[RobGiles]

Zach Swann wrote:

I was reading “Following The Trend” Clenow mentions using the Standard Deviation of the daily price returns as an alternative of the ATR method.

Has anyone been down this rabbit hole?

Sort of. I’m looking at Keltner Bands with 1,2 and 3 SD’s around an average to look for a) MR setups and b) trend break-outs. Hven’t coded anything yet though.

[RobGiles]

Thanks Nick, good read.

Is the “Tactical Equity with trend following” essentially the same approach adopted by your ASX Growth Portfolio or maybe a dual momentum approach to equities exposure?

[RobGiles]

I have all my ASX exposure with Commsec (online broker in Australia) and IB for US rotational and MOC systems.

[RobGiles]

Really appreciate it Julian, thank you. Once I get my head around it and test it out I’ll let you know ho it goes.

[RobGiles]

US MRMOC
– 19.8% since inception (16th Aug 17)
– 0.5%% for the month
619 trades
Win/Loss Ratio 0.92

ASX Growth Portfolio:
+25% since inception (1st Mar 17)
+ 1.2% for the month
Banked a 190% profit trade on A2M which was satisfying to see the trend following approach work really well.

USMOM1
-7.0% since inception
-0.3% for the month
Added 28% fresh capital to the system mid April.

[RobGiles]

Trent, how has commission drag affected your ASX MR system?

[RobGiles]

I’ve recently listened to the BST podcast 062 with PJ Sutherland about MR trading…very interesting. One thing he recommended looking at was ROC normalised over a longer time frame (last few days vs past 200 for e.g.). has anyone looked at this approach?

[RobGiles]

Thanks Julian,
Do you use IB to trade your futures account?

[RobGiles]

Hi Scott

I have an allocation of money to a MSCI Global Index fund. I’ve selected 50% hedged to take out some of the risk. I’m likely to convert the hedged portion to unhedged if the AUDUSD ever gets above 0.9000 again, and I’m likely to go to fully hedged if the AUDUSD gets below 0.6000….not very scientific I know but thought I’d share my basic approach.

[RobGiles]

Julian Cohen wrote:

Nick Radge wrote:

How much better can that be than a basic momentum strategy?

69 pages better!

haha! Who honestly could be arsed reading such a thing?

[RobGiles]

Said Bitar wrote:

It is tricky thing honestly i think the answer depends on many factors
1- Are you planning to use margin
2- Is it the main strategy or complementary strategy for a longer term strategy
3- Risk tolerance
4- Account size
5- Trading universe
personally i will trade one strategy that is more aligned with your objectives because for me it will be fulfilling its role of smoothing the equity curve of longer term strategies

Thanks Said. In response to your points that you make:
1) yes using 50% LVR or 2 times leverage
2) complimentary to a couple of longer term systems. I ultimately would like 3 or 4 different MR systems that make up about 25% of my invest-able capital
3) Risk tolerance – max 30% DD or thereabouts with a draw-down period less than 6 months (not sure what is realistic here)
4) account size would mean i would have to be keeping out of the Russell 2000 due to liquidity issues I feel
5) Trading universe – been guided by Nick away from Russell 2000 into Russell 1000 or any other US mid to large cap index. Hearing liquidity and commission drag issues within this forum re the Australian market has put me off trading the ASX (but happy to be proven wrong).

[RobGiles]

Scott McNab wrote:

I find that after minimsing selection bias, from 2010 onwards my cagr is in low to mid 20’s (I use 2x….40×5 )…I am happy if maxDD does not exceed cagr

I think the idea of looking for different systems is a very good one Rob…particularly if it is one of multiple systems and sufficiently different for the months of high return and maxDD to be uncorrelated and so maxDD not as big a concern

Thanks Scott,
The more I read about MR systems, the more I’d be happy with return stats like yours (i.e. CAR in the 20’s and MxDD about the same). I’m jumping the gun a little here, but once I do build a few more MR systems, I’d love to know how to easily measure the correlation between them and get to a place where I can actively allocate capital weightings on the strategies that I have in my portfolio based on current market conds.

[RobGiles]

my objectives for building my MR / swing Trading system have been:
CAR in high 20%+
Maxx DD better than -20%
CAR/MaxDD Ratio > 1.5

but after reading the article by Cesar Alvarez “The ABCs on creating a mean reversion strategy” he’s made me think maybe I’m being too precious about the maxDD and The CAR Ratio:

Max DD’s 20% – 35% “I know a lot of people want CAR to be 2 times more than MDD. When you do find those strategies understand that everyone else is looking for the same thing. By not caring about having MDD greater than CAR, I am looking for strategies that others are avoiding. Which is good.:”

Has anyone else come to the same conclusion?

[RobGiles]

thanks Trent…..what is SAN5?

[RobGiles]

US MRMOC
– 19.2% since inception (16th Aug 17)
– 6.9%% for the month
598 trades
Win/Loss Ratio 0.90

Backtested results for the month came in at -5.5%. Frustrating that a MR system hasn’t performed when volatility finally arrives, as the whole point of the system was to provide diversification when market conditions change. In saying that, I understand that it is possible for losses to accrue even in volatile times and therefore I’ll suck it up and keep trading. I’ll be fascinated to see how it performs if volatility hangs around.

ASX Growth Portfolio as @ 4/4/18:
+23.8% since inception (1st Mar 17)
– 1.2% for the month
account equity has been understandably volatile this month.

USMOM1
-4.3% since inception
-6.9% for the month

[Author]

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