[ChrisThong]

[code type=”//=================================================================================
// Momentum Squeeze Indicator
//=================================================================================

_SECTION_BEGIN(“Bollinger Bands Parameters”);
//=================================================================================
//Bollinger Band Parameters
//=================================================================================
BandTopPr = Param(“Band Top Period”, 20, 1, 1000, 1);
BandTopWidth = Param(“Band Top Width”, 2, 0.1, 10, 0.1);
BandBotPr = Param(“Band Bottom Period”, 20, 1, 1000, 1);
BandBotWidth = Param(“Band Bottom Width”, 2, 0.1, 10, 0.1);

BandTop = BBandTop(C, BandTopPr, BandTopWidth);
BandBot = BBandBot(C, BandBotPr, BandBotWidth);
//=================================================================================
_SECTION_END();

_SECTION_BEGIN(“Keltner Channel Parameters”);
//=================================================================================
//Keltner Channel Parameters
//=================================================================================
Length = Param(“Keltner Channel MA Length”, 20, 1, 1000, 1);
ATRMul = Param(“Keltner Channel ATR Multiplier”, 1.5, 0.1, 10, 0.1);

KCMA = MA(C,Length);
KUP = KCMA + (ATRMul * ATR(Length));
KDOWN = KCMA – (ATRMul * ATR(Length));
//=================================================================================
_SECTION_END();

//=================================================================================
//Squeeze On/Off
//=================================================================================
// Notes
// If both of the following conditions are true, then the squeeze is on for that period
// If they are not both true (one or both Bollinger Bands fall outside of the Keltner Channel), then the squeeze is off for that period.
// Upper Bollinger Band < Upper Keltner Channel
// Lower Bollinger Band > Lower Keltner Channel

SqueezeTog = ParamToggle(“Squeeze Toggle”, “On|Off”, 0);
SqueezeFilt = IIf(BandTop < KUP AND BandBot > KDOWN, 1, 0);
SqueezeFiltOn = IIf(SqueezeTog, SqueezeFilt,1);

_SECTION_BEGIN(“Momentum Parameters”);
//=================================================================================
//Momentum Histogram Parameters
//=================================================================================
MomoPr = Param(“Momentum Periods”, 20, 1, 1000, 1);

HighestHight = Ref(HHV(H, MomoPr), -1);
LowestLow = Ref(LLV(L, MomoPr), -1);

MidLine = (HighestHight + LowestLow)/2;
MAClose = MA(C, Length);
Delta = C – ((MidLine + MAClose)/2);
LinRegDelta = LinearReg(Delta, Length);
//=================================================================================
_SECTION_END();

//=================================================================================
//Chart Plotting
//=================================================================================
// Parameters
//

---

UpMomoColour1 = ParamColor(“UpMomo Color 1”, colorDarkGreen);
UpMomoColour2 = ParamColor(“UpMomo Color 2”, colorLime);

DownMomoColour1 = ParamColor(“DownMomo Color 1”, colorDarkRed);
DownMomoColour2 = ParamColor(“DownMomo Color 2”, colorRed);

Color = IIf(LinRegDelta > 0, IIf( LinRegDelta < Ref(LinRegDelta,-1), UpMomoColour1, UpMomoColour2), IIf( LinRegDelta < 0,
IIf(LinRegDelta < Ref(LinRegDelta,-1), DownMomoColour1, DownMomoColour2 ), colorYellow ));
//

---

// Plotting
//

---

SqueezeOnColour = ParamColor(“Squeeze On Colour”, colorRed);
SqueenzeOffColour = ParamColor(“Squeeze Off Colour”, colorGreen);

RibbonColour = IIf(SqueezeFilt,SqueezeOnColour,SqueenzeOffColour); //sets the color with condition/truearray/falsearray
Rib = IIf(SqueezeTog,Null,1);
//Links with the index filter toggle – if off, Null – if on, plot 1 (ribbon height in percent of pane width)
Plot(Rib,””,RibbonColour,styleArea|styleOwnScale|styleNoLabel,-0.0001,190);

//Plot(BandTop,”BandTop”, colorAqua, styleLine);
//Plot(BandBot,”BandBot”, colorAqua, styleLine);
//Plot(KUP,”KUP”, colorYellow, styleLine);
//Plot(KDOWN, “KDOWN”, colorYellow, styleLine);
Plot(LinRegDelta, “Momo”, Color, ParamStyle(“Momo Style”, styleHistogram, maskAll));

//=================================================================================
//Interpretation Window
//=================================================================================
”

---

“;
“SqueezeFilt ” +WriteIf(SqueezeFilt, “Yes”, “No”);
”

---

“;
“BBandTop ” +NumToStr(BandTop,1.4);
”

---

“;
“KUP ” +NumToStr(KUP,1.4);
”

---

“;
“BBandBot ” +NumToStr(BandBot,1.4);
”

---

“;
“KDOWN ” +NumToStr(KDOWN,1.4);
”

---

“;
“HighestHight ” +NumToStr(HighestHight,1.4);
”

---

“;
“LowestLow ” +NumToStr(LowestLow,1.4);
”

---

“;
“MidLine ” +NumToStr(MidLine,1.4);
”

---

“;
“MAClose ” +NumToStr(MAClose,1.4);
”

---

“;
“Delta ” +NumToStr(Delta,1.4);
“][/code]

[ChrisThong]

Dec 21

US Market

MR#1 +4.54% (Inception CAGR 11.19%)

MR#2 +5.48% (inception CAGR 5.48%) – I started live trading of this strategy in Dec 2021

AU Market

ASX 100 Rotational 0.0% (Index filter turned red for Dec 21) (Inception CAGR -10.51%)

[ChrisThong]

Hi Nick,

Just saw your post in Twitter that your youngest daughter tested positive of COVID. I hope she is doing well. All the best to you and your family.

[ChrisThong]

Merry Christmas and Happy New Year! Welcome to the mentor course. I enjoy the course, and hope you feel that too. Stay safe and well.

[ChrisThong]

Hello Paul, welcome to the group! I have learned so much from the mentor course and I am sure you will too.

[ChrisThong]

Nov 21

US Market

MR#1 +2.03% (Inception CAGR 6.36%)

MR#2 -1% (inception CAGR -2.53%)

AU Market

ASX 100 Rotational 0.0% (Index filter turned red for Nov 21) (Inception CAGR -10.51%)

Notes:

1. Nov 21 is an interesting month for both trading and personal wise. For personal, I had an operation for my sinus in late October 21 and still recovering, hence I have taken some time off for testing and system building. Operation had to be done due to constant sinus infection and blocked airway. Hoping to get back to testing and building of system in Dec or perhaps, Jan 22 during my time off. I have been thinking of building a WTT or another rotational, either in US or AU market. The results from Glen’s ASX Small Ord rotational look good!! Well done Glen!!

2. MR#1 was achieving new equity high in the first two weeks of Nov 21 and return at that stage was more than 4% then it got smacked down at the end of the month mainly by CERT and JAMF.

2. Paper trading for MR#2 finished, and I will be trading it live tomorrow US session, so beware for extra volatility!!!

[ChrisThong]

Kate, good Luck with the MR system!!

[ChrisThong]

Thanks Trent and Nick.

A stupid question, I should be using the STT’s market value for opened positions plus available cash, am I right?

[ChrisThong]

Oct 2021

AU Market

ASX100 Rotational -4.02%

Index filter is red for rotational strategy for Nov 2021, hence all positions will be exited on Monday. I just realised that I have made another error with this rotational strategy, in that I have forgotten to adjust the account balance when purchasing the October 2021 position, hence the position was bought using the initial account balance rather than the lower account balance as the account was in drawdown at that time. Lucky that I have extra cash in the account.

US Market

MR#1 +2.14

MR#2 -0.47

MR#2 is still in a paper trading phase, while I am organising capital. Hopefully, I will be able commence live trading in Nov 2021.

In terms of strategy building, I will be revisiting the WTT and hopefully build a weekly rotational for either ASX or US market.

One question for the reader of my journal, when do you adjust your account balance for compounding purposes? What I mean is that, say, I am running MR#1 with $100k capital, and now, after 2 months of trading, say I have gained $2k, hence account balance of $102k. Do you run exploration based on $102k, or you would have a pre-determined amount, say, when the account balance gained $10k or more? or you would review at the end of the year?

[ChrisThong]

Hi Terry,

Good to know that you are improving, and thank you for bringing this topic up. Get well soon.

[ChrisThong]

Thanks Glen. I tested the n-bar exit as well as the volatility stop, and I just need to keep testing. My concern of the WTT is the less than 50% win rate, in that it may be difficult for me to follow. Hence, I hope to find something to deal with the false breakout and hopefully will increase the win rate to over 50%.

[ChrisThong]

I bought it last month and currently at the chapter relating to exit. In so far, I found the volatility filter, being ATR n-days > ATR n-days and volume > Avg volume, quite useful, at least for me. I changed the parameters and use it as one of the entry condition for a MR strategy that I am testing in Russell 3000.

[ChrisThong]

Quick update in relation to the above ideas, I have tested them and so far nothing interesting coming out from it. If you have an idea, test it, validate it and trade it. I am still in the first stage.

Also, just gotten my second dose of Pfizer yesterday, and body is aching! Having said that the “Freedom Day” has gotten some people crazy in that there were long lines of people heading to KMart!

[ChrisThong]

Mine works fine too.

[ChrisThong]

In respect of WTT, the initial backtests with the same rules as Nick’s WTT book tested in XAO, I have the following results:

1. CAR: 23.3%
2. MDD: 20.88%
3. MAR: 1.12
4. Payoff: 1.93
5. Win %: 49.93%

No other filters are being used, apart from price filter.

I have the following ideas, mainly inspired by Glenn, being:

1. Index ADX filter; or
2. Absolute/Stock ADX filter; or
3. Stale exit together with ADX(that means the ADX for n bars after trigger bar is lower than ADX for the trigger bar).

The idea for the above is to limit the false breakout as much as possible.

[Author]

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