[LEONARDZIR]

Dec. , 2022

TLT:    -3.73%
HFT  -3.3% 
USMomo  -7.87%
Daily Timing Stocks -0.57%
Daily Trend Futures   -0.63%
Weekly Trend Stocks  -1.56%
ETF Portfolio  -1.79%
Comments: Total Portfolio return for 2022: -5.7%. Drawdown 14.4% from peak in 2021.  Portfolio  losses kept reasonably small by SPY standards because two of the stock systems were positive and the futures portfolio was up big. Stopped trading MOC after it had a drawdown beyond historical testing. Only my subconscious knows why I allocated a very amount of capital to my MOC. It had a negligible effect on my total portfolio. I like the systems I am trading and looking forward to 2023
 

[LEONARDZIR]

Terry,
Interesting approach. Thanks for letting us know.

[LEONARDZIR]

Julian,
Thanks for the reply. I decided to add a daily trend filter to my portfolio. So if the daily trend is down which is the current state of SPX I cut my allotment to my stock systems that are still long by 1/2. I haven’t backtested this idea but I note my current drawdown is just under 10% which I consider an accomplishment this year.

[LEONARDZIR]

Terry,
Interested in your comment about not allocating enough of your capital in 2023 to systems with poor results in 2022.
Do you have a system for allocating your capital to your various stock systems?
I am running multiple systems and allocate equal amounts of cash to each system. at the beginning of each year. The one exception is my mean reversion system which I trade for income and which has the smallest allocation. I am really not sure that is the effective portfolio method. Curious what you think or what other members are doing.

[LEONARDZIR]

Nick, Thanks for letting me know.

[LEONARDZIR]

Nick, Does this apply to those of us in the US trading US stocks? Len

[LEONARDZIR]

Scott this reminds me of Perry Kaufman’s observation that almost all systems undergo increase volatility and drawdowns in the future. I follow some of his systems and he doesn’t ‘r use index filters. but shuts off the system if the volatility of the system returns is too high.

[LEONARDZIR]

November 22

US

TLT    +2.56%
US MOMO   Cash
HFT    +14.2%
Daily Trend Futures  -0.91%
Daily Stock Timing    -0.64%
Weekly trend Stocks -0.71%

Have also been trading an ETF portfolio I developed on Allocate Smartly.  Trading/investing as well the stocks of 20 US companies I like such as MRK, CAT, UNH etc. It is a rough system that is basically ” buy and hold” but with a trend component. Have a relatively small allocation when trend is down and increase the allocation when the trend is up but always hold at least some allocation to each stock.
 

[LEONARDZIR]

Praising an outstanding monthly return and praising the fortitude to stick with a system despite a significant drawdown are not mutually exclusive.

[LEONARDZIR]

Agree. Trading is not easy which is why most traders fail.

[LEONARDZIR]

Kate,
Keeping the big picture in mind the HFT on Nick’s site which I trade is only down 5.9% for the year and in Nick’s case less than that. These are outstanding results in a year when mean reversion systems have taken a major hit. The system is volatile but I am fine with the drawdown and looking forward to the next 1000 trades.

[LEONARDZIR]

Ok, thanks Nick.

[LEONARDZIR]

Nick,
Outstanding results on the HFT. I see you have changed the HFT to include the R1000 and R2000.. Will you be changing the HFT template on the chartist website to include the R1000 and R2000?
Len

[LEONARDZIR]

Out of curiosity, why doesn’t this work in the US market?

[LEONARDZIR]

Oct 22
US
TLT. flat
US momo flat
HFT trading again November
Daily Timing Stocks  4.48%
Daily Trend Futures. 4.67%
Weekly Trend Stocks  9.46%

Good month for me. Started trading HFT again in Nov.

[Author]

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