[ScottMcNab]

Rob Giles wrote:

Hi Scott

I have an allocation of money to a MSCI Global Index fund. I’ve selected 50% hedged to take out some of the risk. I’m likely to convert the hedged portion to unhedged if the AUDUSD ever gets above 0.9000 again, and I’m likely to go to fully hedged if the AUDUSD gets below 0.6000….not very scientific I know but thought I’d share my basic approach.

Thanks Rob.

[ScottMcNab]

Nick Radge wrote:

So my US Momo uses a 100-day breakout at month end to initiate the hedge.

Much appreciated Nick.

[ScottMcNab]

More for Joe

https://alphaarchitect.com/2018/04/24/the-worlds-longest-multi-asset-momentum-investing-backtest/

[ScottMcNab]

currency risk of US stocks.. just don’t want currency changes to detract from returns of US rotational systems…after my post last night I went and tested the basic trend following strategies on stocks instead of currency (should have thought to do so earlier) and found several that were sound without being spectacular so gives me more confidence to use on monthly basis on aud/usd…

[ScottMcNab]

I find that after minimsing selection bias, from 2010 onwards my cagr is in low to mid 20’s (I use 2x….40×5 )…I am happy if maxDD does not exceed cagr

I think the idea of looking for different systems is a very good one Rob…particularly if it is one of multiple systems and sufficiently different for the months of high return and maxDD to be uncorrelated and so maxDD not as big a concern

[ScottMcNab]

Always disappointing when people stoop to denigrating others in their industry instead of working a bit harder trying to produce some positive marketing… growth, momentum and value seem to all have proven track records when used appropriately…probably a sign that his value approach struggling a bit at the moment

[ScottMcNab]

worst drawdown is always in front of you ?

I started paper trading this ETF system at the end of 2017….hasn’t really enjoyed 2018 to date…made me think a bit harder about that statement

[ScottMcNab]

Thanks Glen….will check them out tonight

[ScottMcNab]

Not being the most computer literature person on this forum, apologies in advance but trying to think way around problem…..

Is it possible to construct a simple DIY solution for monitoring VPS or TWS shutdowns ?

1. use free software (so far I am looking into Emco) that pings VPS from own laptop every 10-15 sec (short enough interval that server cannot restart between pings) or so overnight to check that VPS has not crashed (over home wifi cheap)…if it has crashed then laptop sounds loud audible alert or sends email (which can convert to sms if want) to wake us and check the VPS

2. place software (monitoring tool) on the VPS itself to also email (which then convert to sms to make audible ding on mobile beside bed) in case TWS closes down but server remains functioning (not looked into this software yet)

Again, apologies if missed something obvious

[ScottMcNab]

Thanks Travis. Hopefully the increased drawdowns would occur at different times so that the portfolio as a whole may increases cagr without sig increase in maxDD ? I am going off track however as your aim was to make system more “tradeable” in high volatility situations rather than increasing cagr
Two potential ways I was thinking of avoiding position sizes so large that they become uncomfortable were:
1. leave aggressive as is to do it’s thing and set non-aggressive to a fixed percentage
2. let all systems continue to be variable but only up to a maximum allowable/tolerable size (eg 25% for aggressive and 15% for standard)
I guess a third option would be to combine these two approaches.

[ScottMcNab]

March 2018

LOO RUI -0.6%
MRV RUI 3.1%
NDX Rotn -5.6%
RUI Rotn 3.4%
SPX Rotn -2.7%
XTO Rotn 0.1%

[ScottMcNab]

How do the standard/non-aggressive systems go with fixed percent (eg 10 positions at 10%) ?

[ScottMcNab]

I don’t subscribe to this site but the list appeared useful:

http://jbmarwood.com/best-trading-books/

Anyone read “Evidence Based Technical Analysis” ? Sounds interesting in the brief summary with regards to triggering some new ideas to test

[ScottMcNab]

Thanks Len. There is an Australian branch but I have not yet been able to locate information on their website regarding an online brokerage account similar to the US…it may be that Australian clients are able to open an account with US company

[ScottMcNab]

Do you live in US Len ?

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