Travis’ Journal

[twood4]

I thought it would be a good idea to start posting my monthly results here as an accountability tool. I also enjoy seeing how others are doing so it’s only fair that I join in. Unlike most of you, I’m not trading any short term systems. I’m pretty active with a market neutral options strategy that accomplishes a similar function for my portfolio. I have several retirement accounts that I wanted to use with a momentum system and I’m pretty happy with what I’ve come up with.

I developed 3 different momentum systems that are very similar to Nick’s US Momentum system. 2 of them are very similar to each other (just a few parameter differences) that trade the Nasdaq 100 and S&P 500. The 3rd system trades the Nasdaq 100 and is very aggressive in that it’s highly concentrated.

I went live in April with the aggressive Nasdaq system and it’s had a great run so far:

April: .9%
May: 17.1%

I’ve been trading Nick’s US Momentum system in my primary retirement accounts, so for now I’m just monitoring the simulated performance of my other 2 systems. I’m going to try to switch over to my systems when there is as little disruption as possible. Even though they are similar, right now it would require selling most holdings if I were to switch today. Here’s the simulated performance so far:

SP500 MOMO:

April: -1.7%
May: .9%

Nasdaq 100 MOMO:

April: 4.6%
May: 6.4%

I will post some of the system details in separate posts below for those that are interested.

[twood4]

Here’s some info on my S&P 500 Momentum system:

[twood4]

Standard Nasdaq 100 Momentum system. Very similar to the above S&P 500 system but with some small parameter changes.

[twood4]

Aggressive Nasdaq 100 system:

[twood4]

June 2017 performance:

NDX 100 Aggressive: +3.6% (Actual)
NDX 100 Standard: -2.6% (simulated)
S&P500 Momo: -1.4% (simulated)

[twood4]

July 2017 Performance:

NDX 100 Aggressive: -.5%
NDX 100 Standard: +3.1%
S&P500 Momo: +.9%

[twood4]

August Performance:

NDX Aggressive: +6.1
NDX Standard: +1.5
S&P 500 Momo: +3.1

[Anonymous]

Good result! What kind of system is your NDX aggressive?

[twood4]

Hi Kerry,

All 3 systems are very similar…rotational strategies similar to Nick’s US Momentum. I’m not sure exactly how Nick is measuring momentum but I went with the model similar to what Andreas Clenow used in Stocks on the Move. For diversification, each of the systems has a few different parameters (i.e. max gap %, moving average filters, etc). The NDX aggressive has a much larger position size than the other 2 so it’s taking on considerably more single stock risk. To account for this, I trade this at a much smaller size than the others.

Travis

[LEONARDZIR]

Travis, are you using risk parity for your models or fixed position size? If you are using risk parity how often do you rebalance the portfolio?

[twood4]

Hi Len, sorry I haven’t been on here for a while. I’m using risk parity position sizing and honestly I don’t have a concrete rule for rebalancing. I talked about this with Nick and he agreed there really isn’t any definitive guidance on rebalancing. Having said that, I did rebalance a bit at the beginning of this month. I bought NVDA when I started this system in April and it’s up over 60% since that time. I sold a bit to bring it back closer to target weighting and this allowed me to allocate proper sizing to a new position I opened (VRTX). Of course, as soon as I trimmed back NVDA, it took off like a rocket again! My plan is to leave things alone unless I need to trim some size to have enough capital when opening new positions. Do you have any thoughts on this?

[twood4]

September Performance:

NDX Aggressive: +6.9%
NDX Standard: +1.6%
S&P 500 Momo: +2.7%

[SaidBitar]

Travis i have two questions
1- are you using three separate accounts for these strategies?
2- If 1 is NO how you handle signals on the same stock from different systems. I mean if in Aug you have signal to buy MSFT (for example) from one system and on Sept you have signal to buy MSFT from another system then in oct you have signal to sell MSFT from the second system how you sell them since IB will automatically sell the old ones not the new ones

[JulianCohen]

Said Bitar wrote:

how you sell them since IB will automatically sell the old ones not the new ones

Surely as long as you keep track of the details in STT then it doesn’t matter. My systems hold the same share every now and then in different volumes and I just sell the volume that applies to the system leaving the balance.

[SaidBitar]

I do not know why for me it merges them together

I need to check maybe in the settings

[Author]

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