Tim’s Journal

[TimothyStrickland]

Yes, it was mostly due to my pickup of Tesla and AMD, TSLA made huge swings and AMD felt the full wrath of the coronavirus news.

[TimothyStrickland]

The market really the last few months or the stocks I picked at least have just gone balls to the wall, I am considering adding more positions to my momo system so it doesn’t take so much of a hit if 1 stock goes crazy, same with my HFT. Those swings were just crazy.

[TimothyStrickland]

Doing some testing on my MRV without an index filter. I think having the filter on is cause for the performance hit last year as there are multiple recovery periods that it sat on the sidelines for. Initial testing shows about a +7% increase in CAGR and a 2% decrease in MDD without the filter. It performed well during the GFC actually.having Nick review it to make sure I did not miss something.

Tested my momentum system without the filter as well but the results were catastrophic lol, holding on to positions for an extended period of time in a bear market is silly.

Since both systems are back in drawdown, a perfect opportunity to seed them again.

[ScottMcNab]

Other options to try ?
using index filters/conditions to change stretch for buy limit
using index filter/conditions to change position size (perhaps reduce by 50% when index filter kicks in rather than turning system off)

[GlenPeake]

Hi Tim,

As an idea for your short term MRV system index filter, perhaps instead of the standard 200MA index filter, have a look around a volatility based measurement of the index….. i.e. when volatility is quiet, your index filter is RED, when volatility is elevated your index filter is GREEN.

I found/saw improvement when using ADX against the index. It may/may not work for you, but it might generate an idea down another line of thinking….

You can read more here:
https://edu.thechartist.com.au/kunena/progress-journal/413-glen-s-journal.html?start=25#7407

[TimothyStrickland]

Thanks guys, I’ll look into that. For now, I turned it off after Nick approved.

[TimothyStrickland]

As the futures market opens up in a limit down condition: It is times like these I am thankful for Nick and Craig’s mentoring. I would have had no idea what to do in this market environment. All my accounts sit in cash, my MRV will take trades but no trades have met the threshold since I have a volatility filter in place.

[TimothyStrickland]

This may turn out to be the biggest up day for my MRV ever. I was a little worried after yesterdays down day but so far the market is at limit up and still rising in the pre-market.

[TimothyStrickland]

MRV just had a +20% day, good grief! The swings are real. This assumes that the market opens Monday at the same spot (I doubt it), I may likely give some if not most of this back.

[JulianCohen]

Got to live through the weekend first Tim….a lot can happen

[TimothyStrickland]

No kidding! the good news is that I am up going into the weekend and not down.:cheer: Just thought I would share what I’m going through at the moment, I have never traded this amount of volatility, it sets a new bar for me.

[ScottMcNab]

Nice work Tim..

[Anonymous]

The volatility has really challenged me last few weeks. My biggest upset was the TWS software problem/fault a few weeks ago combined with a day that I had over 100 fills on my intraday reversion/MOC system. I woke up and logged in a few minutes before the close (big mistake). My heart pounded through my chest because with all those fills the daily P&L window up top said that I was losing 1.4 Mil USD for the day. I was in shock for a good 10 minutes straight, panicking, worrying, heart pounding. A few minutes after the close all the daily MOC positions were closed out and I was still showing the 1.4M loss. Heart still pounding… I only then remembered a few minutes later that the previous day had the software issue so I logged off and then back on again. Thank god the fault had resolved itself and I had only lost about 1% for the day on my day trades. The fault was basically the software issue that IB and was still showing that my previous day’s long positions (that I had closed the day before) were still sitting as holdings in my portfolio, and on that particular day we had quite a down day so the losses on those holdings were deep.

Apart from this scare, my reversion MOC systems have gone ok, but only ok. Nothing amazing. Overall, still below zero as some of these down days recently have just headed down down down without reprieve, and then the up days are not up days as a result of first tracking downwards (my system needs an ATR stretch downwards to the target fill price before hopefully closing out the day at a higher price than the fill with a MOC order). So it’s those V shaped days that I need to make this system work, and we have only had one or two good V days in the last few weeks. The rest have just been horrible ramps down with plenty of losing trades or steep ramps up without any trades at all.

So the challenge/question for me now is that this system was ultimately designed/used such that it can help me in volatile times, however in very deep volatile times like this it is still not rescuing me and proving difficult to trade and sleep well. Combined with the fact that it is very psychologically difficult to trade long systems in such falling markets then I am a little lost to think about how I will use the reversion/MOC intraday system going forward. I definitely am of the opinion that the volatility we are seeing, the speed at which ups/downs are occurring are going to become more the norm than the exception in the coming months/years. I would love to get back to some trendy 2012 to 2017 style of movements but I am not sure if those conditions are going to present themselves any time soon.

Tim, you seem to be having great success here and now. Are you able to share both the difficulties your mind/heart is playing with you in these last few weeks whilst placing orders, plus also any hints/tips/tricks of how your system works, runs etc? I don’t expect you to give away any secret sauce, but any advice or guidance on what generally has been working and what hasn’t would really help me understand how better to use these types of systems in these heavily volatile times.

Thanks,
Matt

[TimothyStrickland]

Wow, Matt, that is nuts the whole 1 million dollar loss ordeal. I can try to go through this month. I experienced similar challenges you have faced these last couple of weeks. Trading has been very difficult for me because I am basically in new territory.

The last day of February was my first emotional challenge, I think leading up to this point I was fine because my momentum and MRV systems were hitting record profits but giving back a lot of the profit which I didn’t like but that’s how the game is played. I was tempted to break my rules on the last day of Feb. It is a good thing I didn’t because I closed out my momentum system at a profit and 401k at a smaller loss. My MRV took a small loss as well.

Technically my MRV index filter was hit but I sent Nick my system and asked that he approve it without the index filter which he did. The system tested much better without the filter. I ended up trading it and had some good results on the
2nd and 3rd but nothing broke the volatility filter again until the 9th.

I have a volatility filter by way of the daily ATR so I don’t get filled on crazy environments like these until the stock has really dropped a lot. My large amount of fills came on the 10th in which I lost quite a bit of money because my system needs a full up day before it gets the signal to exit which it did not, the next day was a big down day which ended up putting several of my stocks below my Stock Filter which I do happen to run instead of an index filter. I was forced to exit many positions because it went below my stock filter, I really didn’t want to do this but did anyway.

At the open of the 12th was the hardest challenge I ever had, I did not want to trade, the futures were already selling off but I closed out my stock filter trades and put more in which I didn’t want to do, I ended up closing most of them and putting more in. Luckily the ATR was so high that these new positions did not get filled until the market had dropped a huge amount. I ended up long 10 positions at the close of yesterday and was concerned. In times like these, I remind myself of what Nick teaches, don’t think about the money, next 1000 trades etc. My wife helps too, she always tells me: “oh well, its just money”, this always helps. Of course, the rest is obvious since I was long 10 trades and the market rallied almost as much as it had lost the previous day, only I got in those trades near the bottom because of the volatility filter.

Some things I think help me:
1. Forget about the money. Easier said than done, believe me
2. I don’t have huge amounts of money in my MRV and momentum accounts. They are by definition AGGRESSIVE. I mean, my momentum system was up damn near 40% before the big downside move.
3. Work out really hard during stressful days, I think Nick sets crossfit PR’s when the market goes limit down? haha.
4. I try to keep my systems as simple as possible. Nick and many books I have read preaches simple is better. I don’t know how simple yours is but I don’t want to curve fit at all. Simple makes the system easier to follow.
5. I think to myself, what happens if I don’t trade today? What if today is the day of the big rally? What if I had not followed my system yesterday or this morning, I would be beating myself up because I did not follow it. So I have always been following it for that reason, until I have a GOOD reason to not follow it. The only good reason I can think of is if it is performing outside testing parameters.

Looking back at my system in the past, it never performs well when the market has been quiet for weeks and then all of a sudden a few big down days. That is when my MRV goes into major drawdown but if the ATR is already high then it does fine. I suspect if volatility sharply declines my MRV just won’t get in any trades for awhile.

[TimothyStrickland]

To add on to that. Most of my money is in a 401k currently and real estate. My 401k has consistently underperformed the last couple of years while my systems have kept up with the market or passed it (momentum system).

I wrote a system for my 401k but I re-tested it several times and adding an index filter which I did, doesn’t really help that much. It limits the downside but also the upside. I am looking to get Nick to help me put together a long term conservative system that performs around 10-15% with as little drawdown as I can get.

Does anyone have any ideas on what type of system would fill this need? This account will be large as my wife and I will be putting a large chunk of our income into it.

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