Two Portfolios - One Mechanical System - A Trend-following Diary

[jjbinks]

can ask a few more questions?

When you refer to maximum drawdown in your first post are you referring to the average value or the maximum drawdown which is produced in montearlo testing?

Also what targets do you use in optimisation. I suspect you wouldn't use CAR/MDD given you don't seem to worried about drawdown of 48%.

Cheers

Thanks for your help slowly getting closer to a system I am happy with!

 

[Newt]

Any updates TrendN?
Oct 15 to Aug 16 was trend trading paradise, but expect its been tough going last 3 months without any index filtering?

Hope you're still going strong and hopefully still hooked into a few long term winners.

 

[Trendnomics]

Any updates TrendN?
Oct 15 to Aug 16 was trend trading paradise, but expect its been tough going last 3 months without any index filtering?

Hope you're still going strong and hopefully still hooked into a few long term winners.

Been very busy - recently received additional capital.

All things considered, the portfolio's are performing extremely well (still outperforming the index significantly) - a lot of profit taking:

Private Portfolio: +57.94 %

SMSF Portfolio: +66.69 %

 

[jjbinks]

Been very busy - recently received additional capital.

All things considered, the portfolio's are performing extremely well (still outperforming the index significantly) - a lot of profit taking:

Private Portfolio: +57.94 %

SMSF Portfolio: +66.69 %

View attachment 68780

View attachment 68781

Very nice results
Its interesting how you dipped down to 20+ DD in your first year or so of trading then have clawed back quite nicely. (I guess it shows the importance of sticking to your system if it is working within parameters you expect. But I'm sure it takes guts!)
Congrats!

 

[Newt]

Yes, that bodes well if you've kept flat or climbing in recent conditions. Well done.

 

[tech/a]

Very nice results
Its interesting how you dipped down to 20+ DD in your first year or so of trading then have clawed back quite nicely. (I guess it shows the importance of sticking to your system if it is working within parameters you expect. But I'm sure it takes guts!)
Congrats!

Initial drawdowns are common if not inevitable.

Speaking in general terms the initial purchase of a portfolio
will see say 10-20 stocks purchased. Some will do nothing
A few will fail some will go immediately into profit.

Long term systems take time to establish a closed profit.
Mine have an average hold of just under a year. In that time
approx. 10 others will fail as I deduct and add to my portfolio.

Once a portfolio gets moving you see changes in the equity curve
as more stocks in the portfolio hold and are closed at a profit.

In some cases where you compound profits with your initial equity
you also get that effect showing in your portfolio if it is profitable.

So I think the results (equity curve/drawdown) are simply in the evolution
of a profitable long term system.

 

[Trendnomics]

Considering the recent volatility, today was a great day to be fully invested!

Webjet was my best performing holding for the day.

 

[Trendnomics]

Vita Group (VTG): One of the recent trades I closed (+40% profit, if dividends included) - gave back plenty of open profit - also PLENTY of recent volatility:

 

[Trendnomics]

Vocus Communications: More recent volatility on a closed trade. What can I say, sometimes your exit can be damn near perfect - +24.03% Profit (Includes a Dividend + Renounce-able Rights Sale). The trend is no longer your friend on this one (unless shorted)!

 

[Boggo]

Vocus Communications: More recent volatility on a closed trade. What can I say, sometimes your exit can be damn near perfect - +24.03% Profit (Includes a Dividend + Renounce-able Rights Sale). The trend is no longer your friend on this one (unless shorted)!

Nice work, KISS principle. Looks like a profile view of Niagara Falls since the heads up in August.

(click to expand - Weekly chart)

 

[Trendnomics]

Finally a solid day of gains - Santa Rally?:

Private Portfolio: +60.07 %

SMSF Portfolio: +68.65 %

Some of the best daily gainers in my portfolios:

 

[jjbinks]

hey trendonomics

how long do you hold each position on average

 

[Trendnomics]

hey trendonomics

how long do you hold each position on average

From back-test data and live trading:

Winning Trades Average Holding Time: 220 Days
Losing Trades Average Holding Time: 80 Days

PS: Please remove that "o" from my name: {The English suffix -nomics is derived from the Greek νόμος nomos, meaning "law."}

https://en.wikipedia.org/wiki/-nomics

 

[OmegaTrader]

Really nice thread!!

Thank you for being so open and displaying the data

Also really interesting debate on singularity ahaha

We are not there yet.

My question is on a yearly basis

What is your standard deviation ?

What is your geometric return?

What is your correlation with the market?


Also if you have calculated this already

What is your beta and alpha

If not I would be happy with a data dump

All that is needed is when the trade is opened,closed and return

I can infer the rest.

I hope that is not too much of a ask.

Thanks and keep up the good work.

 

[OmegaTrader]

From back-test data and live trading:

Winning Trades Average Holding Time: 220 Days
Losing Trades Average Holding Time: 80 Days

PS: Please remove that "o" from my name: {The English suffix -nomics is derived from the Greek νόμος nomos, meaning "law."}

https://en.wikipedia.org/wiki/-nomics

hello anyone home????

 

[Wyatt]

Being a trend follower myself, not unlike the OP here and with recent reported under performance of most trend follower systems , I got to kicking around a few sites and can across the concept of comparing an equity curve to the index in this case $XAO, to look for past periods of under/out performance since 2005. Clearly differing styles of investment go in and out of sync, with larger caps and REITS doing better atm.

FWIW My findings are:
2005 1st half was generally inline with the market whilst the 2nd half under performed,
2006 saw out performance from Jan-May, rest of year inline,
2007 Jan-Aug out performance and again in Dec,
2008 Feb-June large out performance, followed by heavy losses in the 2nd half, 10 % under performed
2009 Mar-May out performance, June- July under performance and Oct-Dec under performed
2010 Equity levels stable through 1st half and did really well in 2nd half
2011 Volatile year broadly inline, with 5% under performance overall
2012 1st half inline and 10% out performance in 2nd half,
2013 1st half inline and 10% out performance in 2nd half, again.
2014 Started well, Mar-April under performed, great July and rest inline
2015 1st half inline and large out performance in 2nd half, particularly September
2016 Great Mar-July, poor August, good September and under performed Nov and Dec,
2017 Jan OK and Feb -April under performed so far.

So it seems the below par performance since later last year is just another variation of normal market behavior and will probably turn around, if world tensions don't distract too much.

 

[Trendnomics]

Been very busy - thought I would give a quick update on the portfolios. I managed to scrape together some "open" returns (open profits + closed profits + dividend returns) for particular dates and created new performance graphs using this information - the "open" return information was obtained from monthly back-ups of my performance tracking sheets. Unfortunately, I only implemented an "open" profits feature for my sheets in 2015, hence the "open" profit information is not available for my entire trading period.

Private Portfolio Graph:



SMSF Portfolio Graph:



Current performance (as at market close 06/10/17):

Private Portfolio: +65.62 %

SMSF Portfolio: +77.07 %

 

[Newt]

Really appreciate you sharing that TN. Over a similar period to what you have graphed my open+closed equity curve is of remarkably similar shape, but went deeper into DD after the July/Aug 2016 high (may have to go looking to see what difference dividends makes though). In fact that DD prompted more work on exits in my weekly systems, which was hopefully robust rather than fitted. Very helpful to see how another trend follower has gone over this longer period - your info gives me more hope those tweaks were reasonable, as the expected improvement was in line with your graphs.

What is your starting date for performance returns off the left of these graphs? From memory and thread it was about 2013 you started?

This sort of specific information tends to be rare on forums. I think you're succeeding in doing what you originally said you'd do - giving back to the ASF community. One of the big questions new traders have is "how much could I earn", and you're showing what is feasible after what was no doubt many years of learning and hard work.

 

[Trendnomics]

Really appreciate you sharing that TN. Over a similar period to what you have graphed my open+closed equity curve is of remarkably similar shape, but went deeper into DD after the July/Aug 2016 high (may have to go looking to see what difference dividends makes though). In fact that DD prompted more work on exits in my weekly systems, which was hopefully robust rather than fitted. Very helpful to see how another trend follower has gone over this longer period - your info gives me more hope those tweaks were reasonable, as the expected improvement was in line with your graphs.

What is your starting date for performance returns off the left of these graphs? From memory and thread it was about 2013 you started?

This sort of specific information tends to be rare on forums. I think you're succeeding in doing what you originally said you'd do - giving back to the ASF community. One of the big questions new traders have is "how much could I earn", and you're showing what is feasible after what was no doubt many years of learning and hard work.

Thanks for your kind response.

Private Portfolio Start-Date: 08/05/13
SMSF Portfolio Start-Date: 24/07/13

No changes were made to the system since the start-dates.

 

[Trendnomics]

A quick snapshot of current open trades for each portfolio (excludes dividends):

Private:

CGC - Open (27.69%) - 213 day trade
A2M - Open (123.34%) - 170 day trade
IMD - Open (-0.15%) - 38 day trade
BPT - Open (4.17%) - 10 day trade
FPH - Open (11.09%) - 122 day trade
APX - Open (41.89%) - 107 day trade
ALQ - Open (3.76%) - 93 day trade
UPD - Open (17.44%) - 85 day trade
BAL - Open (-3.17%) - 51 day trade
SAR - Open (-6.24%) - 51 day trade
NWH - Open (24.25%) - 50 day trade
NCZ - Open (49.01%) - 44 day trade
OZL - Open (-2.11%) - 39 day trade
OFX - Open (-14.58%) - 26 day trade
MTS - Open (-11.11%) - 25 day trade
LVH - Open (-0.15%) - 5 day trade

SMSF:

MND - Open (23.99%) - 214 day trade
CGC - Open (27.48%) - 214 day trade
A2M - Open (117.99%) - 173 day trade
UPD - Open (18.71%) - 89 day trade
FLT - Open (-1.7%) - 86 day trade
PNC - Open (-2.68%) - 75 day trade
XRO - Open (11.85%) - 66 day trade
BAL - Open (-2.55%) - 54 day trade
SAR - Open (-6.52%) - 52 day trade
SIQ - Open (10.62%) - 45 day trade
OZL - Open (-6.59%) - 39 day trade
APX - Open (17.63%) - 38 day trade
IMD - Open (-0.71%) - 38 day trade
MTS - Open (-12%) - 27 day trade
WHC - Open (1.14%) - 26 day trade
LOV - Open (-1.74%) - 6 day trade