Tim’s Journal

[TimothyStrickland]

November Results

-Live-
US Original 0% (Cash)
US Aggressive: 0% (Cash)
401k strategy: Getting back in December

Portfolio Drawdown: – 23.8%

– Simulated – (Tim’s systems)

SPX Momo: Staying in cash for December
NDX Momo: -Will be getting back in December
NDX Aggressive: Will be getting back in December

[TimothyStrickland]

December 2018

-Live-

US Original: 0%
US Aggressive: 0%
401k Strategy: -9.17%

– Simulated –

SPX Momo: 0%
NDX Momo: -16.6%
NDX Aggressive: -33.2%

2018 Yearly

– Live –

US Original: -19.72%
US Aggressive: -7.1%

– Simulated –
Same as monthly results

[TimothyStrickland]

All systems Live and Simulated go back to cash for the new year.

[TimothyStrickland]

I was hoping to get a couple shorter term systems designed last year but I ran out of time, work schedule picked up to 80 hours per week plus the time consumed from my Real Estate business. I was just doing enough to manage my current systems.

2019 New year, new goals. Have a plan to develop at least 1 shorter term system. I am thinking mean reversion to fill out the gaps in my trend following systems.

I have been doing some research on my own and have a few ideas, anyone have any good resources on where to start they would like to share on this topic.

I will likely need lots of help in the system design from Nick and Craig again.

Thoughts currently:

Most of my portfolio will be in Trend following since how I understand it, is where most of my profits are going to come from. I am thinking of using, maybe 25% of my capital to devote to a mean reversion system. Currently I am following along with the US Original strategy but would like to design my own.

Would be nice if I could create a system for short and long so it would be active during trend system downtime but that isn’t a must if it cuts into my profits to much.

[Nick Radge]

Sounds like a solid plan Tim.

A few suggestions on where to start:

– decide if you wish to hold for a few days or exit MOC. Pro’s and con’s for either…

– research suggests long only tends to be more effective than long & short (although I’d like to be proven wrong here)

– Google RSI(2) / Larry Connors for some starting ideas

– Personally I have found Bollinger Bands work well in various ways

– Look at other oversold indicators and combinations

– hit me up when you get stuck or need further ideas

[TimothyStrickland]

Thanks Nick,

Getting some results somewhere around where I want. 15-20% CAGR using no leverage. I tried to apply leverage but the code went crazy so I sent it to Craig. I am using a combination of Bollinger Bands and RSI, seems to be profitable in and out of sample with some different results of course. In sample data was around 25% CAGR while out of sample on several time frames came in around 15-20%. Drawdown seems to be about the same as the CAGR except for in sample data. I haven’t optimized anything yet, this is just my foundation.

[TimothyStrickland]

With LOTS of help from Nick and Craig, I’m getting to a testable Mean reversion system. My first system I thought I was doing a good job, had to reach out to Craig almost daily for coding issues then I sent to Nick and he basically said, throw it out and start over lol!

I am glad I did exactly that as I was able to deconstruct what I did and put it back together again, understanding all the moving parts and with that much better returns with a lot less drawdown. I will post the numbers once I feel it is ready.

[TimothyStrickland]

– Simulated Systems –
SPX Momo: CASH
NDX Momo: CASH
NDX Aggressive: CASH
SPX Mean Reversion: +3.4%

– Live systems –
US Aggressive: CASH
US Original: CASH
401k strategy: +.31%

[TimothyStrickland]

Nick, Craig, I honestly can’t thank you guys enough for helping me on my journey to be a profitable trader. I have never before been so confident in my system as I am now.

I am nearly done with my Mean Reversion system. It seems to be extremely robust. I would like to get more profit out of it but I feel as though it would be over optimizing. The worst year was 2018 oddly enough and the system does not have a single losing year. This is because of the amount of trades it makes, about 600-800 per year. It exploits its edge often.

Oddly enough the Out of Sample data most of the time performed better than the In Sample data. I used multiple years at several time periods and could not break the system. I did multiple variance tests on the system and also could not break it that way either. 2018 was the only anomaly but even the losses were not that bad.

[TimothyStrickland]

Stats

[TimothyStrickland]

I only built the system over a 5 year period and then opened it to see what it could do over the long term.

CAGR: 35%
MAX DD: 31% (during tech bubble) 21% otherwise.

[ScottMcNab]

Tim Strickland wrote:

I am nearly done with my Mean Reversion system. It seems to be extremely robust. I would like to get more profit out of it .

Is this the SPX system you have been paper trading in the previous post Tim ? If so, the RUI may give you that boost..no worries with SB any more thanks to JC…ok…etc

[TimothyStrickland]

Yes, I started to sim it but the one I posted was a modified version so I will re-introduce it again. Unfamiliar with acronmyms you used here, RUI?

If I eliminate the tech bubble the system gives mid to high 20s for RAR and high teens for DD.

I did more testing last night and ran it over the Russell, Nasdaq, S&P 1500 Composite and I got similiar results, it performed better on the composite.

[TimothyStrickland]

Stats for NDX Aggressive strategy:

[TimothyStrickland]

NDX Momo stats (conservative)

[Author]

Posts