[LEONARDZIR]

Julian, I either don’t take a new position or discard a holding if a 15% gap in last 100 days.
Here are results from 2006 to 2016 single runs
With gap filter:
Car DD Risk parity
16.6 26 0.1
17.8 26 0.2
Without gap filter
17.6 23 0.1
19.5 25 0.2.
I also ran the WTT on Russell 3000 price 1-100 with ranking from 2006 to 2016 single run and got CAR of 10% with 34% drawdown..
Couple of things. No selection bias in rotational momentum.
I am probably based on my test results going to trade it with risk parity of 0.2 and no gap filter in 2017.
Len

[LEONARDZIR]

Julian in the Us momo system I use the 15% gap rule so keeping nvda was a judgement call. Since nvda should not strictly be a holding. At this time.
About your WTT. Nick used the Russell 3000 price 1-10 in his book for statistics. Clearly you are using a different universe if you use WTT. Could you share that universe so I could retest the WTT. So far I have found the WTT pretty inferior in returns to rotational momentum in the US.
Len

[LEONARDZIR]

Thanks Craig.
Len

[LEONARDZIR]

Nick,
Nvda is going parabolic on weekly charts. It is making great money for US momo. Any thoughts about exit or just wait until it drops out of top stocks?
Len

[LEONARDZIR]

Julian, Said,
I notice that you both are trading multiple systems in the ASX and US. They include WTT,MOC,SWING and momentum rotation. I am curious why neither of you are trading momentum rotation in the US. I found with my own testing and in discussions with Nick that momentum rotation in the US is a much more robust strategy than any stock trending strategy in the US( I have never tested strategies in the ASX). Perhaps your testing results are different from mine?

[LEONARDZIR]

Julian, thank you for letting me know

[LEONARDZIR]

Julian you keep mentioning a US swing system. Is that your mean reversion system that is not your same day MOC system or is it something different such as a short term breakout system?

[LEONARDZIR]

Julian, what is the leverage on your US MOC?

[LEONARDZIR]

Brent, you didn’t mention which market you tested. You certainly have quite a lot of trades so I assume you have IB commission rates and trade the us market perhaps the Russell 1000?
I am surprised you generate so many trades with a 1.5 atr stretch

[LEONARDZIR]

Nice month for me.
US MOC. 2.1%
US MOMO. 10.1%

[LEONARDZIR]

Brett,
Yes expect greater drawdowns than backtesting especially if there is some selection bias but even without. I traded a 15% per position for a brief period In small 50k account which was ok but when I started trading with a substantially larger account I found it too volatile. Nick suggested the 10% figure to me.

[LEONARDZIR]

Brett, not sure how you arrived at 25 positions at 16% but I think you will find in live trading that anything more than 10% per position will be too volatile. I settled at 40 positions at 10% also allowing me to trade more signals.

[LEONARDZIR]

Julian are you using roc as a filter for individual stock trades or as your index filter?

[LEONARDZIR]

I also trade a rotational momentum system that has a ver low correlation with my MOC system.

[LEONARDZIR]

My take. I have been trading an MOC system in the us market since August. If I trade my system with 4:1 leverage in the Russell 1000 I get a CAR of >60%. I started trading that way in August because I thought I had discovered the holy grail. I finally realized that my live testing would not match my backtesting because of selection bias. So I realized that selection bias is a really big deal.
Currently trading the sp500 at a reduced size with 4:1 leverage(40 positions at 10%) with CAR of 43% ,16% did over 10 years. Most importantly I now capture more than 90% of all trades. 56% winning trades, profit factor 1.3. With this system commission drag is very important. I use IB and commission costs are about 30% of profits.
i have also noted a drop off in results over the last 5 years but my system up 22% this year. Hopefully not a change in market structure that is permanent.
I might mention t

[Author]

Posts