Trents Weekly Journal

[GlenPeake]

Nice on Trent!!!

You pipped me at the post for the year!!! 34.23%!!! Very similar results with 2 completely different systems.

Nice one buddy!!!

[TrentRothall]

Haha hate to admit it but i was secretly hoping i could beat you Glen! How did you go in the firs 6 months? The bulk of my returns came in the current FY.

Well done to yourself! i need to put my head down and actually finish the wtt system i started!

[GlenPeake]

Haha…. I’m only too happy to finish 2nd best with 33.98%….

I was the opposite to yourself…. the bulk of my gains happened in the first half of the year….. I spiked in early September to 37% intra-month….. and have been doing the ‘tango’ (i.e. 2 steps forward – 2 steps back), going sideways since early September…..

Cheers
Glen

[TrentRothall]

Currently developing a ASX100 rotation system, the metrics so far are looking pretty good i think

05-now
CAR 21%
MDD 29%

I then tested it on the ASX200 and it doesn’t look so good!

Is anyone else trading anything similar that can run a quick test?

[MichaelRodwell]

Hi Trent…

Here is mine from 2005 to today

ASX100

CAR 16.5
MDD 22

ASX200
CAR 15
MDD 42
– Had a pretty much un-tradable section from 2012 – 2016
– 2000 days wait until new equity highs.

[TrentRothall]

mine is a 5 position system mike, what are you running?

[TrentRothall]

Do you know what % dividends added last year?

[MichaelRodwell]

7 positions
WRH 7
Simple MA Regime Filter
ROC Momo Ranking

Barebones.

Very similar to Nick’s ASX Rotational System he presented at Noosapalooza.

Using XTO.au for the filter – I didn’t change this for the ASX200 universe either.

[TrentRothall]

Sounds pretty similar to myself im ranking using ROC i’m just not ranking price though. I’m wanting to diversify my MR a bit and i figure exposure to the top 100 should help this.

Surprisingly removing the index filter it isn’t too bad minus 08

[MichaelRodwell]

Oh yeah… I removed the stock filter for mine too… didnt make a great deal of difference either way so I took it out to simplify.

How do you numbers look if you go back to 1999?

[TrentRothall]

from 95-now

CAR 18.2%
MDD 50% (smoked over tech bubble) 30% beside that

how about you?

[MichaelRodwell]

from 95-now

CAR 17.5
MDD 27

see attached.

[ScottMcNab]

…

[GlenPeake]

I’ve also been running through some backtesting for a XAO Rotational.

This is against the XAO @ 5 positions with a worst rank of 10. I’m using similar to your guys with ROC and a MA stock filter.

Minimum price filter of $1 and also a Min turnover filter.

This is from 1/1/2000

[TrentRothall]

Thanks guys, I have been playing around with a index filter change which seemed to help returns a fair bit without changing the drawdown. It is still pretty high though, this is from 2005 to now.

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