impacting the drawdown with more positions. Just decreases the return. I’ve looked into ASX200 but getting some funky results which I want to take a look at with Craig next week to make sure nothing is up with my programing or the way I’m running it in AB. I’m not particularly bothered, just want to improve it if I can. As it is, if it checks out with Craig and the big boss I would happily put it in the market.

[ScottMcNab]

For some reason my returns on ASX200 sig worse than for XTO or XAO…always been that way for all rotational systems I have tried on AUS markets…not sure why….

[MichaelRodwell]

Thats kind of comforting… I’m getting one or two months with massive returns (100%+) which are skewing things.

[Nick Radge]

I would look carefully at those Mike. Could be a data issue.

[MichaelRodwell]

Buy The Bulls Monthly Momo
** May -7.79
** June +6.1

**YTD -2.17

[MichaelRodwell]

Was up about 4.5% and got slammed post the FOMC meeting. Felt a bit disappointed about this as the month was tracking along quite nicely and ended with a small loss. Ah well. Rotate the then go back to doing nothing.

Buy The Bulls Monthly Momo
** May -7.79
** June +6.1
** July – 0.53

** YTD -2.25

[Nick Radge]

Next 1000 months…

[MichaelRodwell]

Since I have one system up and running and another awaiting capital I decided I would follow along with The Chartist Power SetUps (discretionary short/long eod) to scratch an itch I have in regards to being involved with the markets.

After a week I can really see just how important it is for trading to suit your lifestyle. With 2 young kids and a very unpredictable work schedule it’s been very difficult to consistently study the charts, place orders( sim account) and manage positions. I enjoy it, will learn a lot but can’t see this being a superior trading proposition to my momentum systems.

This brings me to a question I’ve been pondering. Has anyone built a longer term mean reversion system? Was thinking along the lines of trading once per week… may be this would be more a swing trading system…

[LEONARDZIR]

Mike,
I don’t know if this helps but I am trading several short term trading systems. It takes me <10 minutes every nite to load all my orders. I can rifle through the charts of all my entries for the next day in under 2 minutes. I briefly check my IB prior to the open to make sure I am still online.
The potential for income generation is difficult to ignore.

[MichaelRodwell]

Hey Len,
Thanks for that – yes, it’s helpful and supports my thinking that short term discretionary trading while interesting to me is probably not a good fit, particularly when still a novice and needing to take time to review charts, setups etc.

One of the things I really like about a systematic approach is the design work can be done at any time of the day and then (hopefully) the running of the system(s) is a robotic approach. Over time and as capital becomes available I plan to diversify time frames and markets from longer term strategies down to shorter term. Right now I have 2 monthly momentum systems with the second a couple of months away from going live. Next i’m thinking weekly, then finally daily.

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