# Monthly Momentum - ASX300 Super



## Warr87

This thread will be for my new monthly momentum system that will be traded on the ASX300 universe within a super account.

A few things:

This system is based off code bought from Nick Radge. It is, however, not the original parameters and has been modified to suit my needs. It is not a representation of his turnkey system. The performance for his system is found here: click here . Any questions about his system should be directed towards Radge.* I am not running as is, and I will not be posting trading signals for his system (or mine for that matter).*

Some differences:
I have chosen to run my system on the ASX300 and not the ASX100 like Radge. I will also be using 10 positions, not 5. I am not running a filter. My system in comparison may be riskier than Radge's.

The system:
Scan will be run first day of the month and placed the next day with buys placed through my Super.
I am not running an index filter
I will rebalance if necessary

*I have to be clear about this:* this is not an endorsement of The Chartist. I am not paid, nor have I been asked to do this. I have taken the risk to modify a system that was already turnkey, therefore the risk is entirely mine and will not match the original system. You should have knowledge of system design and Amibroker if you are going to modify a system. I will be posting performance but no buy/sell signals will be given. It will be very hard to actually track realistic performance as it is a super account I have money being deposited regularly thus there is that additional compounding factor. This will likely be a boring and slow journal since it is monthly. But I look forward to how this will turn out.


----------



## Warr87

*Month 1
*
Positions entered: 9

I tried to enter into all 10 positions but my fills never came for the 10th position. I tried over 2 days and it kept running away. Since this is monthly I am not worried too much about slippage. On a monthly scale, a few % here and there on one particular day should not be a concern IMO. This means I will place orders with a wide limit order to ensure fill.

No performance metrics given this is the first month.


----------



## Cam019

Warr87 said:


> *Month 1
> *
> Positions entered: 9
> 
> I tried to enter into all 10 positions but my fills never came for the 10th position. I tried over 2 days and it kept running away. Since this is monthly I am not worried too much about slippage. On a monthly scale, a few % here and there on one particular day should not be a concern IMO. This means I will place orders with a wide limit order to ensure fill.
> 
> No performance metrics given this is the first month.



Why not just use market orders if you're trading on a monthly basis? 

Surely just hitting a market order on the first of each month for each position as opposed to adjusting limit orders if the price is creeping away from you each additional day is negligible, right? Wouldn't it be much easier to use market orders?


----------



## Warr87

Because of work I had to enter orders after the close on the first day, meaning market orders wouldn't be accepted only limit orders. Sometimes my work schedule means this is my only option. Not an issue for my weekly system but obviously a potential issue for this.


----------



## Warr87

*Month 2*

The first month wasn't the best. Days after I submitted my orders things got more volatile. I also made some mistakes with entering this months buys/sells. The ING platform is simple but obviously not a proper broker interface. Limited control over orders, etc. This is to be expected though as not many people are likely using their services to run a system. I wasted a bit in brokerage but I expect to make mistakes with a new platform and a new system.

I have entered into a full 10 positions. Some of the mistakes I made were selling a few positions that I shouldn't have. They were re-entered. Also have to wait until my orders are cleared before I can enter into my next positions (due to waiting on the cash from the sale).




I have only completed 1 month of a monthly system, so almost any stats given would be pointless right now. I expect my metrics to even out to backtested results after a few months. Though things are going good this month. Happy so far with the system.


----------



## Warr87

*Month 3*
Overall, not bad month especially given the uncertainty. The system was powering through until last week. Overall it has faired better than my other systems.

I cycled out 2 positions, no balancing on the remaining positions.

It's hard to give statistics on a monthly system at the beginning of the third month. I am really liking this system and I believe long term it will likely do just as well if not better than my others. It is also scalable. (My own modications and backtesting show that the system is more profitable with more positions. Radge provides the default of 5 which performs well but more highs and lows. I noticed the more positions the less susceptable you are to bad months as risk is spread. But I am also running it on the ASX300 not the ASX50. These are important differences of the turnkey system providing by Radge and my own modifications.)


----------



## galumay

Out of interest, how do you comply with legal SMSF requirements using it as a speculative trading vehicle? 
I would have thought it would be non-compliant with an investing strategy? 
Or does the monthly nature of the trading get around the compliance issue?
Did you get a ruling or professional advice about using an SMSF in this way?


----------



## Warr87

I am using ING and their direct access, so its not a SMSF. And I was under the understanding that even in a SMSF you can trade using systems? I've seen deeds that permit the use of futures, options, currencies, etc. So if its not legal to trade in this way in a SMSF, then that is news to me. FYI I intend on moving to a SMSF with at least $100,000 in my super. But I will see if its worth it at that point (there is enough paperwork with what I am trading now, let alone with adding my super to it. benefit of being with ING is that they take care of all paperwork. i just buy/sell.)


----------



## galumay

Ok, its one thing to put investing strategies in SMSF Deeds, that doesn't make them compliant though. Mind you, I suspect there is almost no oversight and there are far more illegal things going on without people being caught, so I am probably being over cautious!


----------



## Belli

Bloody heck, this focus on what a SMSF can or cannot do.  It's way more than that.  The role and legal obligations of Trustee for a start. Adherence to Corporations Act if Corporate trustee, adherence and compliance with the provisions of the Income Tax Assessment Act, such as residential status, compliance with Superannuation Industry (Supervision) Act and associated regulations.

It should be considered in the totality not on some words on what may be in a Trust Deed - which may not necessarily be compliant.


----------



## Warr87

i haven't seen anything to say you can't trade like this in a SMSF. in fact members here do. if you have something to share that would indicate that this would make there SMSF non-compliant I'd be happy to have a look. otherwise i'm not really sure what you think is non-compliant about it?


----------



## rnr

galumay said:


> Out of interest, how do you comply with legal SMSF requirements using it as a speculative trading vehicle?
> I would have thought it would be non-compliant with an investing strategy?
> Or does the monthly nature of the trading get around the compliance issue?
> Did you get a ruling or professional advice about using an SMSF in this way?




Hi @galumay,

Have you considered the possibility of an SMSF running a business (Share Trading) that is allowed under the trust deed and operated for the sole purpose of providing retirement benefits for fund members.

Cheers,
Rob

Running a business in a SMSF


----------



## galumay

The advice I have had is that the "running a business" is what allows the investment of SMSF funds into shares for the long term retirement benefits of members, and that it does not allow for the activity of speculative day trading as an example. I understand where the regulators used the terms "running a business" and "share trading" they were talking about what we would call investing - the irregular and infrequent buying and selling of shares as a long term investment strategy.

Anyway, I think its really off-topic on my behalf, as Belli points out there is much more to being compliant than just saying you can do something in an Investment Strategy or within the Deed. This thread just triggered my wondering about the compliance of such high risk activity in an SMSF. I should probably start a new thread if I want to discuss it further! 

Apologies to Warr87 for derailing his thread, carry on!


----------



## Warr87

Well I guess the issue comes with 'speculative day trading'. That seems a rather lose term. Day trading itself is not 'end of day' trading like most of us do here. And I have no doubt that the ATO would rather not have people setup a SMSF to do day trading as its notoriously volatile and plenty of stories of people being in ruin (not going into a debate about the pros/cons of that here).

Below is an exert from the ATO website. As you can see, you just have to have it within your trust deed, pass the sole purpose test, and not against super laws. There is mention of share trading on the ATO website so share trading per se isn't prohibited. If you have an incorporated trustee I think you will be fine. I would be interested what is in the super laws in regards to trading frequency. If you trade a weekly system I'm sure you would be fine. Mine is monthly and so would not be a problem either. 

And no need to apologize mate. I'm sure others who read this thread may have the same concern. This is an educational thread. Clarification on this would be for a lot of peoples benefits (though financial and/or legal advice should be sought before doing anything. I know I am neither lol.)

My belief is that even trading futures would be acceptable. Same with currencies. If those are allowed, it would be odd if share trading is not.









						Your investment strategy
					

How to develop your self-managed super fund (SMSF) investment strategy and achieve your investment objectives.




					www.ato.gov.au
				





> *Are there any restrictions under the super laws with respect to my SMSF investments?*
> 
> You are free to choose what type of assets you may invest in, providing those investments:
> 
> 
> 
> are permitted by your fund’s trust deed
> are not prohibited by the super laws
> meet the sole purpose test.
> 
> For instance, you need to be aware of the in-house asset rules and acquisitions from related party rules. You also need to be aware of the non-arm’s length income rules for income tax purposes.
> 
> 
> Where your investments breach the super laws, we can take compliance action against you. Depending on the severity of the breach, we may apply penalties and potentially disqualify you as trustee.


----------



## Warr87

Month 4

Beginning of the 4th month. How time flies by.

System did ok last month. While some days its gains were high, overall it didn't really gain as much as my weekly and daily systems. Overall I am happy. There is a marked improvement. One thing with the system is that obviously with a market that was up and down, and entering at the beginning of the month, can get caught out by sudden moves. The first month, for example, had a large loss days after starting. In the most recent month, the market starting becoming stronger in the past 2 weeks. With a more steady market things will get even better. Having a look at the next list of buys, there are some differences as the market shifts.

The portfolio needed some rebalancing as some positions were larger than the designated percent. Given the changes needed I liquidated all positions and will re-enter when the money is cleared. This is a downside of my current broker, that I need to wait 2 days for any sells to clear (brokerage is a bit high too, but I dont have to deal with paperwork so that is the tradeoff).

Stats below are noticeable better than last month.






It may seem far fetched, but I am aiming for +20% return by the end of the 12months. I think this is doable (barring any new flash crash). 1.8% may not seem like a lot but the increasing win/loss ratio and profit factor mean its just a matter of time.


----------



## Warr87

My backtest over the same period is very encouraging too. I can't share backtests, but things are looking good.

For those that are interested, Radge has another momentum system that is being released next year I believe. (I'm not affiliated with Radge, FYI. Just a headsup for those that might be interested.)


----------



## Warr87

10 new positions opened.

For those following, when this account eventually gets bigger the plan is to increase max positions. the increase in positions brings down the risk and should give greater return. the original system by Radge, with my understanding, is meant to be minimal since its monthly and 5 positions. Taking on more positions is more work than most who buy his turnkey system are willing to spend.


----------



## Warr87

Month 5

Cycled out of 4 positions this month. They got entered into late due to the public holidays and settlement. Overall the strategy is picking up momentum. Probably not surprising given the current market. With my revelation of my spreadsheet tracking being off with my MAP strategy, obviously this tracking was off too. But I'm pretty sure I have corrected it. Either way, I have greater gross profits over gross loss.

Don't take the win%, profit factor, etc., too seriously. Barely into trading this. It is at +11%. This is better than I was getting previously when I was just in a fund.


----------



## Warr87

Month 6

Beginning of month 6. After 5 completed months I think the strategy is going well. Like most strategies it lost a lot of open profits last week. Last week it was at +20% before I lost around 7% (similar loss to my weekly strategy!). As of today I have already recovered most of those losses from last week. But considering I am now at +13.74%, which is a yearly return of 33%/yr, it's not bad at all! With my contributions and the return I am confident with how this will play out. I am also looking for accumlating enough capital to make it worthwiled to move into a SMSF.


----------



## Warr87

Month 7

The beginning of month 7. a strong month for this system. Though it did loss around 3-5% in the week gone. Still up and going strong. I am noticing that it may need to be rebalanced at the beginning of month 8.

There will be 4 buys/sells month.

Now at +18%, or approx 37%/yr.

Being at +18% after 6months for any system is pretty good effort.


----------



## Warr87

Made a rather stupid mistake. In my sleepy stupor yesterday I entered in my 4 new buy orders. Later in the day I had a look and noticed that I re-entered into the positions I had closed. That is, when I entered the list of buys it was from my Sell list. I have sold those again and will have to wait another 2 days for settlement to enter into the correct positions. Thankfully it is only a minor loss as there was only small changes in prices.

Either way, a stupid mistake. Thankfully not a catastrophic.


----------



## qldfrog

this happens: 2 buys, buy vs sell, orders forgotten.this is why we will rarely match our backtest.
Do not be too hard on yourself


----------



## Warr87

*Month 8*

Beginning of month 8. Like my weekly system, and CFD trading, I lost half of my open profits recently. I am liking this strategy though. I look forward to the EOM to adjust the portfolio and see how it is going. While technically doing worse than the XKO now, I think it will be a short setback. Still at approx 10% returns. Talking to friends, they find this return to be amazing. It s nice to talk to non-traders and have it in perspective that with just a few trades at the end of the month I can do better than most. I am confident that my system will end the year closer to 20% return. All speculation but I genuinely think it is doing well.

I did have to liquidate all positions and re-enter them all. This was because they had become too out of balance (had some big winner so it through out the equal balance by too much).








For those that are wondering, I haven't provided any updates on my weekly strategy due to tracking errors and not being able to work on it due to other commitments. Though it has performed similar to others around here who have lost half of their open profits since Jan.


----------



## Warr87

*Beginning of Month 9*

In checking my buy signals and seeing what I needed to swap out, I got real confused until I realised that I only had 9 positions currently going. The mis-match of buys to sells (since its always 10 positions they should balance out) had me scratching my head for a bit. I'm not sure how I managed it, maybe a position didn't get a fill and it canceled (and I never noticed).

The last 2 weeks wiped out a lot of open profits. The system itself was doing great but is susceptible to market changes and slow to act. I am changing out 6 out of the 10 positions. That's a large change out. Meanwhile, the XKO actually did well for the month (up 4%).  It's a little disappointing to see the index beating me for the second month in a row, but I am still happy with the system. Yearly return is projected as %15.5, and a possible sharpe ratio of 1.10 (though I need to double check it, seems high).


----------



## Warr87

*Beginning of Month 10*

Month 9 is completed, and month 10 begins. Slight improvement this month. I am still surprised that I am below the benchmark of the XKO. The broader index is gaining more momentum than my strategy.

I believe there were a few symbols that left the ASX300 as I was holding approx 4 that no longer even appeared in the list. I ended up replacing these 4 with new positions. I also sold part of my best position as it had grown to 15% of my portfolio, so a re-balancing was needed.

The annual return is still at approx 15%p.a., while I'm currently sitting at +11.54%. A solid return thus far and the current annual return will be on the lower end of what I was estimating as a return. Given I have 30 odd years or so until retirement, an annual return of 10-15% is obviously quiet good.


----------



## MovingAverage

@Warr87 Just found this thread and great to see you posting your results. Good luck and I look forward to see this playing out.

A question for you and you may not be able to answer it given your use of Radge code and the T&Cs that go with using that code, but very curious about whether you're using any particular strategy to mitigate the risk of the relatively long period before running an explore to decide whether you need to exit a position (e.g., drawdowns). Think you're only doing month end explores. Also note you're running this system on ASX300 which tends to have a little volatility in it which might exacerbate the risk of such long times between entry/exit scans. How's your drawdown? Hope this makes sense.

I looked closely at trading monthly systems a while ago and I found I did not have the stomach for long times between buy/sell explores. For me, watching stocks take a massive beating in week one and then knowing I've got to sit tight on those positions for another three weeks just did my head in. As a result I gave away the thought of trading anything longer than weekly systems. I did subsequently speak to several experienced traders who've been trading on a monthly time frame for many years, but they restrict to stocks to ASX50 (to manage the volatility) but they also employed hedging strategies.


----------



## Warr87

Hey mate. Yea, I can't talk too much about the specifics given the code was bought. But i don't have a particular strategy for the drawdowns intra-month. If I had a market crash like March/April last year, it would be a discretionary intervention to withdraw the money to at least avoid the 30-40% hit to the market. But I removed index filter that comes standard with the code, and as you mentioned the ASX300 is more volatile. Radge's code is not meant to be run on the ASX300, which is an important distinction I like to make to others. I am young enough, and acquainted with my own risk tolerance, to know that this is something I can handle. My CAGR is also higher because of this. One downside I found with the defaults of the code is that you can be out of the market for several months at a time. This is a protective measure, obviously, but it also meant the system missed out on the rebound. I am only doing month-end explores but I am also avoiding checking in on it too much during the month (to avoid that burning want to interfere with the code). Riskier? Yes, definitely. But for the moment I can deal. I have had times that I've bought and all is well, and all of those gains (plus the month before) lost in the weekly chop. At least with a superaccount I have my employers contributions that soften the blow (and allow for greater compounding, though this is taken into account with my calcuations of returns).

Those traders you spoke to who trade monthly probably have a good idea of whats going on. They probably have smaller drawdowns than me, though perhaps there CAGR isn't as high. The ASX50 also has high liquidity and ability to absorb large positions. When my system gains more capital, I intend on expanding from 10 positions to 20. I found the DD is reduce with more positions, and the returns are smoothed out. I believe this is because its unlikely all 20 positions are going to have a bad week, whereas just having 3-5 positions with a bad week in a portfolio of 10, can greatly impact the performance. This system is meant to be relatively hands-off, simple, and long-term focused. I am open to reducing the exposure to the smaller indexes (ASX50, ASX100, or ASX200), but that will come at a time when I want to reduce my risk. I have also thought that by trading a portfolio with momentum, in the ASX50 and 10-20 positions, is more like a high-beta type strategy. Certainly useful for many.


----------



## MovingAverage

Warr87 said:


> Hey mate. Yea, I can't talk too much about the specifics given the code was bought. But i don't have a particular strategy for the drawdowns intra-month. If I had a market crash like March/April last year, it would be a discretionary intervention to withdraw the money to at least avoid the 30-40% hit to the market. But I removed index filter that comes standard with the code, and as you mentioned the ASX300 is more volatile. Radge's code is not meant to be run on the ASX300, which is an important distinction I like to make to others. I am young enough, and acquainted with my own risk tolerance, to know that this is something I can handle. My CAGR is also higher because of this. One downside I found with the defaults of the code is that you can be out of the market for several months at a time. This is a protective measure, obviously, but it also meant the system missed out on the rebound. I am only doing month-end explores but I am also avoiding checking in on it too much during the month (to avoid that burning want to interfere with the code). Riskier? Yes, definitely. But for the moment I can deal. I have had times that I've bought and all is well, and all of those gains (plus the month before) lost in the weekly chop. At least with a superaccount I have my employers contributions that soften the blow (and allow for greater compounding, though this is taken into account with my calcuations of returns).
> 
> Those traders you spoke to who trade monthly probably have a good idea of whats going on. They probably have smaller drawdowns than me, though perhaps there CAGR isn't as high. The ASX50 also has high liquidity and ability to absorb large positions. When my system gains more capital, I intend on expanding from 10 positions to 20. I found the DD is reduce with more positions, and the returns are smoothed out. I believe this is because its unlikely all 20 positions are going to have a bad week, whereas just having 3-5 positions with a bad week in a portfolio of 10, can greatly impact the performance. This system is meant to be relatively hands-off, simple, and long-term focused. I am open to reducing the exposure to the smaller indexes (ASX50, ASX100, or ASX200), but that will come at a time when I want to reduce my risk. I have also thought that by trading a portfolio with momentum, in the ASX50 and 10-20 positions, is more like a high-beta type strategy. Certainly useful for many.



Thanks for the response. It is great to see you understand and are comfortable with your risk appetite and know the in's and out's of your system and its application. That's so important. As Radge often says....it's not so much about timing the market, it's more about time in the market. So with youth on your side you can take the risk for the greater return. Old farts like me need to adopted a slightly more conservative approach  I reckon your whole approach to this is very pragmatic and great to hear. Looking forward to your further posts.

Your assessment of the monthly traders I spoke with is spot on. They are professional traders and they have a pretty rigorous risk management framework imposed on them.


----------



## Warr87

I like to understand my risks. That being said (and as mentioned in my journals on here), only makes the DD's slightly easier lol. 

I lost out on a lot of super income as I spent most of my adult life thus far in lower paid jobs or overseas (so wasn't contributing into it). So a little catch-up I guess. But I'm confident I will have enough by the time I reach retirement phase within the super.

Also, talking to my parents, I have thought about trading something similar for them though likely using a more risk adverse strategy. This is why I've thought about how this may look on a less volitale universe, such as the ASX50 (and would be closer to what those other people trade with monthly).


----------



## Warr87

*Month 11*

Beginning of month 11! I do love the EOM to check on this system. Still behind the XKO which is disappointing. The success of the XKO still surprises me as those are great returns. I am still happy with my 14.6% return thus far, 17.5% yearly return (and if my math is correct, 1.33 sharpe). Such a simple strategy, requires a lot of patients, but it's doing well. I've discussed its shortfalls in this thread, but I still think if you want to be hands-off it is the way to go.

I was hoping to get approx 20-25% return/yr. I may get to 20%. On a super account, I think that is a pretty good ROI. Not beating the index but I am still happy with what I have. This strategy has also tested better with more positions, so once it grows some more I will be able to smooth out its equity curve.


----------



## MovingAverage

Warr87 said:


> *Month 11*
> 
> Beginning of month 11! I do love the EOM to check on this system. Still behind the XKO which is disappointing. The success of the XKO still surprises me as those are great returns. I am still happy with my 14.6% return thus far, 17.5% yearly return (and if my math is correct, 1.33 sharpe). Such a simple strategy, requires a lot of patients, but it's doing well. I've discussed its shortfalls in this thread, but I still think if you want to be hands-off it is the way to go.
> 
> I was hoping to get approx 20-25% return/yr. I may get to 20%. On a super account, I think that is a pretty good ROI. Not beating the index but I am still happy with what I have. This strategy has also tested better with more positions, so once it grows some more I will be able to smooth out its equity curve.
> 
> View attachment 127011
> 
> View attachment 127012



Nice work 👍 is that 14.6% return on only closed positions or is it the combination of closed and open. How invested is your system at the moment ?


----------



## Warr87

It's from open and closed positions. from just closed positions its still positive. it's also 100% invested. one of the ways I modified this system compared to Radge's is that I'm not using an index filter. a more conservative approach would be to use an index approach to stop being 100% in a falling market. downside is lower returns as you don't get the rebound.


----------



## edman79

Warr87 said:


> I also sold part of my best position as it had grown to 15% of my portfolio, so a re-balancing was needed



Hi Warr,
Is rebalancing part of the system? If so have you tried not rebalancing, does it improve or degrade performance?


----------



## Warr87

edman79 said:


> Hi Warr,
> Is rebalancing part of the system? If so have you tried not rebalancing, does it improve or degrade performance?




If someone gets a few too many % out from the 10% goal, then I rebalance. I had to sell some of my best performing last month as it had grown too much. Will probably have too next month tbh as some were close. Being 2-3% out is fine, but anything more than that means my newest positions get less invested.

Unsure how this would improve/degrade performance. Backtesting is done on a complete re-balance at the EOM. I might do this if I had my account with IB. It's too much hassel, and brokerage too big, with just my ING account.


----------



## edman79

Warr87 said:


> But i don't have a particular strategy for the drawdowns intra-month. If I had a market crash like March/April last year, it would be a discretionary intervention to withdraw the money to at least avoid the 30-40% hit to the market



Hi Warr, 
This sentence above worries me. If your trading a systematic system you should have a systematic (backtested) exit. You need to play solid defense when trading. Focus on what you could lose and not what you can make and that will put you in good stead.

Thanks for posting. I know it takes time and effort to do so and your thread is informative and valuable.


----------



## Warr87

hey edman.

its a momentum based monthly system. It's backtested to not have an 'exit', as it only keeps the 10 top positions based on its scoring methodology. I agree that a 'strong defence' is important, and in all of my other trading I have a very well defined and systematically approached exit, but trading is also about the strategy employed. Using HFT style trading in a weekly system just doesn't make sense. As I've pointed out in other posts, this strategy is always in and has been backtested so. I am comfortable with the results I got. 

Now, like any trading, if there is a scenario that I could not possibly code in and test, and this scenario occured, then I always retain the discretion to intervene. It is, after all, my money.

I started my weekly system last year at the beginning of Feb. By the time it got fully loaded with positions the market crashed and I lost a lot straight up. I still traded systematically and kept in the market until my system told me otherwise. I approach this strategy the same.


----------



## Cam019

Hey @Warr87,

I know this is a turnkey strategy that you purchased from Nick. However, since you have modified some of the parameters, can you tell us what your expected average, mininum range and maximum range are for annual return and drawdown from your updated Monte Carlo simulations. It would be interesting to see if you don't mind posting those figures.


----------



## Warr87

Hey @Cam019, even though I've modified some of the parameters I can't give backtest results. I explain in my first post as to the extent in which I have varied my strategy compared to Radge's.

Over the past 5 years I got an average of approx -15% DD. COVID threw a spanner in that, as this strategy is 100% in. Returns are an average of 30% (it was 2018 that ruined it as other years were much higher). When backtesting since September when I started this, these numbers are the same. My actual life results are 15% so far. I expect yearly returns of 15-25%. Obviously test results are never as good as real results.


----------



## Cam019

Thanks @Warr87.

It's interesting that you quote the *average* returns and DD over only 5 years when this is a monthly strategy. I understand that you can't and won't post backtest results here, and that's cool -  no problem. However, I am slightly concerned that you are quoting average backtest results over such a short backtest period using a monthly system. Not a very large sample size.

Nicks results which can be seen here, show a CAGR of 18.54% and a MaxDD of 28.30% over a 20+ year period and this is using the index filter and the ASX100 constituents. You are not using an index filter and are using the ASX300 constituents. This surely would have to increase both CAGR and MaxDD over 20+ years.

Even if you can't post the results here, I hope you have backtested your amended system to see what the CAGR and MaxDD would be over say.. 20+ years and not just 5 years. This is going to give you a much better look into the performance of your system as you would have been holding through the whole GFC since you are no longer using an index filter.

Nevertheless, good luck.


----------



## Warr87

Cam019 said:


> Thanks @Warr87.
> 
> It's interesting that you quote the *average* returns and DD over only 5 years when this is a monthly strategy. I understand that you can't and won't post backtest results here, and that's cool -  no problem. However, I am slightly concerned that you are quoting average backtest results over such a short backtest period using a monthly system. Not a very large sample size.
> 
> Nicks results which can be seen here, show a CAGR of 18.54% and a MaxDD of 28.30% over a 20+ year period and this is using the index filter and the ASX100 constituents. You are not using an index filter and are using the ASX300 constituents. This surely would have to increase both CAGR and MaxDD over 20+ years.
> 
> Even if you can't post the results here, I hope you have backtested your amended system to see what the CAGR and MaxDD would be over say.. 20+ years and not just 5 years. This is going to give you a much better look into the performance of your system as you would have been holding through the whole GFC since you are no longer using an index filter.
> 
> Nevertheless, good luck.




well I gave an average because that's what you asked for. The min is 7% and max 109% over the 20yr period.


Cam019 said:


> you tell us what your expected average, mininum range and maximum range are for annual return




I have only, in the past 2 months, upgraded my norgate package so when I originally started trading this I didn't have the historical constituents and no real reason to test beyond 5 years. You are right in that you should test on a longer period given that it is a monthly system.

Testing from 2000 with my parameters gives me similar results. It's an average of 27% instead of 30%. The hit it takes in 2008 was similar to the hit taken in 2020 covid crash. (except it was more drawn out and not in 2 months like 2020).


----------



## Warr87

@Cam019 
Are you looking at using Radge's system? I do recommend it. My super is small but growing quickly. This system is scalable to a large size which is one of the reasons why I like it. (scalable by being able to add more positions which helps the downside risk, and being monthly meaning positions sizes can be large-ish.)


----------



## MovingAverage

Cam019 said:


> Thanks @Warr87.
> 
> However, I am slightly concerned that you are quoting average backtest results over such a short backtest period using a monthly system. Not a very large sample size.



I had a crack at trading monthly a while ago. I gave up for the reason you highlight. Even over 25 years I just couldn’t generate enough trades in backtest to give me a high enough level of confidence.


----------



## Cam019

MovingAverage said:


> I had a crack at trading monthly a while ago. I gave up for the reason you highlight. Even over 25 years I just couldn’t generate enough trades in backtest to give me a high enough level of confidence.



Very interesting @MovingAverage. Two questions if you don't mind answering.

1. What was the sample size for the parameters used on the monthly system?
2. What time frame did you go back to in order to generate enough signals to give you a sample size large enough to give you a high enough level of confidence? Weekly or daily?


----------



## MovingAverage

Cam019 said:


> Very interesting @MovingAverage. Two questions if you don't mind answering.
> 
> 1. What was the sample size for the parameters used on the monthly system?
> 2. What time frame did you go back to in order to generate enough signals to give you a sample size large enough to give you a high enough level of confidence? Weekly or daily?




Hi @Cam019,

Not sure what you mean in relation to "sample size for the parameters". If you can elaborate on that I can better answer this question.

For me, when I look at sample size and statistical relevance I basically look at the number of actual trades taken in the context of the total number of available trades. Most systems will generate more entries than you can actually take due to constraints such as limited capital, risk management etc etc. So to me it is not really a question of being able to take X number of trades to decide if it is statistically relevant--the number of trades needs to be put into context. In other words what is the size of my sample (trades taken) in the context of the population size (total available trades). There are many different ways of varying complexity to measure statistical relevance but one crude method I used as a first pass measure is the ratio of the trades taken to the total number of available trades. The lower this ratio the less confidence I have in the sims. I do use other methods, but this is my initial measure.

I think it's been almost 2 years since I went down the monthly system path and I started documenting my paper trading of that system on here somewhere (if you do a search you'll probably find it). I can't recall specifics about sample sizes etc but if you're really interested I can re-run some sims for you--I'm in lockdown so nothing better to do at the moment What I do recall, however, is that I ran it over 25 years of historical ASX data and while the sim results looked good I had no statistical confidence in the results.

If memory serves me correctly, my monthly had reasonably long hold times and I've subsequently read several articles/research papers on monthly systems and a number of those have deliberately engineered shorter hold times so they could up the trade frequency and therefore have a higher level of confidence in their sims. I didn't want to go down that path as I wanted a system that wasn't so involved. Not sure if you follow Alvarez Quant Trading (I have no connection to him other than following his blog) I'm pretty certain he looked into this sometime ago.  

Anyway, I hope this answers some of your questions.

MA


----------



## Warr87

@Cam019 @MovingAverage 

Thanks for the discussion. I don't see a lot of people discussing monthly trading as it's not as active or engaging like shorter term systems.

Sample size/trade frequency is definitely going to be an issue for any monthly system. Test it over long enough, and how much relevance does it hold? That is, what if I go back 30yrs. Is the relevance of how well it traded 30yrs ago relevant to how it trades now? It would be a very robust system if it was consistent all the way through, but I'm not sure if my confidence is boosted if I know it did well 30years ago .... as an example. But, as its been pointed out, we need sample size to help validate the system as statistically relevant given the results. Given the system I am running simply takes the top 'x' stocks with the highest momentum, the secret sauce is obviously how you measure momentum. in a lot of ways, this strategy is a lot like a high-beta strategy, though it's much more likely to catch young-up-and-comers than say an ETF running a high-beta strategy. I think the strategy works, and will continue to work, given that while it is a momentum strategy and is also a trend following strategy following the highest trending stocks. The monthly timeframes just means you can be on off with some timing (i.e. buy and then have a negative news event for that stock which immediately affects price).

If the issue is trying to weigh up what is statistically significant or to what extant is trade size sample enough, I think the issue of very long term historical significance may also play a part. E.g. my example of how relevant is the system from now to 30yrs ago?

I have faith in the system because its built on sound principles, simple enough to be robust, and still presents enough trades for me to think it will be close enough to expected results. This isn't an endorsement of Radge's turnkey systems btw, just my thoughts on running my particular iteration of a monthly momentum system. There's certainly other ways  to run it (only ASX50 for more conservative, AllOrds for more risk/reward, more/less positions).


----------



## MovingAverage

Warr87 said:


> @Cam019 @MovingAverage
> 
> I have faith in the system because its built on sound principles, simple enough to be robust, and still presents enough trades for me to think it will be close enough to expected results.



And that is all that matters, it's your cash and you're the one trading it. After all, if we all traded the same way there would be no trading.


----------



## qldfrog

Warr87 said:


> Test it over long enough, and how much relevance does it hold? That is, what if I go back 30yrs.



You now my view, what is the value of statistically significant sample if you base tomorrow trade on results acquired before big OS exposure, no super fund, no internet, aud vs usd from single to double, and inflation/interest rates from 16 to negative..
I know i differ with MA but 1000 such samples are as relevant as 12 based on last year. A very simple adjustment of test system yearly return vs inflation would change a lot


----------



## qldfrog

So you have to jump...


----------



## Cam019

MovingAverage said:


> Hi @Cam019,
> 
> Not sure what you mean in relation to "sample size for the parameters". If you can elaborate on that I can better answer this question.



How many trades did your 25 year backtest on your monthly system produce? 300? 400?


----------



## MovingAverage

qldfrog said:


> You now my view, what is the value of statistically significant sample if you base tomorrow trade on results acquired before big OS exposure, no super fund, no internet, aud vs usd from single to double, and inflation/interest rates from 16 to negative..
> I know i differ with MA but 1000 such samples are as relevant as 12 based on last year. A very simple adjustment of test system yearly return vs inflation would change a lot



I'd be happy to tune my system on data from 1900 to 1920 for all I care, what will be the true test is how that system performs on forward out of sample data. If it consistently performs ok on different ranges of forward out of sample data then I'm good with that. Granted I may be able to squeeze better performance out of the system if I tuned it on more recent data, but my approach is to get consistent positive returns on a range of different out of sample forward data--not 100% optimized performance.


----------



## MovingAverage

Cam019 said:


> How many trades did your 25 year backtest on your monthly system produce? 300? 400?



200ish


----------



## Warr87

Cam019 said:


> How many trades did your 25 year backtest on your monthly system produce? 300? 400?




on my 20yr test I had 980. but that's because my system will sell and re-enter each month. (something that is impractical with my current broker but something i intend on doing when I move to a SMSF setup.)


----------



## MovingAverage

Warr87 said:


> on my 20yr test I had 980. but that's because my system will sell and re-enter each month. (something that is impractical with my current broker but something i intend on doing when I move to a SMSF setup.)



is your system more rotation based?


----------



## Warr87

MovingAverage said:


> is your system more rotation based?




yup. that's exactly what it is. it's setup that way by Radge, and it's how it's meant to be implemented.

When I have the time, I'd like to approach an ETF strategy with similar rotational dynamics based on momentum. i believe this would work better on the US market, so could be another strategy for the future that is scalable and largely hands-off.


----------



## Warr87

*Month 12*

Beginning of month 12! how exciting. 11 months in and I am still happy. Pretty good month. I decided to rebalance my positions, and there were a few change outs anyway. As you can see below, the momentum is still strong. I only had 1 position in a loss when I re-balanced! Not much more to add, but some stats.

Current return: 21.88%
Yearly return: 23.87% (remember this is the beginning of the 12month so have't done a full year yet)
Sharpe: 1.34


----------



## Warr87

Month 13

End of the 12months! It ended strong. I also saw some numbers for the top super returns, and it's safe to say I did outperform them. Though, I have a small amount and they have a very big amount so not too surprising. My risk is higher too. They certainly wouldn't take the same kind of drawdown I am willing too, not while they handle clients money. But even with that qualification I am happy with my returns!

There are a few buys/sells set for tomorrow. One of my positions was removed (bought out I'm assuming). Metrics are strong as well (see below). The XKO has also done pretty well.

Current return: 32.66%
Yearly return: 32.66%
Sharpe: 1.22


----------



## peter2

Makes you think if there's any value in trading daily, weekly systems doesn't it?


----------



## Warr87

peter2 said:


> Makes you think if there's any value in trading daily, weekly systems doesn't it?




It's like you read my mind, lol.

In a lot of ways monthly is pyschcologically harder to trade. Buying and then the market has a bad week—it's hard enough with weekly, but with monthly you have to wonder how long you will watch it go down. I recently saw a video from Radge on youtube that talked about trend following and momentum trading. This idea of momentum trading can obviously be used on a macro level. I have to wonder, how well would this trade on the US markets, and/or rotating in/out of strong markets. An idea to follow up later when I have time and capital. Radge listed a book for reading that I think will go over it (will add it to the list).

A lot of my returns in this portfolio have come from a couple of positions that gained 50-150%, while the others only slightly profitable. The bonus of this strategy is that you can hop on early into its upward momentum.


----------



## peter2

Have you noticed that Nick has modified his momentum system. He now allocates 50% monthly mom system, 50% weekly mom system. This was partly to reduce the ugly monthly drawdowns and to reduce the unfortunate timing issue ie starting just before the market dives (you know what this feels like, unfortunately). The weekly positions are closed before the EOM. 

BTW It works great in the US. Although the US is in a huge bull trend and has been for ages. 

Also, you'll be aware that the XAO has just had 11 up months for the first time in it's history. 12 up months in last 13. I say you got lucky this time. 

Wise decision to include the extra 200 as these will show more growth than the top 100.


----------



## peter2

The value in trading shorter time frames comes from their ability to profit from shorter trends. 

Say, the market has 8 up months and 4 down months. The monthly system would struggle depending on the sequence of the up/down months. A weekly system will do better in this situation as it captures smaller trends. A weekly system will struggle to beat a monthly system when all the months are up. 

The same logic applies to a daily system. The disadvantage of the weekly/daily systems are that they require much more work to manage  compared the a monthly system. 

If you don't have the time or desire to manage daily/weekly systems, the monthly or quarterly timeframes are the best options.


----------



## frugal.rock

Nice results there @Warr87 

I had a good think about timeframes and volatility the other day.
From observing, my thoughts have brought me to think timeframes and volatility can/ should? be linked and correlated.
Volatility goes up, timeframe goes down and vice versa.
Also the standard timeframes of daily, weekly, monthly, quarterly are in my opinion, beasts of constraint, perhaps for some they are needed restraint?

Now, to fix a broken shower tap washer...oh the joys.


----------



## qldfrog

frugal.rock said:


> Nice results there @Warr87
> 
> I had a good think about timeframes and volatility the other day.
> From observing, my thoughts have brought me to think timeframes and volatility can/ should? be linked and correlated.
> Volatility goes up, timeframe goes down and vice versa.
> Also the standard timeframes of daily, weekly, monthly, quarterly are in my opinion, beasts of constraint, perhaps for some they are needed restraint?
> 
> Now, to fix a broken shower tap washer...oh the joys.



For my systems, i do both daily and weekly.agree with volatility link: i do daily as a weekly is quite painful to follow during a crash starting on a monday..... So daily have that inherent protection.
Weekly with daily SL is a good option but implementation not easy. 
I have also a deep feeling that a weekly shifted to avoid a friday fall should be beneficial. But backtests were not conclusive and it adds complexity in the implementation
Impressed with these monthly results.well done


----------



## Warr87

peter2 said:


> Have you noticed that Nick has modified his momentum system. He now allocates 50% monthly mom system, 50% weekly mom system. This was partly to reduce the ugly monthly drawdowns and to reduce the unfortunate timing issue ie starting just before the market dives (you know what this feels like, unfortunately). The weekly positions are closed before the EOM.
> 
> BTW It works great in the US. Although the US is in a huge bull trend and has been for ages.
> 
> Also, you'll be aware that the XAO has just had 11 up months for the first time in it's history. 12 up months in last 13. I say you got lucky this time.
> 
> Wise decision to include the extra 200 as these will show more growth than the top 100.




I wasn't aware that he had. That's not idea, and a few days ago I tried running the momentum system on daily in RT. it didn't quiet workout, but it may just need some proper implementation. A weekly could be a better option. These are some idea's i plan on exploring later.

And I imagine the US version would work great as well. With many more options, you could catch some stocks with great momentum.

And you are right that I probably got a bit lucky. There are some other years that my system backtested much better than my 30%, but obviously this is still a good market for my system.

I think the top300 is a good choice for this system. I beleive in the original code calls for either ASX20, ASX50, or ASX100.




frugal.rock said:


> Nice results there @Warr87
> 
> I had a good think about timeframes and volatility the other day.
> From observing, my thoughts have brought me to think timeframes and volatility can/ should? be linked and correlated.
> Volatility goes up, timeframe goes down and vice versa.
> Also the standard timeframes of daily, weekly, monthly, quarterly are in my opinion, beasts of constraint, perhaps for some they are needed restraint?
> 
> Now, to fix a broken shower tap washer...oh the joys.




Timeframes and volatility have a link, i think. or at least, what is volitile in one timeframe is small noise in another.



qldfrog said:


> For my systems, i do both daily and weekly.agree with volatility link: i do daily as a weekly is quite painful to follow during a crash starting on a monday..... So daily have that inherent protection.
> Weekly with daily SL is a good option but implementation not easy.
> I have also a deep feeling that a weekly shifted to avoid a friday fall should be beneficial. But backtests were not conclusive and it adds complexity in the implementation
> Impressed with these monthly results.well done




I believe it was Clenow who did a test for a monthly momentum system but he forced his code to own trade on the 2nd wednesday of each month, etc., to try and avoid the same day that others may be rebalancing your portfolio. i'm definitely not trading enough to have these worries, lol.


I assume at some point the monthly will go down and not be intune with the market, and hopefully my weekly/daily systems will be at that time.


----------



## Warr87

Month 14

Like most systems (my MAP weekly, daily, and CFD/EA) I lost money this month. I don't usually see them all lose at once. The daily has been flat but slowly shedding positions. The CDF trading has lost a bunch of money as there has been some rather strong movement in the 4 contracts I now trade: soy, corn, eth, btc. I've woken up to double check it's connected/running to see that it bought and sold multiple times.

But this thread is about the monthly system. It has faired better than my others, generally speaking. But it lost around 4% this month. So did the XKO though. But considering the growth over the past few months, the streak had to end eventually. Some of my positions still remain strong with some good solid growth. I am only switching out 5 positions this month, most of which were actually in positive territory. Only 1 loser. Changing out 4-6 positions seems to be about average so far. Overall, after 13 months, I am still +28%. When adding in my contributions from my employer, overall the growth has been amazing. I am curious to see how long this downturn will last. On the one hand, being always in the market means that I will be there when it rebounds, downside is that I will continue to take losses as it drifts down.

Time will tell.

Sharpe: 1.26
Return (13months): 28%


----------



## Warr87

Month 15

It's been a very busy month for me, personally. I was a little shocked to see how much my super was worth when I checked yesterday. The system did fantastically this month. Only 1 of the positions was negative, and only ever so slightly. Despite that, I still closed out 4 positions so I realised a lot of gains this month. 

I am actually wondering if I've calculated my gains correctly too based on what I'm currently at:


Sharpe: 1.18
Yearly return: 37%
(gained this month, 14.5%; up 43% since starting)


----------



## qldfrog

Warr87 said:


> Month 15
> 
> It's been a very busy month for me, personally. I was a little shocked to see how much my super was worth when I checked yesterday. The system did fantastically this month. Only 1 of the positions was negative, and only ever so slightly. Despite that, I still closed out 4 positions so I realised a lot of gains this month.
> 
> I am actually wondering if I've calculated my gains correctly too based on what I'm currently at:
> 
> 
> Sharpe: 1.18
> Yearly return: 37%
> (gained this month, 14.5%; up 43% since starting)
> 
> 
> View attachment 132184
> 
> View attachment 132185



either fantastic results or error..the asx was very meh meh last month, 
Check again and then join @peter2  in his "masters of the universe" club ;-)


----------



## Warr87

qldfrog said:


> either fantastic results or error..the asx was very meh meh last month,
> Check again and then join @peter2  in his "masters of the universe" club ;-)




haha, well the % of the returns make me second guess lol. But the $ in my account is obviously real. Thinking back to last month and this month, it was a decent size jump. But very good results always make me second guess what error in calculation I'm making lol.

I'm not at @peter2's level yet, but we all need to have a bar to set ourselves against .


----------



## KevinBB

Warr87 said:


> The system did fantastically this month. Only 1 of the positions was negative, and only ever so slightly. Despite that, I still closed out 4 positions so I realised a lot of gains this month.



The last part of October seemed to be very good to momentum / breakout type strategies. There will be a lot of October winners, but maybe not as good as your 14.5%.
KH


----------



## peter2

Monthly momentum - wow. Good job. You almost tripled my Oct result. 
I'm guessing you've got some of these Oct21 beauties.


----------



## qldfrog

Great posts:
If you allow me, a few of the positive killers of last months,,sadly matched by a lot of other disasters but some stock not mentioned much hereand bringing good coin to my weeklies:
If it helps for people studies
SMI +39%
AGY +38%
AOP+47%
EUR..hopefully a double member when out of trading halt
IPD+31%
and my greatest losses:
GTR -35%
BMN,-18%
PNN -24%
AGE-31% and ABX -25% earlier last month
and ID8 -23%
I found useful to look at my weekly best worst performer to give me more filter idea..I assume it is similar but slower on the monthly!!


----------



## Warr87

peter2 said:


> Monthly momentum - wow. Good job. You almost tripled my Oct result.
> I'm guessing you've got some of these Oct21 beauties.
> 
> View attachment 132190




I did hold most of them. The system also still held positions from previous months too. One of my biggest winners had to be scaled out last month, and it still continued to be my best performer this month (though it was just closed out. Position was PLS bought back in April). The system uses different length ROCs to get a smoothed momentum indicator. I would say which positions I held but I will avoid it just because they were produced using Radge's bought code. It's a pleasant surprise, one I don't expect often but I will take it! Definitely can't expect these gains every month, for obvious reasons.



qldfrog said:


> Great posts:
> If you allow me, a few of the positive killers of last months,,sadly matched by a lot of other disasters but some stock not mentioned much hereand bringing good coin to my weeklies:
> If it helps for people studies
> SMI +39%
> AGY +38%
> AOP+47%
> EUR..hopefully a double member when out of trading halt
> IPD+31%
> and my greatest losses:
> GTR -35%
> BMN,-18%
> PNN -24%
> AGE-31% and ABX -25% earlier last month
> and ID8 -23%
> I found useful to look at my weekly best worst performer to give me more filter idea..I assume it is similar but slower on the monthly!!




It is definitely slower on monthly. It may be my best performing strategy overall as well.


----------



## Warr87

Double checked with a backtest and results are in line with the backtest. Though I noticed my total returns aren't quiet up to backtest it is certainly close enough.

Thanks for the comments and follows so far. I'm glad this particular strategy has been useful, and hopefully others consider this and similar strategies that could be run on US markets, or a macro level with ETFs. I may do some reading in the future on other implementations of dual momentum.


----------



## othmana86

Hi Warr87
Thanks for the journal. 
Question: so you mention that with more positions 10-20 the DD is lower and the CAR is higher. Why don’t you trade it that way? are you concerned that your commission drag will be too high?

if the system doesn’t turn over positions at a high rate is that an issue being a monthly?  

Keen to hear your thoughts


----------



## Warr87

othmana86 said:


> Hi Warr87
> Thanks for the journal.
> Question: so you mention that with more positions 10-20 the DD is lower and the CAR is higher. Why don’t you trade it that way? are you concerned that your commission drag will be too high?
> 
> if the system doesn’t turn over positions at a high rate is that an issue being a monthly?
> 
> Keen to hear your thoughts




My account is too small for that right now. The number of positions I have right now is a good middle ground. I actually went back the other day and did some backtests to reproduce those numbers, and I believe I got the DD in a better position but not necessarily much higher CAR. But the ability to have a low maintainence system that can easily trade 20 x $50,000 is ideal. I'm obviously no where near that.

When I started this system and tested I didn't have the platnium subscription from norgate. I now do. When I get more serious about it I will revisit this idea and see how the spreading of risk improves the metrics.


----------



## Warr87

Beginning of Month 16

I know all of my systems were red last week, but despite that, my super is doing great. Appears to be +10% for this month. Backtests show more I think, but as I've mentioned I am happy with the actual progress thus far. Can't be too strict on how actual vs backtests perform.

Annual return is around 37%, sharpe is 1.10, for the month  is +10%. Continue to breakaway from the XKO as well, so definitely beating the benchmarch. I've said it before, and will say it again, I like this strategy and does perform pretty well for a minimal trading - long term, type of solution.

I am still running this from AB, but for those of you using or interested in RealTest, there is a video that combines a monthly rotation strategy with 2 other strategies for a combined approach. I advocate buying Radge's code like I did, but the video may give you some other inspiration.


----------



## Cam019

Mate, any portfolio rotations this month?


----------



## Warr87

Cam019 said:


> Mate, any portfolio rotations this month?



By the looks of it, just 2 rotations. Which is lower than usual.


----------



## KevinBB

Your accountant will be happy to see this. I've seen many SMSFs that have ended up doing much worse than an index based ETF, mainly because of the lack of a solid investment plan. Your plan seems to be working in this market.

KH



Warr87 said:


> Beginning of Month 16
> 
> I know all of my systems were red last week, but despite that, my super is doing great. Appears to be +10% for this month. Backtests show more I think, but as I've mentioned I am happy with the actual progress thus far. Can't be too strict on how actual vs backtests perform.


----------



## Warr87

KevinBB said:


> Your accountant will be happy to see this. I've seen many SMSFs that have ended up doing much worse than an index based ETF, mainly because of the lack of a solid investment plan. Your plan seems to be working in this market.
> 
> KH



Still haven't pulled the trigger on an actual SMSF, but this does look good for when I move forward with that plan. I think things are working in the market for the moment--one can only hope it continues!


----------



## Warr87

Beginning of month 17

Small loss for December. 1 of my positions also never entered as well, so I only held 9 not 10. Not too worried. I've had a good run for positive months and not every month can be a winner. Also still smashing the index right now, so happy.

Current yearly return: 39%
Sharpe: 1.1
This month, -1.7% vs XKO gaining 3%


5 new positions for this month.


----------



## Roller_1

Warr87 said:


> Beginning of month 17
> 
> Small loss for December. 1 of my positions also never entered as well, so I only held 9 not 10. Not too worried. I've had a good run for positive months and not every month can be a winner. Also still smashing the index right now, so happy.
> 
> Current yearly return: 39%
> Sharpe: 1.1
> This month, -1.7% vs XKO gaining 3%
> 
> 
> 5 new positions for this month.
> 
> 
> View attachment 135324
> 
> 
> View attachment 135325




Awesome mate! good to see I long-term live equity graph 🔥


----------



## Warr87

Beginning of month 18

A very disappointing month! Surprising? Not really. They can't all be winners but it was certainly a big hit. I am certain that others would have had similar. I lost 22% this month while the XKO lost 8%. I'm still beating the XKO by 15% so that is something. From when I started, the XKO is up 15%, and I'm sitting at approx 30%. So certainly not bad if its frame in that way.

I am rotating out of 5 positions. Some of them took a big hit. Some I am holding don't even show in my scan so I believe they are suspended. Here's looking to catching the next wave of momentum!

Sharpe: 1.16
Rolling Yearly return: 21%


----------



## edman79

Thanks for posting the bad with the good Warr. Yes similar results in my portfolio. I trade with selfwealth and a week ago I was top 8% now Im bottom 40%. Ha Ha I dont even know/care what that means. Outperformance is outperformance and that is enough.


----------



## Warr87

Agreed. I'm still outperforming by a good amount. I also look at it that with the eye that, momentum stoped/reversed, but when it starts up again I will get in at a good price. I'll make it all back, and then some. It'd only be troubling if the market continued to give me 20% hits to my profits on a regular basis, lol.


----------



## Cam019

Warr87 said:


> It'd only be troubling if the market continued to give me 20% hits to my profits on a regular basis, lol.



@Warr87 what does your long-term backtest show? Are there regular -20% months in the profit table of your backtest?


----------



## Warr87

Cam019 said:


> @Warr87 what does your long-term backtest show? Are there regular -20% months in the profit table of your backtest?




I wouldn't say regular, but there were a few. And some larger. This is mostly due to turning off my index filter in my current system. There is no time to react to quick and violent moves in the market (unless it happens at the end of the month).


----------



## Cam019

@Warr87 how you going for end of February?


----------



## Warr87

Cam019 said:


> @Warr87 how you going for end of February?



I was very flat for Feb. less than 1%. But that's fine. Cycled out of 6 positions so who will know what march will bring!


----------



## Warr87

Beginning of month 19

Sorry for the late update. Was a particularly busy week at work. So much so that I struggled to sell my positions during the week between my lunch breaks. I managed to buy my new shares today.

So what happened this month? my total for the account pretty much stayed whereit was last month. Slight increase. One bonus of trading in a super is the monthly deposits that will help to cover my losses most months. Makes the compounding when I start winning much more noticeable.  The index still beat me this month but by half a percent. Overall I'm still doing good. My current rolling yearly return is approx 20% which should be a good return by most peoples standards! Current return since inception is still 30%.

Changed out 6 positions this month which is a little higher than usual.

Sharpe: 1.22
Yearly return: 19.8%


----------



## Warr87

Beginning of month 20

A big rotation out this month: 7 in total. Thankfully 1 position was sold (BRN) as it had halved in value. It was bringing my entire portfolio down but was towards the top of my list so I kept it. Made no sense, but the signals are the signals. The quick movements up had obviously triggered BRN to be in my portfolio, but it came down quickly too. Radge's code has some magic in their that helps to smoothen out these occurances and bring down the chances of them coming up, but it's not all seeing. You can use more long-term momentum or short-term momentum to rank, but either way its a trade-off that will leave you exposed. This is one of those times I was exposed, but its part of the game.

Even with that 50% loss from the 1 stock over the past 2 months, my portfolio is flat. I am feeling very bullish right now about my portfolio. With a bunch of more new positions to hold I think it'll be a good chances to catch some new momentum.

Yearly return: 19%
Sharpe: 1.28


----------



## Roller_1

I entered 10 positions today too, first time I index filter has switched on since implementing the system so I will see how it goes!


----------



## Warr87

Roller_1 said:


> I entered 10 positions today too, first time I index filter has switched on since implementing the system so I will see how it goes!



fingers crossed for you mate! Let us know how your system goes.

Are you running it more like Radge's default code or have you modified your universe of stocks like myself?


----------



## Roller_1

Warr87 said:


> fingers crossed for you mate! Let us know how your system goes.
> 
> Are you running it more like Radge's default code or have you modified your universe of stocks like myself?




This is my own i built. It is run on the XSO (Small ords). This is from 2005-Now, stats look good. 

From 2010 it drops back to  24% ROR but i'd take that year in year out


----------



## Warr87

Very nice! Is that a dual momentum strategy ? It's an EOM so I would think it would be similar.

I am now running a MOC long/short on the Russell2000/US all. 

This EOM strategy also works on the NAS-100.


----------



## Roller_1

Warr87 said:


> Very nice! Is that a dual momentum strategy ? It's an EOM so I would think it would be similar.
> 
> I am now running a MOC long/short on the Russell2000/US all.
> 
> This EOM strategy also works on the NAS-100.




Yea uses a 'smoothed' momentum measure. very simple though. 

Nice mate. 

Yeah only EOM. Nothing fancy, NDX can catch some good momentum!


----------



## Warr87

Beginning month 21

Not a great month. It started bad when I got my fills and was immediately 5% down. Can't remember the specific day, but a lot of things open rather high and everything closed low. It's happened before. The delays with my account from buys, settlement, and then re-filling empty positions has caused some slippage of a few %. Radge's system is built under the assumption that you re-fill on the day you sell. It hasn't been an issue every month, but when it is, it tends to cause some problems. Will I change to an IB account for this to improve? No. The lost $$ in bad fills/slippage may be similar to the extra costs for starting a SMSF, but unlikely at this point. It is simply something I will have to deal with. It's a weird market right now--definitely not friendly to a momentum system right now. 

I lost approximately 5% this month. I'm still at +24% overall. Yearly return is 14% right now, but sharpe is 1.32.

I have only changed 2 positions. The positions that are losing me the most are my new positions from last month, but they remain towards the top of my momentum list. This happened recently too. I hope I don't hold onto them for as long as last time. But I will follow the signals. Fingers crossed. 5 consecutive months down is certainly not fun.


----------



## Warr87

Beginning of month 22

Well, I was honestly a little pissed when I logged on this afternoon to check as its EOM. Another large drop in my account, and 1 not expected. I did a quick backtest, and while my account lost approx 10% this month the backtest showed similar. Though the backtest shows greater gains in months that are positive. It is something I should look at to make sure I am trading as close to it as I should be. In march I should have gained 25% apparently but that was not the case. I've mentioned it before that slippage and the speed at which I get into or out of trades so slow. It takes up to a week at times to cycle out of a position. Will have to investigate if this is the cause of my issues. In slow and downward markets I think the possibility of losing out due to slippage is enhanced. Either way, this seems more than expected.

From my beginning capital I am at +17%. Not back for 21 months completed I guess. I liked it more at my height of +55%. When I compare my equity high and my current equity, it's roughly -17% DD. This isn't too accurate as I have monthly contributions added into my account (I account for those contributions in my current progress). Perhaps I shouldn't be so annoyed at this since my super is still very much at the high end for someone my age. But it comes off the back of a lot of other losers. And as with all trading, a continual string of losers from multiple systems is painful on any metric.

If my issue is slippage, I can't really fix this as I can't afford to move into a SMSF right now. Ironically, I would need more capital.

I am cycling out 2 positions this month. 1 of them is not surprising as it lost almost half its value. But there is another 1 that is 40-50% down. A few positions that lost a lot of value are the cause of this months loss. There momentum value keeps most of them still in the portfolio though.

Currently +17%
Sharpe 1.34 (surprisingly still good)
Yearly return took a hit to 9.4%


----------



## Warr87

1 of my sells (and the 1 that lost me the most money!) is in a trading halt and apparently will be for a while (AVZ). this will lock up my capital for a new position. this certainly sucks lol.


----------



## peter2

I note the sudden concerns regarding "slippage". 



Warr87 said:


> Since this is monthly I am not worried too much about slippage. On a monthly scale, a few % here and there on one particular day should not be a concern IMO. This means I will place orders with a wide limit order to ensure fill.




That was posted at Month 1, then at Month 22, this


Warr87 said:


> I've mentioned it before that slippage and the speed at which I get into or out of trades so slow. It takes up to a week at times to cycle out of a position.





Warr87 said:


> If my issue is slippage, I can't really fix this




IMO yes, you can fix this. Modify your stock universe to hold only those with enough market liquidity so that your orders can be transacted immediately. 

I don't want to be seen as too critical when the system is in a draw down. *The market provides it's most valuable lessons when it knocks us down.* In this case there are several lessons. You need to eliminate the  "slippage" concern by only trading highly liquid stocks. If a price does gallop away from your buy limit, buy the next one on your list. 

My other concern is considerably harder to manage but becomes more significant if you're adding more capital and plan on adding more when transitioning to a SMSF. It's known as "Sovereign Risk". Do you want to invest your SF in companies that operate in countries with a low regard for democracy and rule of law?  (AVZ).

This concern is reduced in a portfolio with many positions. This portfolio only carries ten, so when something catastrophic happens it's going to effect 10% of your portfolio. 

Any trader or investor can be caught by sudden adverse events. I have a position in *PET* which has been suspended for years after a Chinese director operating in China stole from the company. Aust directors have no chance of getting that stolen money back. 

@Cam019 is operating a monthly portfolio with only four positions (25% ea). I hope he has considered these concerns as well.


----------



## Cam019

@peter2 always glad when you chime in. 😊

Let me address some of the commentary above and explain why I do things the way I am doing them.

One of the reasons I stuck with the ASX100 was liquidity. Even though I only have a relatively small SMSF balance at the moment, I wanted a stock selection universe that my fund could grow into, if you will. I didn’t want to have to worry about larger bid ask spreads on days when I needed to buy or sell. Additionally, as my fund grows I will be allocating funds to other asset classes so the SMSF getting too large for the system and chosen universe is basically impossible. Plus, I will build in that diversification.

Other things like my backtest results showed much larger maxDD’s using this system on a broader universe such as the ASX300. Easily in the realm of -60%+ maxDD’s. More than I was willing to tolerate.

One thing I personally do when I am entering and exiting positions is that I never leave the orders pending. I log on at lunch time usually when I’m at work and I execute my orders instantly. For example, I log in to my broker, look at how many shares I need to sell for a particular stock, then I check the bid depth and let’s say I want to sell 1000 shares and the bid depth is 1500 shares at $2.45, then I immediately place my limit order to sell 1000 shares with a limit of $2.45 and I am instantly filled and I don’t have to worry about getting slipped. Obviously it’s the reverse for buys.

As for the Sovereign Risk factor, yes I am aware of it and it is very hard to manage but I believe trading a narrower, larger cap, liquid universe should eliminate some, but never all of this risk. Again, back to my many reasons for staying with the ASX100.


----------



## Cam019

Cam019 said:


> @peter2 always glad when you chime in. 😊
> 
> Let me address some of the commentary above and explain why I do things the way I am doing them.
> 
> One of the reasons I stuck with the ASX100 was liquidity. Even though I only have a relatively small SMSF balance at the moment, I wanted a stock selection universe that my fund could grow into, if you will. I didn’t want to have to worry about larger bid ask spreads on days when I needed to buy or sell. Additionally, as my fund grows I will be allocating funds to other asset classes so the SMSF getting too large for the system and chosen universe is basically impossible. Plus, I will build in that diversification.
> 
> Other things like my backtest results showed much larger maxDD’s using this system on a broader universe such as the ASX300. Easily in the realm of -60%+ maxDD’s. More than I was willing to tolerate.
> 
> One thing I personally do when I am entering and exiting positions is that I never leave the orders pending. I log on at lunch time usually when I’m at work and I execute my orders instantly. For example, I log in to my broker, look at how many shares I need to sell for a particular stock, then I check the bid depth and let’s say I want to sell 1000 shares and the bid depth is 1500 shares at $2.45, then I immediately place my limit order to sell 1000 shares with a limit of $2.45 and I am instantly filled and I don’t have to worry about getting slipped. Obviously it’s the reverse for buys.
> 
> As for the Sovereign Risk factor, yes I am aware of it and it is very hard to manage but I believe trading a narrower, larger cap, liquid universe should eliminate some, but never all of this risk. Again, back to my many reasons for staying with the ASX100.



Interestingly enough, I also think trading a system with only 4 open positions at any one time reduces my chances of getting into a company that is exposed to sovereign risk, as opposed to spreading your portfolio over a larger number of stocks like 10 to 20. The trade off here is obviously volatility, which I don’t see as risk, so, I’m happy to weather it.


----------



## Roller_1

Cam019 said:


> One thing I personally do when I am entering and exiting positions is that I never leave the orders pending. I log on at lunch time usually when I’m at work and I execute my orders instantly. For example, I log in to my broker, look at how many shares I need to sell for a particular stock, then I check the bid depth and let’s say I want to sell 1000 shares and the bid depth is 1500 shares at $2.45, then I immediately place my limit order to sell 1000 shares with a limit of $2.45 and I am instantly filled and I don’t have to worry about getting slipped. Obviously it’s the reverse for buys.




What is the reason for not participating in the opening option @Cam019 and executing the trades the way you are? Or are you just talking if you do not get filled at the open for whatever reason?


----------



## peter2

@Cam019  My apologies for overlooking that your system uses the top100. Good thinking and good planning.


----------



## Cam019

Roller_1 said:


> What is the reason for not participating in the opening option @Cam019 and executing the trades the way you are? Or are you just talking if you do not get filled at the open for whatever reason?



Hey @Roller_1, the simple answer is I just don't have time to login and execute trades until my lunch break. I work an 8:30am - 5:30pm job.


----------



## Roller_1

Cam019 said:


> Hey @Roller_1, the simple answer is I just don't have time to login and execute trades until my lunch break. I work an 8:30am - 5:30pm job.



Can’t you place them the night before though? With a limit order 5-10% above closing price. That will get you into the auction and gets you the opening price. Opposite for sells. Just a thought


----------



## Warr87

Beginning of month 23

Was a bit of a shocker when I checked Thursday night. Had to double check my numbers. When I saw Cam's results, they are similar. I also saw an article yesterday that stated that in the US market, it is the largest half-year drop in a very long time. My daily trade strategy also lost all of its open profits over the last 2-3weeks. I didn't expect my monthly to be so dramatic. My account is actually still larger than what it was when I started trading in it 22months ago -- which is my monthly contributions from my employer. While in some ways the monthly contributions help with compounding the wins, in this case it appears to be compounding the losses too.

I don't have much to really share this update. I have already made a mistake as I wasn't able to put in my trades on Friday due to work (it's a busy time of year, as it is for most). I looked at my backtests for the strat and historically an average of 4 negative months. 6 negative months was the cap from what I remember. Either way, I continue on and wait for things to settle down and momentum to the up-side to return.

-19% this month whereas XKO lost 10%.


----------



## Warr87

peter2 said:


> I note the sudden concerns regarding "slippage".
> 
> 
> 
> That was posted at Month 1, then at Month 22, this
> 
> 
> 
> IMO yes, you can fix this. Modify your stock universe to hold only those with enough market liquidity so that your orders can be transacted immediately.
> 
> I don't want to be seen as too critical when the system is in a draw down. *The market provides it's most valuable lessons when it knocks us down.* In this case there are several lessons. You need to eliminate the  "slippage" concern by only trading highly liquid stocks. If a price does gallop away from your buy limit, buy the next one on your list.
> 
> My other concern is considerably harder to manage but becomes more significant if you're adding more capital and plan on adding more when transitioning to a SMSF. It's known as "Sovereign Risk". Do you want to invest your SF in companies that operate in countries with a low regard for democracy and rule of law?  (AVZ).
> 
> This concern is reduced in a portfolio with many positions. This portfolio only carries ten, so when something catastrophic happens it's going to effect 10% of your portfolio.
> 
> Any trader or investor can be caught by sudden adverse events. I have a position in *PET* which has been suspended for years after a Chinese director operating in China stole from the company. Aust directors have no chance of getting that stolen money back.
> 
> @Cam019 is operating a monthly portfolio with only four positions (25% ea). I hope he has considered these concerns as well.




Sorry it took so long to get back to this. The slippage return is more the fact it can take days to wait for my trades to settle. I can't send in MOO orders with my broker. And if I get swamped at work and can't put in my trades during market hours (as you can't do so out of market hours), these can compound. Whether this is 'slippage' may not be the correct term.


----------



## Warr87

Roller_1 said:


> Can’t you place them the night before though? With a limit order 5-10% above closing price. That will get you into the auction and gets you the opening price. Opposite for sells. Just a thought



I have tried that on occassions, and for whatever reason, still can't get fills. But the interface from ING isn't meant for regular buy/sells even though its monthly. Frustrating to check when you're home to see you still don't have fills. So like Cam, I have this issue.


----------



## Roller_1

Warr87 said:


> I have tried that on occassions, and for whatever reason, still can't get fills. But the interface from ING isn't meant for regular buy/sells even though its monthly. Frustrating to check when you're home to see you still don't have fills. So like Cam, I have this issue.



Yeah right. I guess change brokers if possible?


----------



## Warr87

Roller_1 said:


> Yeah right. I guess change brokers if possible?



That is the goal. But it's a super so needs to be done through an accredited super fund that will allow me to trade (like who I'm with right now), or a SMSF where I can choose whatever broker I want (will be IB). But I don't have high enough account to warrant the cost of a SMSF just yet. So I'm stuck where I am for the moment.


----------



## Roller_1

i think some people use sealfwealth for super


----------



## Warr87

Roller_1 said:


> i think some people use sealfwealth for super



That's just another broker isn't it? It needs to be an actual super fund for it to hold my super account.


----------



## rnr

Warr87 said:


> That is the goal. But it's a super so needs to be done through an accredited super fund that will allow me to trade (like who I'm with right now), *or a SMSF where I can choose whatever broker I want (will be IB)*. But I don't have high enough account to warrant the cost of a SMSF just yet. So I'm stuck where I am for the moment.



Hi @Warr87,
I thought that IB was a problem with "Australian based super funds" on the basis that the funds are not actually segregated and kept in an account in the name of the SMSF?
Just a suggestion that you clarify this issue thoroughly prior to going ahead.
Cheers, Rob


----------



## Warr87

rnr said:


> Hi @Warr87,
> I thought that IB was a problem with "Australian based super funds" on the basis that the funds are not actually segregated and kept in an account in the name of the SMSF?
> Just a suggestion that you clarify this issue thoroughly prior to going ahead.
> Cheers, Rob



Hey Rob,

My current account with IB is a trust account. I thought the SMSF was treated the same as it is a type of trust. My current trust has accounts in its name, or in the name of the trustee that runs it. When I've looked in the past it didn't look like an issue but it may be. I'll be sure to do more research when that time comes. At the current rate, I'm thinking 12months if it's a phenomenal run/rebound, but likely closer to 18-24months from now. Still plenty of time to figure it out (and wait to see what gov does with super's moving forward as well).

Thanks for the headsup


----------



## KevinBB

@Warr87 @rnr 

IB seems to think that their account complies with Australian SMSF regulations:
_"Our SMSF account is designed to enable compliance with the applicable regulations governing superannuation funds in Australia."_

See this page. Right down the bottom, after all the advertising blurb.

KH


----------



## Warr87

KevinBB said:


> @Warr87 @rnr
> 
> IB seems to think that their account complies with Australian SMSF regulations:
> _"Our SMSF account is designed to enable compliance with the applicable regulations governing superannuation funds in Australia."_
> 
> See this page. Right down the bottom, after all the advertising blurb.
> 
> KH



thanks mate!


----------



## KevinBB

NP. The only problem I have with holding stocks, and in particular ETFs, in IB is their tax reporting.

The one financial year that I did hold IOZ plus a couple of dividend paying stocks in an IB account, it was a battle to get any sort of franking information out of IB. The annual trust tax statement didn't exist, so I had to calculate all the values myself. They do have an annual report, but it doesn't give all details required for Australian tax.

So ... I moved all ETFs and stocks back to an Aussie broker.

KH


----------



## Warr87

KevinBB said:


> NP. The only problem I have with holding stocks, and in particular ETFs, in IB is their tax reporting.
> 
> The one financial year that I did hold IOZ plus a couple of dividend paying stocks in an IB account, it was a battle to get any sort of franking information out of IB. The annual trust tax statement didn't exist, so I had to calculate all the values myself. They do have an annual report, but it doesn't give all details required for Australian tax.
> 
> So ... I moved all ETFs and stocks back to an Aussie broker.
> 
> KH



Well my family trust uses IB. I figure it will actually be easier using IB since the EOY report from CMC wasn't particularly helpful for my accountant. The round trip of trades had to be put together and was a lot of effort. And it took my account more time to put it together as well (so cost more ... it was definitely a process). Will see this year I guess. Either way, I definitely prefer IB over other brokers I've used so far. 

(Also, with the SMSF, I will be leaving it open if I trade futures or other types of instruments. That's pretty far off though. But IB makes that all easier IMO.)


----------



## KevinBB

Warr87 said:


> Well my family trust uses IB. I figure it will actually be easier using IB since the EOY report from CMC wasn't particularly helpful for my accountant. The round trip of trades had to be put together and was a lot of effort. And it took my account more time to put it together as well (so cost more ... it was definitely a process). Will see this year I guess. Either way, I definitely prefer IB over other brokers I've used so far.
> 
> (Also, with the SMSF, I will be leaving it open if I trade futures or other types of instruments. That's pretty far off though. But IB makes that all easier IMO.)




I'm quite happy with IB. Its where I have my futures trading account. The reporting is excellent. I've been checking every trade all year (FY 2022), and everything matched my records. They do have a problem with rounding, but that's neither here nor there.



KevinBB said:


> The annual trust tax statement didn't exist




When I was referring to an Annual Trust Tax statement, I was referring to the statement that an ETF or Trust, for example a listed property trust, is required to issue to all their unit holders at year end. It contains all the unit holder's tax return information. During the tax year in question (FY 2021) my IOZ and property trust holdings with IB didn't issue this tax statement, but those held with NABTrade did.

When I questioned both IB and the registry about this, they said it had something to do with how IB holds and accounts for all of this. I wasn't happy, as I had to compile all the (for example) IOZ tax information from their individual reports during the year. It wasn't an easy task going through each generalised distribution notice and picking the information that referred to my individual holding. 

And, that's why I moved all shares, and units in ETFs and property trusts, back to NABTrade. I get one report from each ETF or property trust at year end, and the figures from that go straight into my tax return.

KH


----------



## rnr

KevinBB said:


> I'm quite happy with IB. Its where I have my futures trading account. The reporting is excellent. I've been checking every trade all year (FY 2022), and everything matched my records. They do have a problem with rounding, but that's neither here nor there.
> 
> 
> 
> When I was referring to an Annual Trust Tax statement, I was referring to the statement that an ETF or Trust, for example a listed property trust, is required to issue to all their unit holders at year end. It contains all the unit holder's tax return information. During the tax year in question (FY 2021) my IOZ and property trust holdings with IB didn't issue this tax statement, but those held with NABTrade did.
> 
> *When I questioned both IB and the registry about this, they said it had something to do with how IB holds and accounts for all of this*. I wasn't happy, as I had to compile all the (for example) IOZ tax information from their individual reports during the year. It wasn't an easy task going through each generalised distribution notice and picking the information that referred to my individual holding.
> 
> And, that's why I moved all shares, and units in ETFs and property trusts, back to NABTrade. I get one report from each ETF or property trust at year end, and the figures from that go straight into my tax return.
> 
> KH



Hi @KevinBB,

From comments I have read over time on ASF regarding IB I have come to the conclusion that IB Australia uses their own HIN for all transactions made on behalf of Australian clients (but there again I could be a way off the mark).
It is with this in mind I raise the issue of segregated funds, although my terminology may not be correct as in IB's records they would have a breakdown of each clients balance and transactions and hence the red bolded comment above. 
Just a suggestion that you clarify this issue thoroughly with regards to Australian legislation prior to going ahead.
Cheers, Rob


----------



## qldfrog

rnr said:


> Hi @KevinBB,
> 
> From comments I have read over time on ASF regarding IB I have come to the conclusion that IB Australia uses their own HIN for all transactions made on behalf of Australian clients (but there again I could be a way off the mark).
> It is with this in mind I raise the issue of segregated funds, although my terminology may not be correct as in IB's records they would have a breakdown of each clients balance and transactions and hence the red bolded comment above.
> Just a suggestion that you clarify this issue thoroughly with regards to Australian legislation prior to going ahead.
> Cheers, Rob



Fwiw, bell direct has a smsf option..so freedom of choice, trading even options..but not O/S exchanges..
I do not use them for super but could be worthwhile.
With bell direct, you own your shares under your own CHESS id.


----------



## KevinBB

@rnr I've held shares with IB in the past, and you are right, there is no CHESS Id for each individual client. Whether or not a SMSF auditor would be happy with that, I don't know. If @Warr87 plans to go ahead with this, that's one thing I would check.

@qldfrog I'm well beyond having a use for an SMSF. Well, not well beyond, but just beyond. Anyway, I'm happy with NABTrade, and that's where I have all my ASX listed stuff, although their web site can be a bit iffy at times.

KH


----------



## qldfrog

KevinBB said:


> @rnr I've held shares with IB in the past, and you are right, there is no CHESS Id for each individual client. Whether or not a SMSF auditor would be happy with that, I don't know. If @Warr87 plans to go ahead with this, that's one thing I would check.
> 
> @qldfrog I'm well beyond having a use for an SMSF. Well, not well beyond, but just beyond. Anyway, I'm happy with NABTrade, and that's where I have all my ASX listed stuff, although their web site can be a bit iffy at times.
> 
> KH



cd Bell Direct SMSF They may act as super fund..not sure


----------



## Belli

KevinBB said:


> The one financial year that I did hold IOZ plus a couple of dividend paying stocks in an IB account, it was a battle to get any sort of franking information out of IB. The annual trust tax statement didn't exist, so I had to calculate all the values myself. They do have an annual report, but it doesn't give all details required for Australian tax.




Difficult situation there.  How did you deal with the AMIT cost-base adjustment for that year (assuming there was one) without having the Annual Tax Statement?


----------



## Warr87

KevinBB said:


> @rnr I've held shares with IB in the past, and you are right, there is no CHESS Id for each individual client. Whether or not a SMSF auditor would be happy with that, I don't know. If @Warr87 plans to go ahead with this, that's one thing I would check.
> 
> @qldfrog I'm well beyond having a use for an SMSF. Well, not well beyond, but just beyond. Anyway, I'm happy with NABTrade, and that's where I have all my ASX listed stuff, although their web site can be a bit iffy at times.
> 
> KH



The person who deals with my retrns for my trust also does SMSF. so i will check with them in the future.


----------



## KevinBB

Belli said:


> Difficult situation there.  How did you deal with the AMIT cost-base adjustment for that year (assuming there was one) without having the Annual Tax Statement?



I did the best I could  Most of the information is available online as most ETFs and property trusts will publish a pro-forma Tax Statement.

In the event of an ATO audit, they aren't going to make a fuss as long as you show them workings and that you've made a genuine effort to calculate the missing figures. You might have to balance the tax but, from my experience, there won't be any penalty.

KH


----------



## Belli

KevinBB said:


> I did the best I could  Most of the information is available online as most ETFs and property trusts will publish a pro-forma Tax Statement.
> 
> In the event of an ATO audit, they aren't going to make a fuss as long as you show them workings and that you've made a genuine effort to calculate the missing figures. You might have to balance the tax but, from my experience, there won't be any penalty.
> 
> KH




Good outcome but you shouldn't have had to do that if IB had provided them to you.  I'd be very annoyed.

One of mine was surprised when I told them they had to keep the annual tax statements.  They thought it only applied to the tax year in question.  Nope, said I, as the AMIT excess/shortfall (an variation to the cost-base) changes the CGT if sold.


----------



## Warr87

Beginning of month 24

It was nice to see that when I logged in to see I was up! Not by much, but its something. I am currently holding 4 positions that I don't want to be in. One of them has been had trading suspended. I haven't checked the rest. But they are taking up spots and capital for new positions. It's very annoying.

Sharpe is still 1.15. All my other systems are moving up. Hopefully my long protracted DD is over. The past 6 months certainly showed the bad side of always in the market, monthly system.


----------



## Warr87

Had to double check, and I am only hold 2 positions that I shouldn't due to trading halt.

Also, it appears my account is up close to 10% this week alone. Though I don't pay much notice to weekly changes like Cam (but nice to see).


----------



## Warr87

Beginning of month 25

Was a nice surprise to see my account up. Was a nice boost. The issues this month are the same as last. I have 2 positions that I cannot get rid of due to suspended trading. 1 of them was meant to resume 1 Sep but was extended to mid-Sep. Very frustrated as its a drag on my account and I can't implement my strat as I want. Swapped out 2 positions in total (should have been 4 if not for the previously mentioned issue).

Positive movement. I should rebound quickly as this is an 'always in' strat. (Downside is the exposure during bear markets).


----------



## Warr87

Beginning of month 26

slight increase this month again. I think I ended up losing some profits after mid-month. Still can't offload a couple of positions that have been suspended in trading. I am beyond annoyed right now given how long it's been and the tied up capital. Looks like I will only need to change out 2 positions next week, though if I could it'd be another 2-3 on top of that.


----------



## qldfrog

Warr87 said:


> Beginning of month 26
> 
> slight increase this month again. I think I ended up losing some profits after mid-month. Still can't offload a couple of positions that have been suspended in trading. I am beyond annoyed right now given how long it's been and the tied up capital. Looks like I will only need to change out 2 positions next week, though if I could it'd be another 2-3 on top of that.
> 
> 
> 
> View attachment 147513
> 
> View attachment 147514



the real issue is that suspended trading usually means huge gap down when reinstated...
I hope it will be different for you this time and that you will get at least something for these 2 stocks.
Assuming they kept their price is mostly a dream distorting your graphs..All good as long as you are aware !


----------



## Warr87

qldfrog said:


> the real issue is that suspended trading usually means huge gap down when reinstated...
> I hope it will be different for you this time and that you will get at least something for these 2 stocks.
> Assuming they kept their price is mostly a dream distorting your graphs..All good as long as you are aware !



That is been in the back of my mind too .... their current price is already pretty far down from when I got it so it will be painful. Not being able to redeploy whatever is left is still annoying me though, lol.


----------



## Warr87

I'll post a proper update in the next few days. Did well in the beginning of the month, average the past week or so. Today in particular it dropped a few %. The turbulent market has definitely given myself a big hit to the overall performance—but its expected as its not a good market for an 'always in momentum strategy'. 

Will be following up on the positions I can't get rid of—I need to check if they're still suspended and/or for how long.


----------



## Warr87

Beginning of month 27

Things were a bit flat in the end. First 2 weeks were up, then it came down (mostly in the last few days). Things have already gone up a few %.

Swapped out of 2 positions. Still holding onto 2 positions that I cannot purge due to be suspended. Not much more to say right now. Can't wait for momentum to start up again.

Sharpe is still 1.17


----------



## Warr87

Beginning of month 28

Bit of an up-and-down month. Had an immediate up, followed by being negative up until the last week where it rebounded. I only checked a few days so not reliable. (Checked to see if I could finally shed the 2 positions that are not trading .... no luck still).

A nice increase up and even my other trading systems seem to be normalising (if not slightly moving up). A normal market is good for this system .... the sudden ups-and-downs do not pose a good situation for the monthly strategy.

Happy with where things are right now. I still cannot get rid of two positions that plague me, and take up two positions I could use! I've complained about it a lot (AVZ and FFX). Continual extensions on the suspension of trade. I just want them gone so I can implement the strategy properly.


----------



## Warr87

Beginning of month 29
Was a pretty good month, until Friday. As i said in Cam's thread, I was tracking pretty good and when I checked yesterday I had lost around 4% of my account. Was a bit strange, but on the EOM I am tracking with the index anyway.


----------

