Nick Radge's Weekend Trend Trader

[Sir Burr]

Charts and graphs are a good way to mask the unflattering truths that lurk behind many trading strategies.

How? Are you saying the new good research overwrites the older actual trading curve?

 

[RowanC]

How? Are you saying the new good research overwrites the older actual trading curve?

I just mean that showing an equity curve makes it difficult to see the actual details of the performance. Something as simple as the maximum drawdown is hard to see on an equity curve. When you start compounding returns even a 40% drawdown looks like a little minor bump in the road, but sure isn't easy to live through for most traders.

That's why I would prefer to see metrics like Max DD, Sharpe Ratio, Sortino etc to get a true indication of a strategy, along with an equity curve at an absolute minimum.

 

[lftrader]

Happy for you to point us in the direction of a great trader doing no advertising. Also, can you explain the "curve fitting" remark. Proof would be good for you too...on all counts. Waiting with baited breath

This is competitive business. No one will give kudos to a good trader in public. Trading is a zero-sum game. If someone can make me lose by suggesting a bad service, he has chances of gaining from that. The service I follow warned me in advance that the US market will fall hard by the end of the week. I thanked the trader who provides the service in social media and he just replied with a "Thanks", no other talk, no bragging, no fancy websites.

 

[lftrader]

I just mean that showing an equity curve makes it difficult to see the actual details of the performance.

Even worse is the fact that this equity curve corresponds to one possible path.

 

[CanOz]

This is competitive business. No one will give kudos to a good trader in public. Trading is a zero-sum game. If someone can make me lose by suggesting a bad service, he has chances of gaining from that. The service I follow warned me in advance that the US market will fall hard by the end of the week. I thanked the trader who provides the service in social media and he just replied with a "Thanks", no other talk, no bragging, no fancy websites.

Wow, that's unreal, a service that predicts the future, must be worth a mint! Where do I sign up for that?

 

[cartm]

Hi Everyone, I came across this forum because I was looking for information/experiences on the Weekend Trend Trader strategy, so I signed up.

A bit about me. My background is running equity long/short funds, both emerging and developed markets. More recently I am trading my own account, still equities, but more focus on options strategies, trading volatility and relative value.

I have a few ongoing interests/projects, and one is building a momentum/CTA system, which is how I came across WTT.

Would anyone care to provide their latest experiences of using the WTT strategy? 2Finn5, would you be willing to share an update? CanOz, did you start it up, how’s it all going?

I read the thread from top to bottom. My take-aways:

Nick Radge – strikes me as a decent guy from my limited interaction with him and his firm. I thought his book Every-day Traders was excellent, and I make an effort to re-read it regularly.

Trader Vendors – Nick has something to sell and this is made pretty clear I think. Most all professional traders know that trading can be volatile, so have alternative income streams. Mine are real estate and hedge funds. His is his trading business.

Results Removal – I don’t know of many systems that live forever in one form. Usually the alpha from successful systems disappears over time, so the system is either enhanced or discarded. Seems like this is what Nick has done.

Audited Results – at the start Kennas was continually asking about track and audited results. Unless you’re a regulated fund and aiming to raise hundreds of millions, you are not going to produce a daily NAV because it costs tens of thousands every year, it’s a huge headache and no matter what you decide it will be criticized from what’s included and excluded.

Good luck everyone.

 

[soso]

Hi Cartm,

The easiest way for you to verify the results is to code WTT (or buy it from Nick) then test it starting 2014 until today. That's out of sample data, since the book was published at the end of 2013.

And your take-aways sound plausible to me.

Cheers

 

[eNyce]

I was fully subscribed to his system back in 2014. And although I found it interesting to learn some technical trading techniques I really doubt the long term viability of all the technical strategies they employed.

 

[Newt]

I won't give code, as that would be giving away Nick's IP, but this is what I get for 20 positions trading WTT since 1/1/2014 in a single backtest against All Ords. Nick is the real deal, and WTT is an elegant example of his thinking, and caution, in action.

You can see the filter conditions cutting in to reduce drawdown in market downturns - the higher green bars in the first equity graph (non-log) are reductions in the number of open positions.

Its not really fair to try and assess performance of a system like this in anything under a 2 year period.

 

[willy1111]

Thanks for posting.

I have a lot of respect for Nicks delivery of information. I think it is the best on the market, or at least it suited my personality after going through the begginers cycle .

Is that on current and past All Ords with only those in the XAO at time of entry taken?

Are there stock price limiters in there? Ie only stocks under $10 at time of entry

 

[Newt]

Thanks for posting.

I have a lot of respect for Nicks delivery of information. I think it is the best on the market, or at least it suited my personality after going through the begginers cycle .

Is that on current and past All Ords with only those in the XAO at time of entry taken?

Are there stock price limiters in there? Ie only stocks under $10 at time of entry

That's average daily turnover >$350k, but on current All ords - Norgate's standard database. Includes $9.90 commission on entry and exit. With Nick's rules I think you'd be unlucky to get taken on with a company going bust, but even then max capital loss 5%. No limiters on stock price.

I haven't checked that code against Nick's original ebook recently, but could double check if anyone is concerned.

(standard financial disclaimer - do your own research. I have purchased Nick's books, but have never been a subscriber to his services. Do however greatly admire his work and the amount of material he has made publically available)

 

[soso]

I won't give code, as that would be giving away Nick's IP, but this is what I get for 20 positions trading WTT since 1/1/2014 in a single backtest against All Ords.

Nice results! I would also like to see the results for original Nick's universe, that is Russell 3000. Last time I checked, I think about 1 year ago, SP500 did better than WTT starting from 2014. I don't have Norgate subscription anymore to check the recent performance.

Newt, you coded the WTT yourself or is it Nick's version?

Cheers

 

[Newt]

That's my coding in Amibroker based on his ebook rules, with monte carlo selection of trades to introduce some variability. Similar results on a few runs though.

Note how anyone that started trading it in the last 9 months would probably having nothing good to say however. Pretty classic "miserable" trend trading, as Brett Penfolds would say.

 

[Trendnomics]

I won't give code, as that would be giving away Nick's IP, but this is what I get for 20 positions trading WTT since 1/1/2014 in a single backtest against All Ords. Nick is the real deal, and WTT is an elegant example of his thinking, and caution, in action.

You can see the filter conditions cutting in to reduce drawdown in market downturns - the higher green bars in the first equity graph (non-log) are reductions in the number of open positions.

Its not really fair to try and assess performance of a system like this in anything under a 2 year period.
View attachment 72245 View attachment 72246

Thanks for posting - nice to see some standard back-test results on the forums again.

*Awaits Dr. Howard's response stating how it's all wrong*

Note how anyone that started trading it in the last 9 months would probably having nothing good to say however. Pretty classic "miserable" trend trading, as Brett Penfolds would say.

Indeed it's been lovely to endure!

 

[rb250660]

Is that backtest done with survivorship free data?

 

[Trendnomics]

Is that backtest done with survivorship free data?

Another hair splitting moment on ASF....

The backtest was ONLY performed for three and a half (~3.5) years worth of data. Even if delisted securities were not included, the potential error would be of an insignificant factor, for such a short test period.

 

[Newt]

Thanks for posting - nice to see some standard back-test results on the forums again.

Thanks TN - Its good to be able to dig out some hard('ish?) facts when people ask decent questions.

 

[Newt]

Is that backtest done with survivorship free data?

No, only standard Norgate database, however I do believe TN is right to say unlikely to have affected outcome too much. Trend following strategies tend to get you out of most deteriorating stocks, but there are no absolutes unfortunately.

Now I think back, reading the Weekend Trend Trader book not that long after digesting some CANSLIM (Bill O'Neill) got me serious about the value to zooming out to a longer weekly timeframe for reference, or just trading it in directly.
(please see Peter2's weekly momentum thread for a detailed description on the pros and cons of systematic/discretionary weekly trading)

 

[Wysiwyg]

Is that backtest done with survivorship free data?

If the turnover filter is high enough (and/or average period large enough) then backtest results will not include small capitalisation stocks that have made it into the All Ords after the test period beginning. The stocks selected in backtest from the All Ords list today will to the most part, if not all, be stocks that were in the test list back at the beginning.

Note: All Ords is rebalanced yearly in March.

 

[rb250660]