[smurfki0808]

This month, a highlight was securing a first right tail from my WTT strategy with an exit from MRM.au taking a 227% profit, equivalent to a 569% return on risk. Slowly but steadily, MRM.au plodded along since December 2022. This must be the magic I’ve heard of. May many follow in its path.

The main step forward this month was taking the move to redeem our managed fund, after Nick showed me the reality of its performance, to free up capital to allocate to more strategies. One step at a time. However, in commencing the Mentor program, one of my objectives was to move out of the managed fund, and using the skills developed in the course, to begin managing that capital. So that is a big outcome for me and a reflection of the confidence the program has instilled.

With recent movements in the markets, strategies are in ‘protect’ and exiting positions as stops get hit. Proportions in cash: ASX MOMO and XTO RTN 100%, WTT 33%, and EMO 20%.

April 2024

ASX WTT:      -2.6%
ASX MOMO:  -6.8%
ASX XTO RTN:  -6.2%
ASX EMO: -3.8%
ASX MR#1: -3.3%
Managed Growth Fund: +1.4%

Total for month -0.6%, Total drawdown bobs along -21.8%. 

[smurfki0808]

Absolutely, thanks for your counsel Nick.

[smurfki0808]

Thanks for the reality check Nick. A 7% CAGR for a >40% drawdown, if I saw those stats in a backtest, I would not consider trading it. I just filled out my redemption form.

Time to diversify. All-Weather ASX is the first step.

Much appreciated.

[smurfki0808]

Lincoln Wholesale Australian Growth ETL0043AU

[smurfki0808]

Nick,
Further to the Growth Fund story, for your info, and or disbelief, I copied a section out of the quarterly update that provides the rationale, and a comparison chart of the XJO v BBOZ since last December. Sobering.

Cheers

Sean

[smurfki0808]

Thanks Glen, yes the takeover is a binding scheme implementation deed, so a concrete offer that the board unanimously recommends shareholders accept.

So, together with your advice, and Nick’s protocol, wait another week or so and liquidate to redeploy. The holding is >12 months old, so that’s a win too.

Thanks

[smurfki0808]

March – A short month, but a positive month. Pleasing to see the smaller section of the market moving in a positive direction, and my strategies having positions stick. Pleasingly, a position in my ASX WTT strategy, MRM.au, signaled they intend to accept a takeover bid, which sent the SP up to the takeover price c. $2.60, which for me is c 220% return. My question now is do I wait for the gyrations of the takeover to proceed which is some months away, or simply bank the profit, end the position and look for the next one. Any thought or guidance gratefully accepted.

For all of March, I continued executing signals on my ASX MR#1 strategy, which I re-evaluated back in February to trade in the ASX300 universe. The good news is execution is far more seamless in this universe. Entries get filled, SP is more resilient, and my exits do not influence the opening auction, which makes for more stable execution. The stats for March;
[list]
[*]W/L Ratio = 1.78
[*]P Factor = 12.4
[*]Win %  = 87%
[/list]
Interestingly, the manager of our growth fund, continues to have 30% of the portfolio value hedged in BBOZ, which they’ve held since Sept 2023. Their ‘logic’ is they ‘believe’ a correction will eventuate when a recession gets triggered, and that will be the time to increase positions in the market. Before going through the Mentor Program, I might have believed that ‘logic’. Now, it sounds to me like just another ‘opinion’, formed without backtesting. What is the trigger to add / remove the hedge? What if recession never comes? Time to move on.

ASX WTT:      +10.2%
ASX MOMO:  +0.4%
ASX XTO RTN:  +2.1%
ASX EMO: +14.2%
ASX MR#1: +5.6%
Managed Growth Fund: -0.6%

Total for month +2.2%, Total drawdown continues to shrink -21.3%. 

[smurfki0808]

Sean Murphy post=14599 userid=5450 wrote:

ASX XTO RTN:  +2.7%

 

Ooops, forgot to update my ASX XTO RTN: +13.2%. Driven in the main by NXT and REH.

[smurfki0808]

February – back to school for the kids, juggling extra curricular activities, and back to finding a new rhythm of life for 2024. In spite of those things, I did have some wins for the month. I’ve progressed in my setups for different brokers for different strategies, and am now functional for both AUS and US markets.

The other big progress was to evaluate my ASX MR#1 strategy after completing 100 round trades. Bottom line, while the backtest returns in the total market look attractive, the reality of trading it is a bit different. I’m sure someone told me that! The exposure to volatile negative price movements in the smaller part of the market associated with capital raises and result updates, killed my W/L ratio. Out of 100 trades, just 5 with an average of 40% loss each, created a ~25% drawdown. 

So, to reduce that risk, I re-evaluated trading the bigger end of the universe, the ASX300, where daily turnover is substantially greater. I increased the dial on minimum daily turnover, and have found results in live trade, thus far, encouraging. Trading over the past month with this approach, W/L = 1.4, PF = 2.8, and Win% = 69%. I’ll persist to get a bigger sample size.

Otherwise, the green is a breath of fresh air and marks the fourth positive month in a row.

ASX WTT:      +2.2%
ASX MOMO:  +10.7%
ASX XTO RTN:  +2.7%
ASX EMO: +5.6%
ASX MR#1: -0.2%
Managed Growth Fund: +1.4%

Total for month +2.6%, Total drawdown continues to shrink -22.6%. 

[smurfki0808]

January went by in a blur of school holidays and work commitments. But, I felt overall it was a positive month of executing.

My ASX MR#1 strategy was on line, had some wins and some losses. It does appear that for some exits, I unduly influence the open price, which is disappointing. The signals have about 56% win rate, but the occasional big whacks have really hurt the W/L ratio. However, I’ve committed to completing 100 full trades, and shall then evaluate each to see just how well I am replicating the backtests.

Otherwise, my STT issues appear to have settled down after I removed it from the cloud and only run off my PC.

All my systems are now fully invested. And yes, it was a green month!

ASX WTT:      +0.3%
ASX MOMO:  +4.5%
ASX XTO RTN:  +2.7%
ASX EMO: -2.4%
ASX MR#1: -2.2%
Managed Growth Fund: +1.2%

Total for month +0.7%, Total drawdown on the move -24.6%. 

[smurfki0808]

Thanks Nick,

Yes, agree, I usually have other books open. I’ll run it only on my PC hard drive without other books open and see how it goes.

Cheers

Sean

[smurfki0808]

Hi Learned People,

It seems that I am following in your footsteps with the STT wanting to crash for reasons not known. I feel mine is a similar issue to what you have discussed already, running STT interacting with cloud storage is not good for it. 

Have you found a resolution? Do you still use STT?

Just when I thought I had it stable, by running solely from my PC hard drive, yesterday, it failed to fully open. It starts to open, I get to see the dashboard, and then boom, it shuts down. I will try once more to transfer data to a fresh version, keep it solely on my PC hard drive, and see how it goes. Certainly frustrating.

Any suggestions would be gratefully received. At least I know that others have had a similar issue, before I go back to XML Automation. 

Thanks,

Sean

[smurfki0808]

December was an encouraging month to end 2023. My ASX MR#1 strategy came back on line and I successfully deployed my XTO rotation strategy. 

After Christmas I tuned the key variable in my strategies to the recent 6 years of data (2018-2023). I could see no reason to change my default values, which is confidence building.

ASX WTT:      +4.3%
ASX MOMO:  0.0%
ASX XTO RTN:  +7.3%
ASX EMO: -1.6%
ASX MR#1: +3.0%
Managed Growth Fund: -1.4%

Total for month +0.00%, yes, it was above $0! Total drawdown stays the same at -25.3%. 
 

[smurfki0808]

Is that green shoots of spring I’m starting to see? This month I’ve continued to explore what I need to do to bring more systems online, and take some steps to achieve that.

One major step, was for a newbie like me to finally get US data. I am in the early days of exploring how my ASX systems convert to US Markets. However, some pleasant surprises met me when I did. For example, when I took my ASX XTO monthly rotation strategy and applied it to either the NDX (CAGR c. 24.4%, MaxDD -31.7%) or RUI (CAGR 29.9% MaxDD -45.4%) constituents achieved promising results, with zero alterations to settings. So, this is encouraging and warrants bit closer examination. But, it was the catalyst for me to deploy ASX XTO RTN onto the market with entries made on 1 December! Seeing as the Chartists ASX MOMO is still in protect, I thought it a good opportunity to split capital and apply 1/2 to my strategy to see if proof is in the pudding.

My ASX MR#1 system is sitting on the sidelines abiding its regime filter.

ASX EMO and ASX WTT are starting to pick up new positions being back in portfolio invest. Perhaps a milestone has passed in my ASX WTT strategy, with a position for the first time going +100% return, with MRM.au plodding along nicely to make a right side fat tail. It seems like a lot of sifting to find that grain, but I will take it. 

ASX WTT:      +2.4%
ASX MOMO:  0.0%
ASX XTO RTN:  live on 1 December
ASX EMO: -4.6%
ASX MR#1: 0.0%
Managed Growth Fund: +0.3%

Total for month +0.25% taking total drawdown to -25.3%, the worm is turning,…

[smurfki0808]

Anthony F post=14392 userid=5415 wrote:

October 2023
[list]
[*]MR 1: 0%
[*]MR 2: 0%
[/list]
The regime filters for the MR systems turned on and did what they’ve done in my backtesting and stopped some of the bleeding. The regime filters definitely help me psychologically to stay in the markets when things are turning south.

 

Hi Anthony, I note that you have implemented regime filters into your MR systems. After a little rough patch, I investigated the same with my ASX MR#1, and came to a similar conclusion, “definitely helps psychologically to stay in the markets when things are turning south”. No real loss in overall performance, but certainly appears to preserve psychological capital in testing times.

Keep up the good work.

[Author]

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