Tim’s Journal

[TimothyStrickland]

Re-tuned my systems (yearly) to the last 5 years and then re-stressed them, everything looks good.

NDX Aggressive: 70.1% CAGR 36.1% Max DD. (this will be a smaller account)
NDX Momo: 36.1% CAGR 18.9% MaxDD
MR HFT: 22% CAGR 19.1% MaxDD (This performs better on the S&P 500 Composite Index, experimenting with it now. Running all strategies for a full year before going live, using Nick’s systems until then.

[TrentRothall]

Wow Tim, they’re impressive results. Looks like you’re onto something!

[TimothyStrickland]

Yes, a red flag Nick picked up. We are analyzing the code now which checks out good. I have a meeting with him on Sunday to diagnose. He thought the results were a little TOO good.

After fixing some of the code my NDX Momo system is now
41.62% CAGR
-20.51% Max DD

I threw away the NDX aggressive system for the time being as its way over leveraged, I will use it again but probably spread the leverage over more stocks. It was using 2x leverage 40% per stock. If one stock gets wiped out the system would easily break.

[TimothyStrickland]

System didn’t change, Nick reviewed it and I am doing some rolling windows testing now to get a feel for the system performance month to month. Will be taking this system live very soon.

[GlenPeake]

Nice work Tim! Thanks for the ongoing updates!!

[TimothyStrickland]

As of today I will be taking both my momo and MR systems live, all systems will be live now in the markets.

[TimothyStrickland]

ran into some issues with my exploration on my MR system, realized it was another Amibroker setting (sigh). System is now live though. In the process of splitting my broker risk. Right now everything is in Interactive Brokers, I will move some capital I think to Tradestation and possibly TD ameritrade (momentum system).

[TimothyStrickland]

I am likely going to post weekly updates for awhile since I just took all of my systems live and in the markets that way I can get help diagnosing any issues if they occur in my systems. This is my first time taking my systems live that haven’t been Nick’s.

So far my MR system has had an amazing week. I did notice one stock showed up in my exploration as though I had bought it but it didn’t actually trigger in IB. I will look into this a little more this weekend and see if I can get to the bottom of it. Hopefully I fat fingered the price. I am keying in the limit orders manually after running the explore.

[MichaelRodwell]

Good luck for the go live Tim. Awesome milestone! As much as trading should be boring I’m excited for you!

[Nick Radge]

Quote:

I did notice one stock showed up in my exploration as though I had bought it but it didn’t actually trigger in IB. I will look into this a little more this weekend and see if I can get to the bottom of it. Hopefully I fat fingered the price. I am keying in the limit orders manually after running the explore.

Happens on occasion. Usually the reason is an off market trade. You can either look at Time & Sales via TWS or easier take a look at a google finance intra day chart and see if appears. If the level is not on that chart it means it was off market.

[TimothyStrickland]

Yep. happened several times over the last few days. The explore tells me to sometimes get out of trades I never took. However, when I run the backtest, it has always matched the trades that I actually got into and out of so I am pretty happy with that.

I got to admit I am a little nervous about getting back in with my momentum systems after this monster rally over 2 months. My gut tells me the market will reverse here shortly. However, listening to my gut in the past has cost me a lot of money so I’ll do what the system tells me to do.

[TimothyStrickland]

-Live- systems

US Aggressive: 0%
NDX Momo: 0%
401k 10MA: .53%
MR_HFT: +4.1%

[TimothyStrickland]

I ran into a small issue where my NDX Momo nearly matched exactly Nick’s premium portfolio. Didn’t really plan for this so for now I split my capital 50/50 between the momo and MR system until I can get my MOC and WTT online.

[TimothyStrickland]

I could not make the mentor call but I am in the same boat as everyone else and realize that this is part of trading. Getting back in after a big upswing is still somewhat of a psychological challenge, however, I am very conditioned now to know that my system has a positive expectancy over the long haul so I pulled the trigger at the beginning of the month and continue to place my MR trades daily. Without this process is in place that I have learned from my mentors Nick and Craig, I would have never been able to trust my system. Now I trust my system more than my 401k, any hedge fund and even my own gut, that is a big leap for me that I have noticed in the last year. My gut was telling me not to get in at the beginning of the month, I ignored it and pulled the damn trigger.

It is good to know that even Warren Buffet can make mistakes aka Kraft. I had some co-workers laugh at him for his blunder. They were calling him an idiot etc for making such a big mistake. I asked them the question, “How do you think Mr. Buffet was able to get into a position to lose a few billion dollars and still be trading long term?” I got a deer in the headlights look as I always do. No one gets it right all the time but you have to put your chips in in order to get it right at all. At this point, its better to play and lose then to never have played at all. If the market tanks I would have lost money anyway sitting in some mutual fund in my 401k so might as well lose it with a system I have tested and has proven to produce results over the long term!

[Nick Radge]

Yep. Nobody said the game was easy. It is challenging, and overcoming those near term challenges is what differentiates the pro’s from the rest.

You need to play the long game.

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