Tim’s Journal

[TimothyStrickland]

Monthly reports:
MR HFT: -15.1% Currently in a -23.8% drawdown. Took some really nasty trades this month.
NDX Aggressive: – 7.8% (I think most of this can be attributed to XLNX) and of course the malaise of the market. Drawdown is -7.8%
SPX Momo: -6.6% (Currently in a -18.8% Drawdown now due to the October 2018 fiasco)

YTD:
MR HFT: -14.3%
NDX Aggressive: +5.3%
SPX Momo: -2.8%

Overall Account: -19.1% This is from a combination of tradelongterm, some of the Power setups and my own systems.

All systems go to cash on Monday morning as all my filters have triggered.

Transparent Thoughts: I am getting suspicious of the Mean Reversion system since it is now in it’s 2nd worst drawdown the system has ever experienced in 25 years of backtesting history, is this just bad luck? The system did take some nasty trades this month which really brought it down quickly, QCOM and XLNX being 2 of the bigger ones. Nick reviewed the system and also suspects I have just landed on the wrong side of probability as well. I will go back through this system and do some research on parameters and see how they would have performed over this time period just to make sure I haven’t missed something.

I am undecided how I feel about my systems exiting now, After the October drop my systems exited and the market recovered so fast the systems could not take advantage of it. These are all emotions that I am dealing with now and I’m sure everyone is dealing with. As always though, I cannot trust my own gut. I have debated on just allocating a lot less capital to the systems or using the sim for awhile until I get a few years of proof of concept under my belt but then I would just be pissed off that I missed a 40-50% account growth in that time. Damned if I do, Damned if I don’t. As Nick says, I am just going to continue taking my trades and let the chips fall where they may! Some big traders have been in drawdown for several years, If I am going to get the results I want, I gotta deal with the tough times as well. Next 1000 trades!

[LEONARDZIR]

Tim,
I think all of us can relate to your experience with your drawdown. It is almost guaranteed that when you start a new system it will go into drawdown and the drawdown will be greater than anything in your backtest.
I have been in the mentoring program coming up to 3 years. I have gone through several significant drawdowns each making me question my systems. I have hung in there and have arrived at a place where I am comfortable with my results. I have gotten pretty automatic with my trading. It has taken me 3 years to arrive at this point.
If your systems match your personality , Nick and Craig have given the ok for your code and it backtests to your satisfaction, you will make money.
I have found that very simple systems make money. The coding and developing a system are the easy part. The hard part is the psychology of trading ,namely sticking with the system when it is most painful. There is a light at the end of the tunnel. Good luck with your trading.

[Nick Radge]

Psychology is the death trap for most traders.

We’re wired to stop painful experiences so when one is in drawdown the overwhelming response is to stop the system and move to something that ‘appears’ less painful.

However, one man’s pain this week is another’s next week – meaning that the less painful system you switch to will most likely become a painful one down the track.

Again, it’s why I have studied the long term track records of the greats. They simply suffer through the pain which is what makes them great.

Most may not agree with me on this next point, but I stand by it.

You need to forget about the money.

That’s where the pain is.

[TimothyStrickland]

I wanted to be candid about what I was really thinking during this month as I’m sure everyone else had been there before.Thanks guys for the encouragement and your email Nick. I honestly don’t see how any new trader could do this without mentor’s. It is tough even with my mentors and the help of everyone here, I couldn’t imagine going at this alone.

I did some more testing updating variables but just as I suspected they all performed badly which made me more confident that I followed the process layed out for me here, I let self doubt creep in. I will not be making any adjustments to my systems and will continue to plug away. I have been embracing the process for over a year now, I will continue to embrace it!

[ScottMcNab]

My MRV had one of worst months for me (so far) too Tim. I found it a tough month ….found myself questioning if system was somehow flawed or something had changed such that the MRV system no longer worked etc etc…. all those cliched things I should know to ignore suddenly seemed possible or even likely when real money was flying out the door day after day. I found some comfort in the fact that the exact same system was doing ok on XAO even while was tanking on RUI so unlikely that system itself was broken…clung to that thought to be honest…just a nasty month for some of us

[MichaelRodwell]

Thanks for sharing Tim. It’s month one for me and my system smacked me in the face with the worst month since 2004. I kinda got lucky and screwed up the operation of the system and managed to have a couple of positions incorrect so that saved me a percent or 2. Things are about to get interesting for me… Index filter is on and I’m staying in the market when many are switching to cash.

[TimothyStrickland]

Jun 5 MRV went active again and so far starting to climb out of its huge draw-down, will see how this month goes, today alone was a 4% gain.

[GlenPeake]

A nice little bounce back Tim…. Well done on pulling the trigger this month, considering last month’s DD. Most here experienced a hit on our MR systems in May….. so, we can’t all be trading busted systems.

[TimothyStrickland]

It was a little tough for me to pull the trigger this time around but I kept hearing “Next 1000 trades” in the back of my head = ).

[MichaelRodwell]

Nice job Tim. Good inspiration for me to step up to the plate when my system calls upon me. I was down close to 8% in May but just tried to put the blinkers on as much as possible.

[TimothyStrickland]

Hard to trust your system in times of drawdown. I added more money to my system as Nick has suggested in the past. It is a challenge to do this as we can be afraid of losing more money. It is precisely times like these that seperate real traders from wanna-be’s! I added money anyway, despite my reservation, I think I am starting to get the feel for disconnecting from the money but it has been a long process.

Oddly enough my MRV has gone straight up every single day this month. The string of winners and losers happens a lot it seems.

[TimothyStrickland]

So far this is the 2nd time Nick’s advice has come true. “When your system is in drawdown, add money to your account”. I have done this twice, once when my momentum system was in drawdown and recently when my MRV system was in drawdown. The momentum system climbed out of it and my MRV system has almost recovered half of its drawdown this month.

If anything the lesson I have learned is that drawdown’s aren’t bad, they are merely part of the process and if your system is near its max drawdown, then it may be more likely that it will be climbing out of it soon if it was tested correctly.

Today happened to be a picture perfect MRV day. The market dropped, got me in a bunch of trades and then rallied until the end of the day, it was interesting to see.

[TimothyStrickland]

Hedging my broker risk finally and a perfect time since some of my systems are out of the market.

I am leaving my MRV system in IB since they have a lower commission drag for active traders. I am putting my momentum system into Tradestation. I am also allotting some capital to a new futures discretionary system I have been working on.

[TimothyStrickland]

MR HFT: +3.3%
NDX Aggressive: CASH, Moving to Tradestation
SPX Momo: +0.5% (BONDS ONLY)

-Simmed accounts-

Futures Discretionary: +9.2% (not sure what I will call this, likely “opening range”) Will be on sim for awhile

[TrentRothall]

What time frame are you trading futures with tim?

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