[ScottBilton]

Hi Kate, after reading your message there are no words that I can share to cover the depth of your loss. I wish you and your family full strength during this very difficult time, my thoughts and prayers are with you. I echo what others say, trading will always be there, but take care of yourself right now.

[ScottBilton]

I’ve finished my regular 1on1s with Nick, and I’d like to thank him wholeheartedly for all of the support. The mentoring (long may it continue) has been a step change in pushing me to treat my trading like a business, and to have a firm hand with strategy selection/testing. As he said to me, the area where I’ll need help is going to be the psychological side when the bigger drawdowns hit. I hope to get that help from all of you on this forum too. August was a bit of a rollercoaster for my US MOMO, luckily with a few up days at the end of the month it clawed back some of the losses.

I’ve been reading up on volatility, here’s a great article for the newbies who want to understand the theory better. A quick tip to remember: it’s better to feed volatility formulae with daily PnL data, even if you want to calculate weekly or monthly volatility of returns (I’ve run into a few people elsewhere who say for monthly you should use monthly bar data which is nonsense). The volatility metrics are handy to compare the ride of my strats, and give you a rough idea of what you’re systems might bring in the future.

September 2023
Weekly US MOMO: -0.7%

paper-trading (watching)
R1k MOC: 2.7%

October plan: US MOMO now has a decent chunk of capital: stick with it as is. I will start trading a full US market long MOC that I’ve been tracking for the last couple of months.

[ScottBilton]

Back from my hols, in which I had the discipline to execute my trades on a daily basis. Naturally August results had to go red as I ramped up investment after a good July. The break away from the coal face of strategy research did me some good, let’s my mind decompress, and taught me that it’s only entering those trades that matter. You don’t need to make this feel like a full time job just for the sake of it.

The movie: Oppenheimer, did you all see it? I sat for the 3 hours, and since I already knew the general history of it I have to say I found it slow going. I give it a 7 out of 10.
I went on to watch the below documentary a few days later, and found it more interesting than the movie and half the time! 
https://www.imdb.com/title/tt28240284/

August 2023
Weekly US MOMO: -5.4%

paper-trading (watching)
R1k MOC: -1.4%

September plan: ramp up allocation to US MOMO, and generally get back on the saddle of research after several weeks away. It’s amazing how quickly the mind loses momentum with the coding when you take the finger off the pulse. As well as watching the R1k MOC above, I’m also watching the out of sample results of a few other systems I coded. 

 

[ScottBilton]

Having some nice weather camping on my hols with the kids. They love the campfires and playing with cousins.

I’ve cranked out the daily MOC trades and weekly MOMO. I’ve also switched TWS to classic, so I don’t see my PnL or balance every day, and have decided to look at it only at the end of the week. This suits me better and helps to forget about the money (until I hit a drawdown!)

July 2023
Weekly US MOMO: +9.7%

paper-trading (watching)
R1k MOC: -0.8%

August plan: ramp up allocation to US MOMO.

[ScottBilton]

Thanks Rob, I’ll check out Muster Dogs, this one didn’t cross my radar.
Continuing with my biographies, I watched Arnold (Schwarzenegger) on Netflix. Again not a huge fan of the guy, but he’s very inspirational. He comes from humble beginnings and sounds like he wanted to escape his home town and his father. The key take aways for me: 
1) Have a vision for yourself – a picture of the future you want, think deeply and often about achieving it / living it
2) Work your ass off to get there

I also found Blackberry (on Amazon Prime) really fun to watch. The pump and dump story of the famous phone.

During June, I’ve designed a ASX WTT, and ASX MOMO with Nick’s help. I’ve got several systems that look good, I just need to control the build up in an orderly manner so that I can manage my confidence.

June 2023: 
Weekly US MOMO: 6.6%
paper-trading (watching)
R1k MOC: 8.3% (lesson to be learnt here: don’t quit a system after a bad month even if it’s the worst in 14 years?)

July plan: ramp up allocation to US MOMO, look at the logistics of deploying ASX WTT while on vacation. I’m going away on 8 weeks of vacation with my kids, so won’t have much time to deploy new stuff or write here.

[ScottBilton]

yes, the universe selection and ranking are just as important as the setup

[ScottBilton]

Thanks Glen,

A good catch! I find too that the ratio StdDev(ATR5,50)/StdDev(ATR5,200) is <5 for all stocks with the liquidity and price criteria.

I put the ratio in a charting package and looking at many charts of popular growth stocks I didn’t see the ratio go >1.9

A good learning to not take shortcuts and chart stuff to be honest. I find it hard to code something without look at a bunch of chart examples where it makes sense to me.

[ScottBilton]

Thanks for info Nick, but are you giving details for a different strategy than originally posted?
best so far is a MAR of 1.0, but I was using the total market.

[ScottBilton]

Hi Kate, I’m getting hit in 2022 which whacks the MAR from over 2 down to sub 1.0

Can you share some of your learnings from Glen? And what do you mean about spotting errors?

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