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Nick Radge's Weekend Trend Trader

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I added the comments as my own trend based system would have made a killing in the first monts.i sadly started in February, good but not as good
It is interesting, i should code one to see the behaviour for example in the last quarter 2018
Maybe i could smooth my results by combining with this approach
 
8% sounded a bit low for WTT, so did some playing on my personal interpretation of code for Nick's eBook. The challenge with 2019 was the protective index filter on WTT pushed the system fully into cash from the Oct 18 pullback until early Feb. It would have been almost May before the system was fully invested again.

Depending on your risk acceptability criteria movingAverage, you might want to consider going outside XAO on strict volume/turnover criteria - but any extra gains are very likely to come at the cost of higher DDs.

I read somewhere Nick's experience with traders starting out is they generally can only tolerate DDs of about 1/2 to a 1/4 what they initially think they can handle.

Also a good lesson on how an index filter protects from excessive DD, but at the cost of lower total returns. Out of interest I ran (my code) on XAO universe from 1/1/20 and got about 19% return. With index filter over-ridden was 28%. (8% was certainly possible at around 25% lower end of the sorted Monte Carlo runs).

Incidentially, going outside XAO with price and volume/turnover filters, achieved 53% and 44% respectively (for filter ON, and filter OFF). Which doesn't really fit with the filter prognostications above - probably just reflects greater variability/volatility going outside XAO.


I'm NOT suggesting you kill the index filter BTW - only pointing out there's no such thing as a free lunch.....
 
Newt said:
8% sounded a bit low for WTT, so did some playing on my personal interpretation of code for Nick's eBook. The challenge with 2019 was the protective index filter on WTT pushed the system fully into cash from the Oct 18 pullback until early Feb. It would have been almost May before the system was fully invested again.

Depending on your risk acceptability criteria movingAverage, you might want to consider going outside XAO on strict volume/turnover criteria - but any extra gains are very likely to come at the cost of higher DDs.

I read somewhere Nick's experience with traders starting out is they generally can only tolerate DDs of about 1/2 to a 1/4 what they initially think they can handle.

Also a good lesson on how an index filter protects from excessive DD, but at the cost of lower total returns. Out of interest I ran (my code) on XAO universe from 1/1/20 and got about 19% return. With index filter over-ridden was 28%. (8% was certainly possible at around 25% lower end of the sorted Monte Carlo runs).

Incidentially, going outside XAO with price and volume/turnover filters, achieved 53% and 44% respectively (for filter ON, and filter OFF). Which doesn't really fit with the filter prognostications above - probably just reflects greater variability/volatility going outside XAO.


I'm NOT suggesting you kill the index filter BTW - only pointing out there's no such thing as a free lunch.....
Click to expand...
That is maybe the limit of his system:
But nothing prevent you to tweak the code to your own confort zone, for example a more dynamic version where you change your index check to a shorter period
Do not take me wrong Nick introduced me to the concept of system trading and then each can run free and build its own technique
These last few posts entice me to dig back in code and backtest for maybe a system3 or hybrid
 
Hi All,
Just a quick follow up on my earlier post regarding my WWT's performance for 2019. My earlier calculation of 7.8% was a little conservative. Apologies, but first time I've looked at the entire 2019 performance and I was a bit quick on pulling the trigger. I thought it might be more interesting if I actually posted a performance graph for my actual live WTT trades this year. So here it is below--I've extracted this out of Stator (which I use to track all my trades). Hope this gives you some better insight.

A few words to explain what is being show here (remember this is only for the period of 1/1/19 through to end of last week). The green graph is the position P&L, which is basically the value of all open positions minus the value of all closed positions. At the start of 2019 it was a little under $20k. At the bottom of the graph is an orange line and a blue line. Orange represents the value of all open positions and the blue line represents the value of all closed positions. You can see that the position P&L grew from $20k to a peak of around $70k in early August. During this period the XAO saw solid upward moment and my WTT system continued to open new positions and didn't really close any positions during the period. At the start of 2019 my system only had single digit open positions but by around April the system had reached its maximum number of open position (which is 20). In August we saw the XAO enter a downward trend and this explains why from August you see the open position profit (the orange graph) drop off as open positions were being closed. From August you also start to see close position profit (the blue graph) dramatically increase as open position profits become released.

And no..my WTT system didn't open and close 210 positions during 2019--this is just a quirk of Stator.

WTT Portfolio 2019.jpg
 
Newt said:
8% sounded a bit low for WTT, so did some playing on my personal interpretation of code for Nick's eBook. The challenge with 2019 was the protective index filter on WTT pushed the system fully into cash from the Oct 18 pullback until early Feb. It would have been almost May before the system was fully invested again.

Depending on your risk acceptability criteria movingAverage, you might want to consider going outside XAO on strict volume/turnover criteria - but any extra gains are very likely to come at the cost of higher DDs.

I read somewhere Nick's experience with traders starting out is they generally can only tolerate DDs of about 1/2 to a 1/4 what they initially think they can handle.

Also a good lesson on how an index filter protects from excessive DD, but at the cost of lower total returns. Out of interest I ran (my code) on XAO universe from 1/1/20 and got about 19% return. With index filter over-ridden was 28%. (8% was certainly possible at around 25% lower end of the sorted Monte Carlo runs).

Incidentially, going outside XAO with price and volume/turnover filters, achieved 53% and 44% respectively (for filter ON, and filter OFF). Which doesn't really fit with the filter prognostications above - probably just reflects greater variability/volatility going outside XAO.


I'm NOT suggesting you kill the index filter BTW - only pointing out there's no such thing as a free lunch.....
Click to expand...

Thanks Newt. Some good points you raise. I hadn't really considered going outside XAO. I just run a single run sim on my tweaked WTT and including all stocks not just limiting to XAO makes little difference to annual return or DD. My tweaked WTT has an AR of around 25% and a DD of around 20%. Of course, this was just on a single run so I will do some monte sims to get a better understanding of what my system looks like when not restricted to XAO. I need to sleep at night and I know through my live trading I can't deal with a DD greater than 20% so I'll be leaving all the filters as they are :) Thanks again for your comments
 
In case anyone is interested, I track the value of my portfolios (WTT is one of my portfolios) using unitisation in Stator - for 2019 the value of those units in WTT has increased 24.9%
 
Thanks for the extra info MovingAverage. So sounds like you've quite well 2019, much more in line with modelling for your system. I was going to ask what capital base those absolute profit values were, but you've explained nicely now.

2 additional thoughts:
1. Its great you've shown open versus closed profits - can be large differences much of the year in weekly trend following - as you've nicely shown

2. I was remiss in not including some slippage in the WTT values I posted above (last night). The numbers looked so good, I was scratching my head why I wasn't actively trading WTT - then realised I normally include 1.5% slippage in buy and sell prices, which makes a significant difference in annual performance. The effect of this increases as you take more trades during the year of course. Kudos to Zen Master Skate for pointing out 12 months ago modelling without allowance for slippage is somewhat "courageous". :)


Glad to hear you have a system that allows you to sleep at night MA :)
 
MovingAverage said:
I've been running the WTT for a few years now. Overall I'm happy with the system given it really only requires 0.5 of an hour per week for me to run and set buy/sell orders. I purchased the turnkey code from Nick. I tweaked a couple of the parameters slightly based on some of my own analysis. I'm only trading XAO stocks. For this year to date (1/1/2019 to 10/12/19) it's returned around 7.8% net P&L, which given the time I put into it is I think ok. Approximately 66% of trades during that period have been winners. Happy to share here any other statistics you might be interested in.
Click to expand...

Firstly, thank you for sharing this information. It is very helpful to know of others experiences and thoughts on stock investing.

In all honesty, I don't think 7.8% return is very good given we have been in a raging bull market all year. As of today, the XAO is up 19% this calendar year (excluding dividends).

I've certainly achieved better than that, but I know that through the two regular stock investing groups that I meet with monthly, level headed investors just like me have out performed me this year too. One of the groups I regularly attend is my local Lincoln Indicators Stock Doctor investor network meetings. Generally the stock doctor selections out performs the market. This year I don' think they have as they favour high quality growth stocks and those have generally be overbought and subject to correction.
 
tinhat said:
Firstly, thank you for sharing this information. It is very helpful to know of others experiences and thoughts on stock investing.

In all honesty, I don't think 7.8% return is very good given we have been in a raging bull market all year. As of today, the XAO is up 19% this calendar year (excluding dividends).

I've certainly achieved better than that, but I know that through the two regular stock investing groups that I meet with monthly, level headed investors just like me have out performed me this year too. One of the groups I regularly attend is my local Lincoln Indicators Stock Doctor investor network meetings. Generally the stock doctor selections out performs the market. This year I don' think they have as they favour high quality growth stocks and those have generally be overbought and subject to correction.
Click to expand...

I agree 7.8% is on the low side. Did you see my follow up to that post? I was wrong on my original 7.8% figure and put up a subsequent post giving more details on my CY 2019 performance. If you have a look at that subsequent post you’ll see it has done better than 7.8%.
 
willoneau said:
I ran a back test on my tweaked WTT system from 1/1/19 to 7/12/19,
36 trades
50% profitable
annual return = 63%
risk adjusted return = 120%
Click to expand...

Nice. What do your monte simulations look like? Would like to see the best/worst case figures for key metrics. Single runs can be misleading at best and don't give the complete picture.
 
1000 run's probability of ignoring entry signal 25%

Annual return = low- 46.56% high- 63.25% avg- 59.32%.
max equity drawdown = -5.31% - 6.14% - 5.65%
Win % = 45.95% 50% 47.65%
Risk Reward Ratio = 8.94 12.43 11.82
 
willoneau said:
1000 run's probability of ignoring entry signal 25%

Annual return = low- 46.56% high- 63.25% avg- 59.32%.
max equity drawdown = -5.31% - 6.14% - 5.65%
Win % = 45.95% 50% 47.65%
Risk Reward Ratio = 8.94 12.43 11.82
Click to expand...

wow..that's an impressive annual return given the drawdown, which I'm assuming is system and not trade drawdown. you must have done some significant tweaking.
 
The system was tweaked and went live in July, now look at difference in returns by starting 6 months later.
1/7/19 to 31/12/19
7 trades total with 4 open positions at date end.
annual return = 5.41%
net profit = 2.65%
71% winners

too small a sample but shows what can happen at start of live trading.
 
Warr87 said:
That CAR/MDD is crazy ... I would expect bigger DD given the return.
Click to expand...

me too and especially given it is a weekly system. with that dd my first thought was he's running very tight stops but then i noticed the annual return and no way that is running tight stops.
 
willoneau said:
1000 run's probability of ignoring entry signal 25%

Annual return = low- 46.56% high- 63.25% avg- 59.32%.
max equity drawdown = -5.31% - 6.14% - 5.65%
Win % = 45.95% 50% 47.65%
Risk Reward Ratio = 8.94 12.43 11.82
Click to expand...

As a matter of interest--what date range are you running your sims?
 

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