[twood4]

August 2018 Performance:

NDX Aggressive: +7.5%
NDX Standard: +6.9%
S&P 500 Momo: +3.3%

[twood4]

Tim,

Glad you got some good ideas. I learned some great lessons going through the mentor course. My main takeaway was that there is no holy grail, but I love the idea of a couple of robust trading systems that you have the confidence in to stick with long term. Best of luck building your systems and feel free to reach out with any questions.

[twood4]

July 2018 Performance:

NDX Aggressive: +2.7%
NDX Standard: +2.7%
S&P 500 Momo: +.8%

Strange month with both NDX having identical performance….had to check those numbers twice!

[twood4]

June 2018 Performance:

NDX Aggressive: -4.3%
NDX Standard: +3.7%
S&P 500 Momo: -.3%

[twood4]

Thanks everyone, that was a great month. I’m using the standard volatility position sizing based on all systems. The NDX aggressive had large positions in MU and ALGN which both had monster months. The system has had amazing performance but it’s a very small part of my portfolio. Of course, with the run it’s been on…it’s quickly getting a larger share of the pie.

[twood4]

May 2018 Performance:

NDX Aggressive: +21.8%
NDX Standard: +4.4%
S&P 500 Momo: +3.2%

[twood4]

April 2018 Performance:

NDX Aggressive: -5.4%
NDX Standard: -.3%
S&P 500 Momo: +2.0%

Thanks for all the responses on the rebalancing. I did do a rebalance on the standard system but left the Aggressive alone. I still don’t have a set percentage limit to do a rebalance, but I think I will monitor position sizes on a quarterly basis. In this case where positions were more than double their target size due to volatility increase, it was an easy call to rebalance (for me at least). Len, I use both a min rank and 200 SMA in the Aggressive to determine positions.

[twood4]

I haven’t measured the correlation between the two systems. I really like the idea of diversifying among the indexes and even within the indexes. My wife an I have a number of different retirement accounts and I use a different strategy for each account. I think the more positive expectancy systems you can have that, the better. Even a small difference between momentum systems can produce drastically different results in a given year. Given that these systems only trade once a month, it’s pretty easy to run a number of variations without much additional effort.

[twood4]

Daniel,

The NDX Aggressive system was only up .5% (not 5)….but still happy with that given the overall market conditions. I think the aggressive system did a little better since it’s highly concentrated in a few names that held up better than the rest of the market. The 2 primary differences between the standard and aggressive is: 1. much larger position size in Aggressive and 2: Allowing those Aggressive positions to pull back more than the standard (ie- Stocks in the Standard must remain above 100 SMA while the aggressive needs to stay above 200 SMA). From what I see in testing, they both have their times when each will outperform. The aggressive has really done well over the past year thanks to holding MU and NVDA during some monster moves. Hope that helps.

[twood4]

Scott, if I used a fixed percent position sizing, I end up with slightly higher returns and bigger drawdowns but it’s not a dramatic difference over the long term. NDX standard with 10 positions adds about 3% to the Annual Return but also increases max drawdown by about 7%.

[twood4]

March 2018 Performance:

NDX Aggressive: +.5%
NDX Standard: -1.5%
S&P 500 Momo: -2.1%

I know this has been discussed with varying opinions, but I’ve been thinking quite a bit about my position sizing after the large increase in market volatility. Many of the open positions I hold are more than double the target position size. I’ve decided I’m going to rebalance my positions to match their target position size. I know the system wasn’t tested this way, but I think it stays true to what the system is trying to accomplish (especially give that this is how Clenow recommends as well). My biggest reason for this is simply that any new position that is put on would be significantly smaller than the open position I hold from the lower volatility days. To me that is concentrating risk in older positions for no reason. I wish I had a strict rule on when this should be accomplished, but for now, I’ve decided twice the target position size is enough for me to act.

I’d be curious to hear if anyone else has thoughts on this. Thanks!

[twood4]

February 2018 Performance:

NDX Aggressive: +4.2%
NDX Standard: -1.5%
S&P 500 Momo: -1.5%

[twood4]

Thanks Julian, it was a heck of a month. It’s been a great run for momentum systems, but more importantly to me is that I have some systems that I’m comfortable sticking with long term. I’m sure the downturn will come eventually, just happy to no longer stress about how I will manage the downturn. I think I’ve heard this phrase from someone on here: “Next 1000 trades!”

[twood4]

January 2018 Performance:

NDX Aggressive: +16.1%
NDX Standard: +15.1%
S&P 500 Momo: +9.3%

[twood4]

December Performance:

NDX Aggressive: -1.6%
NDX Standard: -2.2%
S&P 500 Momo: -.1.3%

2017 Results (simulated/live)

NDX Aggressive: 60.5%
NDX Standard: 34.0%
S&P 500 Momo: 15.3%

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