[TimothyStrickland]

MR HFT: +1.3%

MOMO systems: Cash

SPX MA: turned off

[TimothyStrickland]

Nick, that makes sense. I don’t think I realized that when I made the system a couple of years ago. Although I did backtest it before both of these V-shape recovery type scenarios. If I remember right the backtest was pretty close to the index but without the sustained drawdowns. However, since we have never had a big V-shape recovery I never took that into account and therefore leaves me with the current performance which is lousy, live, and learn I guess.

What I was trying to do back then was to basically create a system in my 401k. Now that I am thinking about it, it doesn’t really work because all the 401k is are a bunch of ETF’s and Boeing stock.

[TimothyStrickland]

Good insight Glen. I edited my previous post as you noticed because I did not want people to take it as ranting, I was simply just sharing my thoughts so I’ll repost.

In short: The V-shape recovery essentially made my SPX 10 Month MA system irrelevant. Not sure what to do at this point as just putting money into the SPX and leaving do just as well and I am considering this. For those that don’t know my SPX 10 MA system is in my 401k, therefore, I can’t really move things around quickly or invest in individual stocks, so I ended up trying to do a 10 MA system to reduce the drawdowns but that backfired after this potential 2nd V-shape recovery? The backtest was very close anyway, as long as the S&P 500 went through some big drawdowns like 2008, 2000, this system had some potential. However, now the index performs this system by more than double.

My MRV just hasn’t really cut it since I went live with it, it hasn’t performed well at all as Glenn mentioned. I won’t be putting money back into it for a while until it can start producing.

This leads me to a couple of things. I have 2 more weeks of school left and then after that, I am taking Summer off and sit with Nick for another 3 months for the mentor course. My goal is to create a WTT system so I can run it in tandem 50-50 split with my NDX momo (which has been the only system to perform). The NDX momo system has outperformed all my other systems by a huge margin. Oddly enough my momo system got lucky by pulling out at the end of Feb.

Glenn, I agree with you, if anything is clear, its the fact that I need more systems.

My short term plan is to build a WTT with Nick to run alongside my momo, most of my capital will be allotted to that system.
With my 401k instead of running a 10 month MA system which did not backtest very well, I will likely just do some sort of split between the S&P500 and bonds and forget about it.
MRV will stay running and I will likely add a MOC system at some point that way I feel like I have all my bases covered.

I will be mixing my momo/WTT and some amount of cash to meet my drawdown requirements, this all depends on the backtest.

[TimothyStrickland]

It looks like another V-shape recovery at this point.

Makes my 10 MA strategy underperform the general market.

I Will see if we can get up past the 200-day MA before the end of the month.

[TimothyStrickland]

Had a similar thing happen on the same day with my MRV, good to see you two had the same issue. I had several stocks that didn’t match the backtest, luckily that didn’t happen again but was very wierd. First time seeing it happen in a long time, ended up making money on it but still

[TimothyStrickland]

To be fair I am watching the market go up and resisting the emotions I have, it is always the hardest part of trading. Many people are saying its the bottom, but it is none of the people I respect and have followed for years. Those people are saying “you shoulda got in 2 weeks ago yada yada”. Its the same people who are 100% right all the time but you never know it until after the fact. Well, I don’t trade on hindsight.

All of the people I respect, that I have read books on or learned from are all very skeptical of this rally, its a weak rally in a bear market. Additionally, my system got me out for a reason, I am not going to disregard what the people who I actually listen to are saying and what my system is telling me over some clowns on twitter and facebook who trade based on random luck.

[TimothyStrickland]

Trent,

From what experience I have this isn’t that unusual. I think Nick mentioned this earlier but you can see some huge rallies in a bear market. With that said, I wouldn’t have expected it to rally this much before turning around but when does the market ever do what you want?

Also, we will probably see some pump from the market because of all this money the govt keeps throwing at us. That is my 2 cents anyway.

[TimothyStrickland]

MR HFT: -6.5 % not a lot of trades this month.

Momentum Systems:

NDX Aggressive: +3.6% in cash now.
ROR: +10.3% in cash now.

Moving Average Systems:

SPX: +0.7%

The momentum and MA systems had gains in march because of the first-day rally.

[TimothyStrickland]

Seems like an easier way to do it, Nick, I was going to start working on that too.

[TimothyStrickland]

Nick,

That was how I understood it. Overall the monthly momo would essentially get a bit higher CAGR over the longer term but splitting them up in weekly momo reduces some of the signal luck offering a smoother equity curve, at the expense a few % points in CAGR? In times like these, that sounds like a fair trade-off to me.

So what’s suggested here is to run 4 seperate monthly rotational systems essentially ending on different parts of the month, I wonder how hard that would be to code in.

[TimothyStrickland]

Thanks for posting Michael. Luckily I missed most of the downturn but like you, I did some soul searching as well. Still evaluating new strategies to see how I will proceed. Let’s just get to the other side of this, for now, survival and being able to pull the trigger when this is over is more important.

[TimothyStrickland]

This post is mostly for Nick or anyone else who wants to critique my ideas. During this downtime, I have had some time to think about a lot of things. As I said earlier I am working on some ideas on where to put my money (not in the 401k) here are my thoughts:

I am thinking about allocating 50% of after-tax capital to my NDX momentum system, the aggressive one that gets 32% CAGR on the backtests.

The other 50% was going to be run in the futures market which would long the S&P 500 (ES) there. and step out on break below the 200-day MA or 10 month MA that I have tested. There are a few reasons I chose futures. The futures are taxed at a lower rate than stocks, which would improve the performance of the system tremendously, over the long term it would be a full 2%. This is meant to be a somewhat conservative system that matches the index with the tax advantages and prevents large drawdowns by going to cash in bear markets.

My 401k would be my conservative fund, I get a 100% match from my company up to 8% of my income pre-tax so it is about 16% of our income going to it every year, it would stay in something like a govt bond fund which is extremely conservative and chugs along at about 2.5%

I then plan on borrowing from my 401k like I do every 5 years and seed my MRV with that money for my short term system.

I tried backtesting other methods a little but the NDX momo meets my Drawdown and CAGR requirements if the other chunk is in some conservative area. I’ll have to do the exact math to see what the actual max dd I would experience and may have to put more in the 401k if I feel the risk is still too high.

My question is, anyone tried doing anything like that in the futures market? I would need to calculate the risk etc like everything else but it seems like a good idea. Any other comments?

[TimothyStrickland]

I have spent more time reading and studying trading lately after this unwinding. I thought I knew some things and found out I did not. Failure is the best teacher. It is easy to get complacent in a bull market and all your accounts are at an all-time high, however, when your trading accounts need you the most is in an uncertain volatile market with lots of confusion.

Good article if anyone is interested.

CORE RISK MANAGEMENT: Using Key Price Levels & MAs to Avoid Major Downtrends

[TimothyStrickland]

This is why I mentioned my gains would likely be short-lived. The market will open in at least one limit down, probably 2 wiping out most of the gains I made on Friday, I may actually have taken a loss.

I ran my MRV explore this morning and got nothing, I checked to make sure everything was good and apparently all stocks that could have been hit are below their 200 day MA so my system is not taking any more trades, and signals to get out of all trades it is currently in.

[TimothyStrickland]

That is an interesting idea. Does Amibroker allow the code to do 50% cash and 50% vested, I can try it. I think last time I did that the code doesn’t allow it, it assumes all cash is vested. Your right, I think I would have to tinker around with the code quite a bit.

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