Nick Radge's Weekend Trend Trader

[CanOz]

That's a good way to see the results of combining portfolios Can, looks good.

Yeah, it would be great to be able to throw in a couple of longer terms FX or Futures systems just to diversify a bit more. They could take up the slack when the two equity systems go into draw down and then hibernate.

The main thing here is to know that there will be draw-downs, likely right when you start too. If you prepare yourself for it, then it should be a little easier to stomach.

 

[Trendnomics]

Yeah, it would be great to be able to throw in a couple of longer terms FX or Futures systems just to diversify a bit more. They could take up the slack when the two equity systems go into draw down and then hibernate.

Ahhh, the ever avoidance of drawn-downs! How much has that cost people in potential returns? Probably, more than the actual draw-downs.

 

[minwa]

Can, for fair comparison you should average the combined returns, so should be about 34.65%, 24.9%, 8.85%, 23.65% which averages out to 23%pa. Pretty good if the test was unleveraged.

Only downside is it relies pretty heavily on a bull market in equities.

 

[peter2]

You beat me to it trendnomics. Percentages are pricks to work with.

If you lose 50% one year and make 100% next year. Have you really made an average of 25%/year?

 

[CanOz]

Ahhh, the ever avoidance of drawn-downs! How much has that cost people in potential returns? Probably, more than the actual draw-downs.

Not meaning to avoid draw downs, but it is possible to smooth out equity curves with a diverse portfolio of systems. But yeah you're absolutely right, if you can't trade it because you can't stomach it, it will cost you allot more than the draw-down.

 

[CanOz]

Can, for fair comparison you should average the combined returns, so should be about 34.65%, 24.9%, 8.85%, 23.65% which averages out to 23%pa. Pretty good if the test was unleveraged.

Only downside is it relies pretty heavily on a bull market in equities.

yes, my bad, i had the average in there and changed it. Thanks for pointing that out. There are unleveraged returns.

 

[CanOz]

Here is an example of how running two portfolios can smooth out the returns. I only went back three years in this example. Its best to only ever test a minimum of 2 years as i believe EOD systems need two years of results to be fair to the systems capability.

The first one is the Flipper, followed by the combined results and the last one is the MR system on its own.

This should be the correct combined returns , averaged and not added. To be absolutely correct i need to add up the individual P/L.

 

[Trendnomics]

This should be the correct combined returns , averaged and not added. To be absolutely correct i need to add up the individual P/L.

I hate to be that guy, but averaging is incorrect - see my previous post.

 

[Valued]

Yeah, it would be great to be able to throw in a couple of longer terms FX or Futures systems just to diversify a bit more. They could take up the slack when the two equity systems go into draw down and then hibernate.

The main thing here is to know that there will be draw-downs, likely right when you start too. If you prepare yourself for it, then it should be a little easier to stomach.

Has anyone even made a forex system that works (outside of day trading)? The problem with forex systems I have seen is that they fail to warn of over-exposure and risk because they don't tell you that two currency pairs correlate very strongly and you enter both and basically have just double the risk on the same outcome. They also don't factor in carrying costs and considering whether that's the best currency pair to gain the exposure you want. They also don't warn you if you're exposing yourself to the same structural risks e.g. if you long both the NOK and the CAD at the same time you're basically at that point just long on oil twice (which may not be a bad thing, if you are aware you're long on oil).

 

[CanOz]

Has anyone even made a forex system that works (outside of day trading)? The problem with forex systems I have seen is that they fail to warn of over-exposure and risk because they don't tell you that two currency pairs correlate very strongly and you enter both and basically have just double the risk on the same outcome. They also don't factor in carrying costs and considering whether that's the best currency pair to gain the exposure you want. They also don't warn you if you're exposing yourself to the same structural risks e.g. if you long both the NOK and the CAD at the same time you're basically at that point just long on oil twice (which may not be a bad thing, if you are aware you're long on oil).

All good points, perhaps ETFs are a way to diversify a portfolio of EOD systems.

 

[Quant]

The Published equity curves ive seen on these systems never has adjustments EOFY for tax on closed positions , i seriously doubt the real returns on any of these systems . Tax has serious implications on the curve , most of these simulations have nothing to do with reality . Just putting it out there , flame proof suit at the ready ... go for gold


CNAR are the only figures that reflect reality

 

[CanOz]

The Published equity curves ive seen on these systems never has adjustments EOFY for tax on closed positions , i seriously doubt the real returns on any of these systems . Tax has serious implications on the curve , most of these simulations have nothing to do with reality . Just putting it out there , flame proof suit at the ready ... go for gold


CNAR are the only figures that reflect reality

What are the tax implications for a SMSF or family trust fund?

 

[Quant]

What are the tax implications for a SMSF or family trust fund?

Super Income which is earned in the fund (investment earnings) is taxed at a maximum rate of 15%. Capital gains longer than 12 months within the fund will be taxed at 10%.

The amount of tax your fund will pay will depend on whether the fund has any tax deductions or tax credits. For example, a growth fund may only pay 7% tax because its dividend income entitles it to tax credits.


Family trusts you need to consult an accountant or the like , as far as i know the goal posts have been moving there and i have no experience with them .

 

[lenny]

Interesting Finn, how exactly does the WTT work? I have run tests on the 20% flipper as a weekly system and it gets a win rate of 60%. Pretty encouraging. I'm planning on running it as a weekly and the MR system which is a daily.

Hi CanOz,

Do you have a Reg-T account with IB to trade the MR strategy?

 

[CanOz]

Why do I need a reg T?

 

[Lone Wolf]

Ooops...

I'll just delete that post. Somehow I didn't see that there was an entire page of posts I hadn't read yet.

But Thanks Can, I do need to look into US markets.

 

[lenny]

Why do I need a reg T?

If it's anything like Nick's HFT Strategy you'll need a Reg-T to get around T+2 settlement, but I could be wrong.

 

[2Finn5]

Interesting thanks for posting!

What is your annual return in %? Would be good for comparison purposes (I'm also a systematic trend-follower).

Trading started 15 Apr 14 and returns to the end of 2014 were -13%.
01 Jan 15 to 01 Jan 16 return was +17.2%
01 Jan 16 to yesterday return was +23.5%

 

[2Finn5]

The profit/loss per trade seems very small for the first couple months then suddenly changes. I don't want to pry into exact details, but did you modify your position size?

I've been increasing total system equity with deposits to try to reduce commission drag - started trading the system with 25k in April 14, and have added another 19k of which about 14k was in Feb/Mar of this year.

I worked out that I could increase position size by a factor of 8 and pay the same amount of brokerage, so effectively I was costing myself 3 to 4 % returns per year by not having larger total equity. Having said that I wanted to trade real money and make sure the system was doing what I thought it should before putting more on the line. With the profits I'm now at around 57k total equity so I've halved my commission drag, so I think I'll just let this system ride for now while working on my next system.

As for the increase in volatility, position size increasing accounts for some, but also the stocks getting picked by the system seemed have much better days since Feb this year. When looking at the profit/loss per day chart also consider the total positions held - until early march in the downtrend positions were getting closed and none getting opened, so not much was going to happen.

 

[Lone Wolf]

I've been increasing total system equity with deposits to try to reduce commission drag - started trading the system with 25k in April 14, and have added another 19k of which about 14k was in Feb/Mar of this year.

Thanks for sharing Finn. Knowing that the position size changed helps to better understand the equity curve you posted.

I understand what you say about commission drag. You want enough capital to minimise the drag, but first you want to be confident that the system is worthy of your capital.