[SaidBitar]

DEC 2022
MRV -5.49%
DT -2.19%
MOMO No trades
Total Account -4.35%
Year 2022
MRV -17.26%
DT -29.29%
MOMO AGG -35.75%
NDX MOMO -20.69%
Account -39.97%
Current DD -42.2%

2022 was a bad year as it is clear from the results partially due to market conditions and partially due to my systems that were volatile. Recently I reduced the volatility of the systems so that such results should not appear again. Somehow it looks like a pattern for me, few years back I did the same exercise reduce volatility to increase it again

Anyhow now I am sitting on 42% DD not my worse I had 55% when I started trading, not a pleasant spot to start the year but it is OK.

Plans for 2023:
Currently I run one strategy for each style, I am planning to run multiple DT, MRV and MOMO.

[SaidBitar]

Nice results for HFT, so HFT is not MOC??

[SaidBitar]

NOV 2022
MRV : 0.05%
DT : -1.31%
NDX MOMO : in Cash

Account : -0.2%

[SaidBitar]

OCT 2022
MRV : in Cash
DT : 2.41%
NDX MOMO : in Cash

Account : 1.63%

[SaidBitar]

SEPT 2022
MRV : -1.61%
DT : -0.86% This should be in the positive territory but due to mistake in account value (added additional ZERO on a bad day ) the results changed to negative
NDX MOMO : Still in Cash

Account : -1.34%

 

[SaidBitar]

When my MOC system reached DD in the range of 35% – 37% back in June this year I reduced volatility on all of my systems (MOC, MRV, MOMO). The aim was not to hit such draw down again and to stop going deeper in DD. To reduce DD by reducing volatility I had to sacrifice some returns. Note that the 35% DD was the deepest in the backtest but there is always first time.

MOC and MRV systems depend heavily on volatility because this is how they make the returns but it was clear that when the market drops fast my strategies dropped faster.

[SaidBitar]

AUG 22

US MOC: -5.96%
US MRV: -2.09%
NDX MOMO: In Cash

Total account : -4.68%

 

[SaidBitar]

JULY 22

US MOC:2.91%
US MRV: In Cash
NDX MOMO: In Cash

Total account :2.4%

[SaidBitar]

1. Set your trading universe
2. Set the Moving average duration , price filter and volume filter
3. Set the ranking 
4. Set the stretch

Now you have a profitable MOC system.
The second stage will be to decrease the signal count and the randomness in the system. This can be done by adding some conditions to show short term weakness in long term or medium term uptrend.
This can be done using RSI, ADX, Close below x days, close below band (volatility band or percentage band), ROC and many others
this will help in decreasing the number of trades , drawdown, and randomness.
If the number of trades decreased a lot then increase the universe.
I prefer to add one condition but if needed I can add another one but not more than two.
After I reach results that I am happy with then I go back to the ranking and try to test other types of ranking. My default ranking is based on ROC but I will test other ideas such as ranking by price, ranking by ATR/C and whatever get’s in my head.

Another idea is to develop multiple systems that look OK not great and combine them together sometimes the result is great. But you need to make sure that the trades generated from each system are not overlapped. Personally I am not a big fan of this, I can see the benefit out of it but sometimes it gives me the feeling that I am fooling around to place as many orders as possible.

[SaidBitar]

Using PDI and MDI are a bit lagging especially for MOC systems. MOC systems they are short term and follow the changes in the market faster than longer term systems. So using any indicator that is a bit lagging to modify the stretch is not the best way (at least in my opinion). Why not using the ROC for a certain duration to change the stretch 

[SaidBitar]

I tested my system starting on 95
27/10/97 the daily return was -16% followed by +40%
regarding DD, the current DD is the deepest

[SaidBitar]

JUNE 22

US MOC:-28.6%
US MRV: In Cash
NDX MOMO: In Cash

Total account :-23.48%

[SaidBitar]

Yes it is tough, especially when the drawdown is the largest than the tested history.
Anyhow I think the only thing to do is to keep pushing orders.

[SaidBitar]

MAY 22

US MOC:-6.68%
US MRV: In Cash
NDX MOMO: In Cash

Total account :-5.45%
 

[SaidBitar]

APR 22

US MOC:-4.2%
US MRV:-4.68
NDX MOMO:-12.62%

Total account :-12.16%

Momentum strategy will be out for May because of Index Filter, Largest losses came from NVDA, TSLA, PANW

[Author]

Posts