ASX Momentum Trade Book - Part 2

[peter2]

Trading update: New trade

HZN: Bought at 0.065, iSL 0.060.
Liked yesterday's close at 0.065 and bid for 0.064, didn't get it, so paid higher this morning.
First trade in an oil/gas stock for quite a while. Don't think the POO will go higher, but this setup too good to decline.


CDD: Did you notice that the price rebounded nicely after we sold it yesterday. If we hadn't sold it may have gone down even more today.

 

[peter2]

Glad to see the current reporting season almost over. I've not seen a more volatile period in the last ten years. We've traded through it and our trading experience has been enriched. Our portfolio hasn't made any progress but it also hasn't lost. It survived intact.

We've seen one sector of the market (emerging companies, mid-caps) have a great rally (Feb - Aug 2016), stall and now fall. All booms, bust. Prices in most of those emerging companies and mid-caps went too high, too fast. Recent company updates have highlighted this and panic selling to lock in some of those profits have caused the increased price volatility.

Of course I feel frustrated by the perceived lack of progress, but I overlook that our defensive risk management and our plans to avoid trading before scheduled reports most likely protected our portfolio. I should be pleased rather than frustrated.

In addition to what we feel we must be optimistic for the future. Perhaps there'll not be so many break-out opportunities, but there should a heap of pull-back opportunities if companies with good prospects have been sold off indiscriminately.

I'm reminded to focus on the process, not the results.

 

[peter2]

EOW 105 update: ASX Momentum Portfolio +48.7% ( 33% invested in 3 trades)
Benchmark index: SPAX2F15 (Incl. divs and f credits) +7.3% (past 105 wks)

Note: The SPAX2F15 gained while the index (XAO) fell. This is due to dividends (+ F credits) earned during the week.

This weeks sells: CDD (-0.2R), ASL (-0.2R)
This weeks buys: CDA, HZN

Our portfolio continues to drift lower as we close out recent trades for small losses. We've not found ourselves in a sustained move for a while. That's the luck of trading. We'll keep trying.

Over the past nine weeks (YTD) this portfolio has lost 2%, meanwhile our weekly portfolio (in members only section) has gained 9%. You can read the details in that thread. Don't believe anyone who states that we must trade shorter time periods to be reasonably profitable.

Outlook: Our market risk filter remains cautiously bullish while the XAO is above 5650. This portfolio will get back "in sync" with a few moves soon.

 

[Boggo]

Nice work Peter.

 

[peter2]

Thanks for that @Boggo . I'll assume it's for the 2 years. I've been a bit frustrated by the lack of recent progress in this portfolio. When I noticed the difference in the weekly portfolio, well, I had to chuckle. You know this as you trade both time frames as well. Sometimes it's just better to let the market do it's thing and not jump in and out. The underlying weekly trend just rumbles on and gives us plenty of notice when it reverses.

Trading both time frames does have it's advantages. While I'm hopping around on the daily charts I'm not worrying about the weekly trades. That MGX trade was a classic. I jumped out of the daily trade too early, but the weekly trade carried on to nice result.

I'm glad I'm posting portfolios in two time frames as it's reinforcing the differences to me once again.

 

[skc]

EOW 105 update: ASX Momentum Portfolio +48.7% ( 33% invested in 3 trades)
Benchmark index: SPAX2F15 (Incl. divs and f credits) +7.3% (past 105 wks)

Note: The SPAX2F15 gained while the index (XAO) fell. This is due to dividends (+ F credits) earned during the week.

This weeks sells: CDD (-0.2R), ASL (-0.2R)
This weeks buys: CDA, HZN

Our portfolio continues to drift lower as we close out recent trades for small losses. We've not found ourselves in a sustained move for a while. That's the luck of trading. We'll keep trying.

Over the past nine weeks (YTD) this portfolio has lost 2%, meanwhile our weekly portfolio (in members only section) has gained 9%. You can read the details in that thread. Don't believe anyone who states that we must trade shorter time periods to be reasonably profitable.

Outlook: Our market risk filter remains cautiously bullish while the XAO is above 5650. This portfolio will get back "in sync" with a few moves soon.

It's been a slightly different reporting season. I don't remember seeing so many positive reports reverse very quickly, especially in the smaller end. It hasn't been easy to trade the daily bars even if you have the fundamental news behind you.

This is a chart compiled by Morgan Stanley... it shows how this year (the dotted line) there's a remarkable lack of follow thru in the "beat" reports.

 

[peter2]

Interesting and I suppose we could make a story to explain it;
(i) too many stock prices went on a bullish rampage and got ahead of the actual results
(ii) ASX is at new highs and investors are getting too cautious
(iii) We're acting like "stunned mullets" as the US markets stampede to record highs
(iv) We still can't believe that Trump is president.
(v) We're looking for reasons that things are bad, when they're not

In a way, it's very like your awesomeness, impossible to really grasp.

 

[debtfree]

Peter: I compared the 1st graph (93 trades) with the 2nd graph (167 trades) of different Exits that you displayed towards the end of January.
I have divided the Win amounts by the Loss amounts to give me a Ratio to compare the difference between the two sets of figures.

The best Exit (NO:3) has drop the biggest % (7.56%) in Win/Loss Ratio while at the same time the poorest (NO:1) had improved by over 14%.
Is this an early indication of the markets turning towards the longer time frame rather than the short time frame. Like, say your weekly system? Something to keep an eye on, do you think?
I'm not saying to jump from one system to another because of this but to use this to understand what is happening behind our own systems.

 

[peter2]

That's interesting. I wouldn't agree that those stats imply that the longer time frame was more profitable in the second half.

The wider (3xATR) stop may be producing the larger AW/AL because it's more able to tolerate an increase in volatility. Staying in longer should then produce bigger AW/AL. Any increase in volatility would hurt the smaller (2xATR) stop strategy. I would accept that volatility increased in the second half.

I would caution you about using these dollar amounts for your stats for two reasons. Firstly, wins/losses don't mean much on their own without knowing the dollars initially put at risk. Secondly, compounding will increase the amounts won/lost as the positive edge is earned.

This table posted earlier shows the R values won throughout the last two years.

Compounding doesn't distort these results. They show that the expectancy (edge) earned in the second year was larger than the first (1st year: 20R/102T = 0.196 vs 2nd year: 24.2R/75T = 0.32). It's quite an increase(+63%).

We traded less and made more. That could imply we were in the trades for longer (less trading) or we were more selective in the prevailing market conditions. Examination of the trades shows that the average time in a trade in the first year was 20 days, for the second year 23 days. I haven't looked at the average times for the winners vs the losers.

Knowing that our edge was bigger in the second year, it would mean that our wins and losses in dollar amounts are larger in the second half due mainly to compounding rather than anything else.

 

[debtfree]

The wider (3xATR) stop may be producing the larger AW/AL because it's more able to tolerate an increase in volatility. Staying in longer should then produce bigger AW/AL. Any increase in volatility would hurt the smaller (2xATR) stop strategy. I would accept that volatility increased in the second half.

We traded less and made more. That could imply we were in the trades for longer (less trading) or we were more selective in the prevailing market conditions.

Yes looking at the XAO it was all downhill for the 1st year with any rallies only lasting weeks at the most. Not good for building profits.
Looking at XAO for the 2nd year the overall trend has been UP with some rallies lasting longer than a month. There was (2) good runs of 2 months and (1) great run of 3 months. Much better for profits.

Thanks for your post above Peter.

 

[peter2]

Trading update: Another trade closed. Open trades CDA and HZN.

GNG: Closed today for full loss. (-1R)

I've been unable to find reasonable probability low risk setups in this market lately. I'm not going to trade just for something to do. This only leads to many small losses that add up. Our last five trades have all ended with small losses. We have to be patient, again. I've been looking at other markets and will trade them while we wait.

 

[coopers]

Hi peter2,

I have just finished reading this whole thread. I just wanted to extend my thanks for your continued updates and clear explanations for your decision making, and basis for your trading plan, and all in a public forum. This is quite rare in my experience.

I have been slogging away developing my own weekly trend-following system for many years now and it's great to read your posts that reinforce many of the things that have assisted me to become much more successful. The aspects that resonate most with me have been the importance of developing a written trading plan, journaling all of my decision making, risk control/position sizing, and measuring my performance.

I look forward to following more of your threads. Thanks again
coopers

 

[Kryzz]

Trading update: Another trade closed. Open trades CDA and HZN.

GNG: Closed today for full loss. (-1R)

I've been unable to find reasonable probability low risk setups in this market lately. I'm not going to trade just for something to do. This only leads to many small losses that add up. Our last five trades have all ended with small losses. We have to be patient, again. I've been looking at other markets and will trade them while we wait.

Hi Peter - what other markets are you preferred ones when Aus equities aren't the main focus?

 

[peter2]

The easy answer would be whatever's moving. Most likely this will be forex and some commodity markets. I'll include these trades in the P2 Trade book thread when I spot them.

I'll still do my daily ASX scans as we can't ignore our main market. The ASX charts that I like atm are a few banks, CSL and WES. All higher priced stocks that require more outlay to get a reasonable reward.

 

[peter2]

Trading update: New trades

SFI: Bought today at 0.095, iSL at 0.085.
DCC: Bought today at 0.047, iSL at 0.039.

 

[peter2]

Update: Another batch of 20 trades completed.

This latest batch shows our worst result so far with a profit of only +1.3R over the 20 trades. I have no explanation for this as our trade management has been consistent. Our mistake in the MGX trade may have cost us a few R but even this wouldn't have pushed our result to average. I just accept that this is what we got and get on to the next batch. We've had 3 batches with above average results and 6 batches with below average results.

I'm pleased that all our batches have been profitable so far.

 

[peter2]

One that I missed this morning as price jumped my limit buy order.

 

[peter2]

Trading update: New trades

FPH: Third attempt to get into this one. The signal bar and best entry was 8.60 7 trading days ago. I've been dithering and finally placed a bid in this morning at 8.65. I've also bought this for the weekly portfolio as price is finally near the resistance level. Parcel sizes in both portfolios have been limited (daily 20%, weekly 12%) due to the close iSL.

AMP: Bought today's BO at 5.06, iSL 4.90. Parcel size limited to 20%.


ps: Nobody inquired about the WES chart I posted a few days ago. Hmm.

 

[Lone Wolf]

ps: Nobody inquired about the WES chart I posted a few days ago. Hmm.

I almost did, since you posted the image but didn't actually say if you bought. But then I figured all would become clear in the EOW report.

If you did buy, today was a good day.

 

[debtfree]

WES: When I didn't see it marked up as a purchase I thought you must have had second thoughts about it, was it was just filling the October gap and left it alone.