I wanted to post an update one of my systems that I finished recently, it went live in July and sat in cash for a month before entering the market in August.
This system kind of evolved from a weekly system after I went off on a tangent during testing.
Below are the details.
All Ords Monthly Rotational System
Universe
All Ords Index.
Rules
Index Filter
Dual MA filter on the $XAO
Stock Filter
Limit historical volatility using StdDev
Ranking
Dual linear regression slope (short term/long term) with minimum values (this is more like a filter as it excludes stocks)
The long term linear regression slope used as the Rank value.
I think its a fairly simple system, there are two things I did differently that make it better for me to trade, one improves the returns, the other helps psychologically.
The index filter uses dual moving averages, short and long term, if the index is above either MA the system trades. In code this is using an OR operator rather then an AND operator as shown below.
IndexFilterUp =
(
Index > IndexMALong
OR
Index > IndexMAShort
);
This improved returns in backtesting, my theory why is that it gets you back in the market quicker following a drawdown. If the market is going up in the short term and we are in the highest momentum stocks we may catch it. It won’t always work but backtesting was positive, I’m happy to have a go and time will tell.
The other difference is also on the index filter, if the index filter goes red mid month the system goes to cash and sits on the sidelines until the next month. This degrades returns slightly but I’m not yet comfortable sitting in multiple monthly systems if things go pear shaped early in the month. With experience this will change and I will switch it off but for now I’ll leave it on.
That’s about it, Hopefully this is useful for somebody.
Cheers
