[TerryDunne]

Hi Julian,

My understanding is that the Ulcer Performance Index (UPI) is an Amibroker version of Sortino. Sortino uses negative variance as the denominator whereas the UPI uses a function of length and depth of drawdown…

To be honest, I’m not convinced that any of them are all that much better than the others. Even in my case, the two dropped systems were the worst performed using Sharpe, but still made the hurdle for Sharpe that I preset. A slightly different calculation and preset hurdle and they didn’t make it.

[TerryDunne]

December MOC/MR

MOC1000 MOC2000 MR2000 Total
5.38% 1.25% 3.06% 3.41%

6 Months Since Launch

MOC1000 MOC2000 MR2000 Total

9.97% 9.60% 13.87% 12.52%
winners / losers 1.40 1.97 0.98 1.51
Winning % 67.19% 61.40% 61.85% 62.93%
MDD% (3.33%) (5.75%) (12.59%) (1.70%)

Of course I feel a bit inferior compared to the other posters so far, but remind myself that the markets won’t always be this suitable and my systems are designed to produce consistent returns in a variety of conditions, including down trends.

I canned two live MOC systems in December and increased my allocation to the remaining six – I changed my key metric from Sharpe Ratio to the Ulcer Performance Index and two of my systems, which were marginal using SR, didn’t make it using the new criteria.

I’m finally ready to add three new systems from January – two short MOC systems and a rotational momentum system. The short MOCs will use only half the leverage of my long MOC systems – thanks for the suggestion Julian – and no capital, so any positive return will be additive. The momentum system will be about 10% of my portfolio. The new systems

Even after adding the new systems, I will still have about 10% of my capital unused, which is not how I want to roll. So my plan is to add one more trend following/momentum system, just as soon as I can find one I’m happy with.

Best wishes for the new year everyone!

[TerryDunne]

No error message…just all rows highlighted pink/red and won’t actually send when I click send.

[TerryDunne]

I think you’re right

[TerryDunne]

Hi Nick,

Do you mind sharing the level of leverage you’re using on your MOC shorts? Also, are you assigning capital to the shorts or reusing capital assigned to an existing long?

The small amount of work that I’ve done on MR shorts makes me think the drawdowns/swings/risk are such that I wouldn’t touch them…of course, I’m a short sceptic so my views should be taken with a huge spoon of salt.

Having said that, I’m still keen to add a short MOC system or two, for the ‘free’ extra return and the diversification, facing into your idea of “getting comfortable being uncomfortable”. I’m hoping that only being exposed to unlimited up moves for a few hours may make it tolerable.

Really interested in your shorting journey, thanks for posting!

Terry

[TerryDunne]

Sorry to hear you’re struggling man.

When I went through it, I could do all of the exercises but that left me a long way short of being able to code. For me, the solution was to use the templates in the course (as well as ones in the Forum here – you have to trawl), trust that they work (at least at first) and work backwards to fill the knowledge gaps. Also, Craig and Nick – I wasted a lot of time because I want to be ‘independent’ whatever that means when a quick phone chat/email with one of these guys moved me a long way forward.

FWIW, I still couldn’t start with a blank sheet and write workable code that does everything needed but I found that using the approach I described above means I haven’t ever needed to…

The other thing is perseverance, and buckets of it.

PS I still couldn’t code the graphics if my life depended on it, but I do have a dozen functional systems now, about three years down the track.

Good luck mate!

[TerryDunne]

Hi Seth,

You’re suggestion – extra positions that don’t get filled once you’ve used up your capital – is where I first started out. I thought I was a trading genius!

Then I spoke to Nick who walked me through his experience of doing something similar…

[TerryDunne]

Sorry, I also meant to say that I hope June/July wasn’t too painful!

[TerryDunne]

I think I can only justify short systems on the basis that they don’t need capital allocated to them. The plan would be to use the capital already allocated to the long MOC. I’m not sure if I’m explaining myself well – if I have some RSI based long system and I have the flip of that system as a short MOC system, I could use the same capital on the basis that I would rarely get both a long trade and a short trade and even if I did I would be unlikely to have many fills on that day.

On that basis, any positive return is ‘free’. So risk/leverage can be turned a long way down and it’s all still good.

If that wasn’t the case then the short would have to have better metrics than at least one of my currently traded MOC systems…I haven’t been able to make that work yet.

Love the MRNA trades btw

[TerryDunne]

So, I imagine that running at 150% margin instead of 400% will lead to lower return. Does having short MOC in those circumstances mostly help with diversification?

[TerryDunne]

Hi Julian,

Do you mean that having a limit order in place will use capital or only once the order is triggered?

I have 8 long MOC systems and have 1 short MOC that is good to go and another that looks well on the way (except for June/July) . I have large stretches, so most days only a few trades trigger.

[TerryDunne]

November 2020

MOC R1000 1.08%
MOC R2000 2.64%
MR R2000 3.89%
Total 2.20%

I’m very comfortable now with my long MOC/MR systems and I now have enough of them – 4 each on both R1000 and R2000 for MOC and 2 MR systems on R2000.

I’m still unhappy with the metrics on WTT/Rotational systems, but right now I have about 30% of my funds sitting idle while waiting for me to get this done. I haven’t done very much with this over the last month, except read quite a bit and collect articles with interesting ideas that I need to test.

I’ve spent time attempting to develop short MOC systems, which went well…until I back tested on the current year and my systems lost 50% of their value in a couple of trades through June and July. For anybody who remembers my concerns about shorting from another post I made, this is my worst nightmare. The main reason I am persevering with short MOC systems is I have formed the (tentative) conclusion that they are ‘free’ – I believe that I can run them without allocating any of my capital to them, given that they are unlikely to trade at the same time as any ‘linked’ long MOC system trades. I’d be interested in people’s thoughts on this.

Good luck to everybody for the month ahead,

Terry

[TerryDunne]

Can I ask a really dumb question? Wait…I just did!

When I back test a short system, are the results presented as positive or negative? For example, if the back test report says I made negative CAGR, is that good or bad?

Told you it was a dumb question

[TerryDunne]

Nick, is there is a chance with this order type that you miss the open, the order is cancelled and when you wake up you still hold a position you thought you’d exited?

If this can’t happen, I think all of my exits will be ‘OPG’ from now on

[TerryDunne]

Thanks Trent, I really appreciate it.

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