New journal where I plan to post about my discretionary trading - https://www.elitetrader.com/et/threads/vals-discretionary-trading-journal.371384/
Don't have it handy. Net is slightly positive YTD and something like +30% for a recent corporate year end. I've hit some triggers that point out a revision is due but have no interest in spending too much time on that. Next 12 months will offer exceptional discretionary opportunities and prep + building positions that is where my focus is right now.
Hi Val, Thanks for all the great posts here. When I run the "off-the-shelf" ndx_rotate in RealTest, I get quite a few more drawdowns > 8% (outside the two time spans noted above). Can you give some direction on the modifications needed to limit the drawdowns as described?
You can reduce size if you like the system. It's low trade count, very easy to overfit if you start adding too much stuff to it.
Traded that on a small size for a short period of time. It stopped taking trades around Feb I think. That was part of the system.
Had to act very fast around the close on Firday, 3/4 mil$ notional short exposure right now. The stars seems to be aligned for a volatilty spike and mass exit out of equities. Markets don't go up or down in a straight, neither bear markets end with a pretty series of lower lows. Things can go down fast from here. Wouldn't be surpsired to see a gap down on monday ahead of Fed announcements next week. Someone else's chart but relevant. A reminder to oneself and others - market will do what it will. But this is what I'm putting my money on.
Valery do you trade mean reversion strategies also on Canadian stocks as I understand you are from Canada? I do trade a lot of mean reversion on US market, but the results are +/- zero this year. That is fine with me, but of course I am always looking for ways to make trading better. My studies show that mean reversion on Canadian stocks works much better this year. I published my comparison here: https://crackingmarkets.substack.com/p/swing-mean-reversion-strategies-in It shows that same system/benchmark on S&P/TSX Composite made money. There are higher fees for the canadian markets in IB, but even when acount that, MR strategies seems to do quite good in backtest. And live too, although I currently trade only long side. Do you have experience with this market yourself? Peter
Exposure drammatically changed today following what the market was doing. Short term market have positioned itself for a rally. Reduced my short exposure but enough is still on, long AMZN, long volatility, short 20y bonds. Closed shorts on stocks that were looking stronger, kept weak ones. Big news tomorrow before open then mid-day. CPI and Fed's decision. I think whatever happens after the news will persist into year's end.