Trents Weekly Journal

[TrentRothall]

oh no, hopefully it won’t be an expensive lesson!

With IB cancelling my orders it will cost me a lot today i think only sitting with 13 open positions, should be 20. My acc is up 3.8%. That is the problem with the asx, when volatility gets high the margin requirements tighten up and you can’t buy. deviates from backtests on days like today.

[TrentRothall]

Hope no one was long the XIV (VIX inverse ETF) Down 100% bsically, surely someone will get in serious trouble for thinking this ETF was a good idea?

[Nick Radge]

https://www.marketwatch.com/story/xiv-trader-ive-lost-4-million-3-years-of-work-and-other-peoples-money-2018-02-06

[TrentRothall]

wowee i like this quote
“If you want to feel better I was short from the election of Trump all the way until 1/26/2018 and I basically ran out of money and liquidated the last of my account,” he wrote. “I sat through the most brutal bull market rally in history just to watch the crash begin a week later.”

talk about buy and hope… i mean hold

How fragile is that ETF though i mean it’s not a black swan event, two days worth of volatility and it’s gone

[Anonymous]

Yes, glad not in XIV, although at least you’re probably only losing everything you put in – and not more! A tweet that made me laugh re the drop yesterday….

“$SVXY and $XIV just merely experiencing a Fibonacci retracement, as in retracing back to the levels when Fibonacci was actually alive”

[TrentRothall]

i’ve got my first momentum system ‘rollover’ happening on the first. I just done a exploration out of curiosity to see what symbols look like they might be dropping out. I noticed one thing and it got me thinking, if i bought say 100 shares at $100 last month and the price drops to $90 but the momentum is strong enough to keep it in the top selections this month, the exploration will say buy 110 for example. I guess i only stick with my original 100 shares because that’s how i’ve tested?? Or are people re-balancing the lower priced holdings?

But it would be interesting to test to see what happens.

[Nick Radge]

You trade it like you tested it.

[DanielBaeumler]

This happens every month to me and I rebalance based on the quantity the Explorer is bringing up for the new month (unless qty adjustments are really minor).

[TrentRothall]

even if you’re holding say 50 shares and explorer says 45 you will rebalance? that will hurt your bottom line i think in the end on the stocks that are held for 12+ months. because the positions will never have a chance to grow

[ScottMcNab]

My system in backtesting sticks with the same number of shares it purchased initially…whether the stock is held for 1 month or 12 months. Did anyone code rebalancing into their systems ?

[SaidBitar]

I tried many times to code it with custom backtester but somehow all the time it breaks, then i took the easy path I sell everything i have on the last day of the month and then i buy again on the first day of the month.
I know it is not accurate but it is good enough to give indication that if the re balancing deserves the effort or not. From my testing it does not deserve.
here is what i use

Code:

IIf(Month() != Ref(Month(),1),0,IIf(Year()>=1985 AND Month() != Ref(Month(),-1),score,scoreNoRotate));

[TrentRothall]

Feb

Nasdaq mom = -0.9%
ASX MR = -1.26%

[TrentRothall]

Hi guys

Is anyone out there using LIT orders on the ASX?

[SaidBitar]

I wanted to reply you earlier but i forgot

I enter all the trades on the ASX with LIT
i set the two values the same

[TrentRothall]

Thanks Said, noticd any improvements or issues? It time to try something different.

[Author]

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