Tim’s Journal

[TimothyStrickland]

Had a bit of a scare today. I thought my system broke. Luckily it was operator error and Nick helped me get on the path to figuring it out. I wanted to share with everyone as a lesson I learned and maybe help some of the newer folks.

We thought it was because I missed a day of trading! But after looking at Interactive Broker audit report it turns out that I did manage to take trades everyday according to TWS, what I think I screwed up on is when I take a trade I run an exploration on a current date. For instance today I run an exploration from 3/7/2019 – 3/8/2019 and pick the ones that pop in the highest rank that I can actually take, up to XX positions.

When I run a backtest on that same timeframe in the past it shows up different trades which MAKES SENSE because the backtest is grabbing ALL top XX signals thinking I would have no active trades which in fact I would have from the previous day that I didn’t run a backtest on. Either way its my fault. Live and learn, I have to make sure if I am going to spot check my exploration I need to make sure I run the backtest on the period of time I’ve been running the system not just a single day which gives false results.

March 4-8

MR System: -2.6% (Gave back a bit of what the market provided me last month.
NDX Momo: -3.8% (The drawdown continues)(Total drawdown is now -14.5%) Still well within the parameters of the system performance.

[TimothyStrickland]

Mar 11-15
MR System: +3.1%
NDX Momo: +3.6%

So far it seems like the systems are running as expected. Trades are showing up correctly, performance and volatility is not unusual, will go to monthly reports at the end of this month if it continues.

My MR system is really showing what it can do. with the NDX Momo combined performance this week I am now starting to chew through the massive drawdown I experienced last year, still got a long way to go though.

[MichaelRodwell]

Hey Tim – is your NDX Momo system a monthly system? If so, does reporting on it weekly with open profit/ loss affect you psychologically in any way (positive or negative)?

[TimothyStrickland]

Hey Mike. Yes the NDX Momo is a monthly rotational momentum system.

Well, I would say yes if it was a year ago shortly after I started. However, at this point I have always pulled the trigger regardless of what I’m feeling, that is because the course and going through the process have given me that confidence. I used to second guess myself all the time.

I am mostly reporting on it weekly because both of those systems are new, I can go back and look to see what I posted and Nick can view them hopefully catching any problems we may have missed on the development phase.

I believe I was very rigorous when testing these so I do not foresee any issues:
Both Nick and Craig reviewed both systems for logic and coding errors as well as curve fitting
I ran both of them through a walk forward test (watching the drawdowns over a several month period to get a feel for the performance)
I ran multiple explores and backtests to make sure that the explore matched what was in the backtest.
Did several variance testing on each system and the system did not vary a lot, most tests were in 5-10% of initial CAGR and always very profitable.
Did monte carlo simulations ( not as useful but another test I can do)
I only optimized ONE single parameter on both. When I say optimize I mean optimize by finding a flat spot at a general high point in the data. Optimized over the last 5 years
I feel as though I could have also simulated the systems for a year but Nick was pretty confident that I could go live so I went ahead and made the jump.

Hope that helps!

[TimothyStrickland]

Thanks AMD for making my day

[TimothyStrickland]

Some psychology lessons today. Today my system was telling me to get out of MNST. I was a bit irritated as I just took the trade yesterday. The signal got me in and then this morning the system wants me out. I didn’t understand why, but then I learned that the stock had declined below one of my filters. It made sense to get out but my gut wanted me to stay in as I thought it was going to rally. The temptations to stay in a trade when my system says otherwise is getting less and less especially after following the system as prescribed the stock drops another 4%. This is just one of many times this has happened. Most of the time the system is right and I am wrong and that is exactly why I follow it. I haven’t broken any of my system rules in over a year and do not plan to start now. Because I followed the system it went up another 2% today alone.

[MichaelRodwell]

Thanks for sharing Tim. I’m sure it’s like any other habit or muscle… the more you practice it the easier it is.

On another note, I saw on Nick’s journal that you’re a property guy. Me too… Where are you based? I have resi property in London and commercial in Australia.

[GlenPeake]

Tim Strickland wrote:

Some psychology lessons today. Today my system was telling me to get out of MNST. I was a bit irritated as I just took the trade yesterday. The signal got me in and then this morning the system wants me out. I didn’t understand why, but then I learned that the stock had declined below one of my filters. It made sense to get out but my gut wanted me to stay in as I thought it was going to rally. The temptations to stay in a trade when my system says otherwise is getting less and less especially after following the system as prescribed the stock drops another 4%. This is just one of many times this has happened. Most of the time the system is right and I am wrong and that is exactly why I follow it. I haven’t broken any of my system rules in over a year and do not plan to start now. Because I followed the system it went up another 2% today alone.

Hey Tim,

Well done on following your system.

The opposite situation can also occur.

Let me give an example.

You get into stock ABC. It rally’s and then you exit for a tidy profit when your sell signal triggers. All good…

The stock then keeps rallying and rallying etc….. as a systematic trader we have clarity of mind knowing that we followed our system successfully.

However, a discretionary trader who (more/less) trades on gut feel, who enters/exits the same trade in our example ABC stock as the systematic trader, will probably be kicking themselves when the stock starts rallying thinking, “I should’ve just held on” etc (we’ve probably all been in that situation), future trades made by the discretionary trader are then affected by “the one that got away”.

That’s what I’ve found/learned (sometimes the hard way in the past), knowing that my systems are making the decisions for me… if a stock continues to rally after our exit signal, than we can always get back on a trade should we get another signal.

There’s a lot of guesswork/second guessing taken out when following our systems…. plenty of peace of mind in that alone regardless of the $ outcome of a trade.

Cheers
Glen

[TimothyStrickland]

Yes sir. I am located in Fairfax VA. We have investments in Baltimore MD and Chesapeake VA. We did have some property in Alabama but I sold that off last year. Do you buy and hold or fix/flip?

[TimothyStrickland]

Very true Glen. Oddly enough I traded discretionary for 2 full years before finding Nick and experienced the roller coaster of emotions each day as I struggled to follow my system. I blew up 2 accounts that way. This path is far easier as I only look at the market first thing in the morning and in the evening when I get home.

[TimothyStrickland]

Weekly update

MR HFT: -1.2% About break even for the month. +1.2% YTD
NDX Momo: +4.2% and +3.5% YTD AMD crushed it this week which is where most of the gains came from.

[TimothyStrickland]

Monthly update:

-Live Systems-

MR HFT: -3.1%
NDX Aggressive: +7.1% (AMD and LULU were biggest winners)
SPX Momo: +3.8%

[TimothyStrickland]

As of today I seeded my accounts with new capital from another business. All accounts are still in a drawdown but the NDX Aggressive system is recovering quickly.

[TimothyStrickland]

Monthly update:

-Live Systems-

MR HFT: +0.1%
NDX Aggressive: +6.4%
SPX Momo: +2.1%

YTD:
MR HFT: +0.6%
NDX Aggressive: +15.1%
SPX Momo: +5.8%

My MR HFT system got hit by some pretty big nasty drops earlier this month due to the healthcare for all plan announcement (I think). Today most of that was made back as the system got me into a lot of trades and then promptly rallied most of those stocks to close the system about even.

The NDX Momo is no longer in drawdown and now is actually positive after the Oct 2018 drop. XLNX weighed heavily on the other 4 stocks which ended the month positive.

The SPX Momo continues to slowly charge upwards but it is still in drawdown from the Oct 2018 drop and likely will be for a long while.

Overall the account has made back a little over half of all the losses incurred from end of last year.

[TimothyStrickland]

My MR system and Aggressive system seem to be complimenting each other nicely and I have been noting what has been happening. Over the last several weeks the aggressive momentum system has been chugging higher while the mean reversion system has remained flat, week after week but the last 2 days haven’t gone so well for the momentum systems due to downside and volatility. The Mean Reversion system has been crushing it the last couple of days, so I really like the balancing effect of the systems. The last couple of days without my MR system would be a large drawdown but instead its a very small one due to running both. I knew the benefit of the systems on paper but sitting through them when they actually do what they were designed to do is builds more trust in my systems.

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