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

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minwa said:
Ahhh yes 2 years of stuffing around break even before one year of gain is a sure crowd pleaser, no wonder this thread is massively popular.

I make a habit of calling out trading/investing BS on this forum - this is one. Up to readers to decide.
Click to expand...

Only time will tell.
 
minwa said:
Ahhh yes 2 years of stuffing around break even before one year of gain is a sure crowd pleaser, no wonder this thread is massively popular.

I make a habit of calling out trading/investing BS on this forum - this is one. Up to readers to decide.
Click to expand...

About "2 years of stuffing around break even" I couldn't care less, just watch the other trendfollowers how they're doing. See for example Radge and his systems, I think he did much worse than T. Well I don't have exact figures since Rage removed the actual percentages out of the performance page and only left in there some nice looking charts.

I for for one find this thread very informative, so please if you don't like don't post trash. Tx.
 
soso said:
I for for one find this thread very informative, so please if you don't like don't post trash. Tx.
Click to expand...

Awww you should've popped up earlier, when he was crying this thread not getting attention.
 
A few trades closed in the past week - the most profitable being Treasury Wine Estates (TWE):

312 Day Trade : +47.2% Profit (Includes a Dividend + Renounce-able Rights Sale).

 
Portfolio updates: Was down this week, but had a good mid-week recovery - SMSF portfolio on new high:

Private Portfolio: +70.91 % (Since 07-2013) ~+18.99% per year return

SMSF Portfolio: +78.39 % (Since 07-2013) ~+20.65% per year return

Due to an upcoming extended holiday, I'll be limiting the number of future updates (until further notice).
 
Busy preparing for a holiday, but have time to post a quick update (especially considering the excellent week) - both portfolio's on new equity highs (holding WebJet in SMSF ):

Private Portfolio: +74.18 %

SMSF Portfolio: +83.83 %

Compared my returns to an accumulation index, and was surprised at the extreme out-performance my system has achieved:


 
I think if you superimpose the XSO (small ords) part of the mystery is explained Trendnomics. Small and mid caps have exploded >30 over the last 10 months - over 3 times XAO performance.

Certainly happy times for trend following. Fingers crossed mean reversion doesn't gate crash us any time soon

Have a good break...
 

Thanks for the post Newt.

The recent XSO recovery has certainly been impressive, but the index's return over my trading period is only ~30%:



On a side note, the next draw-down is just around the corner .
 
I have the $XSOA up around 45% since 1/07/13.

View attachment 67816

Nevertheless, a great run for trend followers for sure. The following trend following profit distribution is over the same period. (Simulation only which does not count for much, especially $'s)

View attachment 67815
 
Those long periods of being under water don't phase you? Like nearly two years! Our market bounce in January certainly gave your portfolio a boost. A bit like rain after a long drought.
 
Wysiwyg said:
Those long periods of being under water don't phase you? Like nearly two years! Our market bounce in January certainly gave your portfolio a boost. A bit like rain after a long drought.
Click to expand...

At times it was painful - in particular when I lost my full time job (redundancy - end of mining boom). But my strong fundamental knowledge of my system, ensured that I continued trading my system in a disciplined and consistent manner. It's Murphy's law, that I suffered the longest draw-down in my system's history, during live trading (i.e. out-of-sample) - but the experience has greatly contributed to my psychological conditioning.

Currently "suffering" a new draw-down, while on holiday (for the Private Portfolio I have lost 5 times more than the cost of my holiday) :

Private Portfolio: +60.53 %

SMSF Portfolio: +77.22 %

The market giveth and the market taketh, but overall the give will be more than the take, when you apply a positive expectant system in a disciplined and consistent manner.
 
Portfolio updates: Back from my island break. Portfolio's have slightly recovered since my last post, dividends have kicked in, but I have also suffered a quick (17 day trade), -29% loss on SMX.asx (for the private portfolio).

Private Portfolio: +64.65 %

SMSF Portfolio: +81.36 %

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

Private:

COH - Open (29.19%) - 208 day trade
VTG - Open (98.61%) - 201 day trade
SSM - Open (38.44%) - 145 day trade
WOR - Open (16.56%) - 86 day trade
CAT - Open (-1.57%) - 64 day trade
AAC - Open (-18.1%) - 50 day trade
FMG - Open (7.44%) - 44 day trade
FXJ2 - Open (-6.46%) - 33 day trade
RRL - Open (118.92%) - 345 day trade
SAR - Open (144.69%) - 310 day trade
NAN - Open (43.11%) - 186 day trade
PGH - Open (3.13%) - 75 day trade
RCR - Open (25.67%) - 40 day trade
SVW - Open (15.79%) - 37 day trade
RFG2 - Open (-2.03%) - 10 day trade
FNP - Open (-2.4%) - 5 day trade

SMSF:

BAP - Open (87.84%) - 529 day trade
RRL - Open (118.12%) - 345 day trade
SAR - Open (143.69%) - 310 day trade
SKC2 - Open (8.61%) - 254 day trade
ALL - Open (53.22%) - 246 day trade
COH - Open (28.37%) - 208 day trade
VTG - Open (97.82%) - 201 day trade
NAN - Open (42.43%) - 186 day trade
SSM - Open (37.82%) - 145 day trade
FBU - Open (32.58%) - 86 day trade
CL1 - Open (20.65%) - 72 day trade
MND - Open (-17.41%) - 46 day trade
FMG - Open (6.59%) - 44 day trade
WEB - Open (34.5%) - 37 day trade
GMA - Open (-12.39%) - 30 day trade
SIQ2 - Open (-5.5%) - 22 day trade
 
Quick portfolios update: Private portfolio made quite a recovery after Monday's shock. The SMSF portfolio is avoiding all the bad trades.

Private Portfolio: +63.35 %

SMSF Portfolio: +82.22 %
 
jjbinks said:
nice work

Do you use a index filter?
Click to expand...

Thanks for your question.

Short answer: No.

Long answer: I have carefully considered the option of using an Index Filter. I have done plenty of back-testing with and without an Index Filter. My conclusion is that using an Index Filter will provide a "smoother" equity curve, but unfortunately there are no free lunches - Index Filters tend to reduce overall system returns.
 
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