[RobGiles]

If you’re a Commsecone client you can get brokerage capped at $26.95 per trade up to about $80,000 per trade. Its about 0.035% under that but min $18.95.

[RobGiles]

Been pre-occuppied with other business.

April:
US MOM -1.56%
USMOC -3.42%
ASX Growth +11.85%

May:
US MOM -7.23%
USMOC -0.16% yawn
ASX Growth +10.34% New Equity Highs

[RobGiles]

Scott McNab wrote:

Hi Rob, I can’t get my stats to look as good as HelixTrader indicating I am not doing the same thing but the key takeaway for me was using historical volatility …previously I had been trying to select stocks that were not volatile …

for momentum I just used ROC…

the system I posted above did not do so well in 2000/2001 (massive DD)….my current version has cagr/maxDD of approx 25/-26 for 2005-present on XAO using same price and volume filters…not sure how your AUS rotn systems going but for me embracing volatility has been a sig improvement

Thanks Scott
That’s interesting as I’ve been looking at Trend Following systems that include a Historic Vol Filter. What lookback are you using? I’m looking at 100 days. and we’re wanting stocks that are equal to or above the ave HV of the Index (which for the S&P I think is 100 days). I’ve put the ASX on ice as I couldn’t get anything I liked and how much time do you write off doing research? I figure the US markets have much more liquidity and opportunity.

[RobGiles]

Thanks Scott, How are they calculating momentum?

[RobGiles]

Nick, you don’t adjust your data for divi’s when backtesting right?

[RobGiles]

Thanks guys….yes good news that reality more or less matches the b-test, but my frustration is that the system isn’t producing decent returns when volatility has increased compared to other systems in here. Its not providing me with the expected diversification to the momentum / trend following systems. I will keep researching new ideas. I can wear and understand the DD in the Momentum system.

[RobGiles]

Does anyone in here report there US systems in USD? i.e. did anyone convert AUD to USD to fund their US systems, whatever system that may be?

For my Momentum system, I’ve been reporting in USD which is fine if the system is invested, but over the past couple of months where I was 100% cash, my USD exposure is less due to the bearish AUDUSD (i.e. my AUD buys me less USD stocks). So that’s a negative return in USD. Is the alternative to convert my base currency to USD?

[RobGiles]

Nick Radge wrote:

Quote:

Everyone elses MOC seems to be making money, mine is doing bugger all. Very disappointed it hasn’t performed in this year’s volatility.

Check that your realtime trades matching your backtests for the same period.

Backtest yielded +0.6% for Feb 19 trade number was 1 less real time vs B-test. I do spot checks of the system vs the real time results 2-3 times / week.

[RobGiles]

I have a Tradestation futures account and have been meaning to set up a stock account (they insist on treating them seperately). Still getting my head around the platform, only done 1 trade. Contact is:
Peter Albino | Sr. Account Executive | TradeStation

120 S. Riverside Plaza, Suite 1650 | Chicago, IL 60606

Direct: (888) 735-1222 | Local: (312) 803-3860 |UK Phone (0808) 234-1049 x 3860 | Fax: (954) 652-5403

E-Mail: [email protected] | http://www.TradeStation.com

[RobGiles]

Very enviable MR returns…well done

[RobGiles]

Nick Radge wrote:

Good result for the GP.

Yep Its the only system that has made money since I did the mentor course. The system makes sense, its easy to follow and I don’t have a problem exiting the losing trades as they only represent 1% of equity.
MOM is in drawdown.
MOC had the large f%&kup at the beginning and the 1 day I missed last year it missed a 9% profit day I think it was. Everyone elses MOC seems to be making money, mine is doing bugger all. Very disappointed it hasn’t performed in this year’s volatility.

[RobGiles]

Nick Radge wrote:

I would keep it as simple as possible.

When we ran the fund we only did the currency conversion once a month unless there was some extreme move.

Account balance in AUD > start of month calculate USD > position off that for the month.

Adjust again for next month.

Thanks Nick
So when calculating the monthly system retrn %, one converts their USD P&L to AUD at the month end spor rate and expresses that number as a % of the AUD account balance?

[RobGiles]

Feb Performance:

US MOM1: 100% cash
US MOC: +0.7%
ASX Growth: +0.49%

[RobGiles]

Good work mate, interesting to see the portfolio returns. How do you pull this altogether…excel?

[RobGiles]

related to this topic, how solid / safe / legit do you think IB’s client segregation of funds is Nick, should there ever be another market meltdown? Is there any revised thinking as to who to use for low trade frequency systems if one wishes to diversify counter party / broker risk?

[Author]

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