[DanielBaeumler]

May 2019

ASX
ASX growth: -4.1%

US
US MOC: +4.5%
US MR: -2.4%
NDX Mom: -7.8%
SPX Mom: -16.8%

Acct: -4.3%

First month after I changed my MOC system from R1000 to R3000 (in addition to some system adjustments). While I was very pleased with my 4.5%, AB backtest delivered 6.1.%. 10 trades came up in the backtest which didn*t show up in reality. One was due to low volume at the daily low (no fill) the others were trades from other exchanges or pre-opening prices which I’m not trading but the AB backtest is bringing up.

It’s obvious that the AB backtest results are less reliable than the ones I got from trading R1000. Nevertheless, the performance is still much better than my previous system (at least in this past month). We’ll see…

I’m trading now for over 2 years. My overall performance is about -10%. I made some operational mistakes I hopefully learned from. The main contribution to this disappointing performance is probably too much risk. I leveraged all systems to the max (MOC 4x, US Momentum 2x) which hit me hard last October and also this month. Taking the risk looked very obvious to me trying to make the most out of my funds with systems in place delivering great backtest results.

My Momentum systems will go in cash next month. Probably a good point in time to do some more analysis and spend some more thoughts on how to move on.

[DanielBaeumler]

Guys, thank’s a lot for this great feedback. For sure, I will keep you updated.
So far, I’m running it on 4x, max 40 positions. Very few days with more than 20 trades. Exposure 10.3%. From 2009 to-date, CAR is 35.1%, MAR 1.65. Fairly even distribution. I’ve also added a volume filter with V and MA(V,100) > 750k. Taking it down to 2x is cutting performance in half.
For now, I’ll leave it on 4x and see how it progresses

[DanielBaeumler]

Apr 2018

ASX
ASX growth: +8.41%

US:
US MOC: -0.58%
US MR: +0.79%
SPX Mom: -1.3%
NDX Mom: +3.1%

I have change my US MOC system. Biggest change is moving from R1000 to R3000. Backtest is showing significantly better performance. However, on 2-May, I noticed already a big gap btw backtest and real trading with one stock not getting filled due to low volume at the daily low. Let’s see how it finally works out…

[DanielBaeumler]

Thanks for the hint, Scott. I ran my old MOC R1000 system and it’s running much faster. My current MOC system is based on CBT code. I assume the ranking process to absorb quite a bit of performance.

[DanielBaeumler]

Thanks for your prompt response, Said. I see that Chrome is absorbing quite a bit of processing power. However, closing the browser does not really change the performance. Nevertheless, it’s probably my computer/installation in one way or another…

[DanielBaeumler]

Mar 2019

ASX:
Growth Portfolio: -2.33 %

US:
MOC: -4.92 %
MR: – 0.38 %
SPX Mom: + 4.46%
NDX Mom: + 3.25%

I had one really bad day on my US MOC system ruining this month performance. Overall, recent performance for this system has been fairly weak with flat months January and February (while most of you showed great results). However, my mid and long term back tests are very promising. Hence, I’ll leave my hands off for now.

[DanielBaeumler]

Russell 1000. There are a number of stocks trading by 5ct, The tick size feature is quite relevant for me. It works fine on v11.

[DanielBaeumler]

I’ve upgraded to v13. Unfortunately, it’s still not working. After pushing ‘Send orders’, nothing is happening.
In the meantime, I will carry on with v11 and hoping for v14 to work.

[DanielBaeumler]

For now, I’m going back to the previous version 1.0.6.11. Modify the tick size is really adding value and I’d like to keep it. Hope there will be a solution coming up shortly.

[DanielBaeumler]

Jan 2019

ASX
Growth Portfolio: -0.1%

US:
MOC: +0.4%
MR: -0.3%
NDX and SPX Momentum systems in cash

Account: +0.1% (in EUR)

Very quite for me this month. I see that some of you show good results on MOC systems which is how it’s supposed to be in periods where momentum systems are switched off.

[DanielBaeumler]

Dec 2019

ASX
Growth Portfolio: – 0.9%

US:
MOC: -3.4%
MR: -7.1%

Acct: -2.1%
Acct 2018: -9.4% (in EUR)

Made some operational mistakes this year. Apart from that, trading results were obviously disappointing (probably like for most of us). On top of that, currency was also working against me.

All the best for 2019 to all of you !

[DanielBaeumler]

Hey Julian,

merry xmas to you too. I’m glad, I’m not the only one doing very poorly these days but I guess we are all pretty much in the same boat. Let’s hope for great 2019.

[DanielBaeumler]

Yep – I made +3.8%. And during the day, it didn’t really look very promising. At some point, I was down almost 4%.

[DanielBaeumler]

Nov 2018

ASX:
Growth port.: 0.0%

US:
MOC: +7.0%
MR: +0.9%
SPX/NDX Mom: cash

Account: +2.7%

The exceptional performance of my MOC system was based on a big win on 20/11. A very welcome surprise after an awful October.
My momentum systems will stay cash for December.

[DanielBaeumler]

How do you run backtests showing daily performance?
I did a Walk Forward analysis with 1 day step size.Though, I guess there are smarter ways.
Cheers.

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