[KateMoloney]

Can’t upload excel files here …

So here is a snap show of drawdown calculator (based on Jerry Parkers rules)

Not sure if it is something I will implement myself, but it has been insightful to try it on.

After starting the mentoring program 12 months ago, the biggest realisation I’ve had is that the research always continues.

Julian’s post the other day sparked some ideas.

A post Nick put up helped me to think outside the box on a particular issue … which then led to a new idea …. which is so far testing well.

Often it is the smallest or simplest idea that can have the biggest impact. You don’t have to be a brain surgeon to succeed at trading.
My coding skills are still really basic. My emotional tolerance prior to the surgery hasn’t been optimal. 

I’m still a new trader in the scheme of things … and I haven’t blown up my accounts despite the challenging market.

Nick mentioned last night that some of this group are using leverage (which obviously amplifies results) and yet there are hedge funds using no leverage and losing 30%, 40% and 50%. With leverage, one can only assume their losses would be a lot higher. Nicks comment hit home for me how much we are actually succeeding in the scheme of things.

[KateMoloney]

Shoot ….. that is no good Tim. Sorry to hear that.

Will ask my USA friend if she has any contacts that might be able to help you. She lives in Baltimore, which I believe is close to you?

I had this lady down as another potential contact.
Dr Lisa Koche 813 319 0911 Spectra Wellness.

[KateMoloney]

Great insight Ben

[KateMoloney]

Tim Strickland post=13199 userid=5338 wrote:

Been having some health issues as well Kate, hope you get feeling better. Mine started happening after the COVID vaccine.

I think as long as you can figure out WHY your system is not performing well or outside the test parameters then you can make a decision. My risk tolerance is not what it once was 3+ years ago.

Sorry to hear you’ve been unwell Tim. My brother had a very bad reaction to the vaccine (family history of it) so I hunted out some solutions. There is a doctor in LA that has successfully treated patients with similar issues using stem cell therapy  (? I think ?) Mark Ghalili regenmedla.com He shares his patient recovery stories online but gets censored quite a lot.

Not sure what you are doing to get better but hope you can figure it out. 

[KateMoloney]

Started trading again today, on a smaller account while I get back into the routine.

Day 14 of a nasty flu. Brain capacity still not 100%. Takes 2-3x as long to get things done.

This unlucky run on health has made me appreciate good health even more

Have set some learning goals (trading) for the rest of the year. Focusing on those gives me a sense of something I can control & work towards, whilst letting the trading systems do their thing ….

[KateMoloney]

Julian Cohen post=13190 userid=5314 wrote:

I think the best bit about your story is that you didn’t blow up, so even though you took a hit, you are still there to go for the next round.

It took me a long time in my backtesting journey, but once I realised the the CAGR was pretty much always going to be different than the actual, mainly due to trades not hit for whatever reason (I’ve had a number of missed trades the last few days from lows of the day being my limit price – they rarely get filled), I worked a lot more on keeping the MDD as low as I could, whilst the CAGR was still good. Then in my head I’m thinking that whatever I see as an MDD in backtesting will at some point in the next few years be half what the real MDD will be.

That at least sets the mental framework for me for trading.

Great share Julian.

Craig gave me a bit of code that excludes the low of the day. So when I run my back tests I do the “normal” back test, then I exclude the low of the day to get a more realistic picture.

[KateMoloney]

Been running additional tests (thanks Nick for sharing what you’ve been testing and looking for).

Oddly, only one systems present max DD exceeds the max DD of 97/98 and that is the turn key code (with tweaks) on the R2000. This doesn’t occur on the R1000 version of turnkey.

 
   

27 October 97 -24% in one day, but made 96.8% the following day
31st of August 98 -27% followed by a 10% day the next day
19th of April 99 -24.7% (made 23.8% on 15/4 and 17% on 5/5 & 14% on 26/5 & 11% on 6/2)

 

 

[KateMoloney]

Scott McNab post=13168 userid=5311 wrote:

For what its worth (not sure if applicable Kate but may help open up some rabbit holes) for some time now I have used:
2 systems with Index Filters (C>MA and C>LLV(C,x) )
2 systems without Index filters but will reduce position size (One reduces PS if Index C 2 systems with no Index filter and no PS variants (are MRV systems with no leverage)

6 systems may not appeal to all but even 2 or 3 systems done this way help reduce portfolio maxDD by pooping the bed at different times (using Alvarez portfolio combining tool)

Thanks Scott.

I’ve dumped all the ideas into a word doc. Might add them to Julians thread later so we can refer to it later.

[KateMoloney]

Thanks for sharing Glen

[KateMoloney]

Thanks for sharing guys.

What is interesting is during 2008 & 2002 the MOC strategies I have performed well. So there is a part of me that wonders if an index filter on MOC will do much on a back test (as Chris mentioned).

Obviously will only know when the research is done.

I am mindful of making sure I don’t have a knee jerk reaction & over complicate things to try and avoid financial pain. Trying to avoid it will only create more of it (eg curve fitting).

It is my goal to understand how to make index filters for the longer term strategies, so even if its not implemented in MOC, it is worth the exercise.

Here are some ideas pulled from this forum … just cut and pasted into a word document, untested 
[list]
[*]ATR of an index
[*]RSI of an index
[*]HV
[*]ADX
[*]MACD convergence
[*]Look at VIX
[/list]
Could also use Nicks trick of reducing account balance by X% for every X% drawdown. Not sure if that could be tested on AB, but seems a good way to manage drawdowns especially for the more aggressive strategies. 

 

[KateMoloney]

Hopefully this uploads with higher quality … most recent daily P & L on the backtest.

 

I was lucky to miss some of the downside (the upside to surgery & being sick….). Funnily enough in early June I was starting to research Index filters for the MOC strategy, starting with a basic MA index filter and then looking at volatility index filters. Haven’t done enough research to come to any conclusions yet, but it will be interesting to see what it comes to.

Has anyone else played around with this for MOC strategies?

 

[KateMoloney]

Julian Cohen post=13146 userid=5314 wrote:

That first chart is quite telling. Basically the markets are not reverting as we are looking for them to do…it’s all just mean and no reversion [Dad trading joke there]

It is very mean !

[KateMoloney]

This is our fault Julian. We didn’t appease the angry trading gods last month.

*Runs for the hills, quits trading and meditates in a cave for the rest of eternity*

[KateMoloney]

Haven’t traded since the surgery. Had hoped to be trading this week, but I’m on day 9 of a really bad flu. Doing some research on my systems, but the brain fog and dizziness has slowed me down. It might be another 2-4 weeks before I’m ready to trade again. 

max DD since 2005
 

Been thinking of the game plan moving forward. I don’t want to make a knee jerk emotional reaction and change my style of trading, or not trade a system because of a challenging month. Will leave the decisions for when I’m feeling better.

ASX Momo, US Momo, TLT & Growth Port – 100% cash
MOC 1 – 17.43%
MOC 2 – 17.55%

[KateMoloney]

Its been an …. interesting ? month

Currently doing some research on my systems. The daily P & L chart says it all …. last month healthy losses and the profit side is errr…. flat. In a 20 year backtest it really stands out.

[Author]

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