[HendrikBotha]

March 2022

US
MOC LONG: -6.4%
MOC LONG 2: -8.7%

AU

WTT: 0.66%

[HendrikBotha]

Thank you Rob. I’ll have a look at that Video.

My MOC systems took an absolute hammering on 1 March and 4 March.

I have now decided that I am not comfortable trading at full size when the volatility in my strategies blow through the roof to levels way above those in my backtest and way above what I am comfortable trading.

From tonight I’ll be adjusting position size to target 30% pa. This is definitely going to make me sleep better at night. Hopefully I don’t suffer from too much FOMO when everyone else have amazing absolute returns in the good times.

[HendrikBotha]

Good luck Ben.

[HendrikBotha]

Welcome, Matt.

If you decide to travel a little further south you can visit me on the Gold Coast. lol

[HendrikBotha]

Hi Chris,

Congrats on another month of positive returns.

Sorry to be the bearer of bad news, but you won’t be able to get a day trading margin account as an Australian retail trader at IB. I went through this exercise a few months ago. You’ll have to go with a different broker like Tradestation or Alpaca.

[HendrikBotha]

February 2022

US
NDX100: 0%
MOC LONG: 12.35%
MOC LONG 2: 13.88%

ASX

WTT: 0.86%

Market On Close strategies both performed well in February while WTT was flat and MOMO strategy remained switched off. WTT is only 30% invested.

Market On Close missed two days of positive returns due to a bug in my code on one day where an untradeable security resulted in none of my orders being placed. I have now fixed that bug. The following day no orders were placed because my trade server went offline. MOC returns would have been higher had these two events not occurred. So happy I didn’t miss the massive return day on 24 February!

I have now had two massive return days (>10%) in the last two months in the MOC strategies. Nobody is going to complain about such days, but it started to make me think about the volatility in these strategies as it might as well have been down days. I did a quick volatility analysis on one of my MOC systems and noticed something quite interesting. Average 60 trading day rolling annualised vol prior to March 2020 hardly ever exceeded 30% and averaged 20% over 10 years. Since March 2020 average vol has doubled to 40% and there have been long periods of trading at 70% vol! I think this is dangerous and I am seriously considering adjusting position size to target a maximum of 30% vol. Especially given that the majority of the backtest period on which basis I am trading had vol of about 20% which seems a lot more reasonable.

I would love to get your thoughts on this.

[HendrikBotha]

Hi Ben,

I’ll be happy to discuss my experience with Alpaca. I initially started down the Tradestation path, but I found the Alpaca API easier to understand and implement.

I’ll add you to Skype and we can have a chat at some point.

Cheers,
Hendrik

[HendrikBotha]

January 2022

US
NDX100 MOMO: -23%
MOC: 14%
MR turned MOC LONG 2: 7.6%

ASX
WTT: -6%

[HendrikBotha]

December 2021

US
NDX100 MOMO: -4.07%
MR: 15.94%
MOC LONG: -2.9%

ASX

WTT: -4.05%

MR system continued to perform well. MOC system somewhat recovered after taking a massive 8% loss in a single day early in December. WTT was out of the market most of December, but back up to 95% invested on Tuesday

[HendrikBotha]

Hi Rob sorry I didn’t see the question you posted. Yes, the Alpaca I talk about is alpaca.markets

[HendrikBotha]

Thank you Tim.

All that good luck in the MR system got wiped out in a single day on my MOC system yesterday 1 December that lost 8% in a single day!.

[HendrikBotha]

November 2021

US

NDX100 MOMO: -4.5%
MR: +9.6%
MOC LONG: -1.9%

ASX
WTT: -4.2%

Took me a while to implement the software that executes the MR and MOC strategies on Alpaca. I’ve been running the MR and MOC systems live and automated on Alpaca since mid October.

[HendrikBotha]

I was unable to switch to IB Lite. Some further research revealed it is only available to those satisfying the below conditions.

Account Types and Clients Eligible for IBKR Lite

US resident individuals, joint, IRA and trust accounts
US Professional or Non-Professional Advisors (Review Requirements) and their clients
US fully disclosed introducing brokers and their clients
*IBKR may allow introducing brokers to go Lite on an exceptional basis.

[HendrikBotha]

Thanks, Nick, I didn’t know the commission on IB Lite is $0. Definitely looking into IB Lite and the difference between IB Lite and IB Pro tonight.

[HendrikBotha]

Hi Ben,

Have you had any luck reproducing the advertised WTT performance? I’m getting results very similar to yours and I can’t figure out what I am doing wrong either.

Thanks,
Hendrik

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