Travis’ Journal

[twood4]

Scott, if I used a fixed percent position sizing, I end up with slightly higher returns and bigger drawdowns but it’s not a dramatic difference over the long term. NDX standard with 10 positions adds about 3% to the Annual Return but also increases max drawdown by about 7%.

[twood4]

Daniel,

The NDX Aggressive system was only up .5% (not 5)….but still happy with that given the overall market conditions. I think the aggressive system did a little better since it’s highly concentrated in a few names that held up better than the rest of the market. The 2 primary differences between the standard and aggressive is: 1. much larger position size in Aggressive and 2: Allowing those Aggressive positions to pull back more than the standard (ie- Stocks in the Standard must remain above 100 SMA while the aggressive needs to stay above 200 SMA). From what I see in testing, they both have their times when each will outperform. The aggressive has really done well over the past year thanks to holding MU and NVDA during some monster moves. Hope that helps.

[DanielBaeumler]

Thanks Travis. Yes, now I see it.
Really appreciate the insight. Have you ever measured the correlation btw the two systems?
I’m running a NDX momentum system next to a SPX momentum system. Correlation based on monthly net profit is 0.7 which is obviously not very helpful from a diversification perspective. Hence, I was first hesitant to develop a second momentum system but eventually thought that it’s always better to split the money on two systems than leaving it with the SPX system

[twood4]

I haven’t measured the correlation between the two systems. I really like the idea of diversifying among the indexes and even within the indexes. My wife an I have a number of different retirement accounts and I use a different strategy for each account. I think the more positive expectancy systems you can have that, the better. Even a small difference between momentum systems can produce drastically different results in a given year. Given that these systems only trade once a month, it’s pretty easy to run a number of variations without much additional effort.

[ScottMcNab]

Thanks Travis. Hopefully the increased drawdowns would occur at different times so that the portfolio as a whole may increases cagr without sig increase in maxDD ? I am going off track however as your aim was to make system more “tradeable” in high volatility situations rather than increasing cagr
Two potential ways I was thinking of avoiding position sizes so large that they become uncomfortable were:
1. leave aggressive as is to do it’s thing and set non-aggressive to a fixed percentage
2. let all systems continue to be variable but only up to a maximum allowable/tolerable size (eg 25% for aggressive and 15% for standard)
I guess a third option would be to combine these two approaches.

[LEONARDZIR]

On your Ndx aggressive, when you decide to drop or keep a stock do you use a minimum rank or just close below 200 sma atthe end of the month?

[RobGiles]

Travis

My view is that if it doesn’t compromise the essence of the system and it makes it easier for you to trade / fits your beliefs about what prudent risk management is and you’re prepared to do the extra work, then re-balancing makes a lot of sense.

[twood4]

April 2018 Performance:

NDX Aggressive: -5.4%
NDX Standard: -.3%
S&P 500 Momo: +2.0%

Thanks for all the responses on the rebalancing. I did do a rebalance on the standard system but left the Aggressive alone. I still don’t have a set percentage limit to do a rebalance, but I think I will monitor position sizes on a quarterly basis. In this case where positions were more than double their target size due to volatility increase, it was an easy call to rebalance (for me at least). Len, I use both a min rank and 200 SMA in the Aggressive to determine positions.

[twood4]

May 2018 Performance:

NDX Aggressive: +21.8%
NDX Standard: +4.4%
S&P 500 Momo: +3.2%

[Nick Radge]

Ridiculous! :woohoo:

[JulianCohen]

Wow aggressive is REALLY aggressive!

[TrentRothall]

Nice work! What sort of position sizing are you running out of interest Travis?

[twood4]

Thanks everyone, that was a great month. I’m using the standard volatility position sizing based on all systems. The NDX aggressive had large positions in MU and ALGN which both had monster months. The system has had amazing performance but it’s a very small part of my portfolio. Of course, with the run it’s been on…it’s quickly getting a larger share of the pie.

[twood4]

June 2018 Performance:

NDX Aggressive: -4.3%
NDX Standard: +3.7%
S&P 500 Momo: -.3%

[twood4]

July 2018 Performance:

NDX Aggressive: +2.7%
NDX Standard: +2.7%
S&P 500 Momo: +.8%

Strange month with both NDX having identical performance….had to check those numbers twice!

[Author]

Posts