[DanielBaeumler]

April 2020

ASX: Cash

US:
US MOC: +0.1%
Momentum systems in cash

My MOC system delivered just 4 trades in April. For the majority of days I didn’t even get signals (trading R3000).

I sincerely hope the markets to go down in the next weeks reflecting the overall economic situation. This may sound weird but I would feel uncomfortable if we get into a situation where economy and financial markets are completely detached and governments and central banks drive the market. If ‘whatever it takes’ becomes the new paradigm than I wonder if the rules we base our systems on would be still valid. I believe a proper downtrend is also part of a healthy financial system.

[DanielBaeumler]

ASX:
ASX growth: -8.18%

US:
US MOC: -3.12%

Account: -3.7%

Momentum systems are switched-off. Very glad I changed my MOC system from 4x to 1x. I didn’t trade on 9/3 after the oil price dropped by 30% which was a very good decision.

According to backtest resutls, my regular 4x MOC system would have dropped 30% in March which is really alarming. I know, the system is not very sophisticated and I need to think what to do with it. It’s just very hard to find time to work on it next to a demanding regular job.

Happy to sit in cash now and waiting from the sideline.

[DanielBaeumler]

I closed all my positions on the ASX growth portfolio today (was 40% invested) and also deleveraged my MOC system to 1x. I’m thinking about positioning my orders shortly after US market opening to avoid unwanted slippage (not sure if this really helps). All my other systems sit on cash.

[DanielBaeumler]

Feb 2020

ASX
ASX growth: – 9.04%

US:
MOC: -1.84%
NDX Mom: -1.96%
Strategic: -5.45%

Acct: -4.17%

MOC: I de-levered on Friday were the system delivered high gains. Bad luck. Otherwise, I would have been positive for the month. But that’s ok. I learned over time that it’s better to play it safe. There is a good reason why all the big traders say: Rule no. 1: Don’t loose. Play a good defense. Especially theses days.

My NDX system will go in cash on Monday.

Beginning of February, I opened a strategic portfolio. I really like Nick’s approach to invest in mature disruptors. However, I need to decide whether to follow the buy+hold approach for this portfolio or to close the positions again. I’ll go for the latter and keep it together for now.

[DanielBaeumler]

Hi Nick. You kindly shared your thoughts on asset allocation earlier this year. You also run a strategic portfolio on a buy and hold basis. Do you still leave it untouched not matter what is happening?
Thanks for your thoughts.

[DanielBaeumler]

Yes, my MOC system runs very well.
My concerns were around my MR system which I’m reworking right now.
Cheers.

[DanielBaeumler]

Jan 2020

ASX growth: + 4.7%
NDX Momentum: – 3.4%
US MOC: + 8.9%

Total acct: + 3.9% (in EUR).

[DanielBaeumler]

Hey Travis.
have you ever replicated your system in AB? Just curious if you get to the same performance number as you get from ETFreplay.com. I played with the Ivy 5 portfolio in AB and don’t get anywhere near you performance (attached).
Are you using a timing or rotational model?

Cheers. Daniel

[DanielBaeumler]

Thanks. I certainly will take a look etfreplay.com
I wonder how you managed to make 13% in 2008 with all the indices going down.

[DanielBaeumler]

Quote:

Here’s a version that can be added to any system. I’m getting suspicious of it though – some comparison with some excel analysis is probably the way to go.

(This goes back to Craig’s posting from last October regarding an equity curve filter)

Hey Craig. I have pasted the snippet into my code. Even though, it was toggled off, I received weird backtest results and AB constantly ran into errors.
Has anybody suceeded in using this code?

[DanielBaeumler]

Great feedback. Thank’s a lot to all of you.

Back in 2018, Craig reviewed the code and Nick also looked at the system and liked it.
I also played with the parameters and the equity/underwater curve keep more or less its shape. No spikes etc.

@Len, I believe you are spot on. The market simply has changed. I also doubt that it’s good enough these days to develop a system using a set of standard indicators such as RSI and expect it to make money. Especially not in popular markets like NDX/SPX. Like everywhere else, our ‘business’ has become more competitive.

I will sit down again and revisit my approach. Developing a truly unique system nobody else thought is for sure a challenge…

[DanielBaeumler]

.. in cluding the backtest results

[DanielBaeumler]

Thanks guys. Excellent advise.

I remember, the chapter in our course talking about robustness states that a robust system is supposed to work in all market. It’s sometimes that basics we forget over the excitement of a promising backtest result…
Following Scott’s backtest logic is delivering following results:
RUI ex NDX

Backtest results for RUA lookin similar.

Considering that I did not make any parameter optimization, backtest results look reasonable to me.
However, coming back to Julian’s point. The system is using a RSI related indicator which seem to be not a good choice these days. Hence, my approach will be as follows:

1) Get rid of RSI/RSI related indicator (which will probably require a complete redesign anyway…)

2) Backtesting following Scott’s approach

3) Focus on RUT (assuming that this market is less popular for the bigger ans possibly more professional system trader)

[DanielBaeumler]

The system is based on relative strength and buys in oversold condition. Selling is happening either if market is overbought or after n days. If conditions have changed that this set-up is not delivering anymore money is the million Dollar question to be answered.
Optimization is only done with 2 parameters. Backtest results do not suggest any over-optimization (e.g. no performance peaks for any particular parameter combination).
Real-time results match backtest.

[DanielBaeumler]

Unbelievable performance, Said. Congrats!
Which universe are you trading with your US MOC system?
What is the gap between your real performance and the backtest results you get from IB?

Cheers. Daniel

[Author]

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