[RobGiles]

thanks guys

[RobGiles]

thanks Kit…happy to brainstorm ideas in more detail via skype if interested

robgiles6000

[RobGiles]

Said / Kit ..are you still using a GapUp filter as suggested by Clenow when using the ROC/ATR approach?

Re the ROC/ATR approach, my testing suggests that shorter term ROC (e.g. 60 days) is no good. Is there a rule of thumb for the ROC / ATR parameter value ratios? I’ve seen articles that suggest an average of ROC values divided by an average of ATR values that are about a third of the duration of the ROC duration periods for e.g.

[RobGiles]

Kit Lui wrote:

Hi Rob

Unfortunately I made a mistake in that backtest, I ran it with adjusted prices instead of unadjusted prices. I have re-run it with unadjusted prices and here are the results for 1/1/2007 to 31/12/2017.

CAGR: 20.8%
Max System Drawdown: 26.01% (occuring in 2010. and 2011 was a bad year too, the annual performance was -8.2%, but all the other years are positive)
Profit Factor: 2.64
Payoff Ratio: 2.30
Win %: 50.45 %

If I change the start date to 1/1/1997, the CAGR drops to 18.26% and the Max System Drawdown deteriorates further to 28.94%.

Apologies for the misinformation. The maximum system drawdown is probably in the uncomfortable zone for a few people, but I’ve been telling myself that anything under 30% is okay.

Note: To rank the stocks, the system currently uses a combination of ADX and RSI (rather than using percentage distance from the 52-week high, as per Nick’s article – this didn’t work for me).

At the moment I’m testing a ranking criteria which another member has shared under the Trading System Graveyard topic, it’s ROC(C, Duration)/ATR(Duration). For the period 1/1/1997 to 31/12/2017, the backtest shows an enhanced CAGR of 20.54% and a reduction in the max system drawdown to a more tolerable 25.97%.

I would be happy to hear from you (or anyone else!) if there are any other ideas regarding ranking criteria

Cheers
Kit

Hi Kit…sorry but I’m a little confused. You initially said that you were ranking stocks as per Nick’s article https://www.thechartist.com.au/Shares-Stocks/52-week-high-rotation-strategy.html

then you said “To rank the stocks, the system currently uses a combination of ADX and RSI (rather than using percentage distance from the 52-week high, as per Nick’s article – this didn’t work for me).”

So are you saying that using the distance from the 52 week high did produce the results you posted but they just didn’t meet your objectives?

[RobGiles]

No problem Kit & thanks for letting me know. Performance is still good though.

BTW what is the logic of the ranking method:

ROC(C, Duration)/ATR(Duration) ? Are we trying to buy the stocks with the best momentum & least volatility here?

My S&P500 system used 2 Linear Regression measures (one short and one longer term) and then played around with the weighting of them to give a ‘weighted momentum raking’. also had an Index filter and an individual stock filter.

I’ve tried exactly the same rules on the ASX but the performance is poor, so I’m still looking for something acceptable. I’m testing my systems through a particularly difficult period for trend following / momentum systems…June ’07 to Sep ’18, as protection of my capital is very important to me and I essentially wanted to stress test the systems I’m developing to see how they handled that period of time.

[RobGiles]

Hi Kit, thanks a million for sharing all that. I will go away and see if I can get something close. They are really great performance numbers, something that I think would suit my objectives very well. Certainly a lot better than buy & hold.

[RobGiles]

The performance stats on this portfolio are v impressive Nick. Just out of interest what did the model return for the 96 to 06 period?

[RobGiles]

Scott McNab wrote:

Rob Giles wrote:

forgot to add, I had no liquidity filters in my ASX100 system (assumed top 100 Co’s would be fine). Assume you’d need them if testing on the whole ASX ($XAO)?

I think it is worth adding some liquidity filters in there Rob..makes a difference even with XTO (for my systems anyway)

Thanks Scott
I’ve tested Min Share Price $1, max $500 (i.e. don’t care about max) and Ave Volume 500K and lots of variations around these parameter values, and it just kills the system. I don’t how you guys do it but I can’t get mine to work with liquidity filters. Problem is I know I need them as it doesn’t reflect reality in terms of what I’d be able to get away in the market on very illiquid stocks.

[RobGiles]

Sept ’18 performance:

USMOM1 +0.42% for the month.
+7.9% since inception
This month I re-balanced my AMD Position which was 53% overweight otherwise I wouldn’t have had any cash to buy the bottom ranked position for the monthly rollover. Any thoughts on this action are welcomed (for or against, although I know there’s already been some discussion on this topic in here before).

USMOC1 +2.48% for the month
– 17.5% since inception.
Thinking of doubling my exposure to this system.

ASX Growth -0.06% for the month.
+39.5% since inception.

System development:
Still back-testing ASX momentum systems. Stating the obvious I guess, but the process has highlighted how important start date is. for e.g. you’d be fairly bitter & twisted if you’d invested all your cash in June 2007 (but less bitter & twisted than your average buy & hope investor) with my current performance stats as follows:
CAR 2.46
Max DD – 27.5%
whereas if you’d invested in this system in June ’98 to June ’07 you’d be a much happier individual:
CAR 22.34%
MaxDD -21.5%

[RobGiles]

So as it turns out, liquidity filters matter on large universes (this system was tested on the All Ords). The 55.7% equity jump in June 2013 was due to the b-test taking a position in a 6c stock with a daily volume of only 2.6M shares. I would have added a significant amount to the daily volume so the b-test is unrealistic. only problem is liquidity filter kills the system so back to the drawing board. Definitely hasn’t been a case of use my rules for my existing US MOM system and simply apply them to the ASX.

[RobGiles]

thanks Julian….the “dur” in ADX(dur) I assume is a variable for ‘duration’?

Tim – which universe are you trading? FWIW, with my S&P500 system I found that liquidity filters detracted from performance so I deleted them, as i was happy that the liquidity of the top 500 companies was good enough for me.

[RobGiles]

I have only ever used an IG CFD account for my family trust (not SMSF) but the bid / offer spread on currency pairs is manipulated, especially when you are running stops. I don’t use that account any more.

[RobGiles]

Julian Cohen wrote:

Tim Strickland wrote:

Gotta figure out a way to reduce my drawdown. My in sample period was 2010-2012.

Did you try using ADX(dur) > 30 ?

Seems to help my drawdowns without affecting CAGR too much

Hi Julian
Excuse my ignorance, but where in the code file does this get placed? Is it a replacement ot the Index Filter or in addition to?
cheers

[RobGiles]

Tim Strickland wrote:

Gotta figure out a way to reduce my drawdown. My in sample period was 2010-2012.

Tim, is the ‘in-sample’ period long enough to test a momentum system? I’m just going off Nick’s comments in the last mentor hookup, where he said there’s no point taking a 3 – 5 year window, 2007 – today or 1998 to 2007 would be ea better test window as it gives this type of system the chance to show what it can do in the types of markets it is designed to capture.

Has playing around with the index filter length had any impack on MaxDD?

[RobGiles]

A presentation on how to trade and hedge with options….not the done to death Buy/ Write approach. Tom Gentile’s name has been suggested to me.

Also someone trading a portfolio of futures… like a respected CTA

[Author]

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