[ChrisThong]

July 2022

US Market

MOC#1 % +0.16% (DD 8.7%)
MR#2 +3.6% (DD 15.22%)

AU Market
ASX100 – Nil – 100% cash 

[ChrisThong]

When I was building the MR#2 strategy, I played around the stretch based on the historical volatility of the SPX. It goes like this “when volatility is high, stretch decreases from 0.75 to 0.5, and when volatility is low, stretch stays at 0.75 or increases to 1.” I cant remember the result now, but from memory it does not do much for me. Perhaps, I was doing in incorrectly or should have reference to VIX.

[ChrisThong]

June 2022

US Market

MOC#1 -9.11%
MR#2 -4.51%

AU Market
ASX100 – Nil – 100% cash 

 

[ChrisThong]

May 2022

US Market

MR#1 +1.77%

MR#2 -2.40%

AU Market

ASX 100 Rotational +3.84% (current in DD at 17%)

I ceased trading MR#1 mid May 2022 to make way for the MOC system. 

I have two fills this morning for the MOC system, which will be trading R1K and R2K. 

[ChrisThong]

Sorry Nick, I just read your message. I will book a call with you sometime next week.

[ChrisThong]

Hi Kate,

It is out by a fair bit. The issue is STT has more than IB. Hence, it suggests that there are some errors in it.

[ChrisThong]

Thanks Nick. I watched that video when you posted it in one of the post created by Kate. I believe that I am doing it in the same way as in copying the Net P&L number to the CFTC sheet. I find the number in the CFTC sheet does not agree to my IB account balance and perhaps it is my user error.

[ChrisThong]

I opened the STT that I have for ASX100 rotational and updated the prices. Then I take the number from the “Portfolio return”. Am I doing it right?

[ChrisThong]

Sorry, it is the total draw since I started. Return for the month is -2.4

[ChrisThong]

Apr 2022

US Market

MR#1 -3.2%

MR#2 -12.1%

AU Market

ASX 100 Rotational -2.4%

TradeStation is opened and partly funded. Things to do for May is to organise my funds for MOC, and this means the MR#1 will be discontinued. At this satge, I am planning to go live with the MOC in June.

[ChrisThong]

Mar 2022

US Market

MR#1 +0.22%

MR#2 +2.35%

AU Market

ASX 100 Rotational -24.14% – system went to cash in March, but now it is 100% invested.

For MR#1, it went into -8% in early March, however the trades from the last two days of March made it back to positive territory.

Talked to Nick today and he has given me some good idea for my MOC system. I will spend the month of April 2022 to look deep into the system and also incorporating the ideas given by Nick. Hopefully, I can start live trading the MOC system in May 2022.

[ChrisThong]

Hi Julian, when will you be in Sydney next?

[ChrisThong]

Hi Ben,

I am building a MOC system for R1000 universe. I will be trading with TradeStation platform as I cannot access margin with IB. Would you mind sharing the details of the API and how much it costs?

[ChrisThong]

It was nice to meet with Terry and Glen Preece in person last Sunday.

For those that are from Sydney (and not too far away), I think we should meet more often (not monthly) but, I am thinking like 3 times a year. Nick can join in whenever he is in Sydney. What do you think?

[ChrisThong]

Thanks Kate. 13% – 14% is good!

I will be booking a call with Nick to go through it. Until then, I will keep testing.

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