[TimothyStrickland]

MRV HFT: -7.7%
NDX Momo: 0.0% (Cash)
6050 Options SPX: 0.0%

[TimothyStrickland]

MRV HFT: +1.5%
NDX Momo: +3.9% (System goes to cash)
6050 Options SPX: -2.5%

[TimothyStrickland]

Julian, the drawdown on the Long Term NASDAQ seems equivalent to mine, you mind me asking what your current drawdown is? How high was it at the end of last week?

[TimothyStrickland]

Ouch, Nick. Did the DTVI see any recovery at all the last couple of days or the drawdown was much larger last week? My MRV recovered a lot of the last few days, it was down about as much as yours.

[TimothyStrickland]

Nice Kate!

[TimothyStrickland]

Said, I did more testing on the MRV and found that the lack of performance is in part due to human error. I’ll be automating it soon to avoid that.

[TimothyStrickland]

January 2022:

For those with weak stomach’s, avert your eyes

MRV HFT: -12.4% (-29.4% Drawdown)
NDX Momo: -14.6 % (-33% Drawdown)
6050 Options SPX: -8.5% (-8.5% Drawdown)

[TimothyStrickland]

It has made some profit but hasn’t beaten the S&P which defeats the purpose of the system’s design. If I have to invest time in creating the system and then some time maintaining it and it doesn’t even outperform the market, it doesn’t make sense. I would be better off just throwing it in the S&P and going about my life.

As far as I can tell it’s the system design and the market. I’d be curious to know if anyone else here has designed a Mean Reversion system that has outperformed the S&P over the last several years or even at all? Perhaps I am trading the wrong universe.

[TimothyStrickland]

Nick pointed out that the system is not in new territory by running some tests that I didn’t do when I designed it.
Oddly enough, the huge drawdown doesn’t really bother me as I am used to it and I have several other systems that have less intense drawdowns, so it all averages out.

Times like these are good for me because it forces me to take a hard look at my systems again and make sure they are performing in spec. It is easy to get complacent when things are screaming away to the upside.

Oddly enough, I did a backtest on my NDX aggressive strategy, the one that only runs 3 stocks, and it would be only at a 21% drawdown, not a 42% drawdown like the more conservative strategy is….lol. It just turns out that those 3 stocks are doing pretty well in this environment and the more conservative strategy picked some real losers. The NDX Aggressive though had max drawdowns of 55% which I don’t think I’d be comfortable with, considering the fact that a 42% drawdown makes me a little uncomfortable. I closed that system due to the potential of a large drawdown.

I have adjusted a few parameters on the momo system to bring it in line with a 30% drawdown, which I can easily handle. This comes at a cost of CAGR of course.

The MRV continues to disappoint, I am debating on shutting it down completely and moving to a MOC system. It has been 3 years and the MRV has barely squeaked out a profit, it would have been better just to throw my money into the S&P 500.

My options strategy to a decent loss today as the market took a massive plunge and even with 13 puts on the position, it didn’t cover as much as I would like. Luckily I had 5 extra puts from the previous win that I couldn’t sell which I was able to give back to prevent a larger loss.

[TimothyStrickland]

I had to see a trading psychologist as well which really helped me, I was a wreck when I first started trading, they really can help.

[TimothyStrickland]

Evaluating the system it seems that it’s probably just bad luck. Some poor performing stocks and then of course a broad market decline. I am still up 80% in that system even with the drawdown, but still. Having Nick take a look at it to see if he sees anything out of the ordinary.

[TimothyStrickland]

The reason why I closed the aggressive strategy was because of the big drawdowns. The NDX Momo as of today is in a 41% Drawdown!!!! I think it might be time to re-evaluate. It was tested at Max 30%

[TimothyStrickland]

might be time for a hedge

[TimothyStrickland]

December 2021:

MRV HFT: +18.5%
NDX Momo: -15.5 %
NDX Aggressive: disabled (money moved to NDX Momo.
6050 Options SPX: +27.8%

Entire 2021:

MRV HFT: +19.3%
NDX Momo: +32.6%
NDX Aggressive: +105%
6050 Options SPX: + 27.9%

[TimothyStrickland]

Seems like I made the same mistake hah.

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