Travis’ Journal

[Nick Radge]

Quote:

how you handle signals on the same stock from different systems

Simply use a reference in TWS for each system.

I have PYPL running across three portfolios in a single account. STT knows the allocation via its reference code. You can manually add or amend the reference code in TWS by using ‘Modify Order Ticket”. TWS will remember reference codes as well for future use.

[twood4]

For now, I use separate accounts for each strategy. I may combine strategies in a single account in the future and would just use the STT to keep everything accounted for.

[SaidBitar]

Great
i will try it
the reason i was asking is that i have one rotational system on NASDAQ100 waiting and i am still thinking to trade it with the current SP500 rotational system on the same account. still i need to think a bit more (maybe until the market open ) but the idea was to trade it on margin so the SP500 Momo will use 100% and NDXmomo 100% i backtested them together to see the effect on DD and looks OK.

sorry Travis for cluttering your Journal

[twood4]

October Performance:

NDX Aggressive: +9.5%
NDX Standard: +6.8%
S&P 500 Momo: +8.5%

[twood4]

November Performance:

NDX Aggressive: -3.1%
NDX Standard: -2.0%
S&P 500 Momo: -.3%

[twood4]

December Performance:

NDX Aggressive: -1.6%
NDX Standard: -2.2%
S&P 500 Momo: -.1.3%

2017 Results (simulated/live)

NDX Aggressive: 60.5%
NDX Standard: 34.0%
S&P 500 Momo: 15.3%

[Nick Radge]

Nice effort Travis!

[twood4]

January 2018 Performance:

NDX Aggressive: +16.1%
NDX Standard: +15.1%
S&P 500 Momo: +9.3%

[JulianCohen]

Nicely done…especially the S&P 500 as that wasn’t so good for me this month

[twood4]

Thanks Julian, it was a heck of a month. It’s been a great run for momentum systems, but more importantly to me is that I have some systems that I’m comfortable sticking with long term. I’m sure the downturn will come eventually, just happy to no longer stress about how I will manage the downturn. I think I’ve heard this phrase from someone on here: “Next 1000 trades!”

[twood4]

February 2018 Performance:

NDX Aggressive: +4.2%
NDX Standard: -1.5%
S&P 500 Momo: -1.5%

[twood4]

March 2018 Performance:

NDX Aggressive: +.5%
NDX Standard: -1.5%
S&P 500 Momo: -2.1%

I know this has been discussed with varying opinions, but I’ve been thinking quite a bit about my position sizing after the large increase in market volatility. Many of the open positions I hold are more than double the target position size. I’ve decided I’m going to rebalance my positions to match their target position size. I know the system wasn’t tested this way, but I think it stays true to what the system is trying to accomplish (especially give that this is how Clenow recommends as well). My biggest reason for this is simply that any new position that is put on would be significantly smaller than the open position I hold from the lower volatility days. To me that is concentrating risk in older positions for no reason. I wish I had a strict rule on when this should be accomplished, but for now, I’ve decided twice the target position size is enough for me to act.

I’d be curious to hear if anyone else has thoughts on this. Thanks!

[ScottMcNab]

How do the standard/non-aggressive systems go with fixed percent (eg 10 positions at 10%) ?

[Nick Radge]

Quote:

I’d be curious to hear if anyone else has thoughts on this.

My opinion is don’t get caught up in the semantics of making this a perfect game.

What you suggest makes sense.

It will not detract from the core foundations of why the strategy is profitable, i.e. be long when the market is rising, be out when its falling.

[DanielBaeumler]

Making +5% with a momentum system when the underlying index is dropping -4% is very impressive.
How do you differ standard from aggressive? I would expect in such a market environment to be better off with a standard, less aggressive approach.

[Author]

Posts