[PaulBailey]

Feb report:

Capital gain +8.97%
Income +0.08%
Currency gain +1.14%
Total +10.19%

YTD

Capital +10.61%
Income +0.08%
Currency +3.42%
Total +14.11%

[PaulBailey]

OK here we go:

Jan 2023 PB ETF strategy:
Capital gain: 1.58%
Income: 0%
Currency gain: 2.91%
Total return 4.49%

Just for my records. Not planning on currency gain being the way to win.

So overall +1.58% – Was doing so well until the last two trading sessions.

[PaulBailey]

First of all I’d like to send my greetings to everyone in this community. Not sure about the rest of you, but I learn so much from checking in on everyone’s posts here – Glen, Julian, Len, Terry, Kate and the gang. You’re posts are worth more than you will ever understand.

Next, I have spent a lot of time looking through Nick’s Twitter feed, books and various postings around the place.

A few things have resonated:

“Good trading is effortless”, don’t think I’m there yet but it is improving.

There was also a comment somewhere about new traders chopping and changing systems a bit – and I’ve definitely been guilty of that – to the point where I sometimes wonder if those posts are specifically directed at me! (But they can’t be….. surely!)

On reflection, I started this process at perhaps one of the most difficult times in the Aussie market – just over 2y ago, and over that time I’ve traded my own system in AB, the Radge WTT and Swing systems, and I have more recently landed on my own version of an ETF strategy which takes a little bit of work each day.

My current thoughts on my ETF strategy are as follows:
* it seems that real life reflects the back tested version of the strategy – ie fill prices are similar (identical) and because I’m a small player my position sizing is no problem
* it’s easy to keep tinkering – I added BITO about half way through the month, but overall I’m happy with where the system sits.
* I’m using this system to build up some $ outside of super, and overall it’s pretty aggressive with max DD matching the broader market for a better return.

Following on an excellent December (+15.5%)

December 2023 US ETF strategy + 10.4%

Because I’ve been cautious with position sizing as I scale into my system, the absolute dollar figures have been small.  

I have also had a net negative year.

2023 all systems results: -6.8%

Looking ahead, I think I’m just going to persist with this US based ETF strategy and see where it takes me.

Thanks once again to everyone involved.
 

[PaulBailey]

Perfect Craig, that worked – thanks v much!

[PaulBailey]

Hi All,
I’m trying to construct an AUS version of my ETF strategy, and pretty sure I’m making a rookie error somewhere in the coding – anyone want to cast a brief eye over this?
Just trying to generate a simple buy / sell 200D MA strategy for one ETF – GEAR (just an example).

Pretty sure there’s an obvious error here, but I can’t wrap my head around it.

Import:
    DataSource:    Norgate
    IncludeList:    GEAR.AU
    StartDate:     1/1/2003
    EndDate:    Latest
    SaveAs:    PBETF.rtd
    
Settings:
    DataFile:    PBETF.rtd
    StartDate:    1/12/2013
    EndDate:    12/31/2023
    AccountSize:    20000
    UseAvailableBars:False
    BarSize:     Daily
         
Data:
    
    Trend:    c>MA(C,200)
    Alloc:    item(“alloc{?}”, ?symbol)

Parameters:

           AllocGEAR: 1
        
Strategy: AU ETF
    Side:    Long
    EntrySetup:     Trend
    QtyType:    Value
    Quantity:    S.Alloc * Alloc
    MaxPositions:    1
    Exitrule:     not Trend
    
OrderSettings:
    EndDate:    12/18/2023 
    OrdersMode:Text
    

[PaulBailey]

Noting I have added BITO to my strategy today with the same entry and exit criteria.

MTD the strategy is +1.5%

[PaulBailey]

Thanks a lot Julian, that was my assumption – just making sure my thinking wasn’t deranged!
Thanks for taking the time to answer I really appreciate it.

[PaulBailey]

I have a question about the mechanics of the ETF market that is going to reflect some naivety on my part.

When we buy or sell an individual share, our ability to do so relates to the market depth – and large orders on thinly traded stocks either wouldn’t get filled, or you would move the market substantially should you really want to do so.

My understanding is that the price of an individual ETF is based on the price of the underlying basket of shares (or whatever they are invested in).

Would it be true to say, therefore, that a large order eg $200k, would be met by the market maker and not move the price of the underlying ETF – for example something like QQQ where daily activity is huge.

Thanks

PB

[PaulBailey]

I have a question about the mechanics of the ETF market that is going to reflect some naivety on my part.

When we buy or sell an individual share, our ability to do so relates to the market depth – and large orders on thinly traded stocks either wouldn’t get filled, or you would move the market substantially should you really want to do so.

My understanding is that the price of an individual ETF is based on the price of the underlying basket of shares (or whatever they are invested in).

Would it be true to say, therefore, that a large order eg $200k, would be met by the market maker and not move the price of the underlying ETF – for example something like QQQ where daily activity is huge.

Thanks

PB

[PaulBailey]

I have a question about the mechanics of the ETF market that is going to reflect some naivety on my part.

When we buy or sell an individual share, our ability to do so relates to the market depth – and large orders on thinly traded stocks either wouldn’t get filled, or you would move the market substantially should you really want to do so.

My understanding is that the price of an individual ETF is based on the price of the underlying basket of shares (or whatever they are invested in).

Would it be true to say, therefore, that a large order eg $200k, would be met by the market maker and not move the price of the underlying ETF – for example something like QQQ where daily activity is huge.

Thanks

PB

[PaulBailey]

I’m unhedged for the time being Scott – a relatively modest sized account. Will become important over time if things go according to plan.

Have you been down this path as well and if so what is your view?

I’m keen to understand where others have landed.

[PaulBailey]

OK,
so it’s two years since I embarked on this journey and I feel like I’ve had a significant month.

Been following the discussion here – and following Nick on Twitter – there are often a lot of interesting little tidbits that come up there. Have spent a lot of time thinking further about what I want to get out of trading.

I’ve traded my own system that Nick assisted with during the course – in Amibroker; and also Nick’s WTT. But it’s been a consistently difficult market for that type of system in the Australian market. So I decided to think for a few months……

For me the goal relates to building up an investment account outside of superannuation and real estate investments.

Nick’s commentary on various flavour variations of all weather ETF strategies lead to me creating my own. I have aimed to have a similar level of drawdowns to the broader market whilst focusing on a greater rate of return.

I have landed on a 6 ETF US based strategy consisting of the following:

TLT – a long dated US Treasury Bond ETF
VIG – Vanguard dividend appreciation ETF
VNQ – Vanguard real estate index ETF
PDBC – Invesco optimum yield diversified commodity ETF
GLD – SPDR Gold trust
QLD – Proshares ultra QQQ 2x leveraged ETF

In backtesting, my strategy has had one negative year in the last 10 (2022) with months ranging from -16.5% to +19.9% although the vast majority of months are single digits.

The worst single trade is QLD in 2020 which lost 17% in one day (!). In 10 years of backtesting that is the only double digit loss on a single trade.

The best single trade is also QLD not long after – from April 2020 to Jan 2022 – + 180%

I have spent some time thinking about how to scale into the system too – my plan is to add a set dollar amount each month over time.

So I turned it on at the start of November:

November
US ETF Strategy: +15.5%

Mainly thanks to QLD which was just over +21% for the month.

[PaulBailey]

Just to note I turned my US ETF strategy on at the start of November.

[PaulBailey]

I think what the week’s activity has shown is that a lot of mission critical systems in business, health care etc have a single point of failure – a single telecomms provider.

I work in aeromedical retrieval and we have a principle of multiple redundant systems for mission critical systems.

eg each aircraft has two engines, two pilots and two wings (last one is a joke).

The learning might be to have different systems as you do Kate.

PB

[PaulBailey]

Quiet month – didn’t activate ETF strategy as it turned out – spent the month watching.

Which turned out OK because the strategy was -5.0% for the month.

About to dive in though.

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