Juan Regular  Posts: 74 Joined: 10/11/2012 Location: Round Rock, Tx  User Profile | Yes I've had rough couple of months as well. I was up an incredible 46% but then hit a 21% draw down. This is trading since April 1st on my leveraged portfolio. The good news is that it's within historical thresholds of the portfolio and the overall return and then subsequent draw down in OV match my real trading results. I was very pleased that everything lined up real well from what I see on the charts in OV to my live trading. I've actually followed this very consistently just to see if it really worked. My retirement portfolio was ahead of the SPY for most of the year, but is now way behind. While SPY has been shooting up, the portfolio I have is hardly firing any trades. So basically sitting out this extraordinary market uptrend. From mid Sept. to mid Oct., the market was consistently going down and RTM trades just went from bad to worse. Then from mid Oct to now, the market has shot up like a rocket and RTM strategies have mainly been firing shorts. See article of how unusual this is http://www.marketwatch.com/story/dont-get-suckered-by-stock-market-winning-streak-2014-11-12?dist=afterbell. This combination led to, of course, pretty bad drawdown while the market is actually up for the year. What I've noticed with RTM strategies are: 1) We need better stop loss management. There were several trades that just keep rolling over every day. RTM is waiting for slight up day to close the position. But that doesn't always happen and a stock just continues to go down. Some stocks get oversold and stay oversold for a long time (vice versa for shorts). For some of the less liquid stocks, this can happen quite often and you end up taking a huge loss. I suggest some place to add stop loss code in our strategies. Weather it's as simple as close the position at 10% loss or something more complex using OmniLanguage, there needs to be a way to get out of bad trades and back test the logic. 2) The V-shape we have recently experienced in the market is quite unusual and caused RTM strategies to continue buying all the way down and then start shorting all the way up (or stop trading all together for LONG only accounts). Item #2 has actually confirmed more then ever that we truly need to focus on PW and PB to get around this. I recommend that Nirvana add the ability to switch strategies or portfolios weekly or twice a month in PW and PB. Thus, the process can recognize market changes more quickly. Ed mentioned that this is something he'd like to add. I fully agree...don't know if it will work...but worth trying it out over this past two months. I still feel we have all the tools to figure it out. It's just not going to be as easy as originally expected. The original run up of 46% was a real profit and I'm very positive about that. If we hadn't had the recent V shape in the market, it may have gone to 60% or even 100%...who knows. But the potential to get significant returns is clearly there. | |
