Joachim Klindworth @momentmal2022 Twitter profile

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Joachim Klindworth

@momentmal2022

6 months

I am running a strategy portfolio of 35% ASX small & midcap stocks and a 35% US large Cap portfolio. This is my base investment level driven by momentum & trendfollowing. In addition, I am trading multiple seasonal and MR strategies on US stock indices. So far so good.

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Joachim Klindworth

@momentmal2022

2 months

MR System on USTechStocks. First live trades in line with backtest. Sytem Rules Adjusted*: Positions: 5 Buy*: Vol < 7% , > EMA(C, 160), C < Ema(C,5) Open next bar Opening Close: C > Ref(H,-1) Exit next bar Opening TakeProfit: 5% StopLoss: 15% Exit next bar Opening

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Joachim Klindworth

@momentmal2022

2 months

Basic Swing Strategy on QQQ. Rules are in the chart. Swing Trading is an undiscovered area for me. However, this looks interesting for a start. TC included. Exectution at next bar opening via MOO. Left chart: Swing Strategy Rgiht Chart: Trendfollowing

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Joachim Klindworth

@momentmal2022

3 months

Second best candle pattern on TechStocks: Buy: ThreeOutsideDown() AND volfilter Sell: C>Ref(H,-1) TakeProfit: 5% intraday StopLoss: 10% next bar BuyPrice: Next Bar at Opening ClosePrice: This Bar at Closing IndexFilter & PositionRanking

Joachim Klindworth

@momentmal2022

3 months

Inspired by @JoachimMo1985 I looked at candle pattern again. One pattern, two signals at a time, TechStock Universe. Trade at opening next bar, close at close. Have to do more robustness analysis. Looks to good to be true.

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Joachim Klindworth

@momentmal2022

4 months

Systematic Trading is a creativ process. I usuarlly find my inspirations in books or the internet. One source I can genuinely recommend is @QuantifiedStrat . Of course, these are basic ideas. But basic ideas can be so powerfull. Like the relation between TLT and QQQ.

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Joachim Klindworth

@momentmal2022

20 days

This is one of my strongest MR system. It takes advantage of the relative strength of QQQ & TLT and its relation to each other. With a 33% ytd. Strategy is based on @QuantifiedStrat QQQ-TLT approach. Question is how much weight to give this one asset strategy?

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Joachim Klindworth

@momentmal2022

6 days

Last year I came across seasonality. This strategy trades the ultimo effect adding a bit of secret sauce. If you want to know more about seasonality listen to Or write in comment. Current Position TLT and TLH.

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Joachim Klindworth

@momentmal2022

1 month

This is why I like trading momentum strategies on the ASX market. Momentum can be strong & correlation to US is low. Also lots of scientific literature on momentum on different markets. By the way US and ASX are one of the strongest rel. mom markets.

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Joachim Klindworth

@momentmal2022

3 months

Mean Reversion System on UStechStocks. Recent research project. Strategy works well on stock universe: NASDAQ100, RUSSEL1000, ASX100, TSX60 All analysis passed so far: IS, OOS, MC Still results look to good to be true, but can't find any mistakes. YTD - max 5 positions

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Joachim Klindworth

@momentmal2022

3 months

Last year I came across seasonality. At first, I thought this is all nonsense until I looked at the data. This is the trade list of a model based on the Turnaround Tuesday. Current Ytd 28,6%. Profitfactor 1.78. Stay open minded. Yesterday was a strong day.

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Joachim Klindworth

@momentmal2022

18 days

Coming back to robustness. First, RSI parameter is not for optimization. MR models work best with a lag of 2 or 3. There is an interdependenz of RSI lag and entry-exit treshold. There are 2 entry and exit rules one for each asset. You can simplify them to 2. 2 parameters

Joachim Klindworth

@momentmal2022

20 days

This is one of my strongest MR system. It takes advantage of the relative strength of QQQ & TLT and its relation to each other. With a 33% ytd. Strategy is based on @QuantifiedStrat QQQ-TLT approach. Question is how much weight to give this one asset strategy?

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Joachim Klindworth

@momentmal2022

3 months

Inspired by @JoachimMo1985 I looked at candle pattern again. One pattern, two signals at a time, TechStock Universe. Trade at opening next bar, close at close. Have to do more robustness analysis. Looks to good to be true.

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Joachim Klindworth

@momentmal2022

4 months

On my way to London I listend to the @bettersystrader podcast and @QuantifiablEdgs . I got inspired,put some thoughts in it using Rob's research. This is what I got so far with shorting the VXX. I never thought about shorting volatility. Curiosity can be such a strong tool.

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Joachim Klindworth

@momentmal2022

7 days

The dark blue equity curve uses the same trendfilter & asset selection filter as the bright blue one. MR approach clearly provides an edge. TF = average(Index/EMA(Index,lag)) Asset Filter: slope adjusted R2 These 2 rules provide you a risk-return adjusted edge. Simple.

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Joachim Klindworth

@momentmal2022

15 days

Coming back to your analysis. Here you can see the individual trade statistics, equity curves and underwater curves for trading TLT and QQQ individually using my modified QQQ-TLT Rotation approach based @QuantifiedStrat Question CAR/MDD for TLT itself not very attractive

Klemen Koselj

@KlemenKoselj

16 days

@momentmal2022 @QuantifiedStrat @quantitativo1 To me it looks like QQQ leg of the QQQ/TLT portfolio based on this spread is promising. TLT looks ugly even after tweaks. Indeed, together they look much better than TLT(!) alone, but worse than QQQ alone. I shall pass on the TLT leg...

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Joachim Klindworth

@momentmal2022

3 months

Today, I had the first signals for my long Vol models. Thank you again for the shared knowledge and input of @QuantifiablEdgs and @bettersystrader for hosting experts of our field.

Joachim Klindworth

@momentmal2022

4 months

On my way to London I listend to the @bettersystrader podcast and @QuantifiablEdgs . I got inspired,put some thoughts in it using Rob's research. This is what I got so far with shorting the VXX. I never thought about shorting volatility. Curiosity can be such a strong tool.

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Joachim Klindworth

@momentmal2022

15 days

Once I traded a global Index MR system. I also had a seed capital account from a hf, too. In 2018 I got greedy & increased possible leverage. Burned my fingers so badly, I was not able to trade it anymore. Now, I found the courage to update the data. What is your impression ?

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Joachim Klindworth

@momentmal2022

3 months

Inspired by @QuantifiedStrat analysis on the relation of QQQ-TLT, I applied the system to the tech stock universe using @NorgateData . Model analysis done on the QQQ-TLT relation. Instead of QQQ you trade tech stocks. CAR: 24% | RAR 92%. Promissing.

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Joachim Klindworth

@momentmal2022

4 months

New portfolio high. Main driver was ASX MOM stocks. 35% is allocated to this strategy. The overall ASX market is rather weak. Still this 35% ASX share of my pf was responsible for a total of +1% on pf level. A big thank you to @EnlightenStock for all the learnings so far.

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Joachim Klindworth

@momentmal2022

3 months

Recently, I started a strategy portfolio at @Darwinexchange . The track record is still in it's baby shoes. However, the trade statistics of the Mean Reversion strategies are promissing. I am looking forward to adding more strategies to this portfolio.

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Joachim Klindworth

@momentmal2022

5 months

Coming back to my earlier post regarding volatility. Combining volatility with a recent weakness for the US major stock indices has an edge. The strategy exits on strenght. Selecting two positions ouf of four indices. Using 2x Leverage. TP, SL and Time added.

Joachim Klindworth

@momentmal2022

5 months

Volatility is such a strong indication for longterm performance. Selecting low vol stocks is key. Vol can be calculated in differect ways. E.G.: ATR/C ATR stdev. Interesting fact. By using ATR you favor low priced stocks. So Magnificent 7 stocks were excluded recently.

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Joachim Klindworth

@momentmal2022

2 months

Much appreciated all the feedback. I will come back with more detailed analyses.

Joachim Klindworth

@momentmal2022

2 months

MR System on USTechStocks. First live trades in line with backtest. Sytem Rules Adjusted*: Positions: 5 Buy*: Vol < 7% , > EMA(C, 160), C < Ema(C,5) Open next bar Opening Close: C > Ref(H,-1) Exit next bar Opening TakeProfit: 5% StopLoss: 15% Exit next bar Opening

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Joachim Klindworth

@momentmal2022

5 months

Keeping up with all the input. @JoachimMo1985 TQQQ looks good. However, I prefer QQQ using leverage. Using 1.5 Leverage, the MR model on the QQQ shows some profound statistics. If you want a pure crisis alpha model add a min vol filter like ATR(4) >2.5.

Joachim Klindworth

@momentmal2022

5 months

Coming back to Mean Reversion topic. The approach is simpel. Two entry rules, one exit rule. Stop Loss & Take Profit. Done. Analysed on the QQQ. OEF & IVV looks attractive, too. Exact same model on all markets. Any thoughts?

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Joachim Klindworth

@momentmal2022

5 months

Relative momentum aka rotation strategies are made for the US large cap market. One example of my current Russel200 strategy portfolio. This year the strategy is showing its full potential again.

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Joachim Klindworth

@momentmal2022

18 days

Strategy Diversification is key for us. MDD correlation between 4 mean reversion systems on indices. All models exploit short term MR. Long term correlation of MDD is low. More important is the actual realization of drawdowns. See for yourself. Credit to @LITsignals

Matthew Smith

@MomentumCapital

18 days

@momentmal2022 @QuantifiedStrat Have anything else to pair it with that has unrelated drawdowns? Putting them together could dampen DD/volatility of returns.

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Joachim Klindworth

@momentmal2022

3 months

Regime Filters are a useful tool for the crypto market. Even a simple MA is working. In this case I use a customized MA based on the HMA. It does work well on the crypto market. My strategy is short since the 14th of June.

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Joachim Klindworth

@momentmal2022

2 months

I am glad I joined twitter / X. Sharing knowledge and being inspired by like minded peers is such a tremendous benefit for me. Being curious is one thing I like about being a systematic trader. Never stop learning.

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Joachim Klindworth

@momentmal2022

3 months

Coming back to the eye catching Candle Pattern Model from last week. Didn't know that using Chat GPT can be so much fun. Although Bearish Enguling pattern ist better then random entry and average holding period it does not hold up to my shortterm reversal model approach.

Joachim Klindworth

@momentmal2022

3 months

Second best candle pattern on TechStocks: Buy: ThreeOutsideDown() AND volfilter Sell: C>Ref(H,-1) TakeProfit: 5% intraday StopLoss: 10% next bar BuyPrice: Next Bar at Opening ClosePrice: This Bar at Closing IndexFilter & PositionRanking

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Joachim Klindworth

@momentmal2022

4 months

Today, my new US Index model placed its first long trade. The model takes advantage of changes in volatility combined with shortterm weakness. Performance is strong in times of crisis, but also in normal volatile times. Thank you for the inspiration @PKycek

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Joachim Klindworth

@momentmal2022

3 months

NASDAQ suffered a -2% trading yesterday. My mom strategies on NASDAQ100 & Russel200 behaved fairly stable. Ultra Large Cap Mom had a bad day. Vol positions not that much of a help. However, ASX small cap Mom strategy saved the day. Overal -0.02% yesterday. That is why I like ASX

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Joachim Klindworth

@momentmal2022

5 months

So far so good. Interestingly, how my mind keeps expexting linear growth. I am algotrading for 10 years now and my mind still tries to play games with me. I guess this will never change. The longer you are in the game, the more you are aware, growth is not linear.

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Joachim Klindworth

@momentmal2022

5 months

Recenlty, I have been working on a QQQ strategy portfolio. Focussing on shortterm strategies. Each strategy adressing the NASDAQ100 characteristics in a different way. A short strategy would be nice to add. @JoachimMo1985 @RealTQQQTrader Any suggestions?

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Joachim Klindworth

@momentmal2022

3 months

A great post about momentum. It really resonates with my experiences when I used to work in a bank. Once I went to hedge fund talk where one manager went on and on about that momentum and trendfollowing does not work. I could’t disagree more.

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Joachim Klindworth

@momentmal2022

4 months

Just read the post all you need is that the price is above its EMA with a 21 day lag. This strategy worked fairly well the last couple of months. True. However, we always need to look at the long term picture. Clearly, the above rule alone is not enough.

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Joachim Klindworth

@momentmal2022

20 days

Strategy portfolio is holding up good. Correlation is a little bit high for my taste. Beta to NDX is ok, however to SPX not. Basically, just holding SPY would have led to a better risk adjusted realized performance. At least this year so far. Wait for the next months ahead.

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Joachim Klindworth

@momentmal2022

4 months

This month was particularly strong. I am happy that I can add some shortterm protection strategies the next month. Thanks to @TradetroniX

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Joachim Klindworth

@momentmal2022

1 month

Coming back to my earlier post about my research on a mean reversion stock system. The system is in live incubation. So far execution prices of MOO and MOC orders match @NorgateData prices. Today there are 5 new signals. A promissing start for a new week.

Joachim Klindworth

@momentmal2022

2 months

MR System on USTechStocks. First live trades in line with backtest. Sytem Rules Adjusted*: Positions: 5 Buy*: Vol < 7% , > EMA(C, 160), C < Ema(C,5) Open next bar Opening Close: C > Ref(H,-1) Exit next bar Opening TakeProfit: 5% StopLoss: 15% Exit next bar Opening

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Joachim Klindworth

@momentmal2022

5 months

Why does Mean Reversion works so well on the NASDAQ100? I expect due its high vol and positive trending characteristic. Should I be then concert if a MR model works less well on e.g. the SP500 using the exact same model? What are your thoughts?

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Joachim Klindworth

@momentmal2022

5 months

Coming back to Mean Reversion topic. The approach is simpel. Two entry rules, one exit rule. Stop Loss & Take Profit. Done. Analysed on the QQQ. OEF & IVV looks attractive, too. Exact same model on all markets. Any thoughts?

Joachim Klindworth

@momentmal2022

5 months

Why does Mean Reversion works so well on the NASDAQ100? I expect due its high vol and positive trending characteristic. Should I be then concert if a MR model works less well on e.g. the SP500 using the exact same model? What are your thoughts?

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Joachim Klindworth

@momentmal2022

4 months

My main portfolio is long momentum. I do have short strategies, but they need time to be trigered. So recently, I am investigating a strategy that offers hedging qualities once risk increases in the market. The main goal is to dampen the drawdowns of a long momentum portfolio.

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Joachim Klindworth

@momentmal2022

5 months

This month is going particularly well so far. Momentum and MR stratgies worked particularly well this month. Still working on my latest project using volatility as main signal source for an MR Index System.

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Joachim Klindworth

@momentmal2022

15 days

Science suggest that TF and low volatility works best. These key principles are applied in my tf model. Credit for the core model goes to the community of Adrian @EnlightenStock . Looking at this trade with a gain of more then 300% I felt like mentioning it again.

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Joachim Klindworth

@momentmal2022

5 months

Volatility is such a strong indication for longterm performance. Selecting low vol stocks is key. Vol can be calculated in differect ways. E.G.: ATR/C ATR stdev. Interesting fact. By using ATR you favor low priced stocks. So Magnificent 7 stocks were excluded recently.

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Joachim Klindworth

@momentmal2022

5 months

With the latest recovery my systematic strategy portfolio reached a new high this year. Without doubt, I am satisfied and the hard work of the last months is finally paying off now. Base investment 70% momentum|trendfollowing on stocks (35% US, 35% AU)

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Joachim Klindworth

@momentmal2022

3 months

Seasonality combined with Mean Reversion. This set up does not only work on US Indices, but also performs strongly on the FANGMAN universe. Last trade NVDA was a strong one. +3.2%

Joachim Klindworth

@momentmal2022

3 months

Last year I came across seasonality. At first, I thought this is all nonsense until I looked at the data. This is the trade list of a model based on the Turnaround Tuesday. Current Ytd 28,6%. Profitfactor 1.78. Stay open minded. Yesterday was a strong day.

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Joachim Klindworth

@momentmal2022

5 months

My personal preference is momentum & trendfollowing strategies. Personal preferences are a good start. However, this week mean reversion and seasonality made the difference for me. A good start for May. What is your personal preference?

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Joachim Klindworth

@momentmal2022

5 months

Momentum is my core strategy portfolio. VRT one of my strongest positions currently. Position size went to 3.7%. Rebalancing or let it run? I went for rebalancing. What would you do?

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Joachim Klindworth

@momentmal2022

10 days

This chart represents the 2nd long approach of an index MR strategy portfolio I traded until 2018. Core entry is the same as before. However, in this case trend is based on the individual asset instead of global. Covid hit the strategy with a MDD of -20%. CAR 7,5% Thoughts?

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Joachim Klindworth

@momentmal2022

1 month

Looking at hist. analysis comparing CAR and MDD is a very different experience then trading live and experience a drawdown. Crypto Portfolio since October 2023. Current drawdown -45%. Btw. losses are twice as much felt as gains. A drawdown my emotional overshadow actual facts.

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Joachim Klindworth

@momentmal2022

5 months

Crypto trading is associated with ultra high risk. On the other hand, simple rules works very well to reduce your downside risk significantly. One appraoch which works well, is the Hull Moving Average. I am using a modified version of it. Worked well this time again.

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Joachim Klindworth

@momentmal2022

18 days

A core strategy is my version of the ASX Freighttrain developed by @EnlightenStock .🙏 The strategy is a tf approach trading small & mid caps on ASX. The model itself is highly robust despite several parameters. Meaning robustness is the result of more then # of parameters.

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Joachim Klindworth

@momentmal2022

2 months

Yesterday' loss -2.7%. Part of the game and in line with the market. I have a shortterm short model which caught the current move well. However, I set up wrongly the automatisation. So model worked, execution didn't. Could have saved 0.70%. Lesson learned. Tribble check execution

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Joachim Klindworth

@momentmal2022

5 months

There is not only strong academic research for trendfollowing and momentum rotation on the Aussi market, but also models work well. Execution is good, too. Small & Midcap Exposure is high. 1. line: trendfollowing 2. line: EoM Rotation 3. line: MoM Rotation

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Joachim Klindworth

@momentmal2022

3 months

If you wonder how the equity curves look like for the summer and winter months, have a look at this. Summer: May to Sep Winter: Oct to Apr Winter clearly stronger, but still severe drawdowns.

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Joachim Klindworth

@momentmal2022

3 months

Strategy portfolio of 35% US MOM long & 35% ASX MOM long. This is the base portfolio. Beside that, I am trading different MR & seasonal systems on US Indices. Also two MR systems on FANGMAN universe (selection bias). I hope the new added short & vol will come into play soon.

Joachim Klindworth

@momentmal2022

6 months

I am running a strategy portfolio of 35% ASX small & midcap stocks and a 35% US large Cap portfolio. This is my base investment level driven by momentum & trendfollowing. In addition, I am trading multiple seasonal and MR strategies on US stock indices. So far so good.

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Joachim Klindworth

@momentmal2022

6 months

Currently, my favorit strategy. Combining Mean Reversion with Seasonality.

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Joachim Klindworth

@momentmal2022

2 months

Doing further analysis with my shared MR system I went for the direction of an intraday system. Open at market opening, closing at close or next bar opening. @TradetroniX , @JoachimMo1985 @smartestrading what is your experience for min average % gain per trade needed?

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Joachim Klindworth

@momentmal2022

3 months

Following up on my post on seasonality. Adding a market regime filter of price > MA (12 months) you can significantly reduce the drawdown. The CAR/MDD improves and it is a strategy you can easily execute. Sometimes the simple things already provide an edge.

Joachim Klindworth

@momentmal2022

3 months

If you wonder how the equity curves look like for the summer and winter months, have a look at this. Summer: May to Sep Winter: Oct to Apr Winter clearly stronger, but still severe drawdowns.

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Joachim Klindworth

@momentmal2022

2 months

Most likely, this will be the biggest daily loss on portfolio level for the last couple of years in my trading history. These days tell you, if you managed your risk well. MDD wise and particularly emotionally. A good chance to evaluate personal risk tolerance again.

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Joachim Klindworth

@momentmal2022

13 days

Joachim Klindworth

@momentmal2022

15 days

Burning point beginning of 2018. You see what unwise leverage can do.

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Joachim Klindworth

@momentmal2022

4 months

In the last 30 days my crypto strategy portfolio clearly underperformed. Since March the picture looks fairly different. In the last 9 month even more. Window dressing can be so missleading.

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Joachim Klindworth

@momentmal2022

5 months

Following up on my previous post about finding an approach for screening ultra caps without having a selection bias. I tried different things. Wondering if the MDD can be reduced by a different market filter. Have to try the ATR approach from @JoachimMo1985

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Joachim Klindworth

@momentmal2022

3 months

Definitely not the greatest week so far. Momentum strategies on NASDAQ100, Russel200 and UltraLarge Cap are in a drawdown phase. Normal after such a strong year. ASX is stabilizing the portfolio reasonably. How is your portfolio holding up this week? What is the key stabilizer?

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Joachim Klindworth

@momentmal2022

5 months

BTC breaks through its chart pattern and my market regime filter. Short Model made moderate profits of. Long modells all activ again. I love this dynamic of the crypto market. A good diversification to my steady stock momentum portfolio.

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Joachim Klindworth

@momentmal2022

2 months

Ytd performance -4%. Interestingly, ASX contributed -2% despite 30% portfolio allocation. The rest 70% of US stocks and indices -2%. Short VXX, Short TLT and MR long QQQ position helped to reduce the loss in the US part. Current drawdown -10%, Ytd ~ 12.50%

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Joachim Klindworth

@momentmal2022

2 months

@SQUARED2_io @AlgomaticTrade @AlgoTradingGuy @JoachimMo1985 @Hunter_GL2 @TradetroniX @oluisrel @Lodson_ Thank you for your words. This feels great to read. Much appreciated. 🙌

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Joachim Klindworth

@momentmal2022

4 months

We all come from different angles. Sharing knowledge is essential for mutual beneficial growth. I love this about this social media platform.

Goshawk Trades

@GoshawkTrades

4 months

How hedge funds build momentum strategies that manage billions of dollars, Explained simply, step by step:

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Joachim Klindworth

@momentmal2022

3 months

@stochastic_dev Most likely. I wanted to have a survivorship bias free data sample. Interestingly, the strategy is most stable with the Russel1000 universe.

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Joachim Klindworth

@momentmal2022

2 months

@JoachimMo1985 Have you tried combining different regime filters? I am curious what the CAR/MDD impact is, if you comibine vol, panicexit and equitycurve filters as you tested before individually. Then reduce allocation by 33% for each filter signal.

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Joachim Klindworth

@momentmal2022

2 months

I am wondering if anyone has experience with trading the Russel Micro Cap universe. Let’s say you want to trade a monthly rel. mom approach. How do you adjust your trading costs and slippage? @JoachimMo1985 what is your experience?

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Joachim Klindworth

@momentmal2022

5 months

In my humble experience rotation strategies work best on crypto. Combine it with a market regime filter and breakout. Add a take profit and a stop loss and you got yourself a stellar strategy. Last 30 days not much happening though.

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Joachim Klindworth

@momentmal2022

2 months

@EntropyChase Keep things as simple as possible but not less. My thinking. MR systems need high vol and a positive trend on stock level. Then you need an enter criteria & Risk Management. Conceptually, these rules are ticking my boxes on stock level. Which rules would you leave out?

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Joachim Klindworth

@momentmal2022

2 months

July was volatile. Thanks to ytd's strong market, my portfolio ends up in the green area with 0.44%. Still volatility was high. ASX market hold up well last month. Worst performer NASDAQ 100. Same in my strategy portfolio. Big tech felt like a burden this month.

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Joachim Klindworth

@momentmal2022

2 months

@linuxpower_ludo My automatisation process does this automatically. I am using @HelixTrader 's process.

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Joachim Klindworth

@momentmal2022

3 months

@JoachimMo1985 Looking forward on your thoughts of robustness.

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Joachim Klindworth

@momentmal2022

2 months

@TradetroniX So far yes. I followed up @quantitativo1 ‘s and @JoachimMo1985 ‘s advice looking at other sectors, too. Important is, that you concentrate on large caps. Slippage is between 0.01% and 0.02% for MOO order so far. No slippage for MOC orders. Trading costs 0.10% per roundtrip in model

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Joachim Klindworth

@momentmal2022

2 months

@AlgoTradingGuy True words. You can't systemize your emotions. But you can figure out where your risk tolerance is and adjust your portfolio risk before you start trading.

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Joachim Klindworth

@momentmal2022

15 days

@SQUARED2_io Looking good. I also like to learn pro real next year. Where did you start from?

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Joachim Klindworth

@momentmal2022

4 months

@PKycek @robuxio_com Congrats. Your content is really a benchmark for robust crypto trading. I do no deny, that I consider you something as a role model in the crypto algo space.

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Joachim Klindworth

@momentmal2022

4 months

I am a big fan of market timing despite the constant mantra time not timing is key. I disagree. Human behavior is repetitive, especially in times of high uncertainty. Same emotional pattern. Even for professionals. My mantra is: "Time and Timing" That is the key for success.

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Joachim Klindworth

@momentmal2022

3 months

@bettersystrader Momentum and Mean Reversion are two strategies which can be explained by human behavior. So yes this is the kind of edge you want to keep in your portfolio.

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Joachim Klindworth

@momentmal2022

3 months

@JoachimMo1985 Momentum Rotation works even better on small and mid caps on the ASX market. You can get annual returns of 27-30% with a drawdown less then -30%

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Joachim Klindworth

@momentmal2022

5 months

We all know that universes like FANGMAN or M7 have a strong selection bias. Considering that I am using Norgate Data, I was wondering how to screen the biggest companies for a momentum approach. How would you approach this topic?

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Joachim Klindworth

@momentmal2022

4 months

@TradetroniX CAR/MDD in combination with the profit factor

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Joachim Klindworth

@momentmal2022

13 days

@AlgomaticTrade I will rap up something and share the core details of the strategy. I am waiting for the review of the premium subcription so I have more text for posting.

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Joachim Klindworth

@momentmal2022

5 months

@Cap_Chartbook I am torn with this. Nasdaq100 has such. a unique profile. On the other hand, I would like to see a cetain degree of stability with other indices.

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Joachim Klindworth

@momentmal2022

2 months

@TradetroniX When the next unexpected event happens which no one can grasp combined with high uncertainty and possible exponential development. Then we have the next crash. I have several systems profiting from these market environments.

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Joachim Klindworth

@momentmal2022

2 months

@Tyler_Lovingood Have a look. It is run by @HelixTrader Strongly recommended.

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Joachim Klindworth

@momentmal2022

2 months

When I worked in a bank selling financial products customer and colleagues went for products with capital protection. They even thought they made a win-win deal. The lack of basic knowledge of how financial markets work, is incredible in Germany.

Gerald Loacker

@GLoacker

2 months

Warum @BMeinl recht hat, wenn sie kapitalgedeckte #Altersvorsorge verlangt, erklärt @SuBickel in @DiePressecom . Ist halt kein per Gesetz gebührenfinanziertes Medium. Da denkt es sich freier. #Pensionen

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Joachim Klindworth

@momentmal2022

4 months

@CrossAssetChart @PKycek Short Term Mean Reversion combined with shortterm volatility spikes. This makes the difference.

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Joachim Klindworth

@momentmal2022

3 months

@algoretndist Min Price Filter, Min Volume filter, max volatility filter. With these settings you are generally good to go. Positionscore I use momentum or volatility or both depending on the model. Mom Models 10-20 positions, Mean Reversion 2-5 positions depending on your risk tolerance

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Joachim Klindworth

@momentmal2022

2 months

@JoachimMo1985 @EntropyChase @pedma7 @volatilitynoob I can only confirm your experience. MOC basically no slippage with large cap stocks. MOO (OPG) 0.01% to 0.02% slippage.

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Joachim Klindworth

@momentmal2022

19 days

@ShawnCrichley @QuantifiedStrat Here you go. Model worked fairly well during time of crisis.

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Joachim Klindworth

@momentmal2022

1 month

And yes being up more then 90% doesn't feel great at the moment. So as a trader we have to make awareness of actual facts and our own emotional state. Otherwise, you will make misjudgements.

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Joachim Klindworth

@momentmal2022

1 month

@JoachimMo1985 @SQUARED2_io Thank you for sharing. These little inside can make the difference.

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Joachim Klindworth

@momentmal2022

5 months

@ordinaryepsilon Both improve the overall risk-return matrix. Considering that the strategy has no regime filter, I am happy with a stop loss that actually works.

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Joachim Klindworth

@momentmal2022

3 months

@JoachimMo1985 @quantitativo1 @xenophonuss @JCIndCapital Once the index is not in your drawdown threshold anymore. The benefit of this approach is that you can manage your risk faster when markets drop fast. It also works well when markets decline steadily. Of course, this filter has also it‘s downsides as all regime filter have.

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Joachim Klindworth

@momentmal2022

1 month

@ProRealAlgos @carlgeriksson @sebhezlo1 @kjtrading @MrBaisse @meta_signals @SQUARED2_io @JoachimMo1985 @TradetroniX @oluisrel @Lodson_ @ProRealCode @Hunter_GL2 @AlgoTradingGuy @Nanopunk10 I say it depends on the system. If I apply a momentum system to a new market which I am already trading on other markets, I see no reason in an incubation time. Of course this can be different for shortterm MR systems or intraday systems.

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Joachim Klindworth

@momentmal2022

2 months

@EntropyChase @TradetroniX @JoachimMo1985 @smartestrading US large cap trade on close, no slippage. Depending on position size 0.02-0.05% per trade. Trade at opening US large cap 0.02% slippage, same trading costs

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Joachim Klindworth

@momentmal2022

6 days

@Marion2025 Ultimo effect describes the anomaly that returns are on average higher on the last trading days of the current month & the first trading days of the next month. Interestingly, the effect got stronger in the last 20 years.

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