[TimothyStrickland]

October Results

-Live-
US Original (Leveraged) -12.01% (Cash part of October)
US Aggressive: – 20.14% ( Going to cash in Nov)

Portfolio Drawdown: – 23.8%

– Simulated – (Tim’s systems)

SPX Momo: -16.2% (Cash in November)
NDX Momo: -19.1% (Cash in November)
NDX Aggressive: -26.9% (Cash in November)

I will be working extra hours and closing more Real Estate Deals with the hope of seeding my account in this drawdown.

-Tim

[TimothyStrickland]

Great points guys, thanks for the insight

[TimothyStrickland]

Julian, that puts my month in perspective. You got a stomach of iron my friend. I am working towards that myself.

[TimothyStrickland]

Good point Rob. Luckily I started back in July so I accumulated a bit of profits before this mess occurred, it still hurts though.

[TimothyStrickland]

Thanks Nick,

Just trying not to assume anything anymore, especially when I can just ask and possibly save myself some time figure things out the hard way.
I was curious and never did this before but attempted to run a few simulations without an index filter and the results were disastrous.

My NDX Aggressive system actually ran out of money. The NDX Momo took 2 years to come out of drawdown and were was 12% lower CAGR but 20% more MAXDD. That is just ugly.

At the very least this reinforces even more that all the testing I have done is to be relied heavily upon and not my own gut feelings. Rather than assume, just test the theory and see how it performs.

I am slowly trusting the process more and more each day.

[TimothyStrickland]

Same here. All 3 of my tested systems fell outside of my max drawdown tolerance.

ALGN and AMZN are my biggest losers this month!

All I have to say is, next 1000 trades!

[TimothyStrickland]

Nick, you mentioned updating your system every year, currently this month the drawdown on my new systems are out of tolerance, in this case would you recommend go back and take a second look at them, after this month is over? Or leave it alone?

[TimothyStrickland]

Thanks Nick. I was looking at the charts today after the close and was perplexed how the market fell so much so fast. I haven’t been trading that long so for me it is the worst I have ever experienced. I plan on taking my strategies to the sim next month and all of them will be starting in cash.

This is a good data point though, it means this things can still occur.

[TimothyStrickland]

Len, it has been a challenge for me too. If I hadn’t went through this course there is no way I would be able to stick this one out. Now, I know my strategy works, I have backtested it, its robust and over the long term it has positive expectancy. It isn’t perfect, but no system is.

[TimothyStrickland]

Nice to meet you Nick

[TimothyStrickland]

Thanks Nick! the NDX Momo is the one you helped me design and used that as the foundation for the others. It did not take too long once I knew what I was doing. Seems like SPX was harder to get a 30% CAGR but the drawdown is less. There were a couple of spots that gave 30% but they were outliers and were not in the flat spot that you talked about so I didn’t pick it.

Starting my mean reversion work tonight, I am really enjoying the process and learning more about markets than ever!

[TimothyStrickland]

Based on some of the things I have read and studied I went ahead and built 3 momentum systems that are similar to each other but with slightly different parameters. I am still live with the US Aggressive but as of the beginning of next month I will take those 3 strategies to sim trading for at least 6 months possibly a year to see how they perform. Nick does the same thing and it makes sense. I am in no hurry to rush the process and Nick’s US Aggressive strategy suits me just fine. I want to make sure I tested correctly and didn’t make any errors that will cost me money.

Strategies are:
SPX Momo: Backtesting results are 20.1% CAGR – 14.1% MaxDD
NDX Momo: 36.7% CAGR 19.8% MaxDD
NDX Aggressive (2x leverage): small account so I can handle the larger drawdowns. 62.27% CAGR 34.91% MAXDD.

[TimothyStrickland]

Wow. I think I’ll go calculate the ones I have.

[TimothyStrickland]

Nick just approved my first system! I picked the easy one to start so I wasn’t overwhelmed. Would like to start developing some more complex systems now that will most likely take longer. I find myself spending about an hour or two each day doing research on trading and improving my systems. Also continuing my learning coding in Amibroker and Python.

I have listened to many interviews on systematic trading and I think most if not all the big names doing this talk about the holy grail being multiple systems so that is where my effort will be going over the coming months and years until I have a good array of systems.

Currently Reading Quantitative Trading and Algorithmic Trading by Earnest P Chan.

My account is in its first significant draw-down and while I have become resistant to the euphoria and fear effects of seeing my portfolio do wild swings I still occasionally battle self doubt in whether or not I should keep doing what I’m doing. Nick’s emails are very timely during these times, I haven’t been tempted to change what I’m doing and the timely emails strengthen my resolve even more. If trading was easy everyone would rich doing it.

Next 1000 trades!

[TimothyStrickland]

A little late on this one.

End of month trading report:

Live:
US Original: -1.89%
US Aggressive: +1.09%

Backtesting:
Test NDX System: +1.2%
This is my new system I am working on. Trades the NQ 100 universe and has given me some really good results in my testing so far, still testing this one.

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