[TimothyStrickland]

Thanks Scott. I was going to make a MOC but just haven’t gotten around to it. My wife and I are in the middle of changing careers. Thanks to Nick and Craig, once I started coding in Amibroker several years ago, I fell in love with it and now I am getting a degree in Computer Science and transitioning into a Software Engineering position at Boeing (DevOps), I LOVE to write code lol. This course literally changed my life, so much so that my wife just quit her job and is going to school full time to be a software engineer as well. Crazy

My 401k limits trading frequency to every 15 days or I incur a penalty. Additionally, it limits what you can invest in, so I cannot run a momentum system in it and I get calls all the time from the person who runs it asking me why I want to move the money, that it is better to stay in yada yada, typical ignorant sales person talk that doesn’t understand how the market works. I just respond with if you can make me 30% returns this year I’ll stay in, they usually don’t respond.

The 401k does have something called the S&P 500 index fund…but it doesn’t match the S&P exactly and I have backtested just being long the index with and without an index filter in many ways and found that the difference is not worth the effort to move the money every month. The reason why the index filter is so effective is for aggressive systems that are capitalizing on a few stocks with stronger moves, you don’t want to then hold those stocks as they drive down the market. When I am long the entire index I lose that large upward momentum and with that the CAGR, so running an index filter doesn’t really help.

I really like the idea of the momentum systems, I don’t have to watch it every day and just put my trades in for the month and walk away. My emotions usually get out of wack watching my MRV, I have gotten used to it now but still… My current momentum system has a CAGR of 32% which is very nice but it is only long a few stocks which make it susceptible to a black swan event, which I can’t afford with My wife and I’s life savings. What I’d like is something in between which Nick gave me some ideas and maybe the MOC MRV setup Scott mentioned. Something that captures better gains than the S&P but is not so exposed as my current Nasdaq momentum. I am testing some ideas now.

[TimothyStrickland]

For the most part Matt yes. My system exits the trade on the following day, which is probably why my gains have been decent lately. Much of the gains in the previous months have been during the overnight session.

Matt, are you running multiple systems? In my opinion (and it is just that I am no expert) running multiple systems would probably be the better option. Maybe create 3 MRV systems, one to handle low volatility and then have an index filter on it for large volatility times. Keep yours like it is and maybe make some small adjustments and then have one similar to mine that really produces during times of high volatility. Just some thoughts, I am sure others can comment on that. I am sort of doing that my momentum system and MRV, my MRV performs well during high volatility while my momentum system does better in sort of a mid-range performance. I don’t have a system yet for low volatility times.

I think Nick says the closest thing to a holy grail is having multiple systems. At some point, I want to be running 5+ systems once my capital allows.

[TimothyStrickland]

Nick remembers me sending him emails about my (broken) MRV system last year. I thought it was broken, we went back and forth several times and couldn’t find anything wrong with it so I just stuck with it.

I’m doing good lately but tomorrow someone else will.

[TimothyStrickland]

To add on to that. Most of my money is in a 401k currently and real estate. My 401k has consistently underperformed the last couple of years while my systems have kept up with the market or passed it (momentum system).

I wrote a system for my 401k but I re-tested it several times and adding an index filter which I did, doesn’t really help that much. It limits the downside but also the upside. I am looking to get Nick to help me put together a long term conservative system that performs around 10-15% with as little drawdown as I can get.

Does anyone have any ideas on what type of system would fill this need? This account will be large as my wife and I will be putting a large chunk of our income into it.

[TimothyStrickland]

Wow, Matt, that is nuts the whole 1 million dollar loss ordeal. I can try to go through this month. I experienced similar challenges you have faced these last couple of weeks. Trading has been very difficult for me because I am basically in new territory.

The last day of February was my first emotional challenge, I think leading up to this point I was fine because my momentum and MRV systems were hitting record profits but giving back a lot of the profit which I didn’t like but that’s how the game is played. I was tempted to break my rules on the last day of Feb. It is a good thing I didn’t because I closed out my momentum system at a profit and 401k at a smaller loss. My MRV took a small loss as well.

Technically my MRV index filter was hit but I sent Nick my system and asked that he approve it without the index filter which he did. The system tested much better without the filter. I ended up trading it and had some good results on the
2nd and 3rd but nothing broke the volatility filter again until the 9th.

I have a volatility filter by way of the daily ATR so I don’t get filled on crazy environments like these until the stock has really dropped a lot. My large amount of fills came on the 10th in which I lost quite a bit of money because my system needs a full up day before it gets the signal to exit which it did not, the next day was a big down day which ended up putting several of my stocks below my Stock Filter which I do happen to run instead of an index filter. I was forced to exit many positions because it went below my stock filter, I really didn’t want to do this but did anyway.

At the open of the 12th was the hardest challenge I ever had, I did not want to trade, the futures were already selling off but I closed out my stock filter trades and put more in which I didn’t want to do, I ended up closing most of them and putting more in. Luckily the ATR was so high that these new positions did not get filled until the market had dropped a huge amount. I ended up long 10 positions at the close of yesterday and was concerned. In times like these, I remind myself of what Nick teaches, don’t think about the money, next 1000 trades etc. My wife helps too, she always tells me: “oh well, its just money”, this always helps. Of course, the rest is obvious since I was long 10 trades and the market rallied almost as much as it had lost the previous day, only I got in those trades near the bottom because of the volatility filter.

Some things I think help me:
1. Forget about the money. Easier said than done, believe me
2. I don’t have huge amounts of money in my MRV and momentum accounts. They are by definition AGGRESSIVE. I mean, my momentum system was up damn near 40% before the big downside move.
3. Work out really hard during stressful days, I think Nick sets crossfit PR’s when the market goes limit down? haha.
4. I try to keep my systems as simple as possible. Nick and many books I have read preaches simple is better. I don’t know how simple yours is but I don’t want to curve fit at all. Simple makes the system easier to follow.
5. I think to myself, what happens if I don’t trade today? What if today is the day of the big rally? What if I had not followed my system yesterday or this morning, I would be beating myself up because I did not follow it. So I have always been following it for that reason, until I have a GOOD reason to not follow it. The only good reason I can think of is if it is performing outside testing parameters.

Looking back at my system in the past, it never performs well when the market has been quiet for weeks and then all of a sudden a few big down days. That is when my MRV goes into major drawdown but if the ATR is already high then it does fine. I suspect if volatility sharply declines my MRV just won’t get in any trades for awhile.

[TimothyStrickland]

No kidding! the good news is that I am up going into the weekend and not down.:cheer: Just thought I would share what I’m going through at the moment, I have never traded this amount of volatility, it sets a new bar for me.

[TimothyStrickland]

MRV just had a +20% day, good grief! The swings are real. This assumes that the market opens Monday at the same spot (I doubt it), I may likely give some if not most of this back.

[TimothyStrickland]

This may turn out to be the biggest up day for my MRV ever. I was a little worried after yesterdays down day but so far the market is at limit up and still rising in the pre-market.

[TimothyStrickland]

I was tempted to stay sidelined with my MRV but it recovered the losses from the previous week already. My other systems are in cash.

[TimothyStrickland]

We may not find out since the fed is trying to find ways to prop up the market for the time being.

[TimothyStrickland]

As the futures market opens up in a limit down condition: It is times like these I am thankful for Nick and Craig’s mentoring. I would have had no idea what to do in this market environment. All my accounts sit in cash, my MRV will take trades but no trades have met the threshold since I have a volatility filter in place.

[TimothyStrickland]

All my systems sit in cash at the moment.

[TimothyStrickland]

Thanks guys, I’ll look into that. For now, I turned it off after Nick approved.

[TimothyStrickland]

Doing some testing on my MRV without an index filter. I think having the filter on is cause for the performance hit last year as there are multiple recovery periods that it sat on the sidelines for. Initial testing shows about a +7% increase in CAGR and a 2% decrease in MDD without the filter. It performed well during the GFC actually.having Nick review it to make sure I did not miss something.

Tested my momentum system without the filter as well but the results were catastrophic lol, holding on to positions for an extended period of time in a bear market is silly.

Since both systems are back in drawdown, a perfect opportunity to seed them again.

[TimothyStrickland]

Nick, thanks for your research in the area of the hedge. After this week I am extremely interested in your findings and how to implement the strategy. We all took a hit and that is the way it is. My biggest concern I going into the next month is that my system puts me in cash now. After a huge down move like the one we just had, I would think a bounce is not only probable but extremely likely. Does the premium portfolio move to cash as well? Would you remove the index filter and rely on the hedge instead?

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