Trents Weekly Journal

[TrentRothall]

i still have access to leverage scott so it isnt a issue for me at this stage, plus, even with 15 positions i am rarely fully invested. It’s pretty comfortable system to trade actually…

[ScottMcNab]

Thanks Trent.

[TrentRothall]

September Results

Asx MR = 5.45%
YTD = 29.96%

third +5% month in a row now. Made a mistake that cost me some trades and some $$ but we move on…

[Anonymous]

Mad respect :woohoo:

[MichaelRodwell]

Congrats Trent. Awesome trading!

[Nick Radge]

Beast!

[GlenPeake]

Really nice work Trent!!! Keep plugging away!!

A 30% return is a fantastic result for the year to date! Happy trading for the remainder of the year!! May it continue!!!

[LEONARDZIR]

Trent,
Outstanding results!
Could you run your system on the Russell 1000? My mean reversion systems in the US are not working this year. Can’t tell if the market has changed or it’s a problem with my systems. I am particularly interested in your results for 2018 and 2019.
Thanks

[TrentRothall]

Cheers Len

running it on the R1000 18/19 with my default parameters is not very pretty….

I am not using any of the selection bias code for my system either. I found that it just diluted my results too much and it was not necessary on the ASX anyway, so my results on the Russell are to be taken with that in mind.

Because I have adapted my system a few times over the years my testing even on the ASX is a little bit different to my real-time results. Plus I seem to miss a few trades here and there, especially when the low of the day is equal to my limit order. I have about 5% behind my back test results for the year, which is an ideal but I figure if I am still making money then it is okay… Probably not the best or most professional way of attacking things.. Plus lately I seem to have made about three mistakes which probably cost me that 5%!! I seem to have developed a habit of loading the trades into the API and forgetting to send them!

13 positions at 15% too

[Nick Radge]

Len,
A lot of MR traders struggling this year. Quantitrader, Connors and I think Cesar all struggling.

[LEONARDZIR]

Trent,
Very kind of you to do the testing. It does confirm to me that mean reversion is not working this year in the US.

[LEONARDZIR]

Nick,
Agree. Very difficult to make money with MR and MOC. I keep thinking about a comment Caesar made to me that he thought the edge for MR was narrowing over the last several years.

[TimothyStrickland]

Len,

As Nick has pointed out MR systems are struggling. Mine is in 25% drawdown. This is the first month since May I have captured any profit at all.

I have been trading too long to know though that if I were to stop using MR and try something that is currently working, Murphy’s law will come into effect and that strategy will stop working and MR will start working again.

In fact the only system that has made me any money is my current discretionary trading system which is up over 50% and just started trading it 4 months ago. All of my systems including my 401k are in drawdown otherwise.

My long term plan is to now just make more strategies.

[TimothyStrickland]

Current system

[LEONARDZIR]

Tim,
I have mentioned in prior posts that I stopped trading my MR systems when their equity curves fell below their 200ma. Saved me a lot of money so far. I continue to follow the equity curve and will trade again when they cross above their ma. I am also testing other systems but nothing very good so far.

[Author]

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