[TrentRothall]

65/35 Mean reversion – momentum for me guys

[TrentRothall]

“System development:
– ASX100 Rotational. Experimenting with linear regression & ROC weighted over 2 periods. Test period Oct 2012 to Oct 2017. Still a bit of work to do to get desired results.”

Hi Rob,

Nice work on the US momentum!

Is there a reason you are only testing the ASX 100 system on the last 5 or 6 years?

[TrentRothall]

August ’18

ASX MR = 3.77%
NDX MOM = 5.97%+

A good month but I’m a little bit annoyed with myself. I think I’ve been trading systematically for ~2 years and I haven’t forgot the place trades once I think. The one-time I forgot to place my trades this month it cost me about 5 fills & was the best day for the month. I also missed a trade and it a was a 10% winner but because of a bad fill (L=lmt)

So overall it was a okay month but annoyed at my process. I think i’m at that stage where a bad trade in terms of my errors annoy me more than taking a loss.

Still portfolio is at ATHs

[TrentRothall]

JULY 2018

ASX MR = +1.75%
NDX AGRESSIVE MOM = -1.70%

[TrentRothall]

Remeber though Scott that we’re holding stocks with strong upwards (hopefully) momentum. So even if the managers were dumping their crappy stocks they probably wouldn’t be the ones that we are holding anyway.

[TrentRothall]

FY 17/18

ASX MR = 24.65%

Since feb NDX mom is up around 3%

[TrentRothall]

June

ASX MR = 2.34%
Ndx Mom = -0.5%

[TrentRothall]

There are a lot of people here Justin with similar goals to yourself, so feel free to ask questions

[TrentRothall]

how Are you actually implementing this in real time Andrew? Have you taken out the limit price entry condition and entering at market the next day? If not, you have no idea how many orders will be filled the next day in real time do you?

[TrentRothall]

Heads up for others.

I’m not sure if my settings have changed recently or i have always had the setting incorrect.. But if you don’t have a 1 in the box then you’ll be allowing fractions of shres to be bought.

I noticed it in some backtests today, not sure how long it has been incorrect either :S

silly mistake but easy enough to make clearly!

[TrentRothall]

Julian Cohen wrote:

Noice!!

Cheers, best month for a while!

Account well into all time highs now

[TrentRothall]

May 2018

ASX MR = 11.21%

NDX Agressive = 9%

[TrentRothall]

oh ok, i’ll have to look into that Julian. Thanks

[TrentRothall]

Nice work! What sort of position sizing are you running out of interest Travis?

[TrentRothall]

My Account balances are all correct, it’s just the daily P/L. I’ve got my API running so i can’t really log off at the moment so im unsure

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