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Two Portfolios - One Mechanical System - A Trend-following Diary - Aussie Stock Forums

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  1. #1

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

    Hey guys/girls,

    I've been a long time non-contributing reader of ASF - hopefully this thread will be a good start to correcting my imbalance.

    The purpose of this thread is to provide a diary/update-log for two systematic equity trend-following portfolio's I run (a SMSF Portfolio and Private Portfolio). All trades are generated by a mechanically coded EOD system, for long-only equity positions.

    The universe in which my system seeks entry positions is bounded by:
    • Closing price greater or equal than 50 cents - (Close >= 0.5);
    • Product of 100 day closing price moving average and 100 day volume moving average, to be greater or equal than $250,000 - [Mov(CLOSE,100,S)*Mov(VOLUME,100,S) >= 250000].
    Key metrics from Monte Carlo back-testing (system generates more trades than available trading capital - numerous combinations possible - i.e. "butterfly-like-effect"):

    ASX: 1992 -2015 (2000 Simulations - Open trades and all delisted shares included - Excludes dividends):

    Average Number of Trades Executed: 863
    Minimum percentage of winning trades: 44.57%
    Maximum Absolute Percent Drawdown: 27.35%
    Average Profit: 13302.17% (23% pa compounded)
    NASDAQ: 1985 -2014 (2000 Simulations - Open trades included - Excludes dividends):

    Average Number of Trades Executed: 1046
    Minimum percentage of winning trades: 42.74%
    Maximum Absolute Percent Drawdown: 48.66%
    Average Profit: 20846.73% (20% pa compounded)
    Two random run system results - ASX: 1992 -2015 (Open trades and all delisted shares included - Excludes dividends):

    ASX_RANDOM_RUN#1.png
    ----------------------------------------------------------------------------------
    ASX_RANDOM_RUN#2.png

    Two random run system results - NASDAQ: 1985 -2014 (Open trades included - Excludes dividends)

    NASDAQ_RANDOM_RUN#1.png
    ----------------------------------------------------------------------------------
    NASDAQ_RANDOM_RUN#2.png

  2. #2

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Current closed trades (actual executed) for the Private Portfolio:

    Equity Buy Date Sell Date Buy Price* Sell Price* Position Profit^ Position Divs Running Portfolio Return
    (16 Positions)
    RMD 08-05-2013 09-05-2013 $4.801 $4.859
    1.23%
    0.08%
    SKE 08-05-2013 09-05-2013 $2.856 $2.834
    -0.79%
    0.03%
    DJS 08-05-2013 28-05-2013 $2.906 $2.594
    -10.76%
    -0.65%
    TGA 22-05-2013 01-07-2013 $2.355 $2.025
    -14.03%
    2.55%
    -1.36%
    MLB 24-07-2013 26-07-2013 $2.236 $1.869
    -16.37%
    11.18%
    -1.68%
    DYE 30-07-2013 02-09-2013 $0.521 $0.353
    -32.2%
    -3.66%
    AWE 24-07-2013 21-10-2013 $1.443 $1.282
    -11.16%
    -4.33%
    ROC 26-07-2013 24-10-2013 $0.536 $0.499
    -6.95%
    -4.74%
    CCV 12-09-2013 29-10-2013 $1.259 $1.086
    -13.71%
    -5.56%
    UGL 13-09-2013 20-11-2013 $8.126 $6.832
    -15.92%
    -6.5%
    FGE 13-09-2013 28-11-2013 $5.421 $0.673
    -87.58%
    -11.62%
    IPL1 21-11-2013 29-11-2013 $2.626 $2.584
    -1.58%
    -11.7%
    BDR 02-10-2013 04-12-2013 $0.837 $0.673
    -19.56%
    -12.78%
    TTN 15-10-2013 06-12-2013 $3.257 $2.483
    -23.77%
    -14.08%
    FBU 17-09-2013 27-12-2013 $8.337 $7.742
    -7.14%
    1.8%
    -14.37%
    RFG 11-09-2013 30-12-2013 $4.519 $4.58
    1.35%
    -14.29%
    QUB 20-09-2013 02-01-2014 $2.024 $2.066
    2.05%
    -14.18%
    GOZ 25-09-2013 17-01-2014 $2.585 $2.434
    -5.83%
    3.64%
    -14.3%
    SUL 26-09-2013 20-01-2014 $13.326 $11.221
    -15.8%
    -15.15%
    MCP 11-11-2013 29-01-2014 $1.647 $1.344
    -18.42%
    -16.13%
    MYX1 16-08-2013 30-01-2014 $0.591 $0.724
    22.42%
    -14.95%
    CDD 24-10-2013 06-02-2014 $6.806 $6.084
    -10.61%
    -15.51%
    AGO 21-10-2013 06-02-2014 $1.007 $1.003
    -0.44%
    -15.54%
    BCI 02-09-2013 11-03-2014 $4.469 $4.57
    2.26%
    10.52%
    -14.86%
    BEN 24-01-2014 15-04-2014 $11.61 $10.91
    -6.02%
    2.67%
    -15.04%
    MML 14-03-2014 23-04-2014 $2.574 $1.803
    -29.95%
    -16.63%
    CLH 19-02-2014 24-04-2014 $1.903 $1.692
    -11.1%
    2.05%
    -17.1%
    DLS 30-01-2014 04-06-2014 $1.468 $1.527
    3.95%
    -16.9%
    CAJ 01-04-2014 06-06-2014 $0.611 $0.444
    -27.39%
    -18.32%
    EVN 18-03-2014 10-06-2014 $0.942 $0.823
    -12.54%
    -18.96%
    MYX2 28-03-2014 12-06-2014 $0.972 $0.873
    -10.11%
    -19.47%
    IFM1 25-02-2014 20-06-2014 $0.756 $0.739
    -2.31%
    2.5%
    -19.46%
    NVT 01-04-2014 10-07-2014 $7.314 $5.086
    -30.47%
    -21%
    FXJ 15-04-2014 16-07-2014 $0.942 $0.888
    -5.64%
    -21.28%
    SYD 07-05-2014 25-08-2014 $4.309 $4.391
    1.92%
    2.67%
    -21.05%
    NHF 28-05-2014 15-09-2014 $3.155 $2.995
    -5.09%
    4.67%
    -21.07%
    PAN 04-06-2014 24-09-2014 $0.677 $0.648
    -4.15%
    2.96%
    -21.13%
    CGF 17-09-2013 01-10-2014 $5.21 $7.008
    34.51%
    4.99%
    -19.18%
    NTC 17-06-2014 01-10-2014 $0.651 $0.529
    -18.8%
    -20.13%
    SIR 18-07-2014 08-10-2014 $3.957 $2.923
    -26.13%
    -21.44%
    GXL 16-07-2014 09-10-2014 $9.706 $9.384
    -3.32%
    0.72%
    -21.56%
    APE 20-06-2014 13-10-2014 $5.829 $5.434
    -6.78%
    1.54%
    -21.82%
    AMP 15-05-2014 14-10-2014 $5.341 $5.179
    -3.02%
    2.34%
    -21.85%
    EGP 04-08-2014 14-10-2014 $3.275 $3.355
    2.41%
    1.22%
    -21.68%
    TTS 02-07-2014 20-10-2014 $3.416 $3.124
    -8.54%
    1.61%
    -22.01%
    IMF 03-06-2014 23-10-2014 $1.973 $1.997
    1.18%
    2.53%
    -21.83%
    WHC 25-08-2014 30-10-2014 $1.969 $1.537
    -21.96%
    -22.91%
    LNG 28-03-2014 14-11-2014 $0.576 $3.536
    514.02%
    1.86%
    CAJ 01-10-2014 02-12-2014 $0.681 $0.589
    -13.59%
    1%
    TNE 15-09-2014 03-12-2014 $3.136 $2.914
    -7.05%
    1.98%
    0.68%
    IFM2 13-10-2014 24-12-2014 $1.132 $1.198
    5.86%
    1.04%
    ASZ 10-10-2014 02-01-2015 $0.776 $0.612
    -21.13%
    -0.29%
    ALU 08-12-2014 14-01-2015 $3.294 $2.926
    -11.19%
    -0.99%
    SHV 08-10-2014 19-01-2015 $6.19 $6.06
    -2.11%
    -1.12%
    PMV 30-09-2014 11-02-2015 $10.154 $10.926
    7.6%
    1.97%
    -0.53%
    MNF 11-11-2014 11-02-2015 $3.684 $2.795
    -24.12%
    -2.03%
    TGA 07-11-2014 04-03-2015 $2.713 $2.796
    3.07%
    1.84%
    -1.72%
    SRX 23-10-2014 18-03-2015 $23.697 $19.383
    -18.21%
    -2.84%
    SKI 19-01-2015 09-04-2015 $2.153 $1.957
    -9.08%
    2.67%
    -3.23%
    LLC 09-05-2014 01-05-2015 $13.176 $16.234
    23.2%
    5.77%
    -1.48%
    TLS 16-01-2015 12-05-2015 $6.218 $6.042
    -2.82%
    2.41%
    -1.51%
    RMD 04-11-2014 15-05-2015 $5.918 $7.031
    18.79%
    0.99%
    -0.29%
    AJX 11-12-2014 26-05-2015 $0.531 $0.529
    -0.31%
    -0.31%
    MGR 11-02-2015 26-05-2015 $2.123 $1.977
    -6.83%
    -0.73%
    IGO 01-05-2015 28-05-2015 $5.907 $4.753
    -19.53%
    -1.94%
    IPL2 11-02-2015 29-05-2015 $3.764 $4.036
    7.2%
    1.17%
    -1.43%
    JHC 27-05-2015 23-06-2015 $2.853 $2.747
    -3.73%
    -1.66%
    1PG 18-03-2015 29-06-2015 $1.657 $1.878
    13.34%
    -0.84%
    TFC 27-05-2015 01-07-2015 $1.862 $1.548
    -16.87%
    -1.89%
    ASB 16-06-2014 07-07-2015 $1.252 $1.763
    40.75%
    0.8%
    0.66%
    ILU 09-04-2015 07-07-2015 $8.88 $7.44
    -16.21%
    -0.36%
    MYX 26-05-2015 09-07-2015 $1.136 $1.084
    -4.63%
    -0.65%
    TCL 02-01-2015 13-07-2015 $8.661 $9.749
    12.56%
    2.37%
    0.28%
    EPW 02-06-2015 13-07-2015 $2.543 $2.167
    -14.77%
    -0.65%
    MTR 14-11-2014 16-07-2015 $2.652 $3.686
    38.95%
    1.89%
    1.89%
    TOX 04-03-2015 20-07-2015 $2.954 $2.726
    -7.69%
    1.35%
    1.49%
    QAN 30-10-2014 24-07-2015 $1.647 $3.656
    121.96%
    9.22%
    MTU 29-10-2014 27-07-2015 $8.002 $10.758
    34.43%
    1.87%
    11.7%
    EHE 12-05-2015 05-08-2015 $6.397 $6.413
    0.24%
    11.72%
    OML 15-05-2015 19-08-2015 $2.576 $2.469
    -4.18%
    11.42%
    PMV 29-05-2015 24-08-2015 $14.306 $11.524
    -19.45%
    10.07%
    CCP 27-07-2015 25-08-2015 $13.129 $11.655
    -11.23%
    9.3%
    SRF 08-07-2015 04-09-2015 $1.857 $1.678
    -9.65%
    8.64%
    UBN 31-07-2015 04-09-2015 $1.347 $0.828
    -38.48%
    6.03%
    LOV 07-07-2015 22-09-2015 $3.334 $2.949
    -11.54%
    1.22%
    5.34%
    ASZ2 23-07-2015 29-09-2015 $1.011 $0.959
    -5.17%
    5%
    SFR 29-06-2015 07-10-2015 $5.687 $6.083
    6.98%
    1.76%
    5.57%
    YOW 01-07-2015 30-10-2015 $1.021 $1.154
    12.98%
    6.43%
    APE2 21-07-2015 02-11-2015 $10.181 $10.728
    5.38%
    1.18%
    6.87%
    IPD 27-07-2015 05-11-2015 $1.111 $1.044
    -6.07%
    6.46%
    SMX 10-09-2015 18-11-2015 $4.746 $3.305
    -30.37%
    2.11%
    4.58%
    1PG 31-08-2015 25-11-2015 $4.386 $3.108
    -29.14%
    2.68%
    AJX 23-09-2015 11-12-2015 $1.096 $0.759
    -30.81%
    0.7%
    EHE 18-11-2015 30-12-2015 $7.708 $7.272
    -5.66%
    0.34%
    SDA 21-07-2015 31-12-2015 $3.364 $4.146
    23.21%
    0.89%
    1.86%

    * Adjusted to include commissions/brokerage
    ^ Position equity profit/loss only - excludes dividends
    Last edited by Trendnomics; 9th-January-2016 at 06:19 PM.

  3. #3

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Current open trades (actual executed) for the Private Portfolio:

    Equity Buy Date Sell Date Buy Price* Sell Price* Position Open Profit^ Position Divs Running Portfolio Return
    (16 Positions)
    EVT(AHD) 02-12-2014 N/A $11.374 N/A
    27.79%
    4.66%
    3.92%
    SRX 19-08-2015 N/A $34.714 N/A
    11.54%
    0.58%
    4.71%
    TWE 28-09-2015 N/A $6.517 N/A
    20.96%
    6.08%
    ACX 02-11-2015 N/A $4.705 N/A
    8.52%
    6.65%
    APO 25-11-2015 N/A $5.386 N/A
    12.62%
    7.49%
    RIC 11-12-2015 N/A $1.602 N/A
    -8.31%
    6.93%
    BGA 30-12-2015 N/A $7.067 N/A
    5.32%
    7.28%
    BAL 23-06-2015 N/A $4.255 N/A
    213.44%
    0.67%
    21.64%
    ELD 03-08-2015 N/A $4.155 N/A
    13.51%
    22.67%
    CKF 05-08-2015 N/A $3.434 N/A
    45.22%
    1.75%
    26.27%
    TGR 29-09-2015 N/A $4.315 N/A
    6.28%
    26.76%
    RRL 01-10-2015 N/A $1.767 N/A
    32.33%
    29.33%
    WEB 07-10-2015 N/A $4.396 N/A
    26.83%
    31.5%
    GTY 30-10-2015 N/A $2.803 N/A
    1.95%
    1.78%
    31.8%
    SAR 05-11-2015 N/A $0.556 N/A
    20.5%
    33.49%
    CTD 31-12-2015 N/A $13.243 N/A
    -4.94%
    33.08%

    * Adjusted to include commissions/brokerage
    ^ Position equity profit/loss only - excludes dividends

  4. #4

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Current closed trades (actual executed) for the SMSF Portfolio:

    Equity Buy Date Sell Date Buy Price* Sell Price* Position Profit^ Position Divs Running Portfolio Return
    (16 Positions)
    PDN 30-07-2013 07-08-2013 $0.976 $0.664
    -32.01%
    -2%
    AWE1 24-07-2013 21-10-2013 $1.444 $1.276
    -11.67%
    -2.72%
    SRX 09-08-2013 08-11-2013 $13.114 $12.086
    -7.84%
    0.92%
    -3.14%
    WOR 17-09-2013 21-11-2013 $23.29 $15.64
    -32.84%
    -5.13%
    AIO 20-09-2013 13-12-2013 $6.009 $5.501
    -8.44%
    -5.63%
    MLD 17-10-2013 27-12-2013 $2.647 $2.513
    -5.06%
    -5.92%
    BLD 12-09-2013 02-01-2014 $4.791 $4.769
    -0.45%
    -5.95%
    BKW 24-09-2013 20-01-2014 $13.497 $14.183
    5.09%
    2%
    -5.53%
    DOW 12-09-2013 07-02-2014 $4.69 $4.8
    2.35%
    -5.39%
    RIO2 02-12-2013 12-02-2014 $66.278 $67.752
    2.22%
    -5.26%
    MGX2 21-10-2013 28-02-2014 $0.849 $0.87
    2.41%
    -5.12%
    SGM 12-11-2013 04-03-2014 $10.004 $9.626
    -3.78%
    -5.34%
    BCI 02-09-2013 11-03-2014 $4.489 $4.551
    1.39%
    10.47%
    -4.64%
    NST1 18-03-2014 11-06-2014 $1.263 $1.178
    -6.74%
    -5.04%
    MYX 28-03-2014 12-06-2014 $0.969 $0.871
    -10.17%
    -5.65%
    DMP 01-04-2014 16-06-2014 $19.985 $19.824
    -0.8%
    -5.7%
    TGR 04-03-2014 16-06-2014 $3.636 $3.893
    7.07%
    1.51%
    -5.19%
    CNU 04-04-2014 10-07-2014 $1.661 $1.594
    -4.04%
    -5.43%
    SKC 14-03-2014 15-07-2014 $3.737 $3.513
    -5.97%
    2.1%
    -5.66%
    CSR 04-04-2014 23-07-2014 $3.614 $3.658
    1.21%
    1.38%
    -5.5%
    AWE2 06-03-2014 16-09-2014 $1.555 $1.714
    10.24%
    -4.9%
    NST2 10-07-2014 07-10-2014 $1.583 $1.182
    -25.33%
    1.58%
    -6.31%
    DUE 20-06-2014 13-10-2014 $2.481 $2.369
    -4.53%
    3.43%
    -6.38%
    SEA 23-07-2014 14-10-2014 $1.289 $1.096
    -14.91%
    -7.25%
    TTS 02-07-2014 20-10-2014 $3.428 $3.135
    -8.54%
    1.6%
    -7.65%
    VOC 04-07-2014 23-10-2014 $5.547 $5.323
    -4.03%
    0.18%
    -7.87%
    APN 23-05-2014 13-11-2014 $0.75 $0.725
    -3.33%
    -8.07%
    QUB 24-03-2014 21-11-2014 $2.235 $2.215
    -0.88%
    1.21%
    -8.05%
    AAD 24-07-2013 10-12-2014 $1.766 $2.873
    62.68%
    7.36%
    -4.02%
    IFM 04-08-2014 24-12-2014 $0.884 $1.196
    35.24%
    2.14%
    -1.78%
    TPM 04-11-2014 13-01-2015 $7.462 $6.428
    -13.86%
    -2.63%
    SHV 13-10-2014 19-01-2015 $5.988 $6.071
    1.38%
    -2.55%
    TSE 15-07-2014 12-02-2015 $1.281 $1.569
    22.47%
    -1.18%
    SRX 23-10-2014 18-03-2015 $23.744 $19.456
    -18.06%
    -2.29%
    MNY 12-02-2015 31-03-2015 $1.752 $1.468
    -16.25%
    1.43%
    -3.2%
    SPK(TEL) 02-10-2013 10-04-2015 $2.043 $2.867
    40.32%
    11.83%
    -0.04%
    ABP 13-01-2015 14-04-2015 $3.154 $2.926
    -7.24%
    2.69%
    -0.33%
    TLS 19-01-2015 12-05-2015 $6.217 $6.023
    -3.12%
    2.41%
    -0.37%
    CTX 04-04-2014 15-05-2015 $21.775 $32.157
    47.67%
    3.21%
    2.8%
    WFD 18-12-2014 15-05-2015 $8.798 $9.262
    5.28%
    1.8%
    3.26%
    AJX 11-12-2014 26-05-2015 $0.529 $0.526
    -0.47%
    3.23%
    TAH 29-10-2014 26-05-2015 $3.997 $4.833
    20.9%
    10.01%
    5.22%
    CTD 16-09-2014 28-05-2015 $7.389 $12.091
    63.63%
    0.81%
    9.46%
    REC 27-11-2014 28-05-2015 $6.51 $7.7
    18.26%
    1.38%
    10.8%
    TNE 18-03-2015 10-06-2015 $3.907 $3.603
    -7.8%
    0.55%
    10.3%
    FLT 15-05-2015 24-06-2015 $46.901 $34.279
    -26.91%
    8.44%
    AOG 13-04-2015 29-06-2015 $2.81 $2.61
    -7.12%
    1.78%
    8.08%
    TFC 26-05-2015 01-07-2015 $1.896 $1.544
    -18.61%
    6.83%
    ASB 16-06-2014 07-07-2015 $1.256 $1.759
    40.12%
    0.8%
    9.56%
    API 20-11-2014 07-07-2015 $0.899 $1.551
    72.51%
    2.22%
    14.67%
    OZL 12-05-2015 09-07-2015 $4.735 $3.685
    -22.19%
    13.08%
    DLS 14-04-2015 10-07-2015 $1.104 $1.026
    -7.09%
    12.58%
    ALU 15-05-2015 10-07-2015 $5.038 $4.222
    -16.18%
    11.44%
    ISD 04-06-2015 10-07-2015 $3.683 $3.427
    -6.93%
    10.96%
    EPW 02-06-2015 13-07-2015 $2.549 $2.161
    -15.21%
    9.91%
    BKW 26-05-2015 22-07-2015 $15.021 $14.859
    -1.08%
    9.83%
    QAN 30-10-2014 24-07-2015 $1.652 $3.64
    120.39%
    18.1%
    OGC 29-06-2015 03-08-2015 $3.323 $2.357
    -29.06%
    15.95%
    CCP 27-07-2015 25-08-2015 $13.177 $11.663
    -11.49%
    15.12%
    SRF 09-07-2015 04-09-2015 $1.862 $1.673
    -10.1%
    14.39%
    UBN 31-07-2015 04-09-2015 $1.35 $0.825
    -38.85%
    11.61%
    AIA 24-12-2014 10-09-2015 $4.198 $4.352
    3.66%
    1.69%
    11.99%
    LOV 24-06-2015 22-09-2015 $3.525 $2.945
    -16.44%
    1.15%
    10.92%
    ASZ 23-07-2015 29-09-2015 $1.014 $0.954
    -5.85%
    10.51%
    JHX 04-06-2015 01-10-2015 $16.898 $17.322
    2.51%
    3.66%
    10.94%
    APE 21-07-2015 02-11-2015 $10.207 $10.703
    4.85%
    1.18%
    11.36%
    MMS 03-08-2015 03-11-2015 $14.258 $12.773
    -10.42%
    1.89%
    10.76%
    IPD 27-07-2015 05-11-2015 $1.134 $1.036
    -8.65%
    10.16%
    IPP 03-11-2015 13-11-2015 $3.864 $3.836
    -0.74%
    10.11%
    SMX 10-09-2015 18-11-2015 $4.756 $3.294
    -30.74%
    2.1%
    8.14%
    1PG 31-08-2015 25-11-2015 $4.425 $3.241
    -26.77%
    6.33%
    AJX 23-09-2015 11-12-2015 $1.099 $0.756
    -31.2%
    4.26%
    EHE 13-11-2015 30-12-2015 $7.497 $7.253
    -3.25%
    4.05%
    SDA 21-07-2015 31-12-2015 $3.372 $4.138
    22.69%
    0.89%
    5.58%
    AMA 10-06-2015 08-01-2016 $0.618 $0.897
    45.25%
    2.75%
    8.75%

    * Adjusted to include commissions/brokerage
    ^ Position equity profit/loss only - excludes dividends

  5. #5

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Current open trades (actual executed) for the SMSF Portfolio:

    Equity Buy Date Sell Date Buy Price* Sell Price* Position Open Profit^ Position Divs Running Portfolio Return
    (16 Positions)
    BAP 31-03-2015 N/A $3.262 N/A
    23.77%
    1.44%
    10.46%
    SIQ 01-07-2015 N/A $2.159 N/A
    128.38%
    3.66%
    19.58%
    ELD 03-08-2015 N/A $4.164 N/A
    13.03%
    20.55%
    CKF 06-08-2015 N/A $3.401 N/A
    46.39%
    1.76%
    24.18%
    TWE 28-09-2015 N/A $6.532 N/A
    20.45%
    25.77%
    TGR2 29-09-2015 N/A $4.316 N/A
    5.99%
    26.24%
    RRL 01-10-2015 N/A $1.771 N/A
    31.75%
    28.74%
    IPH 05-10-2015 N/A $7.326 N/A
    17.72%
    30.17%
    GTY 02-11-2015 N/A $2.779 N/A
    2.56%
    1.8%
    30.52%
    SAR 05-11-2015 N/A $0.557 N/A
    19.85%
    32.14%
    HUB 19-11-2015 N/A $3.503 N/A
    24.36%
    34.15%
    OML 26-11-2015 N/A $4.166 N/A
    3.33%
    34.43%
    BGA 30-12-2015 N/A $7.086 N/A
    4.77%
    34.83%
    SKC2 31-12-2015 N/A $4.175 N/A
    -6.72%
    34.27%
    SUL 31-12-2015 N/A $11.552 N/A
    -8.61%
    33.54%
    ALL 08-01-2016 N/A $9.683 N/A
    -0.79%
    33.48%

    * Adjusted to include commissions/brokerage
    ^ Position equity profit/loss only - excludes dividends

  6. #6

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Thanks for posting Trendnomics.

    That's a pretty simple system and seems quite robust with solid 23% per annum returns on the ASX through some turbulent years. What exit strategy did you employ for this system and what risk factor did you use?

    Cheers

    Luke

  7. #7

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Quote Originally Posted by aramz View Post
    Thanks for posting Trendnomics.

    That's a pretty simple system and seems quite robust with solid 23% per annum returns on the ASX through some turbulent years. What exit strategy did you employ for this system and what risk factor did you use?

    Cheers

    Luke
    Hey Luke,

    The actual entry and exit conditions of my system, are proprietary in nature - the entry condition is based on two metrics of the trend and the exit condition is based on a single metric (very simple to avoid curve fitting and keep it as robust as possible). I don't use any standard indicators - everything has been coded from scratch (very unique system).

    As for risk, I deploy 16 equally sized positions in the market, all with a fixed stop-loss at -30% entry price (that gives me a capital risk of 1.875% per position). I don't use trialing stops and a majority of my trades are exited prior to hitting the -30% entry price stop-loss, due to my primary exit criteria (i.e. confirmation that the trend is down).

  8. #8

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Thanks for sharing.
    The 500% winner was certainly handy initially getting into profit.

    I'm curious why the first 2 trades in RMD and SKE were only for 1 day. Perhaps a market filter?

  9. #9

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Quote Originally Posted by Newt View Post
    Thanks for sharing.
    The 500% winner was certainly handy initially getting into profit.

    I'm curious why the first 2 trades in RMD and SKE were only for 1 day. Perhaps a market filter?
    It was quite ironic, Forge (FGE) was a bigger loser, than the biggest loss recorded in prior back-testing - similarly, LNG was a bigger winner, than the biggest win recorded in prior back-testing. But yes, it was very handy indeed.

    The first two trades were entered by mistake - I had a coding issue on one of the indicators (wrong time frame) and they were terminated the next day after I realised the mistake (should probably remove them from the trading record, but I like to keep warts-and-all).

  10. #10

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Current open trades (actual executed) for the Private Portfolio - Update Week #1:

    It was a turbulent week on the markets - open profit slightly reduced.

    Equity Buy Date Sell Date Buy Price* Sell Price* Position Open Profit^ Position Divs Running Portfolio Return (16 Positions)
    EVT(AHD) 02-12-2014 N/A $11.374 N/A
    37.81%
    4.66%
    4.56%
    SRX 19-08-2015 N/A $34.714 N/A
    4.25%
    0.58%
    4.87%
    TWE 28-09-2015 N/A $6.517 N/A
    18.81%
    6.11%
    ACX 02-11-2015 N/A $4.705 N/A
    9.37%
    6.73%
    APO 25-11-2015 N/A $5.386 N/A
    7.79%
    7.25%
    RIC 11-12-2015 N/A $1.602 N/A
    -5.81%
    6.86%
    BGA 30-12-2015 N/A $7.067 N/A
    -3.17%
    6.65%
    BAL 23-06-2015 N/A $4.255 N/A
    202.16%
    0.67%
    20.17%
    ELD 03-08-2015 N/A $4.155 N/A
    14.47%
    21.26%
    CKF 05-08-2015 N/A $3.434 N/A
    47.84%
    1.75%
    25.01%
    TGR 29-09-2015 N/A $4.315 N/A
    7.67%
    25.61%
    RRL 01-10-2015 N/A $1.767 N/A
    30.63%
    28.02%
    WEB 07-10-2015 N/A $4.396 N/A
    26.6%
    30.15%
    GTY 30-10-2015 N/A $2.803 N/A
    -3.05%
    1.78%
    30.04%
    SAR 05-11-2015 N/A $0.556 N/A
    25%
    32.08%
    CTD 31-12-2015 N/A $13.243 N/A
    -6.98%
    31.5%

    * Adjusted to include commissions/brokerage
    ^ Position equity profit/loss only - excludes dividends

  11. #11

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Current open trades (actual executed) for the SMSF Portfolio - Update Week #1:

    It was a turbulent week on the markets - open profit slightly reduced.

    Equity Buy Date Sell Date Buy Price* Sell Price* Position Open Profit^ Position Divs Running Portfolio Return
    (16 Positions)
    BAP 31-03-2015 N/A $3.262 N/A
    19.48%
    1.44%
    10.17%
    SIQ 01-07-2015 N/A $2.159 N/A
    118.65%
    3.66%
    18.59%
    ELD 03-08-2015 N/A $4.164 N/A
    13.99%
    19.63%
    CKF 06-08-2015 N/A $3.401 N/A
    49.04%
    1.76%
    23.43%
    TWE 28-09-2015 N/A $6.532 N/A
    18.3%
    24.84%
    TGR2 29-09-2015 N/A $4.316 N/A
    7.38%
    25.42%
    RRL 01-10-2015 N/A $1.771 N/A
    30.05%
    27.77%
    IPH 05-10-2015 N/A $7.326 N/A
    19.63%
    29.34%
    GTY 02-11-2015 N/A $2.779 N/A
    -2.48%
    1.8%
    29.28%
    SAR 05-11-2015 N/A $0.557 N/A
    24.34%
    31.25%
    HUB 19-11-2015 N/A $3.503 N/A
    20.08%
    32.9%
    OML 26-11-2015 N/A $4.166 N/A
    5.01%
    33.31%
    BGA 30-12-2015 N/A $7.086 N/A
    -3.7%
    33.01%
    SKC2 31-12-2015 N/A $4.175 N/A
    -6.95%
    32.43%
    SUL 31-12-2015 N/A $11.552 N/A
    -12.07%
    31.43%
    ALL 08-01-2016 N/A $9.683 N/A
    -3.68%
    31.13%

    * Adjusted to include commissions/brokerage
    ^ Position equity profit/loss only - excludes dividends

  12. #12

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Current open trades (actual executed) for the Private Portfolio - Update Week #2:

    Another turbulent week on the markets - but luckily the trends were my friends (positive week):

    Equity Buy Date Sell Date Buy Price* Sell Price* Position Open Profit^ Position Divs Running Portfolio Return
    (16 Positions)
    EVT(AHD) 02-12-2014 N/A $11.374 N/A
    35.44%
    4.66%
    4.41%
    SRX 19-08-2015 N/A $34.714 N/A
    6.99%
    0.58%
    4.9%
    TWE 28-09-2015 N/A $6.517 N/A
    42.29%
    7.67%
    ACX 02-11-2015 N/A $4.705 N/A
    6.82%
    8.13%
    APO 25-11-2015 N/A $5.386 N/A
    8.53%
    8.71%
    RIC 11-12-2015 N/A $1.602 N/A
    -10.18%
    8.02%
    BGA 30-12-2015 N/A $7.067 N/A
    -0.34%
    8%
    BAL 23-06-2015 N/A $4.255 N/A
    223.07%
    0.67%
    23.1%
    ELD 03-08-2015 N/A $4.155 N/A
    13.03%
    24.1%
    CKF 05-08-2015 N/A $3.434 N/A
    48.72%
    1.75%
    28.01%
    TGR 29-09-2015 N/A $4.315 N/A
    10.68%
    28.87%
    RRL 01-10-2015 N/A $1.767 N/A
    35.73%
    31.75%
    WEB 07-10-2015 N/A $4.396 N/A
    25.69%
    33.86%
    GTY 30-10-2015 N/A $2.803 N/A
    0.16%
    1.78%
    34.03%
    SAR 05-11-2015 N/A $0.556 N/A
    31.3%
    36.65%
    CTD 31-12-2015 N/A $13.243 N/A
    -7.36%
    36.02%
    * Adjusted to include commissions/brokerage
    ^ Position equity profit/loss only - excludes dividends

  13. #13

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Current open trades (actual executed) for the SMSF Portfolio - Update Week #2:

    Another turbulent week on the markets - but luckily the trends were my friends (positive week):

    Equity Buy Date Sell Date Buy Price* Sell Price* Position Open Profit^ Position Divs Running Portfolio Return
    (16 Positions)
    BAP 31-03-2015 N/A $3.262 N/A
    23.77%
    1.44%
    10.46%
    SIQ 01-07-2015 N/A $2.159 N/A
    131.16%
    3.66%
    19.77%
    ELD 03-08-2015 N/A $4.164 N/A
    12.55%
    20.71%
    CKF 06-08-2015 N/A $3.401 N/A
    49.92%
    1.76%
    24.61%
    TWE 28-09-2015 N/A $6.532 N/A
    41.73%
    27.86%
    TGR2 29-09-2015 N/A $4.316 N/A
    10.39%
    28.69%
    RRL 01-10-2015 N/A $1.771 N/A
    35.13%
    31.52%
    IPH 05-10-2015 N/A $7.326 N/A
    26.04%
    33.66%
    GTY 02-11-2015 N/A $2.779 N/A
    0.76%
    1.8%
    33.87%
    SAR 05-11-2015 N/A $0.557 N/A
    30.62%
    36.43%
    HUB 19-11-2015 N/A $3.503 N/A
    13.8%
    37.61%
    OML 26-11-2015 N/A $4.166 N/A
    5.01%
    38.04%
    BGA 30-12-2015 N/A $7.086 N/A
    -0.87%
    37.96%
    SKC2 31-12-2015 N/A $4.175 N/A
    0.47%
    38%
    SUL 31-12-2015 N/A $11.552 N/A
    -12.93%
    36.89%
    ALL 08-01-2016 N/A $9.683 N/A
    0.76%
    36.95%
    * Adjusted to include commissions/brokerage
    ^ Position equity profit/loss only - excludes dividends

  14. #14

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Current open trades (actual executed) for the Private Portfolio - Update Week #3:

    Flat week for this portfolio - markets seem to be range-bound - eligible for RRL dividend (added to returns):

    Equity Buy Date Sell Date Buy Price* Sell Price* Position Open Profit^ Position Divs Running Portfolio Return
    (16 Positions)
    EVT(AHD) 02-12-2014 N/A $11.374 N/A
    33.5%
    4.66%
    4.29%
    SRX 19-08-2015 N/A $34.714 N/A
    8.26%
    0.58%
    4.86%
    TWE 28-09-2015 N/A $6.517 N/A
    38.92%
    7.41%
    ACX 02-11-2015 N/A $4.705 N/A
    6.18%
    7.83%
    APO 25-11-2015 N/A $5.386 N/A
    11.32%
    8.59%
    RIC 11-12-2015 N/A $1.602 N/A
    -7.99%
    8.04%
    BGA 30-12-2015 N/A $7.067 N/A
    -0.19%
    8.03%
    BAL 23-06-2015 N/A $4.255 N/A
    224.72%
    0.67%
    23.25%
    ELD 03-08-2015 N/A $4.155 N/A
    12.79%
    24.24%
    CKF 05-08-2015 N/A $3.434 N/A
    51.92%
    1.75%
    28.4%
    TGR 29-09-2015 N/A $4.315 N/A
    11.38%
    29.32%
    RRL 01-10-2015 N/A $1.767 N/A
    32.9%
    2.26%
    32.16%
    WEB 07-10-2015 N/A $4.396 N/A
    22.05%
    33.98%
    GTY 30-10-2015 N/A $2.803 N/A
    4.09%
    1.78%
    34.47%
    SAR 05-11-2015 N/A $0.556 N/A
    29.5%
    36.95%
    CTD 31-12-2015 N/A $13.243 N/A
    -10.23%
    36.07%
    * Adjusted to include commissions/brokerage
    ^ Position equity profit/loss only - excludes dividends

  15. #15

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Current open trades (actual executed) for the SMSF Portfolio - Update Week #3:

    Small weekly gain for this portfolio - eligible for RRL dividend (added to returns):

    Equity Buy Date Sell Date Buy Price* Sell Price* Position Open Profit^ Position Divs Running Portfolio Return
    (16 Positions)
    BAP 31-03-2015 N/A $3.262 N/A
    28.37%
    1.44%
    10.77%
    SIQ 01-07-2015 N/A $2.159 N/A
    126.53%
    3.66%
    19.79%
    ELD 03-08-2015 N/A $4.164 N/A
    12.31%
    20.71%
    CKF 06-08-2015 N/A $3.401 N/A
    53.15%
    1.76%
    24.85%
    TWE 28-09-2015 N/A $6.532 N/A
    38.36%
    27.85%
    TGR2 29-09-2015 N/A $4.316 N/A
    11.09%
    28.73%
    RRL 01-10-2015 N/A $1.771 N/A
    32.31%
    2.26%
    31.51%
    IPH 05-10-2015 N/A $7.326 N/A
    20.72%
    33.22%
    GTY 02-11-2015 N/A $2.779 N/A
    4.71%
    1.8%
    33.76%
    SAR 05-11-2015 N/A $0.557 N/A
    28.82%
    36.17%
    HUB 19-11-2015 N/A $3.503 N/A
    10.94%
    37.1%
    OML 26-11-2015 N/A $4.166 N/A
    10.78%
    38.02%
    BGA 30-12-2015 N/A $7.086 N/A
    -0.73%
    37.96%
    SKC2 31-12-2015 N/A $4.175 N/A
    1.19%
    38.06%
    SUL 31-12-2015 N/A $11.552 N/A
    -12.15%
    37.01%
    ALL 08-01-2016 N/A $9.683 N/A
    5.51%
    37.48%
    * Adjusted to include commissions/brokerage
    ^ Position equity profit/loss only - excludes dividends

  16. #16

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    In relation to the Private Portfolio:

    I've done a back check of all the train-wrecks I have escaped since trading my system live - criteria is current closing price to be 50% less than my executed sell price:

    Equity Buy Date Sell Date Buy Price* Sell Price* Current Close (29/01/16) % Loss (Since Sell)
    AWE 24-07-2013 21-10-2013 $1.443 $1.282 $0.515 -59.83%
    CCV 12-09-2013 29-10-2013 $1.259 $1.086 $0.525 -51.66%
    UGL 13-09-2013 20-11-2013 $8.126 $6.832 $2.2 -67.8%
    BDR 02-10-2013 04-12-2013 $0.837 $0.673 $0.155 -76.97%
    TTN 15-10-2013 06-12-2013 $3.257 $2.483 $0.037 -98.51%
    CDD 24-10-2013 06-02-2014 $6.806 $6.084 $0.94 -84.55%
    AGO 21-10-2013 06-02-2014 $1.007 $1.003 $0.016 -98.4%
    BCI 02-09-2013 11-03-2014 $4.469 $4.57 $0.08 -98.25%
    MML 14-03-2014 23-04-2014 $2.574 $1.803 $0.38 -78.92%
    DLS 30-01-2014 04-06-2014 $1.468 $1.527 $0.485 -68.24%
    CAJ 01-04-2014 06-06-2014 $0.611 $0.444 $0.205 -53.83%
    PAN 04-06-2014 24-09-2014 $0.677 $0.648 $0.082 -87.35%
    WHC 25-08-2014 30-10-2014 $1.969 $1.537 $0.41 -73.32%
    LNG 28-03-2014 14-11-2014 $0.576 $3.536 $0.64 -81.9%
    CAJ 01-10-2014 02-12-2014 $0.681 $0.589 $0.205 -65.2%
    IGO 01-05-2015 28-05-2015 $5.907 $4.753 $2.19 -53.92%
    * Adjusted to include commissions/brokerage

    The above potential outcomes would have been detrimental to a buy and hold investor (or someone without an exit strategy). Commodity related equities have been hit the hardest.

    Charts for some notable trades (Green line entry - Red line exit):


    1.png

    2.png

    3.png

  17. #17

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    In relation to the SMSF Portfolio:

    I've done a back check of all the train-wrecks I have escaped since trading my system live - criteria is current closing price to be 50% less than my executed sell price:

    Equity Buy Date Sell Date Buy Price* Sell Price* Current Close (29/01/16) % Loss (Since Sell)
    PDN 30-07-2013 07-08-2013 $0.976 $0.664 $0.21 -68.37%
    AWE1 24-07-2013 21-10-2013 $1.444 $1.276 $0.515 -59.64%
    WOR 17-09-2013 21-11-2013 $23.29 $15.64 $3.39 -78.32%
    MLD 17-10-2013 27-12-2013 $2.647 $2.513 $0.7 -72.14%
    MGX2 21-10-2013 28-02-2014 $0.849 $0.87 $0.185 -78.74%
    BCI 02-09-2013 11-03-2014 $4.489 $4.551 $0.08 -98.24%
    AWE2 06-03-2014 16-09-2014 $1.555 $1.714 $0.515 -69.95%
    SEA 23-07-2014 14-10-2014 $1.289 $1.096 $0.12 -89.05%
    DLS 14-04-2015 10-07-2015 $1.104 $1.026 $0.485 -52.73%
    * Adjusted to include commissions/brokerage

    Charts for some notable trades (Green line entry - Red line exit):

    1.png

    2.png

    3.png

  18. #18

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Current open trades (actual executed) for the Private Portfolio - Update Week #4:

    A volatile week - portfolio lost 4.9% of it's value - luckily BAL.asx made a large upward swing today.

    Equity Buy Date Sell Date Buy Price* Sell Price* Position Open Profit^ Position Divs Running Portfolio Return
    (16 Positions)
    EVT(AHD) 02-12-2014 N/A $11.374 N/A
    29.19%
    4.66%
    4.01%
    SRX 19-08-2015 N/A $34.714 N/A
    2.7%
    0.58%
    4.22%
    TWE 28-09-2015 N/A $6.517 N/A
    35.54%
    6.54%
    ACX 02-11-2015 N/A $4.705 N/A
    -8.7%
    5.96%
    APO 25-11-2015 N/A $5.386 N/A
    4.26%
    6.24%
    RIC 11-12-2015 N/A $1.602 N/A
    -10.8%
    5.52%
    BGA 30-12-2015 N/A $7.067 N/A
    -7.13%
    5.05%
    BAL 23-06-2015 N/A $4.255 N/A
    200.75%
    0.67%
    18.28%
    ELD 03-08-2015 N/A $4.155 N/A
    8.94%
    18.94%
    CKF 05-08-2015 N/A $3.434 N/A
    42.02%
    1.75%
    22.19%
    TGR 29-09-2015 N/A $4.315 N/A
    0.95%
    22.26%
    RRL 01-10-2015 N/A $1.767 N/A
    37.43%
    2.26%
    25.3%
    WEB 07-10-2015 N/A $4.396 N/A
    15%
    26.47%
    GTY 30-10-2015 N/A $2.803 N/A
    5.16%
    1.78%
    27.02%
    SAR 05-11-2015 N/A $0.556 N/A
    44.8%
    30.58%
    CTD 31-12-2015 N/A $13.243 N/A
    -13.62%
    29.47%

    * Adjusted to include commissions/brokerage
    ^ Position equity profit/loss only - excludes dividends

  19. #19

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Current open trades (actual executed) for the SMSF Portfolio - Update Week #4:

    Considering the overall market volatility for this week, this portfolio has done quite well.

    Equity Buy Date Sell Date Buy Price* Sell Price* Position Open Profit^ Position Divs Running Portfolio Return
    (16 Positions)
    BAP 31-03-2015 N/A $3.262 N/A
    27.76%
    1.44%
    10.73%
    SIQ 01-07-2015 N/A $2.159 N/A
    110.78%
    3.66%
    18.65%
    ELD 03-08-2015 N/A $4.164 N/A
    8.47%
    19.28%
    CKF 06-08-2015 N/A $3.401 N/A
    43.16%
    1.76%
    22.63%
    TWE 28-09-2015 N/A $6.532 N/A
    34.99%
    25.31%
    TGR2 29-09-2015 N/A $4.316 N/A
    0.66%
    25.36%
    RRL 01-10-2015 N/A $1.771 N/A
    36.83%
    2.26%
    28.43%
    IPH 05-10-2015 N/A $7.326 N/A
    15.26%
    29.65%
    GTY 02-11-2015 N/A $2.779 N/A
    5.79%
    1.8%
    30.27%
    SAR 05-11-2015 N/A $0.557 N/A
    44.08%
    33.86%
    HUB 19-11-2015 N/A $3.503 N/A
    18.08%
    35.37%
    OML 26-11-2015 N/A $4.166 N/A
    9.34%
    36.16%
    BGA 30-12-2015 N/A $7.086 N/A
    -7.65%
    35.51%
    SKC2 31-12-2015 N/A $4.175 N/A
    -0.25%
    35.48%
    SUL 31-12-2015 N/A $11.552 N/A
    -13.54%
    34.34%
    ALL 08-01-2016 N/A $9.683 N/A
    2.93%
    34.58%
    * Adjusted to include commissions/brokerage
    ^ Position equity profit/loss only - excludes dividends

  20. #20

    Default Re: Two Portfolios - One Mechanical System - A Trend-following Diary

    Completed a quick Monte Carlo back-test, over the live trading period of my system (to assess possible outcomes):

    ASX Period: 01/07/2013 - Present
    Include Open Profits: Yes
    Include Dividends: No
    Slippage Modeling: Random Price Execution
    Number of Simulations: 20000
    Maximum number of open positions: 16
    Average Number of Trades Executed: 116
    Minimum Profit: -14.34%
    Average Profit: 24.45%
    Maximum Profit: 91.56%
    Probability of Profit: 99.38%
    Average percentage of winning trades: 41.76%
    Minimum Absolute Percent Drawdown: 5.07%
    Average Absolute Percent Drawdown: 13.23%
    Maximum Absolute Percent Drawdown: 28.34%
    Monte Carlo results in graphical form:

    Monte.png

    Considering the tough trading period, the system has performed exceedingly well - many other trend-following systems have posted losses over this period.

    My trade selection (multiple trade signals are generally available) have exceeded the possible average result - trade selection based on maintaining a diverse portfolio.



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