[TimothyStrickland]

– Simulated Systems –
SPX Momo: CASH
NDX Momo: CASH
NDX Aggressive: CASH
SPX Mean Reversion: +3.4%

– Live systems –
US Aggressive: CASH
US Original: CASH
401k strategy: +.31%

[TimothyStrickland]

With LOTS of help from Nick and Craig, I’m getting to a testable Mean reversion system. My first system I thought I was doing a good job, had to reach out to Craig almost daily for coding issues then I sent to Nick and he basically said, throw it out and start over lol!

I am glad I did exactly that as I was able to deconstruct what I did and put it back together again, understanding all the moving parts and with that much better returns with a lot less drawdown. I will post the numbers once I feel it is ready.

[TimothyStrickland]

Are trending systems subject to heavy selection bias? I was of the understanding it wasn’t as big of an impact (based on how you traded). I believe selection bias becomes a serious problem in shorter term systems, correct me if I’m wrong. I’m still learning

[TimothyStrickland]

Welcome Mike,

You will learn a lot!

[TimothyStrickland]

Great article

[TimothyStrickland]

Thanks Nick,

Getting some results somewhere around where I want. 15-20% CAGR using no leverage. I tried to apply leverage but the code went crazy so I sent it to Craig. I am using a combination of Bollinger Bands and RSI, seems to be profitable in and out of sample with some different results of course. In sample data was around 25% CAGR while out of sample on several time frames came in around 15-20%. Drawdown seems to be about the same as the CAGR except for in sample data. I haven’t optimized anything yet, this is just my foundation.

[TimothyStrickland]

I was hoping to get a couple shorter term systems designed last year but I ran out of time, work schedule picked up to 80 hours per week plus the time consumed from my Real Estate business. I was just doing enough to manage my current systems.

2019 New year, new goals. Have a plan to develop at least 1 shorter term system. I am thinking mean reversion to fill out the gaps in my trend following systems.

I have been doing some research on my own and have a few ideas, anyone have any good resources on where to start they would like to share on this topic.

I will likely need lots of help in the system design from Nick and Craig again.

Thoughts currently:

Most of my portfolio will be in Trend following since how I understand it, is where most of my profits are going to come from. I am thinking of using, maybe 25% of my capital to devote to a mean reversion system. Currently I am following along with the US Original strategy but would like to design my own.

Would be nice if I could create a system for short and long so it would be active during trend system downtime but that isn’t a must if it cuts into my profits to much.

[TimothyStrickland]

All systems Live and Simulated go back to cash for the new year.

[TimothyStrickland]

December 2018

-Live-

US Original: 0%
US Aggressive: 0%
401k Strategy: -9.17%

– Simulated –

SPX Momo: 0%
NDX Momo: -16.6%
NDX Aggressive: -33.2%

2018 Yearly

– Live –

US Original: -19.72%
US Aggressive: -7.1%

– Simulated –
Same as monthly results

[TimothyStrickland]

November Results

-Live-
US Original 0% (Cash)
US Aggressive: 0% (Cash)
401k strategy: Getting back in December

Portfolio Drawdown: – 23.8%

– Simulated – (Tim’s systems)

SPX Momo: Staying in cash for December
NDX Momo: -Will be getting back in December
NDX Aggressive: Will be getting back in December

[TimothyStrickland]

Travis,

Was going back through your performance stats. I’m curious how you got such a low drawdown over the 1995-recent backtesting period?

My drawdowns were quite a bit higher.

[TimothyStrickland]

Len, emotions are powerful. I have taken a trader psychology course and as I understand it, there is no way to truly ever get rid of the feelings, they just aren’t as strong. I have the same feeling, everyone wants to feel the illusion of being right.

[TimothyStrickland]

Very interesting point Julian.

[TimothyStrickland]

Just finished testing my 401k system. It has to be simple because I can only move money around every 15 days without incurring a penalty. It’s a 10 month MA system that longs the SPX index on a close above the MA and goes to cash on a close below the MA.

Finished backtesting with the results 1994-2018

CAGR: 9.82%
Max DD: -15.57%

Compared to the SPX as a whole

CAGR: 7.6%
Max DD: -55.25%

This system gives me almost a 2.5% increase in returns over the test period without the huge drawdowns, that is pretty amazing.

Additionally, my company invests 100% of what I put into my 401k which I put in about 8% of my salary, so the growth could be pretty impressive.

Oddly enough, this system also goes to cash as of today lol

[TimothyStrickland]

Lol, true. I was thinking from a single system point of view. I was a little rattled during this time, had to reach out to Nick a couple of times. I was trusting the system but was really feeling the pain in the moment. I stuck it out which I am happy with but this was my first real drawdown. It opened eyes to the fact that its one thing to see a drawdown on paper, its quite another to go through one.

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