Terry’s Journal

[BenOsborn]

Wow Terry, that is impressive!

[PaulBailey]

Sensational month Terry, well done!

[KateMoloney]

Nice work Terry

[TerryDunne]

April 2023

MOC 1000  0.79%
MOC 2000 -6.88%
MR 2000    1.45%
Swing         0.13%

Total          -1.39%

[TerryDunne]

May 2023

MOC 1000  -7.18%
MOC 2000  -8.06%
MR 2000      1.70%
Swing          -3.61%

Total            -5.80%

Ouch!

[TerryDunne]

June 2023

MOC 1000 –0.09%
MOC 2000 -4.48%
MR 2000   +4.43%
Swing         -0.11%

Total          -0.55%

3 losing months in a row has taken some of the spark out of the fiscal year results

[TerryDunne]

July 2023

MOC 1000 0.68%
MOC 2000 1.76%
MR 2000    8.14%
Swing         0.83%

Total           2.17%

[TerryDunne]

August 2023

MOC 1000  3.95%
MOC 2000 (6.82%)
MR 2000     4.50%
Closed      (6.75%)*

Total         (4.92%)

* The two Weekly Swing systems that I had trialed since the beginning of the year didn’t measure up (significantly) to their back tests, so were closed. In addition, three of my 4  MR systems breached my minimum benchmarks and were also closed.

A difficult month, closing down five of my 16 systems. The entire R2000 has been terrible (for me at least) this month, but at least my MOC systems have survived.

I’d like to build some new MR systems to replace the ones that failed, but so far anything I have experimented with has the same problem that the failed systems had, an unacceptable August…

I think it might be time to go back to basics, start (re) reading books and articles and see if I can find an idea or two worth testing.

[JulianCohen]

I had a pretty poor August too, especially in MR and MOC long positions. But I can’t say any one strategy failed, they just all went down at the same time.

[ChrisThong]

Same here too.

[TerryDunne]

My experience was similar. All except one of my MR systems went down similar (%) amounts.

The problem for me is that if I was back testing those systems right now, but hadn’t yet traded them, they would never have gotten to the starting line.

I’m trying to salvage one of them right now…can I ask people how many conditions they typically have for their entries (apart from the index and liquidity type filters etc)?

Thanks in advance!

[Nick Radge]

My individual systems have one criteria.
I then add various individual systems together

[TerryDunne]

Nick, with the individual systems, would you trade them if they had 40% MDDs? Even if they rolled up into a collection of systems that worked?

[TerryDunne]

For example, one could take a system with a good CAR but an unacceptable MDD and put it with a system with a mediocre CAR but a very low MDD…do you think of those systems as being individually unacceptable or collectively tradeable?

[KateMoloney]

Hi Terry,

I’ve been playing around with this thanks to some prodding from Nick.

You’d be surprised how a stand alone B grade system looks when stacked up with a variety of other systems.

You could try de risking the position sizing if the maxDD is a concern for you. Another option to try is play with maxsametrades in real test on your multi systems template.

[Author]

Posts