[MichaelRodwell]

Thanks for sharing Tim. I’m sure it’s like any other habit or muscle… the more you practice it the easier it is.

On another note, I saw on Nick’s journal that you’re a property guy. Me too… Where are you based? I have resi property in London and commercial in Australia.

[MichaelRodwell]

How do you define tactical Nick? What are the main drivers for the allocation percentages?

[MichaelRodwell]

Quote:

Said Bitar: On the NDX MOMO i used two periods look back for measuring momentum and it works good mainly because the number of positions is small but i did not see big difference on SPX momo where i can hold way more stocks

Hey Said. When you say good, what does that mean? I was able to improve my return by about 1% which I was happy with but having some context from someone else would be good. Perhaps my ranking method is flawed…

Have you found that using worst rank held makes a difference for your momentum systems? So far for all my system iterations I havent found a way to use this to my advantage. Thanks!

[MichaelRodwell]

I look forward to the day when I can turn an idea to code that quickly

[MichaelRodwell]

Hey Len – this is S&P500.

[MichaelRodwell]

I had a good call with Nick yesterday. We looked at my system results and some more areas of investigation to get closer to my goal.

For those playing along at home my goal is:

CAR: 20%
MaxDD: 25%

I’m sticking with my ROC momentum measure for the moment while trying to improve a few other areas of the system.

Today’s massive leap forward was the implementation of a weighted dual measurement of momentum.

This increased my CAR by a percentage point while reducing my MaxDD by about the same.

Pretty cool indeed.

Up to date stats:

CAR: 17.21%
MaxDD: 18.47

Very palatable!

[MichaelRodwell]

Hey Tim – is your NDX Momo system a monthly system? If so, does reporting on it weekly with open profit/ loss affect you psychologically in any way (positive or negative)?

[MichaelRodwell]

Thanks Glenn. I did have a quick flick and took a note to look at trying something with ADX or similar and incorporating it with indicator or method of identifying trend direction. Some of the content is a bit of grind for me still but I have stored that one away in my evernote of ideas to try.

[MichaelRodwell]

Thank you Tim!

Great advice there!

I’ve realised there is just no substitute for experience and putting in the time to investigate things even if they probably wont work. Every failed test is a actually a win for me as I discover what doesn’t work and a little bit of trading system design capital is added.

As I said to Nick on the call. I’m under no illusion that I even know what I don’t know.

Regarding the index filter, it’s just where I have started my research. I want to be pretty thorough before jumping on to other things and since I still have plenty of time I’m comfortable with that. If at the end of the process I can’t improve it, I’ll feel good knowing I tried a bunch of things.

That’s the confidence I want to build.

[MichaelRodwell]

I had a great call with Nick today. Well it was great for me any way!

We spent a fair bit of time looking at my index filter idea and adjusting some parameters for other parts of my system. One thing I learned was that as a general rule choosing parameters of similar lengths is a good starting place to ensure the system is not being curve fitted. For example, using the 200MA as an index filter and using 200 bar length for ATR look back.

Post our discussion I have spent most of the day doing more tinkering and testing.

My promising index filter idea is now on the scrap heap with the others.

200MA reigns supreme for the moment but I have a few more ideas to test.

Would love to hear any feedback on people’s success using different index filters for monthly rotational systems.

[MichaelRodwell]

For me, the question of the Index Filter was on death’s door step. I had sliced and diced it every way I knew how and then it came to me.

A new idea.

I’ve spent a lot of time becoming acquainted with the $SPX and the 200MA and I really wanted to figure out a unique way to be in or out of the market.

May be this is it?

More work and validation to be done but I have been able to reduce my MaxDD by approx 3% while reducing my CAR by less than 1%.

Current stats:
CAR: 15.11%
DD: 16.23%
MAR: 93

[MichaelRodwell]

Quote:

Thanks Nick.

Nice numbers.

Besides the very nice additional charts in the backtest report….

The following stood out…

Sector Maximum Holding
A maximum of 3 stocks can be held from any single sector. This reduces sector specific risk, by avoiding a high concentration of the portfolio in any one area.

I understand the logic, diversify sector selection and don’t ‘load up’ in one specific sector in case it tanks… but on the surface it seems like it might also be restrictive…. what if 1 sector is ‘hot’ in a given period i.e. what if gold stocks are the flavour of the month(s) or technology stocks or uranium stocks…. you might be restricting yourself if one of these sectors is strong and there could potentially be 5 or 6 stocks (in the same sector) in the top 14 momentum list.

I get how having a max of 3 per sector could ‘smooth’ out the ride a bit… but might also ‘hold back returns’ as well…..an idea to try out in the future.

I guess like everything test it, test it etc….

I came across this post from JBMarwood today that is somewhat related:

https://jbmarwood.com/simple-breakout-system-sector-filter/

He adds a sector filter to the buy criteria as follows:

“sector that stock belongs to has a 3-month RSI reading above 50”

Might be another way to approach the sector question… (yes, I will test… easy does it though… still trying to figure out the index filter)

[MichaelRodwell]

From the forums it appears that most people are trading monthly rotational systems. I’ve heard Alan comment a number of times that weekly has been the sweet spot that he’s found. Might be one of the variables that makes the difference in the ASX.

[MichaelRodwell]

Whoa, massive difference there during the GFC! That’s an awesome improvement.

So far the simple MA for my monthly rotational system is winning.

It beats a dual MA and MACD cross although I will go through these with Craig next week to make sure I’ve got the code right and the tests are accurate.

[MichaelRodwell]

Have you experimented with ADX and longer terms systems? I’ve been tinkering around with it today without any success so far.

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