[Nick Radge]

October 2023

ASX
Growth Portfolio: -3.08%
WTT: -1.58%
ASX Momo: -1.54%
ASX Momo PLUS: -0.86%

US
HFT: 0.00%
US Momo:+0.14%
MOC: +0.14%
DTVI: 0.00%

Managed Account
Multi: +0.57% (net of fees)

All Weather
Aggressive:  +0.66%
ASX:            +3.14%   

Total account was about -0.91% for the month

[Nick Radge]

Here’s an interesting fact.
Of the 500 stocks in the S&P 500, only 7 are positive YTD, i.e. 493 are negative
Of the Russell 3000, only 7 are positive, i.e. 2993 are negative.

I wrote an article a few months ago discussing various regime filters. A few breadth ones in that.

https://www.thechartist.com.au/best-market-conditions-to-invest/

 

[Nick Radge]

Terry Dunne post=14350 userid=719 wrote:

Is there a reason to think that they will do better than they have in the past going forward?
 

Is there reason to think any strategy will work going forward?

[Nick Radge]

Recording for October

[Nick Radge]

Well, you can 5% now, but that hasn’t been the case since about 2002…

[Nick Radge]

I’ve been listening to a few podcasts and reading similar topics about how we (others) talk to ourselves (others)

The book I’ve been reading is Learned Optimism by Martin Seligman. It’s a tough read but basically, the context is that negative talk as a pessimist will cause depression. But speaking to oneself with optimism completely removes depression and increases performance.

The other, a podcast, was a random selection from Dr Andrew Huberman that I enjoy listening to. But it’s also other scientific evidence about how we affect performance by the way we speak to ourselves, or how we speak to children/others. He talks about praise or performance label mindset vs verb or action label mindset. The former detracts from performance while the latter increases performance. 

 I found this one very fascinating and very much trading-orientated.https://podcast.app/how-to-enhance-performance-learning-by-applying-a-growth-mindset-e336231381/?utm_source=and&utm_medium=share 

[Nick Radge]

Just a heads-up for anyone using the DBC ETF for commodity exposure. I have just found out its a PTP which means that they can hold 10% of profit as withholding tax for non-US residents.

I have switched to PDBC without much difference to performance metrics

[Nick Radge]

Scott,
1. My thought process with this is that markets evolve and parameter settings should not be static. They too need to evolve as well. I will test on a full data set to ensure long-term objectivity. I will then test over the last 5-years to see if ‘recent’ conditions warrant a slightly different parameter setting. That said, any adjustment to parameters needs to be limited, ideally to a singular one, and within that it too must also show robustness.

2. I’m not sure I’m the guy. I would suggest using 3 – 4 std dev to calculate a possible future drawdown would be useful. 

[Nick Radge]

A few other All Weather strategies here:

https://dualmomentumsystems.com/strategies/

He uses an interesting mechanism called Smart Leverage, which basically uses a leveraged ETF (SSO) if the Russell declines more than 15% at month end.

[Nick Radge]

Here’s another example. I haven’t coded this one up as yet

https://mendelfriedman.substack.com/p/mr-dalios-all-weather-portfolio

[Nick Radge]

September 2023

ASX
Growth Portfolio: +2.10%
WTT: -2.47%
ASX Momo: -9.80%
ASX Momo PLUS:-4.34%

US
HFT: -9.60%
US Momo: -9.89%
MOC: +2.65%
DTVI: -3.04%

Managed Account
Multi: -7.96%  (net of fees)

All Weather
Aggressive:  -3.50%
ASX:            -4.10%    

Total account was about -5% again this month. Rare to get spanked that bad two months in a row.

[Nick Radge]

Very sorry to hear Kate.

I think you should take more time off. Just drop the trading stuff for a while and focus on your mental health for a solid month at least.

The markets will always be there, and let’s face it, they’re absolute shit right now…

[Nick Radge]

Experiencing stress, anxiety, or pressure when trading is not a function of a strategy. It’s more likely that the strategy is not suitable for you.

As such, explore other strategies that are more likely to ease that pressure.

[Nick Radge]

My long/short day trade strategy doesn’t use an index filter. 

I do use one on the multi day strategy though

[Nick Radge]

The other pertinent comment that stood out to me was the time between fat tails that he’s chasing can be extended.

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