Trents Weekly Journal

[ScottMcNab]

Looking at the hybrid graph I think you have done well Trent to hang tight for this long without doubting yourself…looks like has been dropping since late July/early Aug….I’m pretty sure I would have panicked earlier so well done for what its worth.

I think I would look for reassurance through similar patterns over the last 5-10 years….it may simply be a system that has large swings both ways in the equity curve ? 30% rise from April to July suggests that may be the case…

The other source of comfort for me with regard to potential curve fitting is by testing it on multiple markets

I suspect you have done these things though in which case I’ve probably not helped all that much

[TrentRothall]

Hi Scott

Yes it’s been grinding lower since Aug… That’s another concern because in most other notable DD they have began after a few days of sharp losses not so much ‘going out of sinc with the market’ as i’m telling myself now… It’s not so much large swings all the time but the CAR is 45+%

I didn’t quite grab the full 30% run because i made the mistake of not trading over Brexit. But having banked early profits definitely made taking this DD easier! (even though tht’s probably a bad thought process…)

I am not going to say it is perfect on the US market but it is definitely profitable, the last few years haven’t been as good but still +ve.

[SaidBitar]

the mean reversion system that i am trading on the ASX is having very similar attitude to yours, I think that just at this stage the market conditions are not synchronised with this system. The good thing that you started trading it early so you are still in profit (overall) for me i started trading it end of AUG so i am only having its ugly part but the good days will eventually come.

Regarding the MRV on R1000 i saw the same in backtesting but i started trading it in December.

Looks like i am always late, reaching after the party is over

[ScottMcNab]

All positive Trent…market is just messing with your mind hoping you will reduce position size or change systems…!!

[TrentRothall]

Thanks for the feedback.

Yes, time will tell. Said, in my own selfish way it’s good to know you’re in a similar position

Scott, because i re-balanced my cash between systems to reduce commission drag in system 2 i actually have lowered position size No doubt it will bite me on the backside…

[Anonymous]

Trent Rothall wrote:

Did anyone trading a MR in the US manage to catch the massive jump in oil stocks last month? All my systems show a 30%+ gain in one day..

My MOC strategy (running in both AU and US) did not capture that move in oil stocks.

[TrentRothall]

Seems to be that the sell off in Gold has been partly to blame for the depth of my drawdown, but also the 50% run up in the first half of the year.

First curve is the system on the XAO

Second is run on the XAO EXCLUDING gold stocks..

So i’m holding firm…

[TrentRothall]

[SaidBitar]

I did one exercise a while ago for MRV that it will check the index of the stock and if the corresponding index is in down trend it will not generate any buy signals for it so the only buy signals will be when the index is showing healthy moves.

Honestly i do not remember what were the results i have to check it again

Code:

SectorIndexUS = IIf(InGics(“10”),Foreign(“$SPXE”,”C”),
IIf(InGics(“15”),Foreign(“$SPXM”,”C”),
IIf(InGics(“20”),Foreign(“$SPXI”,”C”),
IIf(InGics(“25”),Foreign(“$SPXD”,”C”),
IIf(InGics(“30”),Foreign(“$SPXS”,”C”),
IIf(InGics(“35”),Foreign(“$SPXA”,”C”),
IIf(InGics(“40”),Foreign(“$SPXF”,”C”),
IIf(InGics(“45”),Foreign(“$SPXT”,”C”),
IIf(InGics(“50”),Foreign(“$SPXL”,”C”),
IIf(InGics(“55”),Foreign(“$SPXU”,”C”),Foreign(“$SPXR”,”C”)))))))))));
SectorIndexAUS = IIf(InGics(“10”),Foreign(“$XEJ.asx”,”C”),
IIf(InGics(“15”),Foreign(“$XMJ.asx”,”C”),
IIf(InGics(“20”),Foreign(“$XNJ.asx”,”C”),
IIf(InGics(“25”),Foreign(“$XDJ.asx”,”C”),
IIf(InGics(“30”),Foreign(“$XSJ.asx”,”C”),
IIf(InGics(“35”),Foreign(“$XHJ.asx”,”C”),
IIf(InGics(“40”),Foreign(“$XFJ.asx”,”C”),
IIf(InGics(“45”),Foreign(“$XIJ.asx”,”C”),
IIf(InGics(“50”),Foreign(“$XTJ.asx”,”C”),
IIf(InGics(“55”),Foreign(“$XUJ.asx”,”C”),Foreign(“$XPJ.asx”,”C”)))))))))));

[SaidBitar]

I ran backtest the results are good , I have no idea why i did not implement it

anyhow it is good to test and verify

[JulianCohen]

What criteria did you use to make sure the index was in an uptrend Said? ADX >25 ?

[SaidBitar]

moving average or you can use whatever you want ADX is good, I tested on my AUS MRV system the results were not so good but still it is good to test

[LeeDanello]

Said Bitar wrote:

I ran backtest the results are good , I have no idea why i did not implement it

anyhow it is good to test and verify

On the ASX it reduces exposure and cuts some some good MR trades.

This may work better on a trend following system

[TrentRothall]

January 2017

MR 1 = -0.32% Return

Total return since april= 6%
DD = approx 16%

MR2 = 1.61% Return

Total since Dec = 3%

[TrentRothall]

It’s that season again where we all or at least me start to be on the wrong end of earnings releases and start to think it’s a good idea to filter out the trades with up and coming releases.

Currently in PRY.au

Does anyone do this?

Next 1000 …. you know the drill..

[Author]

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