[ScottMcNab]

Just making stuff up now on the fly but….based on restrictions and preference for momo…what about option of a system that keeps large portion of 401k in cash and rest in momo…maybe a SPX system that has 20 positions at 3%…it may hit the 10% cagr with an acceptable (<20%) maxDD ?

Dont know how to test it but another possibility would be 20 positions at 4.5% with other 10% in otm puts for some insurance… that is a backtest I’d like to see…something simple where just bought put on 1 Jan and 1 July each year for example…would need someone with a passion for coding to explore

[ScottMcNab]

Just did some quick tests Tim…can run them both with no leverage at all and get > 10+% CAGR you are aiming for
since 2010, the MRV I use on RUI at 10×10 did 20/-11;
same system dropped straight into MOC over that time did 13/-4
combined they hit the targered CAGR you’re after with maxDD in single figures (and a smoother equity curve that either system alone)
Does a 401k have limitations regarding trading frequency?

[ScottMcNab]

I found that combining a MRV (ave 3-4 day hold) with a MOC (even if exactly the same system except for the exits) often produced a smoother equity curve..psychologically easier to trade too..
having mrv and moc both at 2x also reduced my stress levels back when I was running them together…

[ScottMcNab]

Nice work Tim..

[ScottMcNab]

Thanks Len…I also trade without margin which makes it easier at times like this. I got lucky last night with CY…

How is the short side of things going Len?

[ScottMcNab]

Have read previously that 200 MA is a trigger point for exit for many “funds”…but hard to imagine complex businesses would have such a simple exit

[ScottMcNab]

Do you think that would be a trigger point for some people would use to sell Trent? Or to buy maybe?
I did place orders last night…small loss so far with probably more to come tonight..nowhere near hist max DD yet so suspect will get bit more of a kicking

[ScottMcNab]

Just did explorations…one MRV system wants to load up and the other is completely out due to vola filter….designed them to have low correlation so guess too late to complain now.
so be it…

[ScottMcNab]

Glen Peake wrote:

* I’ve removed the indicator check on the stock for the ASX100 build. This indicator check worked/works very nicely on the NDX100 Rotation build…. but it was making very little difference on the ASX100 build (still active on the NDX100 build).

2c worth
I have tended to leave these in …. my rotational systems, even when tested over longer time frames, do not have a huge number of trades…and if it has proven beneficial for one data set while not harming the other then I find it hard to conclude that it may not become useful in future years…

[ScottMcNab]

Looking deeper, interesting to see trades that would have taken on those days where ASX tanked….not enough trades to make a difference to system or to really be statistically sig but may point to the heart of why MRV systems work

[ScottMcNab]

I would certainly take comfort in having that sort of setup…never been able to construct a viable short system…good trading tomorrow

[ScottMcNab]

Anyone (else) having second thoughts about placing orders for US tonight?

I tested skipping all days in US when ASX low was 6% lower from prev close and it didnt hurt system performance

[ScottMcNab]

Hope its not in oil…US open tonight (Oz) will be interesting

[ScottMcNab]

At times like I think it’s a relief to not to have to try and make a rational decision…so much conflicting info..one day the fatality rate much higher than 2% and the next its much lower than 2%…
Why not backtest impact on MOC with different position sizes based on index atr or HV or VIX? Develop a rule to reduce from 4x to 2x to 1x …and back up…then sorted for future events

[ScottMcNab]

I do it manually Glen

[Author]

Posts