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Hi Willy,
Thanks for starting a fresh systematic trend following thread. From memory our last TF thread was created by Trendnomics and his portfolios did incredibly well until he/she seemed to get frustrated with the apparent lack of interest.

I think this style of investing is a valid method and tries to exploit the known anomaly of momentum, whilst providing a tool to avoid the pitfalls of the often irrational collective human mind during pullbacks. Trend following is counterintuitive,(buying stocks that have already taken off) so it is not easy to follow and it goes through sometimes longish periods where it just does not work and drawdowns can be ugly, which are eventually followed by a period of strong outperformance. It is not for everyone.

I particularly like the concept of monthly rebalancing, where whatever happens mid month, can have little impact by the end of the month, although when i tried it in Jan 2016 with 25 stocks on a 250 day lookback, I found it too hard to adhere to and now do it weekly on a shorter lookback with around 16 stocks to increase the chance of jagging a few runners. One day when I grow a set, I give it another go.
Imagine that, only being on task for an hour or so each month and little interest in between.

Understandably you have put a lot of time into your system and you want to keep your secret sauce private, but I hope you don't mind me throwing out a bit of food for thought to interested readers. The following backtest are for 5 x 20% positions (not something I would do) on XAO with 125 day lookback with 100ma exit along with a stale (ranking) exit in there with no stops. Curiously we did not share any stocks over the same period, which possibly suggests when conditions are right, momentum systems broadly work well.

The last 12 months have been great theoretically.
[ATTACH]89931[/ATTACH]

The previous 12 months were terrible with a 25%DD thrown in for good measure
[ATTACH]89933[/ATTACH]

Going back another 12 months were again theoretically fantastic
[ATTACH]89934[/ATTACH]

Going back a bit further, the overall results look good, but you would have to be a machine to sleep at night. Nevertheless the results are well above that of the said index XAOA
[ATTACH]89935[/ATTACH]

Willy, I and no doubt others would be curious to see some of your longer period backtests, if you're interested.

Wyatt

<blockquote data-quote="Wyatt" data-source="post: 1000408" data-attributes="member: 64655">Hi Willy,Thanks for starting a fresh systematic trend following thread. From memory our last TF thread was created by Trendnomics and his portfolios did incredibly well until he/she seemed to get frustrated with the apparent lack of interest. I think this style of investing is a valid method and tries to exploit the known anomaly of momentum, whilst providing a tool to avoid the pitfalls of the often irrational collective human mind during pullbacks. Trend following is counterintuitive,(buying stocks that have already taken off) so it is not easy to follow and it goes through sometimes longish periods where it just does not work and drawdowns can be ugly, which are eventually followed by a period of strong outperformance. It is not for everyone.I particularly like the concept of monthly rebalancing, where whatever happens mid month, can have little impact by the end of the month, although when i tried it in Jan 2016 with 25 stocks on a 250 day lookback,&nbsp; I found it too hard to adhere to and now do it weekly on a shorter lookback with around 16 stocks to increase the chance of jagging a few runners. One day when I grow a set, I give it another go.Imagine that, only being on task for an hour or so each month and little interest in between.Understandably you have put a lot of time into your system and you want to keep your secret sauce private, but I hope you don&#039;t mind me throwing out a bit of food for thought to interested readers. The following backtest are for 5 x 20% positions (not something I would do) on XAO with 125 day lookback with 100ma exit along with a stale (ranking) exit in there with no stops. Curiously we did not share any stocks over the same period, which possibly suggests when conditions are right, momentum systems broadly work well.The last 12 months have been great theoretically. [ATTACH]89931[/ATTACH]&nbsp;The previous 12 months were terrible with a 25%DD thrown in for good measure[ATTACH]89933[/ATTACH]Going back another 12 months were again theoretically fantastic[ATTACH]89934[/ATTACH]Going back a bit further, the overall results look good, but you would have to be a machine to sleep at night. Nevertheless the results are well above that of the said index XAOA[ATTACH]89935[/ATTACH]Willy, I and no doubt others would be curious to see some of your longer period backtests, if you&#039;re interested.Wyatt</blockquote>

[QUOTE="Wyatt, post: 1000408, member: 64655"] Hi Willy, Thanks for starting a fresh systematic trend following thread. From memory our last TF thread was created by Trendnomics and his portfolios did incredibly well until he/she seemed to get frustrated with the apparent lack of interest. I think this style of investing is a valid method and tries to exploit the known anomaly of momentum, whilst providing a tool to avoid the pitfalls of the often irrational collective human mind during pullbacks. Trend following is counterintuitive,(buying stocks that have already taken off) so it is not easy to follow and it goes through sometimes longish periods where it just does not work and drawdowns can be ugly, which are eventually followed by a period of strong outperformance. It is not for everyone. I particularly like the concept of monthly rebalancing, where whatever happens mid month, can have little impact by the end of the month, although when i tried it in Jan 2016 with 25 stocks on a 250 day lookback, I found it too hard to adhere to and now do it weekly on a shorter lookback with around 16 stocks to increase the chance of jagging a few runners. One day when I grow a set, I give it another go. Imagine that, only being on task for an hour or so each month and little interest in between. Understandably you have put a lot of time into your system and you want to keep your secret sauce private, but I hope you don't mind me throwing out a bit of food for thought to interested readers. The following backtest are for 5 x 20% positions (not something I would do) on XAO with 125 day lookback with 100ma exit along with a stale (ranking) exit in there with no stops. Curiously we did not share any stocks over the same period, which possibly suggests when conditions are right, momentum systems broadly work well. The last 12 months have been great theoretically. [ATTACH]89931[/ATTACH] The previous 12 months were terrible with a 25%DD thrown in for good measure [ATTACH]89933[/ATTACH] Going back another 12 months were again theoretically fantastic [ATTACH]89934[/ATTACH] Going back a bit further, the overall results look good, but you would have to be a machine to sleep at night. Nevertheless the results are well above that of the said index XAOA [ATTACH]89935[/ATTACH] Willy, I and no doubt others would be curious to see some of your longer period backtests, if you're interested. Wyatt [/QUOTE]

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