Disclaimer: Mythic Market Research, Inc. is a proprietary trading business, and these posts are for educational and entertainment purposes only.
Thank you for following us! We appreciate your interest and enjoy interacting with you all. Our main objective in sharing our team’s journey is to demonstrate how to be successful in markets. This post will make it evident that this game is challenging.
We recently experienced one of the worst months within our expected range of performance. It has been challenging and exhausting, as it feels like we cannot gain any traction. The difference between backtesting, simulation trading, and live trading lies in the pace of execution. Live trading is slower, which can be painfully evident during a period of poor performance. While backtesting and simulation trading can help establish an edge, they do not test the psychological strength required for live trading. Nothing builds confidence like overcoming drawdowns.
Last week, we rebalanced our portfolio. We have finalized the entire process of taking the Mythic Zoo Portfolio from concept to a full allocation in our portfolio:
Strategy Development
Forward Testing
Incubation
Full Allocation
It is crucial to follow a process and gradually implement a strategy into the entire portfolio. This approach gives enough time to identify errors and establish trust in the model. The primary goal in trading is to survive by playing excellent defense, and offense will take care of itself when you have an edge.
Consolidated Portfolio Since Inception: +3.58%
Consolidated Portfolio March: -11.18%
We have been experiencing significant losses due to shorting. The tight intraday range has resulted in several false signals. Economic releases and macro risks largely influence the market's current behavior, making trading difficult for us. Most of our systems trade during index cash sessions, but most news announcements take place before the cash opens and the market has already repriced.
Wand OG Portfolio Since Inception: -0.98%
Zoo Portfolio Since Inception: +8.02
Final Thoughts
In retrospect, it would have been hugely advantageous to bypass the incubation phase and invest fully in Mythic Zoo, as it would have made March much more manageable. However, in reality, we are unable to benefit form hindsight and it is crucial to follow the processes that ensure the safe implementation of new strategies.
Our strategies are based on momentum and catching fat tails. We accept many small losses in the hope of gaining significant profits. We prioritize robustness and edge in our process and position sizing over entry accuracy and win rate. For us, it is about patience and playing good defense. We are currently trading in an aggressive manner, which is why we are experiencing a severe drawdown. Our objectives may differ from yours, so we have sized our strategies accordingly to meet our team's goals. Despite the current downturn, we have confidence in our systems and believe that a successful outcome will eventually be achieved.
I look forward to sharing our portfolio returns and experiences. Fortunately, you'll gain insight into overcoming drawdowns and the professional mindset needed to achieve success despite recent losses. This will also be a great exercise for our team. Each drawdown brings with it new insights and ideas on portfolio and strategy improvement.
I hope everyone had a great first quarter. Happy trading!
Consolidated Performance by Month Since Inception
Implementing a strategy / putting a trade on followed seemingly immediately by a drawdown is the only 1.0 Correlation that exists in Finance 🤣