[DanielBaeumler]

Cheers, Len. Hope the US market stays as bullish as we all hope. I’ve also shifted some funds towards my momentum systems and the US market.

[DanielBaeumler]

Nov 17

US MOC: +2.15%
US Swing: +1.49%
US Mom: +8.21%

ASX MOC: -1.24%
ASX Swing: +6.63%
ASX Mom: -2.57%

Globa ETF: -0.77%

Total: 3.85%

If each month could be like this one…

[DanielBaeumler]

Nick,
is there a similar requirement for US Mgr to publish their activities and where can I find this?
Cheers. Daniel

[DanielBaeumler]

I’m also trading my US MOC with 4:1. In order to get a better feel for the risk, I verifyied worst case scenarios on all days selection bias would have kicked in (77 from 2000 to-date) and also ran a Forward analysis in AB on daily basis (took about 18 hrs). Quite a bit of work but it really helped me to get more comfortable with deciding how much money I want to allocate to this strategy.

Result: Worst days assuming worst case scenarios (all days were subjected to selection bias)

4/8/11: -12.4%

8/8/11: -11.2%

28/10/09: -9.6%

Worst months assuming worst case scenarios:

Aug 11: -11.1%

Jun 10: -4.2% (no selection bias cases in this month)

Jun 12: -4.2% (no selection bias cases in this month)

Unfortunately, I don’t get any data for 1987.

Conclusion:

Even though, trading 4:1 appears very risky, the system would have easily survived even the month of August 2011 with 2 pretty tough days. Nevertheless, we all know that future will be different to the past and the hardest days may be ahead of us. I will also reduce the capital allocated to this strategy but still stick to 4:1 for the time being.

[DanielBaeumler]

My October results:

US:
MOC: + 3.6%
MR: – 2.8%
Momentum: + 7.9%

ASX:
MOC: + 0.3%
Swing: + 1.8%
Momentum: pause (coming back in November)

Notes:
Results are based on STT reporting. Unfortunately, STT numbers look better than my IB account statement which does not grow in the same way (IB Reports/Portfolio Analyst/monthly report – comparing Value previous month with this month).

Anybody the same issue?

[DanielBaeumler]

Thank’s Said. This works.

[DanielBaeumler]

Cheers, Zach.

[DanielBaeumler]

same issue for me.
I run a MOC system on R1000 and a Swing system on NDX. Occassionally, some of those trades pop up in both systems which I don’t like. Now, I have adjusted my MOC reducing the universe to R1000-NDX. According to AB, performance is expected 3 % points lower with same DD. Nevertheless, I feel more comfortable with this approach.

[DanielBaeumler]

should be lanced.

should be more balanced

[DanielBaeumler]

My September results:

ASX:
MOC: +0.55%
Swing: +1.38%
Momentum: Paused – no signals

US:
MOC: -1.66%
Swing: +1.62%
Momentum: +0.93%

I have reviewed my US MOC system. Great average performance over the past 17 years but weak over the past 24 months (flat in last 12 months). I’m now running my ASX MOC on the US market with adjusted parameters and position sizing. Overall performance is similar but results should be lanced. Let’s see….

[DanielBaeumler]

Thanks Len. My idea was actually more to create a watchlist based on the stocks the top 20 or 30 Hedge Funds are holding. I would then create a rotational system but let it run on the new ’13F’ watchlist’ instead of e.g. SPX. My assumption would be that the momentum and stability of those stocks would be higher than stocks selected from a regular universe which should eventually result in better performance. Though, hard to proof since I would not be able to create a ’13F Current&Past’ watchlist.

[DanielBaeumler]

Len, were you able to replicate Antonacci’s backtest results in AB? Coding looks pretty simple but I didn’t get anywhere near Antonacci’s results he presented in the Abstract document (10-16% CAR in each of the categories). Unfortunately, most of the suggested ETFs don’t have a long history in AB which makes backtesting obviously difficult.

[DanielBaeumler]

it happened to me as well. I placed 3 Mkt orders, only 2 got filled. IB support chat said it was due to a technical problem / routing issue. It happened to orders which were created prior to market opening. IB is still working on the issue. At this point, it does not seem clear whether the issue is with the stock exchange or with IB. I will be informed via ticket when they sorted it out.
They advised not to place Mkt orders prior to market opening (which might be a challenge for you guys in Australia)

[DanielBaeumler]

Hello David,
just noticed that you are also from Germany. Where in Germany are you living?

Daniel

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