[ScottMcNab]

Many thanks. Happy New Year Richard

[ScottMcNab]

Happy New Year Julian. The annualised returns for the FY (in brackets) were a shameless attempt to make me feel better. For the calendar year the entire portfolio made approx 15% which is fine for the amount of time it was invested. I haven’t used leverage for a few years now (except for the occasional dabble if a new idea pops up…and then bursts) so all systems have been using “cashnextday” since Marsten added it

[ScottMcNab]

Thanks Nick. All the best for 2025 too. Regards Jocko, I think the difference for some of us is in regards to the use of the word “simply” in his philosophy. For him (and many others), it probably is simple. I watched my father get up at 3.30-4am most mornings and run 10-40 k (depending on what stage of his prep for the latest marathon was up to). For me, I’ve found it helps to arrange to exercise with someone to make it that one step harder to be unaccountable. For me, this forum is invaluable as a source of accountability, inspiration and practical advice.

[ScottMcNab]

An interesting year. I found it much harder to get back into the swing 🙂 of things than I expected. My systems had become outdated in their time on the sidelines (re some changes to the RT code) and I found my reluctance to engage with the markets in combination with my lack of confidence with my code meant that I took some time to incrementally build back to full position sizes (which was finally achieved again on 01 July).

I have now closed out for the year (on Dec 24) to do some minor tinkering/housekeeping around allocations to accounts so they are ready to go from Jan2. Returns for the accounts/systems for the calendar year are listed first followed by annualised return for 2024-25 financial year (in brackets) when started back  trading with full position sizing:

MRV1  10.1%  (11.5%)

MRV2  10.1%  (16.3%)

MRV3  12.3%  (24.7%)

MRV4  23.5%  (31.3%)

MRV5  21.5%  (45.6%)

MRV6  8.9%  (19.4%)

No prizes for guessing which account has the largest allocation. Damn the market gods ! (but then again….first world problems right). Although it is not really my trading as such, my parents have been implementing the Chartist ASX All Weather Portfolio and have enjoyed the amazing returns they achieved this year.

It wouldn’t be this time of year without some reflection and I would like to wish everyone happy and safe holidays (if you have them) and express my gratitude to all those who have made up this community for the last 8 or so years. Nick, Craig and the team have created an atmosphere where thoughts and results are shared openly. What are the chances of finding such a community in retrospect? I doubt I would still be trading without it.

Cheers (hic)

 

[ScottMcNab]

Hi Julian. Thanks for taking time to update. Interesting stuff particularly in light of the number of years you have been trading and coding. Are you able to share more regarding the aspect of dailies not living up to backtests ? Were you able to determine if this was missed entries on longs or inability to borrow stocks to short or something else entirely (I think you were using a slightly more involved system that selected or weighted sub systems on some sort of correlation matrix ??) Or was this a minor component in the switch into the longer time frame ?

[ScottMcNab]

Nov 2024

MRV1  1.2%
MRV2  1.0%
MRV3  2.8%
MRV4  1.0%
MRV5  1.5%
MRV6  1.3%

[ScottMcNab]

Although not directly applicable, my MRV shows a similar pattern…RUI equity curve smoother (but shallower) rise while USA shows sig dip in 2022 and flat 2023 (as does RUA but to a lesser extent). The shape of the curve with USA varies so much however depending on how I filter liquidity (volume/price/shares under 1% of total volume) and limit extra setting selected (starting to use 0.05 when using total USA now). It would be too good to be true I guess if simply dividing each MOC system into 2 subsystems that defined the liquidity selection criteria differently combined to produce a smoother curve without having to change anything else

[ScottMcNab]

Just had a flash back to 2016 (?) election when was news sites started reporting that Donald Trump was likely to win election and markets were tanking. I was at work at the time when I heard so I must have been trading ASX back then for it to be an issue I guess. I remember exiting the market with my laptop from work and then watching it rebound after I closed all my positions. Lucky I will be asleep for most of the time US markets open (and not trading ASX at moment) this time. I imagine it will still be an interesting ride until the uncertainty is resolved. 

[ScottMcNab]

For all you jet setting adventurers out there looking to download something for the plane or airport lounge “Slow Horses” is worth a look….British drama / dark humour done well..on apple tv but could also be elsewhere 

[ScottMcNab]

Oct 2024

MRV1  3.5%
MRV2  4.1%
MRV3  1.9%
MRV4  1.4%
MRV5  -3.2%
MRV6  -1.4%

[ScottMcNab]

Sep 2024

MRV1 -1.3%
MRV2  2.9%
MRV3  4.2%
MRV4  3%
MRV5  6.2%
MRV6  0.1%

[ScottMcNab]

Aug 2024

MRV1  -0.5%
MRV2  -4.1%
MRV3  -5.6%
MRV4   0%
MRV5   -1,7%
MRV6   -5.7%

system on RUI (#1) faired relatively better than same system USAexRUI (#6) this time around…swings and roundabouts

[ScottMcNab]

Hi Ben,

Just looking at R1000 that is a lot of trades to play with over that time period (but then I am not sure how many positions system allows). It may be possible to increase the expectancy and reduce maxDD without harming cagr too much by being more selective with entry. I am guessing that your entry is buylimit which is already using some sort of volatility/atr stretch ? Maybe you could just make the buylimit more stringent (eg use L- atr rather than C-atr stretch) or perhaps increase the stretch further when your index and/or stock filter indicates increased risk ?

[ScottMcNab]

received a spanking this morning …. jmia

 

[ScottMcNab]

MRV1  1.4%
MRV2  1.3%
MRV3  4.6%
MRV4  3.4%
MRV5  3.3%
MRV6  7.3%

As may have mentioned before, systems 1 and 6 are exactly the same but just on different universes…interesting how much better MRV6 (USA ex RUI) was this month compared with MRV1 (RUI)…from a quick look at trade list seems to be a combination of picking up a few large moves as well as side stepping the tech tantrum in the later part of the month

[Author]

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