Trents Weekly Journal

[TrentRothall]

Thanks Said

I’ve tested a few different exits, i like the idea of a stale exit to get you out of stocks that just do nothing. ie ROC(c,x) < y then exit. Seems to be ok. I hadn't thought of using LLV, another option.. Will keep hunting

[SaidBitar]

Normally when the stock moves sideways for sometime and trade in a range for a certain duration and volatility goes to zero i feel happy since i know soon it will explode up or down so i am not sure if the stale exit is Ok the thing it will make you in and out faster and the holding time will decrease

[Nick Radge]

I found a stale exit diluted returns. Usually during a market pullback the strongest stocks move sideways and then move first when the trend starts again. The BBO system I use wasn’t able to capture the renewed breakout so left good positions behind.

A much simpler breakout style strategy may work better.

[TrentRothall]

I will look into those things cheers.

A smple 20 week breakout works well but it almost seems too simple; but what works, works i guess

According to previous durations between drawdowns it seems my current system was due for a 10% hit, hit that again this week.

Hopefully will turn around soon.

[TrentRothall]

Still taking some pain on the ASX… how is everyone else going?

[JulianCohen]

This week has been a little better. Not trading the ASX MR as I’m traveling but the Trend following ASX systems are doing nicely and the MR on the US markets are starting to recover a bit.

[Anonymous]

Out of 2 MRV, one (MOC) hit a new equity high the other is in DD about 4%. Combined they are in DD
Trend following (although I do not have a systematic one yet) is flat.
All in US markets

[SaidBitar]

Trent Rothall wrote:

Still taking some pain on the ASX… how is everyone else going?

UGLY

[SaidBitar]

I started trading MRV on AORD in the last week of AUG so it was not the best time to start from that time till now i am in DD around -17%

[JulianCohen]

Said Bitar wrote:

I started trading MRV on AORD in the last week of AUG so it was not the best time to start from that time till now i am in DD around -17%

:sick: and I thought my rotation system was looking bad at -13%

[Nick Radge]

mmmm….seems to be some very aggressive results there guys? -17% and -13% in a month seem very extreme…

Mine so far:

ASX MR: -5.2%
US HFT: -2.4%
US Rotation: -3.2%

[TrentRothall]

Wow that is a bit rough, seems to be a lot more chop on the asx in the last few months. That’s the way it goes i guess

Nick, Said’s -17% was from the last week of August. From the 22nd of Aug till now i am -12%, that was basically my peak equity point. Not good timing on your behalf Said!

[SaidBitar]

for this month alone it is -9.26%
i think the reason of the huge swings that my system takes is due to the fact that i hold maximum of 10 positions.
the reason I put 10 is that the number of fills is not huge, the maximum fills in the backtest was 12 or 13

[Anonymous]

looks like i started/got lucky at the right time. from 23/09 till now: MOC system over ASX is +1.1%
edit: ~$1500 of that profit was from 1 trade of PRG on the 29/09

[TrentRothall]

Said Bitar wrote:

for this month alone it is -9.26%
i think the reason of the huge swings that my system takes is due to the fact that i hold maximum of 10 positions.
the reason I put 10 is that the number of fills is not huge, the maximum fills in the backtest was 12 or 13

So is your position size 20% of account on each? I use 20 positions and i don’t miss many trades due to selection bias. In 2016 so far i think there has only been ~10 that i have missed due to having a full portfolio.

I might relax my parameters a bit and do some testing to see what i come up with actually..

Darryl, your total commission payment would be rising pretty quickly wouldn’t it??

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