Monthly Momentum - ASX300 Super

[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]

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]

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.

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.

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]

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]

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]

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]

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.

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]

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]

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

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]

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.