[RobGiles]

Hi Scott
Are you trying to hedge the USD exposure created in your US rotational systems?

[RobGiles]

Hi Tomas. All the best.

[RobGiles]

Interested to know how others treat the rotation process when the stocks that need to be sold don’t generate enough $$ to pay for equal weighted positions in the stocks that need to be bought? Is this where some trimming of the most profitable positions needs to occur in order to generate the necessary funds?

[RobGiles]

Apologies for the lack of engagement lately, been off the radar a bit for the past month due to business commitments.

US MRMOC
+1.7% since inception (16th Aug 17)
up 0.4% for the month
249 trades
Win/Loss Ratio 1.13

ASX Growth Portfolio
+19.4% since inception (1st Mar 17)
up 6.8% for the month
Win/Loss Ratio 1.80

USMOM1
+0.5% since inception
-1.5% for the month
2nd rotation completed yesterday
Looking to double allocation if Nicks view re US tax selling in Jan plays out.
Question: If we get a drawdown mid month, is this the time to add to exposure or does one wait until the beginning of the next month when the next rotation occurs?

[RobGiles]

Scott McNab wrote:

Happened to me quite a few times in the last few weeks….luckily my default computer problem resolution worked…i restarted it and did a new backtest and it worked…done this half a dozen times I’m guessing over that time

thanks Scott

Nick jumped on my PC and discovered that Norgate data had not automatically updated for some reason, so did a manual update and that fixed the problem. Not sure why the auto-update failed…looking into it. Thanks for sorting it out Nick.

[RobGiles]

Thanks guys that’s been very helpful.

Does anyone here foresee a scenario where they do the opposite to adding on a DD…i.e. they take some dollars off the table let’s say from a TF system and reallocate it to a MR system? Or an alternative scenario where a TF system has gone 100% to cash and those funds are partially reallocated to a MR approach?

[RobGiles]

Julian Cohen wrote:

Well answering on his behalf, there’s buying the dips and also buying due to conviction. You don’t have to wait for a dip if you don’t want to. In the long run, adding on will make you more money if your system is good.

Cheers Julian and thanks for providing a response. Was hoping that in a forum dedicated to systematic, non discretionary trading, posting a question as to where discretion is being exercised by members in a meaningful way (i.e. decisions on how much to allocate to a system given market conditions) would create a bit more interaction.

[RobGiles]

I’m doing my 1st rotation tonight, so 1st day of the month. I’m not rebalancing, but I remember someone saying they did if it got too far out of whack.

What about position sizing…are you basing positions of the M2M valuation of the account or the starting equity?

[RobGiles]

Julian Cohen wrote:

Rob Giles wrote:

US MRMOC

There’s been a few comments from members adding $$ to various systems for various reasons which is obviously a response to market conditions and thereby a discretionary decision. It’d be interesting to start a thread that looks at the decision framework that people use when reducing or increasing allocations to various systems.

I’m pretty sure most of us would be buying the equity dips in a trend following system. It’s a well known practice and I think Nick posted something about it. I could look it up but we all know my propensity not to do that

Thanks Julian…I’ll go searching for it
Thing is Nick’s been adding lately and I would imagine that its on well and truly out of the last dip? Nick?

[RobGiles]

US MRMOC
+1.3% since inception (16th Aug 17)
up 1.4% for the month
207 trades
Win/Loss Ratio 1.10

ASX Growth Portfolio
+12.58% since inception (1st Mar 17)
up 3.5% for the month
Win/Loss Ratio 1.67

USMOM1
+2.0% for the month
1st rotation happening tonight

There’s been a few comments from members adding $$ to various systems for various reasons which is obviously a response to market conditions and thereby a discretionary decision. It’d be interesting to start a thread that looks at the decision framework that people use when reducing or increasing allocations to various systems.

[RobGiles]

So I finished the mentoring stage understanding that for short term MR style systems, its prudent to optimise key parameters once every 6 months with a 3 year lookback and longer term momentum style systems once a year looking back over about 5 years. In both cases you’re looking for statistical flat spots in the test results. Is this what the more experienced guys in this forum are doing without considering it “tinkering”?

[RobGiles]

Scott McNab wrote:

Said Bitar wrote:

Said Bitar wrote:

anyhow still it is an idea

Your generosity in sharing ideas is greatly appreciated Said….Don’t tell anyone but I suspect I may even tinker a little tonight

I’d like to reiterate Scott’s comments Said. Very grateful, thanks.

[RobGiles]

Said Bitar wrote:

For me it is one simple reason it is the first system and it is with another broker so i am lazy to rebalance unless it is urgent

pragmatic…love it, thanks Said

[RobGiles]

Thanks Julian & Said,
what is it about the WTT you like in order to give it a material amount of fund allocation, even though it has an element of selection bias? Performs better in markets you don’t trade rotational systems in I’m guessing?

[RobGiles]

Scott McNab wrote:

Just spent time over the weekend doing that too Rob…now have a MRV that holds for a max of 7 days and does not use margin….CAGR in the low 20’s for period (2000-present) but drops high teens for (2010-current)…tried on RUA as suggested in BST podcast but didn’t work for me… I also plan to keep the 4:1 MOC but will allocate a lower amount …maybe 10% for it and perhaps 20 % for MRV.

Thanks for sharing Scott. That’s exactly the type of system I’m looking for…I’d be totally happy with that (assuming the Max DD < high teens). Not surprising that performance drops when we're in a low vol bullish trend, but given it doesn't use leverage, that's system I'd be totally comfortable to use to compound away in market environments that might not suit trend following / rotational systems. I'd be really interested to know more about it if you're willing to share.

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