[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

[LEONARDZIR]

Scott,
Could you give us a little explanation for what we are seeing on the chart? What are differences between the upper and lower plots and what is the horizontal line on the bottom plots.
Also on your system what percentage of trades are you capturing?

[LEONARDZIR]

Julian, well said. As an American it is hard to fathom Trump as president. However I have quite a number of extremely intelligent friends who are voting for Trump for many reasons. Some of them are a real and understandable dislike of the Clintons, a belief that our trade agreements are costing jobs and as a revolt against the changing demographics of the US to name a few. If you know our history we have had a number of vitriolic presidential elections with some pretty unsavory characters running for president.
I agree with you that it is best to keep the forum focused on trading.

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