ASA Investment Course 2019

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Bill
Posts: 139
Joined: Thu Nov 03, 2016 10:42 pm

ASA Investment Course 2019

Post by Bill » Tue Jun 11, 2019 1:51 am

This thread is posted for members taking the ASA course “Investing in the Stock Market in a Time of Change”, starting in June of 2019. It provides the history of this trend following system and details of an active investment portfolio based on the trend following system. This backtested portfolio has returned a yearly average of 19% over a 10-year period, with acceptable drawdowns.

Background At the 2018 ASA Sydney Conference, I presented a workshop on investment planning where I discussed a useful backtested, trend following investment system which was developed over several years. It is relatively simply and very profitable. As a sequel to the workshop, this trend following system was posted on the forum as an ongoing active investment portfolio where stock sales and purchases were discussed in detail. This made the system available for review and discussion, where every trade was available for critical analysis/review. The aim was to show how a profitable system was managed and to demonstrate the rigour needed in an investment system to enable profitability.

A copy of the recorded course and details of the trend following system will be sent to all members who are taking the course. Full details of the trend following system may be also be downloaded here.
190528 TF System.docx
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Portfolio details
The portfolio was started in January of 2018 with nominal capital of $100,000. It holds a maximum of 5 stocks and brokerage of 0.2% is paid on every trade. The aim of the original forum thread was to allow members to follow the activity of a portfolio which is fully transparent and includes full details of every trade, including the specific date and price of every trade. If you are interested in the earlier activity of this portfolio, see viewtopic.php?f=7&t=235

This is the equity curve for the trend following system portfolio as of 12 June 2019.
Snap 2019-06-12 at 06.32.41.png
This is a summary of portfolio performance as of 12 June 2019.
Snap 2019-06-12 at 06.46.23.png
Snap 2019-06-12 at 06.46.23.png (17.91 KiB) Viewed 100 times

Due to constraints of space, the current holdings of the trend following system and past trades are included in the next post in this thread.

Bill
Posts: 139
Joined: Thu Nov 03, 2016 10:42 pm

Re: ASA Investment Course 2019

Post by Bill » Tue Jun 11, 2019 10:07 pm

Follow up data on the trend following portfolio.

The following is a table of the chronological trading history in the portfolio since inception in January 2018.
Snap 2019-06-12 at 06.48.23.png

This table provides the sorted data from the previous table to allow a comparison of wins and losses. To date there have been 8 winning trades and 8 losing trades. The average winning trade is $5230 while the average losing trade is $2526. In any profitable system the average win must exceed the average loss.
Snap 2019-06-12 at 07.47.59.png

These are the current stocks held in the portfolio.
Snap 2019-06-12 at 06.50.06.png

Bill
Posts: 139
Joined: Thu Nov 03, 2016 10:42 pm

Re: ASA Investment Course 2019

Post by Bill » Mon Jun 24, 2019 11:23 pm

The second webinar made reference to the following Excel spreadsheet for recording all trades. It can also be used for the simple calculation of specific risk.
Snap 2019-06-25 at 09.12.04.png

This spreadsheet may be downloaded from here.
190625 Course trading sheet.xlsx
(21.65 KiB) Downloaded 8 times

Please note that this spreadsheet is not protected so care is needed to avoid deleting calculations from cells.

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