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By far this is the best year I have ever had in trading. This month was kind of weird for my momentum system, while the Nasdq was trucking higher, the stocks I was in had a massive pullback. Luckily I implemented a hedge by closing 50% of my positions 2 weeks ago before it started and missed most of the damage, the timing couldn’t have been better actually. I do not hedge the MRV system.
December 2020
MRV HFT: +14.4%
NDX Momo Backtest: +1.1%
NDX Momo Actual (Due to Hedge): +6.8%NDX Aggressive Backtest: -4.4%
NDX Aggressive Actual (Due to Hedge): +8.4 %Year 2020 Actuals
MRV HFT: + 69.2%
NDX Momo: +151.2%
NDX Aggressive: +210.9%Thoughts:
My MRV HFT had a nice equity curve.
Nick is a genius! The hedging tool saved my butt in March and this month. The backtest did not match my actual results because I missed a good chunk of drawdown during the pandemic start 1987 style crash (Sold 50% of my positions) and then again 2 weeks ago. This had a massive impact on my actual performance.
I have messed about with loads of different systems over the last few years but I haven’t had much success with my own Trend Following systems, so I now have Nick’s US Long Term system and his ASX Momentum and Growth Portfolio….so in effect, I let him take care of the Trend Following and I run the MOC short term on the US markets.
I’m hoping that I finally have the MOCs down to a point where I can stop adjusting them for more than a few months. 2020 I added the short side, and started adding more strategies so the results were never really consistent…I mean by that that I can’t do a backtest to compare real time with backtest as I was always chopping and changing things.
I hope that 2021 will be different. I have the MOC portfolio set up the way I would like to run it for the foreseeable future so I’m hoping to stop testing and just get on with the boring job of placing orders, going to bed, logging trades when I wake up, then placing orders again….etc etc etc….Occasionally stopping to count the money
So the simple answer is the universe is not the same.
I have pared down to 2 long RUI, 2 long RUT and the same for Short, plus one individual system that runs on the RUI and uses the VIX as an entry filter.
So basically there are only 2 strategies working on each universe competing with each other; however there is diversification in running on the different universes with different strategies. I am not always using the same long RUI strategy as RUT strategy…however in reality it doesn’t make a massive difference if I were to run the same strategies in both universes. The power of RT is being able to test multiple strategies in one portfolio, and seeing the effect on MDD of having strategies drawing down at different times.
This is the correlation matrix for the strategies run over the last ten years, both returns and drawdowns underneath.
As far as I can tell there is very little correlation between even strategies sharing the same universe.
I1L is RUI, strategy1, Long
I2L is RUI, strategy 2, Long
T2L is RUT, strategy 2, Long etc etcThis portfolio returns around 35% ROR with 10% MDD….at maximum it was 210% leveraged, which only happened a few times…see below. On average it was 54% leveraged..in other words there is plenty of room to ratchet it up to work the funds harder if I wanted to….
Each strategy is holding 5 positions and each positions is around 6% of total equity…some are 7.5% and some are 3.5% such as the shorts. Each strategy places 15 orders so there is selection bias built into the portfolio
Sorry I can’t seem to get the screen shots to display well
One other thing. The portfolio is set up so that no strategy can hold the same stock at the same time as another strategy…this really makes a difference to the correlation.
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