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Unconscious Pun

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Julian, as part of his post he mentions that the decreased edge in the RSI MR strategy agrees with his personal trading that the edge is growing smaller with mean reversion. Most of us have experienced losses in our MR systems this year and this bears watching.

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Interesting post in the blog section of Cesar Alvarez’s site alvarezquanttrading.com. He notes the edge of mean reversion trading is shrinking. Still profitable but much more difficult to make a profit. Worth reading.

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Scott,
Neither. I am using one of Perry Kaufman’s futures portfolios. Incidentally it is up 50% so far this year.
‘

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September 2022

US

TLT    -2.52%
US MOMO flat
MOC  stopped trading
HFT stopped trading  
Daily Timing Stocks     +1.98%
Weekly Trend Stocks    -8.59%
Futures Trend               +7%

Stopped trading mean reversion for now. Added 3 of Perry Kaufman’s systems. The futures portfolio has been acting as a hedge for the stock systems.

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Have you looked at Allocatesmartly? It is one the systems on their site. They have backtested results and you can follow and trade it in real-time.. Also a nice discussion about whether the system is overfitted.

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Thanks Ben. I also have the platinum package.

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Nick,
That would be helpful. Does Norgate data go back to the early 1990’s?
Len

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Terry,
You made a very important point about the goals of your MOC. Context is very important. For me, I traded it for extra income. It was easy for me to stop trading my MOC for now since the majority of my trading involves longer term systems and the extra income for me is really not crucial.

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Perry Kaufman noted that almost all systems degrade over time with increasing volatility and increasing drawdowns.
I tested my my MOC over the last 21 years and it looked great until this spring when it started acting differently. It has occurred to me that something has changed fundamentally in the American economy and markets. We now have significant inflation, an aggressive fed with rising interest rates and a slowing economy. The longstanding bull market in bonds appears over. These conditions were not present in my 21 year testing period. The last time we had similar conditions in the US was in the 1970’s. I would love to know how mean reversion did in the 1970’s. Meanwhile I’m content to follow my MOC on the sidelines to see if turns profitable. I hope we aren’t entering a period like the 70’s The Dow went up about 5% from 1969 to 1980.

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Ben,
i found your post very interesting. I’ve taken a different approach to my MOC. After it went down more then my historic drawdown this year I stopped trading it. A review of my equity curve showed that it fell off a cliff and never looked looked like that in 21 years of backtesting..
I have also been following the results of mean reversion trading on various sites such as this forum and the public portion of Cesar Alvarez’s site and Marsten Parkers forum and this is not a good year so far for mean reversion. I’ve elected to stop my MOC and cut back quite significantly my HFT portfolio.. The question is when to get back in for me. I’ll follow the results of both strategies but I think I won’t get back in until the US market reverses it’s downtrend. Meanwhile I continue to trade other stock systems like TLT and my trend following futures portfolio is having a great month so far and has made up for all my mean reversion losses.

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August, 2022,
TLT  -3.88%
USMOMO  flat
USHFT  -0.24%
US MOC -6.62%

Made a number of significant changes to my portfolio over the last 8-12 months. I stopped trading my MOC this month. Not a big deal since it was less than 1% of my portfolio. It had a great equity curve from 2000 to 2021. This year the equity fell off a cliff. Most importantly compared to prior drawdowns which resolved quickly the MOC continues to lose money. Will watch for now.
Because of the size of my portfolio and the fact that I don’t trade the Australian equity markets I added 3 systems: another daily stock MR system; a weekly stock trend system; and a daily futures trend following system. In addition in June I added a buy and hold stock portfolio consisting of 16 American companies like Hershey, Boeing JNJ etc. Finally I have been doing some discretionary trading using the SPY. Bought SPY near the lows( lucky) in June based on extreme negative sentiment and a stock signal I follow. Stopped out last week with a nice profit. Bought  again  last week and stopped out with a small loss.

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OK Thanks.

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Nick,
What percentage of your trading account do you apportion to TLT,USMOMO,HFT and MOC?
I have put equal percentages of these 4 systems in my trading account but I am not sure that is the most efficient approach.

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July,2022
US MOC   +5.14%
USHFT     +3.5%
USMOMO  Flat
TLT            Flat

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