Terry’s Journal

[TerryDunne]

Hi Julian,

My understanding is that the Ulcer Performance Index (UPI) is an Amibroker version of Sortino. Sortino uses negative variance as the denominator whereas the UPI uses a function of length and depth of drawdown…

To be honest, I’m not convinced that any of them are all that much better than the others. Even in my case, the two dropped systems were the worst performed using Sharpe, but still made the hurdle for Sharpe that I preset. A slightly different calculation and preset hurdle and they didn’t make it.

[TerryDunne]

MOC R1000 6.84%
MOC R2000 5.26%
MR R2000 9.10%
MOC Short R3000 9.19%
Momentum R2000 4.70%

I launched two MOC short systems and a rotational momentum system this month and I’m very happy with how they’ve gone I had more than my fair share of luck this month – even my errors and system issues had positive results. I’m not expecting that sort of thing to continue, so I really need to tighten up my processes and invest in a VPN.

I’m still trying to come up with another trend following system for the final 10% of my portfolio, but I haven’t found anything that’s right for me as yet…I’ll just keep churning away and eventually something will work (hopefully).

[TerryDunne]

MOC 1000 9.90%
MOC 2000 5.75%
MR 2000 3.20%
MOC Short (0.81%)
Momentum 18.08%
Total 7.35%

I’ve given up on finding another Momentum system, at least for now. However, I did find a significant improvement to one of my MOC systems that greatly increased the allocation to that system, so I spread some of the extra funds across the current systems and tipped some of the extra funds I had set aside for the other Momentum system into the enhanced system.

I also found a coding glitch (i.e. a transposition error on my part) in the same system, which means I’ve left some profit behind that I really should have had. This has led to do a full review of all of the ‘live’ systems against ‘testing’, which I’m still doing. This is a typical psychological error for me, and not just in trading, of not concentrating on the details.

Perhaps trading is as much about growing as a person as it about making money?

I hope everybody had a great February and has a great March as well!

[Nick Radge]

Great results Terry.

[JulianCohen]

Nice results Terry.

I like to go back over my code every few months and see it with fresh eyes. It is easier to see errors that way.

[TerryDunne]

Good suggestion Julian, thanks.

[TerryDunne]

Hi all,

Results March 21

MOC 1000 21.34%
MOC 2000 1.85%
MR 2000 9.65%
MOC Short (0.21%)
Momentum 4.67%
Total 9.86%

I wanted to add two new MOC systems, one for R1000 and the other for R2000, from 1 April but it will have to wait until I get the new Api working…has anybody else had issues with it? I imagine it’s just that I am tech illiterate. I have a call booked with Nick for next week – he’s a busy man – but if anybody had any issues that they resolved it would be great to hear about them, in case I have the same problem.

I think I might be about to run into a psychological issue…I’m now happy with my systems, with just a wish that I could find one more trend following system to add to the portfolio. However, this means that I don’t seem to have as much testing to do and I can already feel myself getting twitchy.

Best wishes to everyone,

Terry

[GlenPeake]

Nice numbers Terry.
MOC 1000 killer month!!!
Well done!!!

[TerryDunne]

Well, from the sublime to the…whatever this is

MOC 1000 (2.1%)
MOC 2000 0.74%
MR 2000 8.27%
MOC Short 0.56%
Momentum (2.37%)
Total (0.24%)

My first losing month…not losing any sleep of course, just acknowledging that the inevitable has happened.

I’m now fully live ‘systemed’ – thanks for your help with the Api Nick – with not much to do. I have started trying to make some sense of market breadth indicators, although it’s very early days. Has anybody else spent time looking at this? I’d appreciate hearing your thoughts if so

Best wishes,

Terry

[TerryDunne]

May 2021

MOC 1000 17.94%
MOC 2000 43.72%
MR 2000 (7.70%)
MOC Short (3.86%)
Momentum 7.06%
Total 16.00%

Naturally, I’m very pleased. However, I’m concerned that maybe I’m carrying too much risk. I recall Nick posting a story long ago about one of his students trading futures who was going great – until he went broke and worse because he was using too much leverage. This needs thought as I don’t want to be holding my breath each morning as I look at the night’s results.

I’m bouncing around a bit from idea to idea at the moment, trying to find at least one more longer term system. I looked for a while at market breadth, now spending time on good old fashioned Dow theory.

Best wishes to all,

Terry

[Howard Lask]

Awesome results for the MOC Terry!

[TrentRothall]

Heck 43%! Great work Terry!

[GlenPeake]

Nice work Terry!!! Great numbers there!!!!

[JulianCohen]

Nice one Terry! What is your position size ? That’s the key component of risk after all

[OliverBenson]

Woah!!! Amazing results Terry.

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