[TerryDunne]

This is interesting Kate.

I have a couple of questions that you may know the answer?

1. For back testing purposes, does it matter whether we don’t pick up FX translation gains/(losses)?

2. Is this issue due to a change in the RT software? I have been doing my daily stuff without any problem after US holidays until the most recent holiday.

Thanks for posting this,

Terry

[TerryDunne]

Hi Rob,

I 100% agree with you on this. The whole point of back testing is to see what works, or at least what works better than alternatives. Trading the same symbol over many systems gives significantly superior returns than not, for me anyway.
By the way I was also slapped by SMCI.

[TerryDunne]

Yep, volatility is my friend!

[TerryDunne]

August 2024

MOC 1000     13.66%
MOC 2000     26.48%
MOC Short      2.62%
MR 2000      (30.17%)

Total              17.58%

 

[TerryDunne]

July 2024

MOC 1000    (8.69%)
MOC 2000    (1.34%)
MOC Short     1.33%
MR 2000      (8.28%)

Total             (5.17%)

Ugh.

I’ve changed my regime filter – this was the first month using the new one – so I trade much more. That meant that I traded on one really bad day for my MOCs, which would have been avoided if I had still been using the old regime filter. The back tests support the change, with significant improvement in ROR and a slightly lower MDD, but I’m not sure it’s right for me.

I’m concerned in particular about the impact of slippage given the back test trades 40% more…time to compare back tests for the month with actuals.

I hope everyone else got through the month OK.

[TerryDunne]

Hi Richard,

This might not be quite what you mean, but I modify the amount of cash allocated to my systems in two ways:

1. Each 6 months, I run back tests for the prior x years and use one of the system metrics to pro rate available funds for each system. I use UPI as my metric, but one could just as easily use MAR/Sharpe etc..

2. I adjust my daily trade size by the % return of each system over the last 90 days. So if the ‘standard’ allocation is $10k per trade and I’ve made 5% in the last 3 months, my trade size is $10.5k. The same applies on the down side, if the system has lost 5% over the last 90 days, trade size would be $9.5k

Having said all of that, I’m not sure how much difference it makes. One of my systems went on a run a few years back and profit ramped up significantly. Of course, when a run comes to an end, drawdown is worse for a period of time too, so…

Best wishes,

Terry

[TerryDunne]

June 2024

MOC 1000    1.15%
MOC 2000    7.60%
MOC Short    0.40%
MR 2000     17.32%

Total             4.82%

[TerryDunne]

Hey Glen,

I reckon you’re spot on, and it’s a good reminder thank you.

[TerryDunne]

LOL…but it’s cold here in Sydney!

[TerryDunne]

Sorry to hear that Ben.

Tough way to make money isn’t it.

[TerryDunne]

May 2024

MOC 1000   0.30%
MOC 2000  (2.36%)
MOC Short (10.36%)
MR 2000     10.39%

Total           (4.88%)

My hardest month so far psychologically. Early in the month I made a new equity high after a 15 month drawdown. Party time, break out the Cuban cigars. Then I got hammered, particularly one day where my shorts lost enough to wipe out their entire YTD profits…

The great thing about systematic trading/back testing is that I know that 5% down months happen to my systems about once every year, so this is par for the course. Still hard to take though.

 

[TerryDunne]

Hi Sean,

Thanks I’m very happy with how the last few months has gone.

[TerryDunne]

April 2024

MOC 1000     5.39%
MOC 2000     4.85%
MOC Short     2.32%
MR 2000     (10.39%)

Total              5.02%

[TerryDunne]

Worked a treat, thanks very much for your help Steven, I really appreciate it!

[TerryDunne]

Thanks, I’ll try that

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