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Monthly Momentum - ASX300 Super

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




 
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.
 
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 said:
@Warr87 what does your long-term backtest show? Are there regular -20% months in the profit table of your backtest?
Click to expand...

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).
 
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%





 
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 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!
Click to expand...
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?
 
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?
Click to expand...

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

 
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.
 
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.
Click to expand...

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

Nice mate.

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


 
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%


 
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.
Click to expand...

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.
Click to expand...
Warr87 said:
If my issue is slippage, I can't really fix this
Click to expand...

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.
 
@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.
 
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