Tim’s Journal

[TimothyStrickland]

Back to the drawdown boards.

August 2021

MRV HFT: -8.5% (currently -24.7% Drawdown).
NDX Momo: +5.4% (-11.4% Drawdown).
NDX Aggressive: +6.5% (-16.5% Drawdown).

Typically systems are always in drawdown unless they are making new highs each month. I have either successfully disconnected myself from the money or it doesn’t bother me because I have made some huge profits already, not sure which one it is.

[TimothyStrickland]

Adding that my momo and aggressive system typically hang around between 5-25% drawdowns, this is because they move so much, so fast every month. The MRV system however is more conservative and a 25% drawdown is quite uncommon, it has only happened a handful of times.

[ScottMcNab]

Thanks for sharing Tim. Are the incredible returns you have achieved due, in part, to accepting an increased maxDD for each individual system ? Are the maxDD for the rotational systems higher than for MRV ? I imagine the maxDD for the combined portfolio is sig lower though..

[TimothyStrickland]

Scott, yes. I think someone had asked this last year as well when the systems were screaming. A typical drawdown for the NDX aggressive is 25% and was as high as 35% in the backtest. I counter that by keeping the NDX aggressive portfolio size relatively low compared to the others.

[ScottMcNab]

Thanks Tim

[TimothyStrickland]

September 2021

MRV HFT: -5.8% (currently -29% Drawdown).
NDX Momo: +1.1% (-9% Drawdown). Positive thanks to TSLA
NDX Aggressive: +2.8% (-14% Drawdown). Positive for the same reason.

[TimothyStrickland]

Looks like one of our tenants is exercising her option to buy one of the properties I own, due to asset appreciation. This will leave me enough capital left over to design another system and fund it, or buy another property, not sure which I will do yet. I would like to make a short system. Nick, would you be up to helping me put one together? Extending the mentor course again? haha. I can certainly do it myself but want to use your expertise for as long as I can.

[TimothyStrickland]

MRV HFT: +5.3% (-25.28% Drawdown)

NDX Momo: +1.4% (-9.57% Drawdown)
NDX Aggressive: +9.6% (-5.96% Drawdown)

[TimothyStrickland]

Does anyone trade in the United States and work with a good tax advisor? We have been using one but they are getting worse and worse every year and hardly responsive. Now that my business is making good profits, I would like to find a better one. Any suggestions?

[TimothyStrickland]

I enrolled in the Certificate in Quantitative Finance (CQF) rather than pursuing a Master’s Degree in Financial Engineering. I am nearly done with my CS but I will likely finish the CQF before the CS degree. I am doing this to further my knowledge of trading strategies and broaden my horizons on different derivative markets. They don’t teach a lot on stocks but are focused more on options, some futures, and forex. I am also reading lots of quantitative books to learn as much as I can. The community, in general, seems very skeptical if not downright hostile to Technical Analysis. I know Nick makes it work so I don’t question whether it works or not, I just haven’t been able to make it work for me. I spent a lot of money taking courses with only losses to show for it. The instructors I talked to all mentioned it was subjective. I found systematic trading more objective and Nick’s systematic approach has made me enough money to cover all of my losses and then some. Quant trading is right down that alley (which I really like), and will expand my systematic knowledge. I want solid probabilistic methods to determine if I should take a trade or not, not whether a pattern shows up on a chart. Most people in the quant community call it voodoo or astrology lol. I can see where they are coming from because I had the same experience. Depending on what instructor I talked to, they would see a pattern and say the other guy was wrong. I find that the quantitative approach is much more straightforward. I have been increasing my math skills so I can do these advanced strategies and code them up. Calculus I, II, III, Complex Analysis, Linear Algebra, Discrete Math, Differential Equations among many others.

I’ll keep everyone updated on my journey through this process and hopefully be able to share some insight into the community.

[KateMoloney]

When I was in university I discussed TA with a number of my professors and got a lot of push back.
But then I had to remind myself that they (in their own words) were teaching us things that we wouldn’t use in the real world. For many of them their only source of income was from employment. Not that its a bad thing, it just shaped their views, especially when combined with the curriculums they taught.

[TimothyStrickland]

The NDX accounts have grown pretty large, considering moving money around into lower drawdown accounts soon. Also, investigating options for hedging, etc. I think Nick already does this.

[TimothyStrickland]

I have almost finished creating my new options system. So far it has given about a 4% drawdown for 9% CAGR per tranche. If I choose, I can do multiple tranches since options allow for leverage. Since it’s leveraged, it seems that I can double the CAGR but also double the drawdown as one might expect. I do not think that this would be a linear progression though because I suspect as drawdown doubles, the realized CAGR decreases because of how Drawdown works. For instance, having to make back 11% after you lose 10 or having to make back 25 after losing 20, etc.

This system will likely be my largest system because I can limit my risk and therefore reduce anxiety on large drops. It is a hedged system which means it is protected against massive down moves.

Technically the system gets 14% CAGR but I put more weight on recent years when I test systems to try and be more conservative. The biggest gains were from the inception of the system on the backtest.

More testing is needed to make sure I did not overlook things. This system is anti-directional, which means it doesn’t care whether the market goes up or down.

I have been learning about options a lot lately since my certification next year is mostly about options and market derivatives, and if I take a Masters it will be a good chunk about options. My goal is to be able to code my strategies using python.

[TimothyStrickland]

I went through my systems heavily the last couple of weeks. I finished my Options system and it is ready to be traded, I’ll post the monthly results here. It is designed with wealth preservation in mind, not serious growth, so the drawdowns are small which makes the upside limited as well.

I thought about removing my MRV system entirely but then I did a full analysis and it is still outperforming the market by a decent margin, it just happens to be in drawdown right now which skews the returns a bit.

I have removed the NDX aggressive system since the capital in my accounts has grown to a very large number and I don’t want to see 30-40% drawdowns at this point.

I plan on keeping 3 tradeable systems now + my 401k(which I do only for the company contribution). My tradeable systems are:

MRV HFT: Max Expected DD is 30% (more than I’d like)
NDX Momo: Max Expected DD is 25%
SPX Condor Hedge (Options System) Max Expected Drawdown is 10%

[TimothyStrickland]

MRV HFT: -7.8% (-31.88% Drawdown)

NDX Momo: +1.1% (-8.58% Drawdown)
NDX Aggressive : +1.4% (-4.55% Drawdown)
6050 SPX: +0.1% (0.0% Drawdown)

After receiving a bonus, I rebalanced my positions a little in the rotational systems. MRNA still makes up a large portion of the system.

Overall the rotational systems have been flat for a while and the MRV system has taken a pummeling.

The 6050 SPX strategy is the new options strategy I designed, it is a hedged decaying delta strategy for those that know options.

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