[TerryDunne]

Hi Kate,

I usually look for an average UPI of over 3. I just had a quick look at my MOC systems and the worst one has an average UPI of 3.5. My best one averaged 5.8 with the absolute best MC run giving 9.6 (which makes your best of up to 12 really eye popping!

All of your metrics are great, so I think you’re off to the races – again, well done!

[TerryDunne]

Thanks Nick

[TerryDunne]

Hi Kate,

Those metrics are great, well done. To be honest, I’d be adding the third system, rather than replacing the first one, as it’s metrics seem really quite good.

Would you mind sharing what your Ulcer Performance Index is for each system? I use UPI to compare systems, it’s similar to the Sharp Ratio but the denominator is drawdown depth and frequency which is (I suggest) what we all care about.

Also, I think Monte Carlo results for both systems might be enlightening. I copy the results to excel and calculate the averages for CAGR, MDD and UPI as my way of ranking systems.

Nice work Kate!

[TerryDunne]

It would be great to catch up Nick, I can do any of those times.

[TerryDunne]

I’m in!

[TerryDunne]

January 2022

MOC 1000 40.06%
MOC 2000 28.18%
MR 2000 -11.05%
Fustercluck* -3.40%

Total 15.53%

Obviously very pleasing.

The ‘Fustercluck’ was two new systems that I’d worked on for months. I was so excited to launch them at the beginning of January, as the back test results were spectacular, but it immediately became obvious that they weren’t working as planned. Thanks to Craig who found the line of code commented out. I only traded them for five days, but that was enough to do some damage. As Nick said, if something looks too good to be true it probably is.

I had planned on launching some trend following systems designed to work in low volatility from the beginning of February. In my view, this is the only market environment where MOC systems won’t do well (i.e. Nov 2021). However, the launch is on hold for at least a month given market conditions and also I’m starting to wonder whether to go down that path. Maybe I should just stick to my knitting? I would be giving up on some diversification though…I’d appreciate any opinions out there.

Best wishes to everyone for February, hopefully another Moderna (or two) is just around the corner!

[TerryDunne]

Nice work Kate, well done!

[TerryDunne]

Not bad yourself Nick

You made the year’s profit and then some in December for mean reversion?

Sorry, I’m sure I should know, but what is DVTI?

[TerryDunne]

2021 Year

MOC 1000 92.03%
MOC 2000 63.35%
MR 2000 18.74%

Total 79.54%

My first full year of trading, and I couldn’t be happier. Well, of course I could be happier as I was at about 60% by June and had delusions of grandeur (reference bias rules!).

However, the lesser result in the second half of the year has made me pay more attention to systems that do well in low volatility uptrends…and has made me bite the bullet and commit to implementing two rotational systems and a trend following system, directed toward low volatility stocks/environments.

I will launch them both at the end of January, once monte carlo simulations are completed and reviewed. I will add these systems without reducing allocation to other systems as I’m not currently using all of my leverage. Adding these systems (hopefully) provides diversification, reduces overall drawdown and smooths periodic return, so using more of my leverage seems the opposite of risky.

The other major project I will complete in 2022 is administrative – I will fully document all systems and processes as well as set up another company to spread my counterparty risk. I’ll also add my wife as authorised to transact and produce a step by step document outlining the process for closing all positions and converting all balances to AUD, in case of emergency. I will have this completed by the end of March.

What I will not do in 2022 is add more MOC systems – 10 is enough. If I find ones that are better than some I’m running, I’ll drop the ones that aren’t as good.

I would like to add another mean reversion system, but right now don’t have any ideas, well none that are any good. It would be great if any that I find work on the Russell 1000, because right now all of my mean reversion systems run on the Russell 2000 only.

Best wishes to all for 2022.

[TerryDunne]

December 2021

MOC 1000 8.37%
MOC 2000 10.10%
MR 2000 11.33%

Total 9.46%

Very pleasing, especially after Novembers result.

[TerryDunne]

That sucks.

Best wishes Nick, I hope the rest of you are clear or if not that the symptoms are mild.

[TerryDunne]

You too Julian and to all here.

[TerryDunne]

Kate, can I ask does Mike ever provide you with any specific trading related tax advice?

[TerryDunne]

Thanks Kate

[TerryDunne]

Hi everyone,

I’m coming to the tentative conclusion that a local tax firm is good enough to manage my tax affairs, but they don’t really need to know anything about trading…I have my P&L, translated into AUD, so it could be profit on widget sales at the local market for all they care.

I figure I need to have someone who can provide tax planning advice before year end, but apart from that there isn’t too much to do.

I trade through a shelf company – no trust, no smsf.

I’d appreciate any thoughts on this, especially if you think I’m wrong!

Thanks in advance,

Terry

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