[RobGiles]

Julian, thanks for sharing.
Are the US WTT and the US Momo Nick’s systems?

[RobGiles]

That’s an interesting article Julian. Basically commodity tracking ETFs only have a chance of paying off from the long side if the futures market curve for the underlying is in backwardation (the opposite to contango. an inverse futures curve). This only happens when you see as acute shortage of the physical commodity and the front of the futures curve goes into a massive bullish, usually parabolic move. I’ve seen this happen in the Ags many times (its more prone to happening with Ags / Softs as there can be a complete supply side failure). Long only funds are then selling the front (spot) month (at a profit) and buying spot + 1 as the front month approaches the delivery window (they never want to take physical delivery). If the acute shortage of supply continues , then you’ll see the fund (ETF) make money. All other times, when the supply / demand is in balance or oversupplied, the problem of a normal carry market will be apparent – advantageous to those holding the short side of the market (i.e. hedgers, or short side speculators) as they close out their front end positions (buying) and roll them to spot +1 (selling higher). This is how grain storage handlers make a lot of their money. The funds (ETFs, long only hedge funds etc) get screwed.

[RobGiles]

Has anyone tried using Amazon? My web designer uses it for all ihis work and he hosted my ecommerce business, Funsports , on it. Enterprise systems (very expensive) guarantee four 9’s of availability = 99.99%

We have had a similar up-time experience since migrating to Amazon. For e.g. over the past month we’ve had 6 minutes of downtime over 1 month = 99.99% uptime – so right now, we’re pretty much at enterprise level.

[RobGiles]

Don’t Think Very Intensely

[RobGiles]

Hi Julian

IBS??

[RobGiles]

Brilliant. thanks Julian. Just out of interest, re your MR systems that you trade, have you come across a liquidity issue at all?

[RobGiles]

Yeah look it does thanks Scott….in fact its probably the only explanation I can think of, although given the liquidity of the US markets, I feel that they should be able to handle a portfolio of well over (guessing here) $5m if you had that to invest. Hopefully I’ll find out one day!

[RobGiles]

Back from 2 week camping trip with the kids.
Have been playing around with the MR system after taking on board suggestions from the forum / Nick which has reduced the number of trades but still getting very high CAR/MaxxDD ratios (i.e. higher than 4.0 in some cases) which tells me that I still have a selection bias issue (I think). Still, there’s been improvement in the Max System DD.

Annual returns are somewhere between 13% to 23%. Can’t help but feeling that consistently achieving above 20% is impossible. If it weren’t we’d all be pushed over in the rush by the wealth management industry if we made our results public (assuming they were auditable). Anyway, maybe that a psychological hurdle I need to get over.

[RobGiles]

HI Trent
Apologies for the delayed reply. Yes I do. James and I worked together at Colly Cotton on the risk management / trading desk. Great fella. Big brain. Say hi if you know him.

[RobGiles]

OK thanks. Good luck with it.

[RobGiles]

Thanks very much Maurice…..what’s your worst DD if you don’t mind me asking?

[RobGiles]

Thanks Julien…I’ve just worked that out and had a good session with Nick discussing why.

[RobGiles]

Thanks Said

Started playing with shorter duration BB last night and got a dramatic improvement and mucked around with the stretch which yielded some interesting results.

[RobGiles]

I thought I was told not to send you systems that didn’t show some kind of promise?

[RobGiles]

Thanks for everyone’s input.

How many degrees of freedom did you end up with on your MR systems?

I’ve tested the following and after tweaking all the variables, results are either poor returns or high returns with very low trade frequency (not enough to bother with):

Price has to trade through bottom BBand (100) [have payed around with 50 & 20 period]
3 lower lows
Price of stock has to be above 100, 50, 20 or 10 period MA (I’ve tested them all. I added this filter as didn’t want to be long a stock that was tanking)
0.5 x ATR Stretch to get a fill following day [tested up to 1.50 x stretch and everything in between)

Adding an Index filter (say S&P500 > 200 period MA) kills it.

Not sure where to go to from here.

Tested over 5 years

[Author]

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