[LEONARDZIR]

With this massive surge in the US market it is conceivable that there is a monthly buy signal in US momo and aggressive Nasdaq systems at the end of the month before a significant pullback. This raises the possibility of a significant pullback after the buy signal.
If we get a buy signal at the end of this month I am going to use the model of 50% on the monthly and 50% on the weekly.
Of course a lot can happen in the next 2 weeks.
Another issue is the difficulty I am finding sitting on cash with a historic market rally. It turns out for me fear of missing out equals the fear of losing money.

[LEONARDZIR]

March 2020

Nasdaq aggressive +3%
US MR -4.2%

All accounts – 10.3%

Sitting in T bills.
Stopped trading us MR in . the middle of the month. Watched it go down 17% mark to market and then have a 25% upday. Started trading it again last week. The stats continue to look good but with marked increase in volatility as expected.
Was also using a bond rotation strategy but went to cash and tbills when looked like US bond market under duress.

[LEONARDZIR]

Stopped trading my USMR systems. Reason: there is nothing in my backtests which include the type of action in this market. So I feel like I am trading blind.

[LEONARDZIR]

In January and most of February the short side was awful. When the market turned down the shortside perked up. But it was interesting that the long side has been making significant profits in this downturn.

The shortside has been profitable in my backtesting but it is very difficult to trade. Problems include an inability to short the stock which isn’t included in the backtests and some big losses. Not for everybody.
Len

[LEONARDZIR]

Scott,Julian,
I have taken a different approach to my MR trading this month. My backtests look good even when the market is under stress. Also I do not trade MR with leverage.
So I have been trading through this volatility.
On Monday I went down 6% and had second thoughts. Today I went up nearly 5%. I am going to hang in there.
Len

[LEONARDZIR]

Scott,
No oil.
My MR systems up 4.6% for this month. Not sure how they will do tomorrow but I have an almost equal balance of longs and shorts..

[LEONARDZIR]

It’s times like this that led me to Nick and his mentoring. Nice to have my accounts essentially in bonds,gold and cash.
My thanks to Nick and Craig for helping me with my system trading and investing.

[LEONARDZIR]

Julian,
One other point. I am not trading with any leverage.

[LEONARDZIR]

Julian,
I think I might have mentioned to you that starting in September I started trading with a trader who has made his living from trading for the last 20 years. I switched to his baxktesting software and API. Despite excellent backtested results I immediately went into drawdown and stopped trading in December when my equity curve fell below its 200ma. He reworked two of the systems again with excellent backtested results.I decided to start trading again in January but had a down month. Early in February the drawdown continued but based on backtesting and some discussion I continued to trade. The week before last weeks historic drop was the worst week for the models in its history. Last week was the best week in it’s backtested history with a very profitable month.
I am going to continue to trade the systems since I believe the market has changed. I don’t think the systems I am trading does well with low volatiltiy uptrending markets. If I am right I think volatility will increase which I think is good for my systems.
Incidentally I am trading 4 systems. 2 are long and 2 are short. Of the 4, 3 are short term mean reversion and one is an IPO long breakout system.
Of interest, last week both longs and shorts made money.

[LEONARDZIR]

Learned a couple of things about my MR systems. They were flat to down up until Feb. They don’t appear to thrive in a low volatility uptrending market. Really had excellent returns last week during the downdraft. So now I know they perform well in a selloff. I am betting we have increased volatility from here with a potentially up and down market. I am guessing my MR is going to do well in this kind of market. So I am joining Nick’s train of thought and increasing my exposure to my US MR.

[LEONARDZIR]

Correction US Rotn sp500 – 7.8%

[LEONARDZIR]

February 2020

US MR +7%
Nasdaq Aggressive -4.9%
US Rotn SP500 -4.9%
All accounts -5%

Notes
US MR was in the hole earlier in the month had very strong returns this past week as the market dived.
Ordinarily I Get out the first day of the month when my filter turns negative, Deleveraged today instead.

[LEONARDZIR]

What systems are you trading?

[LEONARDZIR]

Here is how I handle my limit orders. I don’t place my limit orders in the market. The software I am using holds the limit order and places it in the market when the limit price is hit. In addition I can specify a percent of slippage I’ll allow which means I get most fills but some fills will be above the limit price(if long) depending on how much slippage I allow in the system.
That said I am still not very profitable using my current MR systems.

[LEONARDZIR]

Jan 2020

US MR+ -3.6%
Nasdaq Aggressive +4.7%

All accounts excluding above – 0.5%

[Author]

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