Trading business system mix

[RobGiles]

Just out of interest, I would be interested to know what % of investment capital members are allocating to various strategies. For what its worth, I’m looking at doing the following at this stage:
10% US MR MOC
10% US Swing Trade / MR
10% ASX MR
30% ASX Momentum Longer Term
35% US Momentum Longer Term
5% Discretionary…just to get my fix

[JulianCohen]

20% S&P Momentum
15% NASDAQ Momentum
15% US WTT
10% ASX WTT

The rest is leveraged to the max on a US MOC and a US MR

[SaidBitar]

here are my figures as of today

39% US WTT
11% US Momentum
50% everything short term MRV and MOC US and ASX

Initial allocation was a bit different but due to the variations in the accounts in the recent months this is how they ended. I prefer to have 70% for the long term and 30% for the short term this will keep the daily volatility low

[ScottMcNab]

In the process of taking Momo live in next month or so but plan is:

50% mean reversion ( US/ASX MOC combo)
50% trend following (rotational momentum systema….1/3 NDX. 1/3 RUI and 1/3 ASX100)

[RobGiles]

Interesting. So clearly a large bent towards the higher CAR MR strategies.
Does the leverage “scare” anyone? (don’t know why I asked that question, just felt I had to!).

Has anyone done any work on over / under weighting certain systems when market conditions change? ( I know this is not so easy, I guess it would involve some kind of MA index filter).

[LEONARDZIR]

Rob,
Great question with interesting responses.
I am:
US MOMO 64%
Nasdaq MOMO 9%
US MOC 15%
The rest is cash from my US MR portfolio which I am no longer trading but will move into MOC.

[ScottMcNab]

Rob Giles wrote:

Interesting. So clearly a large bent towards the higher CAR MR strategies.
Does the leverage “scare” anyone? (don’t know why I asked that question, just felt I had to!).

Scares me a bit based on what may happen in flash crash situation, other exchange/technology based glitch and extreme news events…so try and spread it around to longer term momo systems too…

[ZachSwann]

I had a bit of a play when I designed my MR and just did one market condition at a time.

Here is what I used
//=======================================================================================================
//Market Enviroment Conditions
//=========================================================================================================
//Parameters

_SECTION_BEGIN(“Market Conditions”);
SetForeign(“$XAO”);//Note if have US data $XAO.au
//Market
slopedays = Param(“Time Period of System in Days”,100,1,300,1);//Days should match average bars of all profits
bullslopelimit = Param(“Slope Bull Market as a Gradient”,0.08748866352,0,400,.01);//Angle of MA Set to 5 degrees
Bearslopelimit = Param(“Slope Bear Market as a Gradient”,-0.08748866352,-400,0,.01);//Angle of MA Set to -5 degrees
//Volitility
voliper = Param(“Volitility Atr Period”,20,1,100,1);//Volitility Days
voliperbb=Param(“Volitility Period BBands”,180,20,300,1);//Volitility Period BBands
volisdbbtop = Param(“Volitility SD BBands Top”,1,0,5,.01); //Volitility SD BBands Top
volisdbbbot = Param(“Volitility SD BBands Bottom”,1,0,5,.01);//Volitility SD BBands Bottom
//

---

Slopeenviro = (Close- Ref(Close,-slopedays))/slopedays;//Gradient of MA
voli = ATR(voliper);//Market Volitility
//Market Type

---

bullmarketenviro = slopeenviro > (bullslopelimit);// MA Gradient greater than 5 degrees
Neutralmarketenviro = (bearslopelimit) <= slopeenviro and slopeenviro <= (bullslopelimit); // MA Gradient between -5 to 5 degrees
bearmarketenviro = slopeenviro < (bearslopelimit);// MA Gradient less than -5 degrees
//Volitility

---

HighVoli = voli > BBandTop(voli,voliperbb,volisdbbtop); //Volitility greater the 1 StdDev
MediumVoli = voli >=BBandBot(voli,voliperbb,volisdbbbot) and voli <= BBandTop(voli,voliperbb,volisdbbtop); //Volitility between bottom and top BBand
LowVoli = voli < BBandBot(voli,voliperbb,volisdbbbot); //Volitility greater the -1 StdDev
RestorePriceArrays();
//Filter=bullmarketenviro OR Neutralmarketenviro OR bearmarketenviro;
//AddColumn(slopeenviro,”slope”,1.5,colorDefault,colorDefault,80);
//AddColumn(bullmarketenviro,”Bull”,1,colorDefault,colorDefault,80);
//AddColumn(Neutralmarketenviro,”Neutral”,1,colorDefault,colorDefault,80);
//AddColumn(bearmarketenviro,”Bear”,1,colorDefault,colorDefault,80);
//Filter =HighVoli OR MediumVoli OR LowVoli OR voli;
//AddColumn(voli,”Voli”,1.4,colorDefault,colorDefault,80);
//AddColumn(highvoli,”H Voli”,1,colorDefault,colorDefault,80);
//AddColumn(mediumvoli,”M Voli”,1,colorDefault,colorDefault,80);
//AddColumn(lowvoli,”L Voli”,1,colorDefault,colorDefault,80);
//AddColumn(BarCount,”BAR Count”,1,colorDefault,colorDefault,80);

Plot(BBandTop(voli,voliperbb,volisdbbtop),”bbtop”,colorBlue,styleLine);
Plot(BBandbot(voli,voliperbb,volisdbbtop),”bbtop”,colorBlue,styleLine);

Marketcond=ParamList(“Market Conditions”,”No Market Conditions|Bull Market High Volitility|Bull Market Medium Volitility|Bull Market Low Volitility|Neutral Market High Volitility|Neutral Market Medium Volitility|Neutral Market Low Volitility|Bear Market High Volitility|Bear Market Medium Volitility|Bear Market Low Volitility”,0);
marketcondition=0;
if(marketcond==”No Market Conditions”) marketcondition= 1;
if(marketcond==”Bull Market High Volitility”) marketcondition=bullmarketenviro AND HighVoli;
if(marketcond==”Bull Market Medium Volitility”) marketcondition=bullmarketenviro AND MediumVoli;
if(marketcond==”Bull Market Low Volitility”) marketcondition=bullmarketenviro AND LowVoli;
if(marketcond==”Neutral Market High Volitility”) marketcondition=Neutralmarketenviro AND HighVoli;
if(marketcond==”Neutral Market Medium Volitility”) marketcondition=Neutralmarketenviro AND MediumVoli;
if(marketcond==”Neutral Market Low Volitility”) marketcondition=Neutralmarketenviro AND LowVoli;
if(marketcond==”Bear Market High Volitility”) marketcondition=bearmarketenviro AND HighVoli;
if(marketcond==”Bear Market Medium Volitility”) marketcondition=bearmarketenviro AND MediumVoli;
if(marketcond==”Bear Market Low Volitility”) marketcondition=bearmarketenviro AND LowVoli;

[RobGiles]

I think the concept of recycling capital via a MR MOC strategy in the US time zone and then in the Aussie is really smart, assuming the ASX provides enough liquidity, which no doubt you’ve looked at. What about MR MOC in another market in the similar time zone as us, such as HK, Japan? Has anyone looked at that?

[RobGiles]

Thanks Zach. How did that work for you?

[ScottMcNab]

Rob Giles wrote:

I think the concept of recycling capital via a MR MOC strategy in the US time zone and then in the Aussie is really smart, assuming the ASX provides enough liquidity, which no doubt you’ve looked at. What about MR MOC in another market in the similar time zone as us, such as HK, Japan? Has anyone looked at that?

Yep…went down that route and bought data for Japan, HK, London and China..goal was to have 2 MOC pairs….eg US/AUS and LSE/HK..even placed a few trades on HK
exchange…ultimately I didn’t have confidence in the data though

[SaidBitar]

Zach Swann wrote:

I had a bit of a play when I designed my MR and just did one market condition at a time.

Here is what I used
//=======================================================================================================
//Market Enviroment Conditions
//=========================================================================================================
//Parameters

_SECTION_BEGIN(“Market Conditions”);
SetForeign(“$XAO”);//Note if have US data $XAO.au
//Market
slopedays = Param(“Time Period of System in Days”,100,1,300,1);//Days should match average bars of all profits
bullslopelimit = Param(“Slope Bull Market as a Gradient”,0.08748866352,0,400,.01);//Angle of MA Set to 5 degrees
Bearslopelimit = Param(“Slope Bear Market as a Gradient”,-0.08748866352,-400,0,.01);//Angle of MA Set to -5 degrees
//Volitility
voliper = Param(“Volitility Atr Period”,20,1,100,1);//Volitility Days
voliperbb=Param(“Volitility Period BBands”,180,20,300,1);//Volitility Period BBands
volisdbbtop = Param(“Volitility SD BBands Top”,1,0,5,.01); //Volitility SD BBands Top
volisdbbbot = Param(“Volitility SD BBands Bottom”,1,0,5,.01);//Volitility SD BBands Bottom
//

---

Slopeenviro = (Close- Ref(Close,-slopedays))/slopedays;//Gradient of MA
voli = ATR(voliper);//Market Volitility
//Market Type

---

bullmarketenviro = slopeenviro > (bullslopelimit);// MA Gradient greater than 5 degrees
Neutralmarketenviro = (bearslopelimit) <= slopeenviro and slopeenviro <= (bullslopelimit); // MA Gradient between -5 to 5 degrees
bearmarketenviro = slopeenviro < (bearslopelimit);// MA Gradient less than -5 degrees
//Volitility

---

HighVoli = voli > BBandTop(voli,voliperbb,volisdbbtop); //Volitility greater the 1 StdDev
MediumVoli = voli >=BBandBot(voli,voliperbb,volisdbbbot) and voli <= BBandTop(voli,voliperbb,volisdbbtop); //Volitility between bottom and top BBand
LowVoli = voli < BBandBot(voli,voliperbb,volisdbbbot); //Volitility greater the -1 StdDev
RestorePriceArrays();
//Filter=bullmarketenviro OR Neutralmarketenviro OR bearmarketenviro;
//AddColumn(slopeenviro,”slope”,1.5,colorDefault,colorDefault,80);
//AddColumn(bullmarketenviro,”Bull”,1,colorDefault,colorDefault,80);
//AddColumn(Neutralmarketenviro,”Neutral”,1,colorDefault,colorDefault,80);
//AddColumn(bearmarketenviro,”Bear”,1,colorDefault,colorDefault,80);
//Filter =HighVoli OR MediumVoli OR LowVoli OR voli;
//AddColumn(voli,”Voli”,1.4,colorDefault,colorDefault,80);
//AddColumn(highvoli,”H Voli”,1,colorDefault,colorDefault,80);
//AddColumn(mediumvoli,”M Voli”,1,colorDefault,colorDefault,80);
//AddColumn(lowvoli,”L Voli”,1,colorDefault,colorDefault,80);
//AddColumn(BarCount,”BAR Count”,1,colorDefault,colorDefault,80);

Plot(BBandTop(voli,voliperbb,volisdbbtop),”bbtop”,colorBlue,styleLine);
Plot(BBandbot(voli,voliperbb,volisdbbtop),”bbtop”,colorBlue,styleLine);

Marketcond=ParamList(“Market Conditions”,”No Market Conditions|Bull Market High Volitility|Bull Market Medium Volitility|Bull Market Low Volitility|Neutral Market High Volitility|Neutral Market Medium Volitility|Neutral Market Low Volitility|Bear Market High Volitility|Bear Market Medium Volitility|Bear Market Low Volitility”,0);
marketcondition=0;
if(marketcond==”No Market Conditions”) marketcondition= 1;
if(marketcond==”Bull Market High Volitility”) marketcondition=bullmarketenviro AND HighVoli;
if(marketcond==”Bull Market Medium Volitility”) marketcondition=bullmarketenviro AND MediumVoli;
if(marketcond==”Bull Market Low Volitility”) marketcondition=bullmarketenviro AND LowVoli;
if(marketcond==”Neutral Market High Volitility”) marketcondition=Neutralmarketenviro AND HighVoli;
if(marketcond==”Neutral Market Medium Volitility”) marketcondition=Neutralmarketenviro AND MediumVoli;
if(marketcond==”Neutral Market Low Volitility”) marketcondition=Neutralmarketenviro AND LowVoli;
if(marketcond==”Bear Market High Volitility”) marketcondition=bearmarketenviro AND HighVoli;
if(marketcond==”Bear Market Medium Volitility”) marketcondition=bearmarketenviro AND MediumVoli;
if(marketcond==”Bear Market Low Volitility”) marketcondition=bearmarketenviro AND LowVoli;

This sounds interesting
I believe that you are using the market condition to calculate the stretch and it also can work instead of the index filter
also will be good if the exit style will change with the market condition such as in Bear Market and High volatility you exit on close while everything else you hold overnight
or maybe bull market and low vola continue holding till the market conditions change

[ZachSwann]

It didn’t make a great deal of difference but I like Said idea of changing the close.

[Author]

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