[RobGiles]

Hi Said
Which universe are you running your US MOC system on?

[RobGiles]

*Results as @ 3rd Aug.
USMOM1:
-5.1% for the month
-5.9% since inception

USMOC1:
+1.73% for the month
-19.3% since inception

ASX Growth:
+0.4% for the month
+38.4% since inception

[RobGiles]

Along the lines of what Scott is saying, it sounds as though it might simply be a liquidity issue, given that it looks like you’re swinging a fairly large bat. Can you test your system on a smaller universe of larger cap / higher liquidity stocks?

[RobGiles]

Thanks for that video Nick.

With IB, you can elect to settle FX trades as IDEALPRO which creates a ‘virtual FX position’ or FXCONV which converts real currency exposures to the currency that you have elected to convert to. Which settlement method have you used in the past?

[RobGiles]

Julian Cohen wrote:

I never actually tested a weekly rotational system to be honest.

When I first started coding I had a go at coding the WTT as I had read the book and didn’t realise that Nick didn’t actually trade it himself. It wasn’t too hard to code so I pretty much just started to trade it, until I really understood selection bias and then I stopped trading it. In the meantime I had written monthly rotational systems, but never made the mental connection to test it weekly. Then when the CBT selection bias code came along I plugged it into my old WTT and found it worked nicely. 20% CAGR with 25% drawdowns is pretty good for a trend following system, so I added it back into my portfolio.

So the honest answer is, I never tested a weekly rotational system. Now I’m going to have to do it!

Thanks Julian,

By “the book’ you mean Unholy Grails right?

[RobGiles]

Hi Julian,
What’s the attraction of WTT vs a weekly rotational system?

[RobGiles]

haha false advertising?

[RobGiles]

US Momentum / Rotational System: For those that are interested, I sold down my overweight position in NFLX on the 13th July as I didn’t like the look of the bearish divergences on the weekly chart, and looking at how parabolic the monthly chart is just started to make me think this looks ridiculous. Don’t usually mess with my 3 mechanical systems, but I think it was Clenow who advocated re-balancing fortnightly (not for me). Anyway, Nick will probably get up me for it, but my 3% overweight position is now where it should be.

Any others do the odd rebalance when certain stocks get a bit lofty?

[RobGiles]

Julian Cohen wrote:

Rob Giles wrote:

So, begs the question, does anyone here miss trading days with their MR or MOC systems when on vacation? Is anyone prepared to take that risk? Has anyone developed a MR system that trades weekly rather than daily?

If I’m going on holiday and won’t be able to trade I just switch everything off and leave it alone until I am able to get back to it. I’ll shut down all positions on daily systems and leave the monthly ones running

Thanks Julian…yep that’s what I’ve been doing as well

[RobGiles]

Thanks for the replies to this month’s post.

If you refer to my update March 2nd it explains the API technical issue I had and my reluctance / failure to place orders following that incidence and its effect on the system’s return. Couple that with a number of days where I have been out of range or unable to place orders I am now in a 20% DD on this system (not including the costs to run the VPS). I might add that this system makes up a very small % of my investment capital.

Julian – yes I do have a VPS which I run my API from, but if I’m out of range, I’m out of range, or if I’m on vacation, I really don’t want to be trading, I want to switch off from work, so doesn’t help in those situations.

Scott – according to my backtest, if I had been able to take all trades for the past year I’d be up 17%.

So, begs the question, does anyone here miss trading days with their MR or MOC systems when on vacation? Is anyone prepared to take that risk? Has anyone developed a MR system that trades weekly rather than daily?

[RobGiles]

Late this month due to travel. Results are as @ 10/7/18:

US MRMOC
– 21.76% since inception (16th Aug 17)
– 0.22%% for the period
Times I have questioned the time effort and cost of running this system as I often miss days where I cannot trade due to travel. I guess June wasn’t good for MOC systems due to declining vol.

ASX Growth Portfolio:
+37.88% since inception (1st Mar 17)
+ 4.73% for the period (previous month was understated due to unsettled trades cash not counted)

USMOM1
-1.34% since inception
-4.44% for the period
Added 50% more capital to the system mid June.

Best system continues to be the one I haven’t coded (Growth).

[RobGiles]

Nick Radge wrote:

http://www.collaborativefund.com/blog/the-psychology-of-money/

A few quotes:

Quote:

“There is no such thing as a long-term plan that isn’t susceptible to occasional volatility. When volatility is guaranteed and normal, but is treated as something that needs to be fixed, people take actions that ultimately just interrupts the execution of a good plan.”

Quote:

“Most of the time, something big happening doesn’t increase the odds of it happening again. A stable strategy designed to endure change is almost always superior to one that attempts to guard against whatever just happened happening again.”

Quote:

Good investing is about earning pretty good returns that you can stick with for a long period of time.

thanks Nick, that was a good read. Particularly liked these two paragraphs:

“My own money is barbelled. I take risks with one portion and am a terrified turtle with the other. This is not inconsistent, but the psychology of money would lead you to believe that it is. I just want to ensure I can remain standing long enough for my risks to pay off. Again, you have to survive to succeed.

A key point here is that few things in money are as valuable as options. The ability to do what you want, when you want, with who you want, and why you want, has infinite ROI.”

[RobGiles]

Julian Cohen wrote:

Trent Rothall wrote:

May 2018

ASX MR = 11.21%

NDX Agressive = 9%

Noice!!

Well done on the ASX MR system Trent.

[RobGiles]

Hi Scott
Did you end up looking into using Norgate data for your STT feed?
cheers
Rob

[RobGiles]

May 2018

US MRMOC
– 21.3% since inception (16th Aug 17)
– 1.6%% for the month

ASX Growth Portfolio:
+28.6% since inception (1st Mar 17)
+ 3.6% for the month

USMOM1
+3.1% since inception
+3.36% for the month

[Author]

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