• Australian (ASX) Stock Market Forum

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

Discussion in 'Trading Strategies/Systems' started by Trendnomics, Jan 9, 2016.

  1. Trendnomics

    Trendnomics Well-Known Member

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    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. Trendnomics

    Trendnomics Well-Known Member

    Posts:
    149
    Likes Received:
    0
    Joined:
    Jan 6, 2016
    Current closed trades (actual executed) for the Private Portfolio:

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    EquityBuy DateSell DateBuy Price*Sell Price*Position Profit^Position DivsRunning Portfolio Return
    (16 Positions)
    RMD08-05-201309-05-2013$4.801$4.859
    1.23%​
    0.08%​
    SKE08-05-201309-05-2013$2.856$2.834
    -0.79%​
    0.03%​
    DJS08-05-201328-05-2013$2.906$2.594
    -10.76%​
    -0.65%​
    TGA22-05-201301-07-2013$2.355$2.025
    -14.03%​
    2.55%​
    -1.36%​
    MLB24-07-201326-07-2013$2.236$1.869
    -16.37%​
    11.18%​
    -1.68%​
    DYE30-07-201302-09-2013$0.521$0.353
    -32.2%​
    -3.66%​
    AWE24-07-201321-10-2013$1.443$1.282
    -11.16%​
    -4.33%​
    ROC26-07-201324-10-2013$0.536$0.499
    -6.95%​
    -4.74%​
    CCV12-09-201329-10-2013$1.259$1.086
    -13.71%​
    -5.56%​
    UGL13-09-201320-11-2013$8.126$6.832
    -15.92%​
    -6.5%​
    FGE13-09-201328-11-2013$5.421$0.673
    -87.58%​
    -11.62%​
    IPL121-11-201329-11-2013$2.626$2.584
    -1.58%​
    -11.7%​
    BDR02-10-201304-12-2013$0.837$0.673
    -19.56%​
    -12.78%​
    TTN15-10-201306-12-2013$3.257$2.483
    -23.77%​
    -14.08%​
    FBU17-09-201327-12-2013$8.337$7.742
    -7.14%​
    1.8%​
    -14.37%​
    RFG11-09-201330-12-2013$4.519$4.58
    1.35%​
    -14.29%​
    QUB20-09-201302-01-2014$2.024$2.066
    2.05%​
    -14.18%​
    GOZ25-09-201317-01-2014$2.585$2.434
    -5.83%​
    3.64%​
    -14.3%​
    SUL26-09-201320-01-2014$13.326$11.221
    -15.8%​
    -15.15%​
    MCP11-11-201329-01-2014$1.647$1.344
    -18.42%​
    -16.13%​
    MYX116-08-201330-01-2014$0.591$0.724
    22.42%​
    -14.95%​
    CDD24-10-201306-02-2014$6.806$6.084
    -10.61%​
    -15.51%​
    AGO21-10-201306-02-2014$1.007$1.003
    -0.44%​
    -15.54%​
    BCI02-09-201311-03-2014$4.469$4.57
    2.26%​
    10.52%​
    -14.86%​
    BEN24-01-201415-04-2014$11.61$10.91
    -6.02%​
    2.67%​
    -15.04%​
    MML14-03-201423-04-2014$2.574$1.803
    -29.95%​
    -16.63%​
    CLH19-02-201424-04-2014$1.903$1.692
    -11.1%​
    2.05%​
    -17.1%​
    DLS30-01-201404-06-2014$1.468$1.527
    3.95%​
    -16.9%​
    CAJ01-04-201406-06-2014$0.611$0.444
    -27.39%​
    -18.32%​
    EVN18-03-201410-06-2014$0.942$0.823
    -12.54%​
    -18.96%​
    MYX228-03-201412-06-2014$0.972$0.873
    -10.11%​
    -19.47%​
    IFM125-02-201420-06-2014$0.756$0.739
    -2.31%​
    2.5%​
    -19.46%​
    NVT01-04-201410-07-2014$7.314$5.086
    -30.47%​
    -21%​
    FXJ15-04-201416-07-2014$0.942$0.888
    -5.64%​
    -21.28%​
    SYD07-05-201425-08-2014$4.309$4.391
    1.92%​
    2.67%​
    -21.05%​
    NHF28-05-201415-09-2014$3.155$2.995
    -5.09%​
    4.67%​
    -21.07%​
    PAN04-06-201424-09-2014$0.677$0.648
    -4.15%​
    2.96%​
    -21.13%​
    CGF17-09-201301-10-2014$5.21$7.008
    34.51%​
    4.99%​
    -19.18%​
    NTC17-06-201401-10-2014$0.651$0.529
    -18.8%​
    -20.13%​
    SIR18-07-201408-10-2014$3.957$2.923
    -26.13%​
    -21.44%​
    GXL16-07-201409-10-2014$9.706$9.384
    -3.32%​
    0.72%​
    -21.56%​
    APE20-06-201413-10-2014$5.829$5.434
    -6.78%​
    1.54%​
    -21.82%​
    AMP15-05-201414-10-2014$5.341$5.179
    -3.02%​
    2.34%​
    -21.85%​
    EGP04-08-201414-10-2014$3.275$3.355
    2.41%​
    1.22%​
    -21.68%​
    TTS02-07-201420-10-2014$3.416$3.124
    -8.54%​
    1.61%​
    -22.01%​
    IMF03-06-201423-10-2014$1.973$1.997
    1.18%​
    2.53%​
    -21.83%​
    WHC25-08-201430-10-2014$1.969$1.537
    -21.96%​
    -22.91%​
    LNG28-03-201414-11-2014$0.576$3.536
    514.02%​
    1.86%​
    CAJ01-10-201402-12-2014$0.681$0.589
    -13.59%​
    1%​
    TNE15-09-201403-12-2014$3.136$2.914
    -7.05%​
    1.98%​
    0.68%​
    IFM213-10-201424-12-2014$1.132$1.198
    5.86%​
    1.04%​
    ASZ10-10-201402-01-2015$0.776$0.612
    -21.13%​
    -0.29%​
    ALU08-12-201414-01-2015$3.294$2.926
    -11.19%​
    -0.99%​
    SHV08-10-201419-01-2015$6.19$6.06
    -2.11%​
    -1.12%​
    PMV30-09-201411-02-2015$10.154$10.926
    7.6%​
    1.97%​
    -0.53%​
    MNF11-11-201411-02-2015$3.684$2.795
    -24.12%​
    -2.03%​
    TGA07-11-201404-03-2015$2.713$2.796
    3.07%​
    1.84%​
    -1.72%​
    SRX23-10-201418-03-2015$23.697$19.383
    -18.21%​
    -2.84%​
    SKI19-01-201509-04-2015$2.153$1.957
    -9.08%​
    2.67%​
    -3.23%​
    LLC09-05-201401-05-2015$13.176$16.234
    23.2%​
    5.77%​
    -1.48%​
    TLS16-01-201512-05-2015$6.218$6.042
    -2.82%​
    2.41%​
    -1.51%​
    RMD04-11-201415-05-2015$5.918$7.031
    18.79%​
    0.99%​
    -0.29%​
    AJX11-12-201426-05-2015$0.531$0.529
    -0.31%​
    -0.31%​
    MGR11-02-201526-05-2015$2.123$1.977
    -6.83%​
    -0.73%​
    IGO01-05-201528-05-2015$5.907$4.753
    -19.53%​
    -1.94%​
    IPL211-02-201529-05-2015$3.764$4.036
    7.2%​
    1.17%​
    -1.43%​
    JHC27-05-201523-06-2015$2.853$2.747
    -3.73%​
    -1.66%​
    1PG18-03-201529-06-2015$1.657$1.878
    13.34%​
    -0.84%​
    TFC27-05-201501-07-2015$1.862$1.548
    -16.87%​
    -1.89%​
    ASB16-06-201407-07-2015$1.252$1.763
    40.75%​
    0.8%​
    0.66%​
    ILU09-04-201507-07-2015$8.88$7.44
    -16.21%​
    -0.36%​
    MYX26-05-201509-07-2015$1.136$1.084
    -4.63%​
    -0.65%​
    TCL02-01-201513-07-2015$8.661$9.749
    12.56%​
    2.37%​
    0.28%​
    EPW02-06-201513-07-2015$2.543$2.167
    -14.77%​
    -0.65%​
    MTR14-11-201416-07-2015$2.652$3.686
    38.95%​
    1.89%​
    1.89%​
    TOX04-03-201520-07-2015$2.954$2.726
    -7.69%​
    1.35%​
    1.49%​
    QAN30-10-201424-07-2015$1.647$3.656
    121.96%​
    9.22%​
    MTU29-10-201427-07-2015$8.002$10.758
    34.43%​
    1.87%​
    11.7%​
    EHE12-05-201505-08-2015$6.397$6.413
    0.24%​
    11.72%​
    OML15-05-201519-08-2015$2.576$2.469
    -4.18%​
    11.42%​
    PMV29-05-201524-08-2015$14.306$11.524
    -19.45%​
    10.07%​
    CCP27-07-201525-08-2015$13.129$11.655
    -11.23%​
    9.3%​
    SRF08-07-201504-09-2015$1.857$1.678
    -9.65%​
    8.64%​
    UBN31-07-201504-09-2015$1.347$0.828
    -38.48%​
    6.03%​
    LOV07-07-201522-09-2015$3.334$2.949
    -11.54%​
    1.22%​
    5.34%​
    ASZ223-07-201529-09-2015$1.011$0.959
    -5.17%​
    5%​
    SFR29-06-201507-10-2015$5.687$6.083
    6.98%​
    1.76%​
    5.57%​
    YOW01-07-201530-10-2015$1.021$1.154
    12.98%​
    6.43%​
    APE221-07-201502-11-2015$10.181$10.728
    5.38%​
    1.18%​
    6.87%​
    IPD27-07-201505-11-2015$1.111$1.044
    -6.07%​
    6.46%​
    SMX10-09-201518-11-2015$4.746$3.305
    -30.37%​
    2.11%​
    4.58%​
    1PG31-08-201525-11-2015$4.386$3.108
    -29.14%​
    2.68%​
    AJX23-09-201511-12-2015$1.096$0.759
    -30.81%​
    0.7%​
    EHE18-11-201530-12-2015$7.708$7.272
    -5.66%​
    0.34%​
    SDA21-07-201531-12-2015$3.364$4.146
    23.21%​
    0.89%​
    1.86%​


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

    Trendnomics Well-Known Member

    Posts:
    149
    Likes Received:
    0
    Joined:
    Jan 6, 2016
    Current open trades (actual executed) for the Private Portfolio:

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    EquityBuy DateSell DateBuy Price*Sell Price*Position Open Profit^Position DivsRunning Portfolio Return
    (16 Positions)
    EVT(AHD)02-12-2014N/A$11.374N/A
    27.79%​
    4.66%​
    3.92%​
    SRX19-08-2015N/A$34.714N/A
    11.54%​
    0.58%​
    4.71%​
    TWE28-09-2015N/A$6.517N/A
    20.96%​
    6.08%​
    ACX02-11-2015N/A$4.705N/A
    8.52%​
    6.65%​
    APO25-11-2015N/A$5.386N/A
    12.62%​
    7.49%​
    RIC11-12-2015N/A$1.602N/A
    -8.31%​
    6.93%​
    BGA30-12-2015N/A$7.067N/A
    5.32%​
    7.28%​
    BAL23-06-2015N/A$4.255N/A
    213.44%​
    0.67%​
    21.64%​
    ELD03-08-2015N/A$4.155N/A
    13.51%​
    22.67%​
    CKF05-08-2015N/A$3.434N/A
    45.22%​
    1.75%​
    26.27%​
    TGR29-09-2015N/A$4.315N/A
    6.28%​
    26.76%​
    RRL01-10-2015N/A$1.767N/A
    32.33%​
    29.33%​
    WEB07-10-2015N/A$4.396N/A
    26.83%​
    31.5%​
    GTY30-10-2015N/A$2.803N/A
    1.95%​
    1.78%​
    31.8%​
    SAR05-11-2015N/A$0.556N/A
    20.5%​
    33.49%​
    CTD31-12-2015N/A$13.243N/A
    -4.94%​
    33.08%​


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

    Trendnomics Well-Known Member

    Posts:
    149
    Likes Received:
    0
    Joined:
    Jan 6, 2016
    Current closed trades (actual executed) for the SMSF Portfolio:

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    EquityBuy DateSell DateBuy Price*Sell Price*Position Profit^Position DivsRunning Portfolio Return
    (16 Positions)
    PDN30-07-201307-08-2013$0.976$0.664
    -32.01%​
    -2%​
    AWE124-07-201321-10-2013$1.444$1.276
    -11.67%​
    -2.72%​
    SRX09-08-201308-11-2013$13.114$12.086
    -7.84%​
    0.92%​
    -3.14%​
    WOR17-09-201321-11-2013$23.29$15.64
    -32.84%​
    -5.13%​
    AIO20-09-201313-12-2013$6.009$5.501
    -8.44%​
    -5.63%​
    MLD17-10-201327-12-2013$2.647$2.513
    -5.06%​
    -5.92%​
    BLD12-09-201302-01-2014$4.791$4.769
    -0.45%​
    -5.95%​
    BKW24-09-201320-01-2014$13.497$14.183
    5.09%​
    2%​
    -5.53%​
    DOW12-09-201307-02-2014$4.69$4.8
    2.35%​
    -5.39%​
    RIO202-12-201312-02-2014$66.278$67.752
    2.22%​
    -5.26%​
    MGX221-10-201328-02-2014$0.849$0.87
    2.41%​
    -5.12%​
    SGM12-11-201304-03-2014$10.004$9.626
    -3.78%​
    -5.34%​
    BCI02-09-201311-03-2014$4.489$4.551
    1.39%​
    10.47%​
    -4.64%​
    NST118-03-201411-06-2014$1.263$1.178
    -6.74%​
    -5.04%​
    MYX28-03-201412-06-2014$0.969$0.871
    -10.17%​
    -5.65%​
    DMP01-04-201416-06-2014$19.985$19.824
    -0.8%​
    -5.7%​
    TGR04-03-201416-06-2014$3.636$3.893
    7.07%​
    1.51%​
    -5.19%​
    CNU04-04-201410-07-2014$1.661$1.594
    -4.04%​
    -5.43%​
    SKC14-03-201415-07-2014$3.737$3.513
    -5.97%​
    2.1%​
    -5.66%​
    CSR04-04-201423-07-2014$3.614$3.658
    1.21%​
    1.38%​
    -5.5%​
    AWE206-03-201416-09-2014$1.555$1.714
    10.24%​
    -4.9%​
    NST210-07-201407-10-2014$1.583$1.182
    -25.33%​
    1.58%​
    -6.31%​
    DUE20-06-201413-10-2014$2.481$2.369
    -4.53%​
    3.43%​
    -6.38%​
    SEA23-07-201414-10-2014$1.289$1.096
    -14.91%​
    -7.25%​
    TTS02-07-201420-10-2014$3.428$3.135
    -8.54%​
    1.6%​
    -7.65%​
    VOC04-07-201423-10-2014$5.547$5.323
    -4.03%​
    0.18%​
    -7.87%​
    APN23-05-201413-11-2014$0.75$0.725
    -3.33%​
    -8.07%​
    QUB24-03-201421-11-2014$2.235$2.215
    -0.88%​
    1.21%​
    -8.05%​
    AAD24-07-201310-12-2014$1.766$2.873
    62.68%​
    7.36%​
    -4.02%​
    IFM04-08-201424-12-2014$0.884$1.196
    35.24%​
    2.14%​
    -1.78%​
    TPM04-11-201413-01-2015$7.462$6.428
    -13.86%​
    -2.63%​
    SHV13-10-201419-01-2015$5.988$6.071
    1.38%​
    -2.55%​
    TSE15-07-201412-02-2015$1.281$1.569
    22.47%​
    -1.18%​
    SRX23-10-201418-03-2015$23.744$19.456
    -18.06%​
    -2.29%​
    MNY12-02-201531-03-2015$1.752$1.468
    -16.25%​
    1.43%​
    -3.2%​
    SPK(TEL)02-10-201310-04-2015$2.043$2.867
    40.32%​
    11.83%​
    -0.04%​
    ABP13-01-201514-04-2015$3.154$2.926
    -7.24%​
    2.69%​
    -0.33%​
    TLS19-01-201512-05-2015$6.217$6.023
    -3.12%​
    2.41%​
    -0.37%​
    CTX04-04-201415-05-2015$21.775$32.157
    47.67%​
    3.21%​
    2.8%​
    WFD18-12-201415-05-2015$8.798$9.262
    5.28%​
    1.8%​
    3.26%​
    AJX11-12-201426-05-2015$0.529$0.526
    -0.47%​
    3.23%​
    TAH29-10-201426-05-2015$3.997$4.833
    20.9%​
    10.01%​
    5.22%​
    CTD16-09-201428-05-2015$7.389$12.091
    63.63%​
    0.81%​
    9.46%​
    REC27-11-201428-05-2015$6.51$7.7
    18.26%​
    1.38%​
    10.8%​
    TNE18-03-201510-06-2015$3.907$3.603
    -7.8%​
    0.55%​
    10.3%​
    FLT15-05-201524-06-2015$46.901$34.279
    -26.91%​
    8.44%​
    AOG13-04-201529-06-2015$2.81$2.61
    -7.12%​
    1.78%​
    8.08%​
    TFC26-05-201501-07-2015$1.896$1.544
    -18.61%​
    6.83%​
    ASB16-06-201407-07-2015$1.256$1.759
    40.12%​
    0.8%​
    9.56%​
    API20-11-201407-07-2015$0.899$1.551
    72.51%​
    2.22%​
    14.67%​
    OZL12-05-201509-07-2015$4.735$3.685
    -22.19%​
    13.08%​
    DLS14-04-201510-07-2015$1.104$1.026
    -7.09%​
    12.58%​
    ALU15-05-201510-07-2015$5.038$4.222
    -16.18%​
    11.44%​
    ISD04-06-201510-07-2015$3.683$3.427
    -6.93%​
    10.96%​
    EPW02-06-201513-07-2015$2.549$2.161
    -15.21%​
    9.91%​
    BKW26-05-201522-07-2015$15.021$14.859
    -1.08%​
    9.83%​
    QAN30-10-201424-07-2015$1.652$3.64
    120.39%​
    18.1%​
    OGC29-06-201503-08-2015$3.323$2.357
    -29.06%​
    15.95%​
    CCP27-07-201525-08-2015$13.177$11.663
    -11.49%​
    15.12%​
    SRF09-07-201504-09-2015$1.862$1.673
    -10.1%​
    14.39%​
    UBN31-07-201504-09-2015$1.35$0.825
    -38.85%​
    11.61%​
    AIA24-12-201410-09-2015$4.198$4.352
    3.66%​
    1.69%​
    11.99%​
    LOV24-06-201522-09-2015$3.525$2.945
    -16.44%​
    1.15%​
    10.92%​
    ASZ23-07-201529-09-2015$1.014$0.954
    -5.85%​
    10.51%​
    JHX04-06-201501-10-2015$16.898$17.322
    2.51%​
    3.66%​
    10.94%​
    APE21-07-201502-11-2015$10.207$10.703
    4.85%​
    1.18%​
    11.36%​
    MMS03-08-201503-11-2015$14.258$12.773
    -10.42%​
    1.89%​
    10.76%​
    IPD27-07-201505-11-2015$1.134$1.036
    -8.65%​
    10.16%​
    IPP03-11-201513-11-2015$3.864$3.836
    -0.74%​
    10.11%​
    SMX10-09-201518-11-2015$4.756$3.294
    -30.74%​
    2.1%​
    8.14%​
    1PG31-08-201525-11-2015$4.425$3.241
    -26.77%​
    6.33%​
    AJX23-09-201511-12-2015$1.099$0.756
    -31.2%​
    4.26%​
    EHE13-11-201530-12-2015$7.497$7.253
    -3.25%​
    4.05%​
    SDA21-07-201531-12-2015$3.372$4.138
    22.69%​
    0.89%​
    5.58%​
    AMA10-06-201508-01-2016$0.618$0.897
    45.25%​
    2.75%​
    8.75%​


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

    Trendnomics Well-Known Member

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

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    EquityBuy DateSell DateBuy Price*Sell Price*Position Open Profit^Position DivsRunning Portfolio Return
    (16 Positions)
    BAP31-03-2015N/A$3.262N/A
    23.77%​
    1.44%​
    10.46%​
    SIQ01-07-2015N/A$2.159N/A
    128.38%​
    3.66%​
    19.58%​
    ELD03-08-2015N/A$4.164N/A
    13.03%​
    20.55%​
    CKF06-08-2015N/A$3.401N/A
    46.39%​
    1.76%​
    24.18%​
    TWE28-09-2015N/A$6.532N/A
    20.45%​
    25.77%​
    TGR229-09-2015N/A$4.316N/A
    5.99%​
    26.24%​
    RRL01-10-2015N/A$1.771N/A
    31.75%​
    28.74%​
    IPH05-10-2015N/A$7.326N/A
    17.72%​
    30.17%​
    GTY02-11-2015N/A$2.779N/A
    2.56%​
    1.8%​
    30.52%​
    SAR05-11-2015N/A$0.557N/A
    19.85%​
    32.14%​
    HUB19-11-2015N/A$3.503N/A
    24.36%​
    34.15%​
    OML26-11-2015N/A$4.166N/A
    3.33%​
    34.43%​
    BGA30-12-2015N/A$7.086N/A
    4.77%​
    34.83%​
    SKC231-12-2015N/A$4.175N/A
    -6.72%​
    34.27%​
    SUL31-12-2015N/A$11.552N/A
    -8.61%​
    33.54%​
    ALL08-01-2016N/A$9.683N/A
    -0.79%​
    33.48%​


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

    aramz Well-Known Member

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    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. Trendnomics

    Trendnomics Well-Known Member

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    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. Newt

    Newt Well-Known Member

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    237
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    Oct 17, 2012
    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. Trendnomics

    Trendnomics Well-Known Member

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    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. Trendnomics

    Trendnomics Well-Known Member

    Posts:
    149
    Likes Received:
    0
    Joined:
    Jan 6, 2016
    Current open trades (actual executed) for the Private Portfolio - Update Week #1:

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

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    EquityBuy DateSell DateBuy Price*Sell Price*Position Open Profit^Position DivsRunning Portfolio Return (16 Positions)
    EVT(AHD)02-12-2014N/A$11.374N/A
    37.81%​
    4.66%​
    4.56%​
    SRX19-08-2015N/A$34.714N/A
    4.25%​
    0.58%​
    4.87%​
    TWE28-09-2015N/A$6.517N/A
    18.81%​
    6.11%​
    ACX02-11-2015N/A$4.705N/A
    9.37%​
    6.73%​
    APO25-11-2015N/A$5.386N/A
    7.79%​
    7.25%​
    RIC11-12-2015N/A$1.602N/A
    -5.81%​
    6.86%​
    BGA30-12-2015N/A$7.067N/A
    -3.17%​
    6.65%​
    BAL23-06-2015N/A$4.255N/A
    202.16%​
    0.67%​
    20.17%​
    ELD03-08-2015N/A$4.155N/A
    14.47%​
    21.26%​
    CKF05-08-2015N/A$3.434N/A
    47.84%​
    1.75%​
    25.01%​
    TGR29-09-2015N/A$4.315N/A
    7.67%​
    25.61%​
    RRL01-10-2015N/A$1.767N/A
    30.63%​
    28.02%​
    WEB07-10-2015N/A$4.396N/A
    26.6%​
    30.15%​
    GTY30-10-2015N/A$2.803N/A
    -3.05%​
    1.78%​
    30.04%​
    SAR05-11-2015N/A$0.556N/A
    25%​
    32.08%​
    CTD31-12-2015N/A$13.243N/A
    -6.98%​
    31.5%​


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

    Trendnomics Well-Known Member

    Posts:
    149
    Likes Received:
    0
    Joined:
    Jan 6, 2016
    Current open trades (actual executed) for the SMSF Portfolio - Update Week #1:

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

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    EquityBuy DateSell DateBuy Price*Sell Price*Position Open Profit^Position DivsRunning Portfolio Return
    (16 Positions)
    BAP31-03-2015N/A$3.262N/A
    19.48%​
    1.44%​
    10.17%​
    SIQ01-07-2015N/A$2.159N/A
    118.65%​
    3.66%​
    18.59%​
    ELD03-08-2015N/A$4.164N/A
    13.99%​
    19.63%​
    CKF06-08-2015N/A$3.401N/A
    49.04%​
    1.76%​
    23.43%​
    TWE28-09-2015N/A$6.532N/A
    18.3%​
    24.84%​
    TGR229-09-2015N/A$4.316N/A
    7.38%​
    25.42%​
    RRL01-10-2015N/A$1.771N/A
    30.05%​
    27.77%​
    IPH05-10-2015N/A$7.326N/A
    19.63%​
    29.34%​
    GTY02-11-2015N/A$2.779N/A
    -2.48%​
    1.8%​
    29.28%​
    SAR05-11-2015N/A$0.557N/A
    24.34%​
    31.25%​
    HUB19-11-2015N/A$3.503N/A
    20.08%​
    32.9%​
    OML26-11-2015N/A$4.166N/A
    5.01%​
    33.31%​
    BGA30-12-2015N/A$7.086N/A
    -3.7%​
    33.01%​
    SKC231-12-2015N/A$4.175N/A
    -6.95%​
    32.43%​
    SUL31-12-2015N/A$11.552N/A
    -12.07%​
    31.43%​
    ALL08-01-2016N/A$9.683N/A
    -3.68%​
    31.13%​


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

    Trendnomics Well-Known Member

    Posts:
    149
    Likes Received:
    0
    Joined:
    Jan 6, 2016
    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):

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    EquityBuy DateSell DateBuy Price*Sell Price*Position Open Profit^Position DivsRunning Portfolio Return
    (16 Positions)
    EVT(AHD)02-12-2014N/A$11.374N/A
    35.44%​
    4.66%​
    4.41%​
    SRX19-08-2015N/A$34.714N/A
    6.99%​
    0.58%​
    4.9%​
    TWE28-09-2015N/A$6.517N/A
    42.29%​
    7.67%​
    ACX02-11-2015N/A$4.705N/A
    6.82%​
    8.13%​
    APO25-11-2015N/A$5.386N/A
    8.53%​
    8.71%​
    RIC11-12-2015N/A$1.602N/A
    -10.18%​
    8.02%​
    BGA30-12-2015N/A$7.067N/A
    -0.34%​
    8%​
    BAL23-06-2015N/A$4.255N/A
    223.07%​
    0.67%​
    23.1%​
    ELD03-08-2015N/A$4.155N/A
    13.03%​
    24.1%​
    CKF05-08-2015N/A$3.434N/A
    48.72%​
    1.75%​
    28.01%​
    TGR29-09-2015N/A$4.315N/A
    10.68%​
    28.87%​
    RRL01-10-2015N/A$1.767N/A
    35.73%​
    31.75%​
    WEB07-10-2015N/A$4.396N/A
    25.69%​
    33.86%​
    GTY30-10-2015N/A$2.803N/A
    0.16%​
    1.78%​
    34.03%​
    SAR05-11-2015N/A$0.556N/A
    31.3%​
    36.65%​
    CTD31-12-2015N/A$13.243N/A
    -7.36%​
    36.02%​

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

    Trendnomics Well-Known Member

    Posts:
    149
    Likes Received:
    0
    Joined:
    Jan 6, 2016
    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):

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    EquityBuy DateSell DateBuy Price*Sell Price*Position Open Profit^Position DivsRunning Portfolio Return
    (16 Positions)
    BAP31-03-2015N/A$3.262N/A
    23.77%​
    1.44%​
    10.46%​
    SIQ01-07-2015N/A$2.159N/A
    131.16%​
    3.66%​
    19.77%​
    ELD03-08-2015N/A$4.164N/A
    12.55%​
    20.71%​
    CKF06-08-2015N/A$3.401N/A
    49.92%​
    1.76%​
    24.61%​
    TWE28-09-2015N/A$6.532N/A
    41.73%​
    27.86%​
    TGR229-09-2015N/A$4.316N/A
    10.39%​
    28.69%​
    RRL01-10-2015N/A$1.771N/A
    35.13%​
    31.52%​
    IPH05-10-2015N/A$7.326N/A
    26.04%​
    33.66%​
    GTY02-11-2015N/A$2.779N/A
    0.76%​
    1.8%​
    33.87%​
    SAR05-11-2015N/A$0.557N/A
    30.62%​
    36.43%​
    HUB19-11-2015N/A$3.503N/A
    13.8%​
    37.61%​
    OML26-11-2015N/A$4.166N/A
    5.01%​
    38.04%​
    BGA30-12-2015N/A$7.086N/A
    -0.87%​
    37.96%​
    SKC231-12-2015N/A$4.175N/A
    0.47%​
    38%​
    SUL31-12-2015N/A$11.552N/A
    -12.93%​
    36.89%​
    ALL08-01-2016N/A$9.683N/A
    0.76%​
    36.95%​

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

    Trendnomics Well-Known Member

    Posts:
    149
    Likes Received:
    0
    Joined:
    Jan 6, 2016
    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):

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    EquityBuy DateSell DateBuy Price*Sell Price*Position Open Profit^Position DivsRunning Portfolio Return
    (16 Positions)
    EVT(AHD)02-12-2014N/A$11.374N/A
    33.5%​
    4.66%​
    4.29%​
    SRX19-08-2015N/A$34.714N/A
    8.26%​
    0.58%​
    4.86%​
    TWE28-09-2015N/A$6.517N/A
    38.92%​
    7.41%​
    ACX02-11-2015N/A$4.705N/A
    6.18%​
    7.83%​
    APO25-11-2015N/A$5.386N/A
    11.32%​
    8.59%​
    RIC11-12-2015N/A$1.602N/A
    -7.99%​
    8.04%​
    BGA30-12-2015N/A$7.067N/A
    -0.19%​
    8.03%​
    BAL23-06-2015N/A$4.255N/A
    224.72%​
    0.67%​
    23.25%​
    ELD03-08-2015N/A$4.155N/A
    12.79%​
    24.24%​
    CKF05-08-2015N/A$3.434N/A
    51.92%​
    1.75%​
    28.4%​
    TGR29-09-2015N/A$4.315N/A
    11.38%​
    29.32%​
    RRL01-10-2015N/A$1.767N/A
    32.9%​
    2.26%​
    32.16%​
    WEB07-10-2015N/A$4.396N/A
    22.05%​
    33.98%​
    GTY30-10-2015N/A$2.803N/A
    4.09%​
    1.78%​
    34.47%​
    SAR05-11-2015N/A$0.556N/A
    29.5%​
    36.95%​
    CTD31-12-2015N/A$13.243N/A
    -10.23%​
    36.07%​

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

    Trendnomics Well-Known Member

    Posts:
    149
    Likes Received:
    0
    Joined:
    Jan 6, 2016
    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):

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    EquityBuy DateSell DateBuy Price*Sell Price*Position Open Profit^Position DivsRunning Portfolio Return
    (16 Positions)
    BAP31-03-2015N/A$3.262N/A
    28.37%​
    1.44%​
    10.77%​
    SIQ01-07-2015N/A$2.159N/A
    126.53%​
    3.66%​
    19.79%​
    ELD03-08-2015N/A$4.164N/A
    12.31%​
    20.71%​
    CKF06-08-2015N/A$3.401N/A
    53.15%​
    1.76%​
    24.85%​
    TWE28-09-2015N/A$6.532N/A
    38.36%​
    27.85%​
    TGR229-09-2015N/A$4.316N/A
    11.09%​
    28.73%​
    RRL01-10-2015N/A$1.771N/A
    32.31%​
    2.26%​
    31.51%​
    IPH05-10-2015N/A$7.326N/A
    20.72%​
    33.22%​
    GTY02-11-2015N/A$2.779N/A
    4.71%​
    1.8%​
    33.76%​
    SAR05-11-2015N/A$0.557N/A
    28.82%​
    36.17%​
    HUB19-11-2015N/A$3.503N/A
    10.94%​
    37.1%​
    OML26-11-2015N/A$4.166N/A
    10.78%​
    38.02%​
    BGA30-12-2015N/A$7.086N/A
    -0.73%​
    37.96%​
    SKC231-12-2015N/A$4.175N/A
    1.19%​
    38.06%​
    SUL31-12-2015N/A$11.552N/A
    -12.15%​
    37.01%​
    ALL08-01-2016N/A$9.683N/A
    5.51%​
    37.48%​

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

    Trendnomics Well-Known Member

    Posts:
    149
    Likes Received:
    0
    Joined:
    Jan 6, 2016
    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:

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    EquityBuy DateSell DateBuy Price*Sell Price*Current Close (29/01/16)% Loss (Since Sell)
    AWE24-07-201321-10-2013$1.443$1.282$0.515-59.83%
    CCV12-09-201329-10-2013$1.259$1.086$0.525-51.66%
    UGL13-09-201320-11-2013$8.126$6.832$2.2-67.8%
    BDR02-10-201304-12-2013$0.837$0.673$0.155-76.97%
    TTN15-10-201306-12-2013$3.257$2.483$0.037-98.51%
    CDD24-10-201306-02-2014$6.806$6.084$0.94-84.55%
    AGO21-10-201306-02-2014$1.007$1.003$0.016-98.4%
    BCI02-09-201311-03-2014$4.469$4.57$0.08-98.25%
    MML14-03-201423-04-2014$2.574$1.803$0.38-78.92%
    DLS30-01-201404-06-2014$1.468$1.527$0.485-68.24%
    CAJ01-04-201406-06-2014$0.611$0.444$0.205-53.83%
    PAN04-06-201424-09-2014$0.677$0.648$0.082-87.35%
    WHC25-08-201430-10-2014$1.969$1.537$0.41-73.32%
    LNG28-03-201414-11-2014$0.576$3.536$0.64-81.9%
    CAJ01-10-201402-12-2014$0.681$0.589$0.205-65.2%
    IGO01-05-201528-05-2015$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):


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    2.png

    3.png
     
  17. Trendnomics

    Trendnomics Well-Known Member

    Posts:
    149
    Likes Received:
    0
    Joined:
    Jan 6, 2016
    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:

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    EquityBuy DateSell DateBuy Price*Sell Price*Current Close (29/01/16)% Loss (Since Sell)
    PDN30-07-201307-08-2013$0.976$0.664$0.21-68.37%
    AWE124-07-201321-10-2013$1.444$1.276$0.515-59.64%
    WOR17-09-201321-11-2013$23.29$15.64$3.39-78.32%
    MLD17-10-201327-12-2013$2.647$2.513$0.7-72.14%
    MGX221-10-201328-02-2014$0.849$0.87$0.185-78.74%
    BCI02-09-201311-03-2014$4.489$4.551$0.08-98.24%
    AWE206-03-201416-09-2014$1.555$1.714$0.515-69.95%
    SEA23-07-201414-10-2014$1.289$1.096$0.12-89.05%
    DLS14-04-201510-07-2015$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. Trendnomics

    Trendnomics Well-Known Member

    Posts:
    149
    Likes Received:
    0
    Joined:
    Jan 6, 2016
    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.

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    EquityBuy DateSell DateBuy Price*Sell Price*Position Open Profit^Position DivsRunning Portfolio Return
    (16 Positions)
    EVT(AHD)02-12-2014N/A$11.374N/A
    29.19%​
    4.66%​
    4.01%​
    SRX19-08-2015N/A$34.714N/A
    2.7%​
    0.58%​
    4.22%​
    TWE28-09-2015N/A$6.517N/A
    35.54%​
    6.54%​
    ACX02-11-2015N/A$4.705N/A
    -8.7%​
    5.96%​
    APO25-11-2015N/A$5.386N/A
    4.26%​
    6.24%​
    RIC11-12-2015N/A$1.602N/A
    -10.8%​
    5.52%​
    BGA30-12-2015N/A$7.067N/A
    -7.13%​
    5.05%​
    BAL23-06-2015N/A$4.255N/A
    200.75%​
    0.67%​
    18.28%​
    ELD03-08-2015N/A$4.155N/A
    8.94%​
    18.94%​
    CKF05-08-2015N/A$3.434N/A
    42.02%​
    1.75%​
    22.19%​
    TGR29-09-2015N/A$4.315N/A
    0.95%​
    22.26%​
    RRL01-10-2015N/A$1.767N/A
    37.43%​
    2.26%​
    25.3%​
    WEB07-10-2015N/A$4.396N/A
    15%​
    26.47%​
    GTY30-10-2015N/A$2.803N/A
    5.16%​
    1.78%​
    27.02%​
    SAR05-11-2015N/A$0.556N/A
    44.8%​
    30.58%​
    CTD31-12-2015N/A$13.243N/A
    -13.62%​
    29.47%​


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

    Trendnomics Well-Known Member

    Posts:
    149
    Likes Received:
    0
    Joined:
    Jan 6, 2016
    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.

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    EquityBuy DateSell DateBuy Price*Sell Price*Position Open Profit^Position DivsRunning Portfolio Return
    (16 Positions)
    BAP31-03-2015N/A$3.262N/A
    27.76%​
    1.44%​
    10.73%​
    SIQ01-07-2015N/A$2.159N/A
    110.78%​
    3.66%​
    18.65%​
    ELD03-08-2015N/A$4.164N/A
    8.47%​
    19.28%​
    CKF06-08-2015N/A$3.401N/A
    43.16%​
    1.76%​
    22.63%​
    TWE28-09-2015N/A$6.532N/A
    34.99%​
    25.31%​
    TGR229-09-2015N/A$4.316N/A
    0.66%​
    25.36%​
    RRL01-10-2015N/A$1.771N/A
    36.83%​
    2.26%​
    28.43%​
    IPH05-10-2015N/A$7.326N/A
    15.26%​
    29.65%​
    GTY02-11-2015N/A$2.779N/A
    5.79%​
    1.8%​
    30.27%​
    SAR05-11-2015N/A$0.557N/A
    44.08%​
    33.86%​
    HUB19-11-2015N/A$3.503N/A
    18.08%​
    35.37%​
    OML26-11-2015N/A$4.166N/A
    9.34%​
    36.16%​
    BGA30-12-2015N/A$7.086N/A
    -7.65%​
    35.51%​
    SKC231-12-2015N/A$4.175N/A
    -0.25%​
    35.48%​
    SUL31-12-2015N/A$11.552N/A
    -13.54%​
    34.34%​
    ALL08-01-2016N/A$9.683N/A
    2.93%​
    34.58%​

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

    Trendnomics Well-Known Member

    Posts:
    149
    Likes Received:
    0
    Joined:
    Jan 6, 2016
    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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