Rol's Trading Journal

[Rol]

Quote from In2Deep:

Hey Rol, Have you looked at long-only trend following strats?

I've spent a lot of time this week back testing different strats, and, although i don't know the specific details of your strat, trend following strats seem to yield significantly more over the long term (talking decades here) than "buy low sell high" type strats.

Not much work with trend following. All I know about trend following is to buy high and sell higher. Probably works well in up markets, but to me so would buy and hold.

Do you have any stats for various periods that include comm. and slippage? Decade long curves can be misleading, I believe. How well one could stick with a strategy is a big consideration on execution.

 

[short&naked]

Quote from Rol:



Even with the choppy markets this week, the strategy navigated the shark-infested waters coolly. There was some interference on my part however. Last Friday, I was feeling somewhat anxious over the market volatility and pressed my "eject button" which exited all of my positions Friday afternoon to go flat. Not wanting to predict the markets, I still get the sense that the happy days of the past two years have ended. It would not surprise me to see us still around 1350 on the S&P come year's end. Three years in a row of 20+ percent gains would be uncharacteristic for the broad markets, I think. I don't intend to make changes to my strategy though.

Rol, you may want to check out Topaz NQ100, which has a good amount of alpha exposure to the Nasdaq. The approach taken seems very similar to that of your strategy in many regards, including holding stocks overnight, and only going long, etc. In fact, it's equity chart (specifically the nature of it's DDs) might point to an RTM strategy. Of course,The question is not always if you can beat the broad markets,

Btw, how about just restricting your exposure to Russell 2000 stocks (no Chinese pump and dumps).

http://collective2.com/cgi-perl/system25860974

Certainly very impressive how your system is chugging along.

 

[Rol]

Quote from short&naked:

Rol, you may want to check out Topaz NQ100, which has a good amount of alpha exposure to the Nasdaq. The approach taken seems very similar to that of your strategy in many regards, including holding stocks overnight, and only going long, etc. In fact, it's equity chart (specifically the nature of it's DDs) might point to an RTM strategy. Of course,The question is not always if you can beat the broad markets,

Btw, how about just restricting your exposure to Russell 2000 stocks (no Chinese pump and dumps).

Hi short&naked, I just checked out some of the Topaz NQ100 trades. My system did take a few of the same trades listed. However, I looked at the biggest drawdown, and had to question the exit criteria. My system attempts to avoid being too greedy. The next day gap downs will often be the result.

That is an idea about the Russell 2000 index. I've looked at it before, but thought it had too many low volume stocks. I have filtered out most Chinese stocks from my symbol universe (hopefully).

 

[d08]

Quote from short&naked:

Rol, you may want to check out Topaz NQ100, which has a good amount of alpha exposure to the Nasdaq. The approach taken seems very similar to that of your strategy in many regards, including holding stocks overnight, and only going long, etc. In fact, it's equity chart (specifically the nature of it's DDs) might point to an RTM strategy. Of course,The question is not always if you can beat the broad markets,

Btw, how about just restricting your exposure to Russell 2000 stocks (no Chinese pump and dumps).

http://collective2.com/cgi-perl/system25860974

Certainly very impressive how your system is chugging along.

Topaz is definitely RTM (I have the code, approx.), it's a great strategy and the author is very informed. However, I dislike the holding period.

 

[short&naked]

Quote from Rol:

Hi short&naked, I just checked out some of the Topaz NQ100 trades. My system did take a few of the same trades listed. However, I looked at the biggest drawdown, and had to question the exit criteria. My system attempts to avoid being too greedy. The next day gap downs will often be the result.

That is an idea about the Russell 2000 index. I've looked at it before, but thought it had too many low volume stocks. I have filtered out most Chinese stocks from my symbol universe (hopefully).

Indeed, the holding period/take profit approach irks quite a few folks. But the system did at least weather the 2007-2009 period quite well (pretty much breaking even). To be fair the NQ did hold up better than the SP, so that might be one of the reasons it did so well. Of course, Topaz does seem to require the winds at its back (full out bull run) in order to succeed in the long run. Once this is underway, it absolutely rips beyond the market averages. If however, the SP goes into Nikkei mode a la 1989 - now, then what? This is what concerns me a bit.

 

[Rol]

I must say, I have been enjoying the silver trade lately.

 

[Rol]

Long Gulfport Energy (again). Would like to let it run this time.

 

[short&naked]

Rol, quick question, have you ever done any testing on how Beta affects your stock selection? If you could isolate those stocks that are historically decorrelated from the S&P perhaps you could weather an upcoming bear market much more successfully.

 

[Rol]

Strategy is playing it unadventurously here with a current market exposure of 59% of equity. I hope the market continues to sell off so I may amass more shares on the cheap. I made zero discretionary intrusion today. I want to let the strategy play this market correction uninhibited. The drawdown henceforth is quite manageable.

Real-time Unrealized P/L ($216.00)
Real-time Realized P/L (5/16/11) $3.66

 

[Rol]

Quote from short&naked:

Rol, quick question, have you ever done any testing on how Beta affects your stock selection? If you could isolate those stocks that are historically decorrelated from the S&P perhaps you could weather an upcoming bear market much more successfully.

Do you have a list of decorrelated stocks I could borrow? If the s&P drops below its 200 dma, then I may only focus on stocks that are able to remain above their 200 dma. I also think I may begin dabbling with some short ETFs, with small size using my current strategy. Since historically, my short strategy does much better in down markets, now may be the time to try it out live.