[AnthonyFuentes]

October 2023
[list]
[*]R1000 monthly rotational: -11.76%
[*]NDX100 monthly rotational: -6.04%
[*]MR 1: 0%
[*]MR 2: 0%
[/list]
Total account: -1.5%

I continue to be extra busy away from the screens — hence the late update. The regime filters for the MR systems turned on and did what they’ve done in my backtesting and stopped some of the bleeding. The regime filters definitely help me psychologically to stay in the markets when things are turning south.

I haven’t made much progress on new systems, but I’m nearly done reading Curtis Faith’s “Way of the Turtle”. It’s been a good read and I’m looking forward to creating some trend following systems.

[AnthonyFuentes]

September 2023
[list]
[*]R1000 monthly rotational: -8.86%
[*]NDX100 monthly rotational: -8.62%
[*]MR 1: -4.20%
[*]MR 2: 0.16%
[/list]
Welp, September sucked. I’ve had a lot of noise coming in from outside the market the last 30 days as well so I didn’t make much progress on a new system.

[AnthonyFuentes]

August 2023
[list]
[*]R1000 monthly rotational: -4.53%
[*]NDX100 monthly rotational: 0.14%
[*]MR: –7.22%
[/list]
This month:
[list]
[*]Had MR positions in UPST and EBIX go badly against one of my systems. 35% and 40% losses, pretty much up there with all time highest single trade losses for the system.
[*]The rotational systems hung in there mostly, but the R1000 system did reach a monthly MaxDD of about 11%.
[*]I completed a new MR system to trade alongside the existing one. I’m not super excited about the trade frequency thus far, but looking at the backtest it could be as expected. I’ve put a process in place when building my systems to avoid that kind of oversight.
[/list]
Upcoming month:
[list]
[*]Working on an all weather system — is that currently the “in” thing?  Specifically, I have completed Tom Basso’s All Weather Trader book so I’m messing around with recreate the sector ETF timing system (as some other traders here have as well). My highest priority at the moment for a new system is it being less correlated to the US stock market. I’ve also seen Nick posting about this so I’ll be sure to look at his writings about this.
[/list]

Cheers everyone!
 

[AnthonyFuentes]

Awesome work, Len.

I’m just wrapping up Tom’s recent All Weather Trader book. It’s been a great read. Is this where you got your inspiration for your All weather ETF portfolio?

[AnthonyFuentes]

July 2023
[list]
[*]R1000: 7.4%
[*]MR: 4.31%
[*]NDX100 monthly rotational: 5.05%
[/list]
This month:
[list]
[*]I stopped trading my MOC system. I noticed some unexpected issues and I’m taking it offline until I can review. EDIT: I’ve noticed the issue a few months ago and I’ve been watching it play out. This month confirmed it for me.
[*]I deployed my R1000 monthly rotation system.
[*]Took a step back and didn’t work strictly on any systems. I reviewed my existing notes, which I keep in Notion, and rewrote everything. I am hoping this will improve my efficiency and consistency when building systems going forward.
[*]Continued tiny amounts of work on a swing trading system. Unfortunately, this system trades on 15-min bars and I don’t have much data for the /MES (Micro ES futures contract) where I’m messing around.
[*]Changed my IB commissions for my high turnover systems to tiered-rates and I’m paying much lower commissions. I remember Nick mentioning him doing this and it took me months to finally look into. Lesson learned. 
[/list]
For this upcoming month I am planning to work on a MR system that can trade alongside the current one I already have. I’m not using my capital efficiently with only the 1 MR system so I’m looking to get another one in there.

After that I’m still planning to have a look at some classical trend following, but one thing at a time.

Cheers everyone!
 

[AnthonyFuentes]

Nice work, Len! I’m just about to finish Tom’s new book The All Weather Trader and looking forward to doing some of what he talks about in the book.

[AnthonyFuentes]

June 2023
[list]
[*]MOC: -0.7%
[*]MR: -1.6%
[*]NDX100 monthly rotational: 7.76%
[/list]
This month I worked on a R1000 monthly rotational system. I’m nearly done with version 1.

I’m not 100% sure what I’m going to work on next, but I’m thinking about a long/short trend following system that trades ETF’s. My goal with this is to add a system that has low correlation to my existing systems.

I’m also planning on looking into classical trend following, similar to what Jerry Parker does these days.

Additionally, I’d really like to add some variations on the MOC and MR systems I’m trading. As I’ve mentioned before they are simple systems with a few rules. My goal would be to create variations with equally simple rules that have minimal correlation to the existing systems.

Lots to look forward to.

Cheers everyone!

[AnthonyFuentes]

I’m working on a similar strategy for the R1000.

So far I’m at 26/52. That 52% was during the dot com crash and still the year ended with a 39% return. That being said, there’s no way I could stomach a 50%+ DD.

My system is fairly simple and includes: A price and simple liquidity filters, index filter, stock uptrend filter, and uses ROC for the rank/score.

I’m going to keep plugging away. There’s definitely a huge hole I’m forgetting to cover here.

[AnthonyFuentes]

Thanks Nick.

[AnthonyFuentes]

May 2023
[list]
[*]MOC: 3.3%
[*]MR: 2.8%
[*]NDX100 monthly rotational: 11.80%
[/list]
I completed my first MR system at the beginning of May. It’s a simple system with few rules.

On a personal note, I went on vacation for 2 weeks during May so I didn’t get much else done. 

Next up is circling back around to the R-1000 momentum system that I paused a few months ago. I’ve also been reading Tom Basso’s The All Weather Trader. It’s a great read if you’re looking to as he says “attack risk” and have more uncorrelated return streams.

Cheers everyone!

[AnthonyFuentes]

April 2023
[list]
[*]MOC: -0.77%
[*]NDX100 monthly rotational: -3.01%
[/list]
I’ve continued working on my MR system. Nearly done, but had some unexpected things come up this month. On to May!

Cheers.

[AnthonyFuentes]

March 2023
[list]
[*]MOC: -4.40%
[*]NDX100 monthly rotational: -1.95%
[/list]
This month I started work on a mean reversion system. It was slow going to start while I tested out some key ideas, but I’m nearly done with v1. I expect to have it deployed by the end of the month. If time allows I will also revisit my R1000 monthly rotation system.

Cheers.

[AnthonyFuentes]

Thanks Nick. I just emailed you about this.

[AnthonyFuentes]

February 2023
[list]
[*]MOC: -1.52%
[*]Monthly Rotational R1000: 0.00. I stopped trading this system this month. I have reason to believe there’s an error in my code. I’ll come back around to it in the next two months.
[/list]
I worked on a monthly rotation system this month and made my first trades today.
Work now begins on a mean reversion system!

Cheers.

[AnthonyFuentes]

January 2023
[list]
[*]MOC: 3.18%
[*]Monthly Rotational R1000: 0.00 — in cash.
[/list]

As planned I deployed a refined MOC system in January, which ended up doing fairly well. I suppose it’s somewhat expected given the market this month.

I’m working on a longer term trend following system and I’m planning to get that done by the end of the month.

Cheers everyone!

 

[Author]

Posts