Still in cash :-)

[LEONARDZIR]

Mike,
Probably I wasn’t clear. I don’t do discretionary trading. My systems are all systematic and automated.

[Anonymous]

Mike and Len,
I’m also on the path of trying to hunt down other systems/styles to suit my trading, in particular short term systems. For me, I am doing this every day for income and can spend the time I need each day to make it worthwhile for daily/short term systems as opposed to weekly/monthly.
If you are happy to share any findings, setups, systems, ideas etc that seem to be working, I would be most grateful to see them.
I think I’ve got my long side, momentum, trend etc systems sorted. It is the short side and also short-term systems hole which I am trying to better fill, so I can still have some action when the market is down/sideways/choppy (whilst the trend/momentum systems are probably in cash).

[MichaelRodwell]

Hey Matthew – personally I don’t have anything yet but I remember reading about plenty of them in course. I think there are a fair few ideas in the systems graveyard too.

I agree regarding the short-side, something I feel could be less understood and offer a greater edge if it can be figured out. For now though, my next conquest will be a weekly system.

[ScottMcNab]

Hi Mike,
Why not try testing a weekly mean reversion rotation system as you have plenty of experience with rotational systems
PositionScore = IIf(DayOfWeek() == 1,Score, scoreNoRotate); (can do on the weekend)
Perhaps rank = ROC(C,100) – ROC(C,5) or something similar ? Maybe add a multiplier to the recent 5 day pullback to give it some more weight

[MichaelRodwell]

Thanks Scott. I didn’t consider I didn’t consider this approach.

[TimothyStrickland]

I am a bit confused. Do we need to be looking at charts each day when running our systematic trading strategies? I wake up about 5 am every morning and i am typically done putting in all my trades by 5:05, sometimes 5:10 if I have a lot of trades and I do all this manually. Some people do it faster because they put it into a spreadsheet etc.

I only looked at charts the first few weeks of my system to make sure it was getting the right signal as the backtest but I rarely ever see a stock that gave me the signal to get in and then the backtest doesn’t show it and every time it is because I fat fingered something. At this point I trust the system is taking the trades. Is that what we are talking about or should we still be looking at the charts?

Keep in mind I work full time go to school full time and run a few businesses so I am always pretty busy. However, I find trading to be the quickest part of my day.

[JulianCohen]

I check a chart once in a blue moon. Mainly if the ticker looks interesting for some reason or maybe to check once in a while that the system, is doing what I expect it to do.

So out of 100,000 orders placed over the last few years I have checked a chart maybe 100 times….

[MichaelRodwell]

No, I never check any charts when trading my system. Part of the original discussion was in regards to discretionary trading which is where I’ve found I dont have the time to study the charts and make decisions on a regular schedule

[MichaelRodwell]

Buy the Bulls Monthly Momentum

=> May: -7.79
=> June: +5.49
=> July: -0.54
=> August: -0.18

YTD: -3.42
$SPX: -0.52

I had a pretty busy month at work so it was good to have a bit of separation from the markets and just let my system do its thing.

[TimothyStrickland]

Yea, watching things is typically bad. I used to watch my MR HFT when I first started, now I sometimes forget to even check it until its time to place the trades.

[MichaelRodwell]

Just been taking a look at the charts for some of the stocks I’m holding in my NDX Momentum System and man are they ugly. This is one of the things I love about system trading… regardless of how ugly the are, they’re making money. That’s what I’m here to do.

[MichaelRodwell]

Buy the Bulls Monthly Momentum

=> May: -7.79
=> June: +5.49
=> July: -0.54
=> August: -0.18
=> September: -1.72%

YTD: -5.09
$SPX: 1.79%

Pretty much a nothing month. I broke the cardinal rule about talking about my positions in my last post and then those ugly charts got even more ugly and started losing money! :unsure:

I’ll be 100% invested for October. Time to rotate and sit on my hands for another month.

[MichaelRodwell]

Buy the Bulls Monthly Momentum

=> May: -7.79
=> June: +5.49
=> July: -0.54
=> August: -0.18
=> September: -1.72%

=> October: +3.46%

YTD: -1.8%

Intra-month all time highs for my system. I’ve been getting better at checking out and letting it do it’s thing. $WDC slammed me a couple of days before closing out the month – ahhhh, what would have been. That’s ok… I wont a few bets too!

Starting to get more serious about launching my ASX momentum system although it’s been some time since I have tested it so I need to revist just to be 100% confident about putting it into the market.

[MichaelRodwell]

Hi Guys,

I’ve been testing some ASX Rotational systems looking or something to compliment my US market system.

I’m loving the monthly trading as I feel attached to the market but also free from it at the same time.

I need to speak with Nick about what I’m doing to make sure there is no stupid mistakes but it seems like its testing out just fine.

A few things i like:

– Trading once a month. Damn… low maintenance

– ASX 300, exposure to broad market

– Return excellent for this style of system (19.25%)

– DD acceptable 22.86%

– Ave of about 5 trades per month – low turnover and maintenance so my small account can handle it.

If anyone has any tips, tricks or lessons learned that I can try out please let me know!

Likewise, happy to help if I can share any infor about how I got here so far.

[Anonymous]

Mike, as an aside, is your “max wait days” chart for the new equity high in the backtest report something you have as an option in Amibroker or is this something you have coded? I can’t seem to find it as an option in my backtester settings report tab and would be interested to give it a try.

[Author]

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