Let’s start with a traditional table
By tradition, we will also give a table without 3 days (February 22, 24 and 25)
Let’s preface our comment with graphs
As we can see, the account de facto repeated the negative dynamics of the Ri-trend, which continued to “drain” until September 19. Moreover, since September 16, I have reduced the volumes on it by 2 times. The “last straw” for this decision was the result of September 15, when in the morning I was in a big plus according to the RI trend, then in a small minus, then in a small plus, and ended the day in a strong minus. What happened – this can be seen from the discrepancy between theory and practice in the above picture. It can also be seen from the above graph that the rest of the components of my portfolio, in total, “fought with zero” for the entire month.
A competent trader, of course, can ask the question: where is the big profit on GAZP in the first days of September, as, for example, in this strategy from my comon indices
or in this
Alas, until September 28, inclusive, GAZP continued to remain under the “big saw filter”, and only on September 29 this filter turned off and GAZP went short, but, mindful of the meeting, I extended this GAZP filter for another two days. So until 18:45 on 09/30, I had only one transaction in GAZP: the closing of the “synthetic bond” on 09/14.
Well, there is not much to write about the “fight against zero” in the RI countertrend, Si, GMKN and SBER. “Fight against zero”, it is also “fight against zero” in Africa. Boring and exhausting. The only “anomalous event” is the big profit of the RI-countertrend on September 30, which has been seen only 4 times in history since May 2015 in a month. This event is from the series: “what was that?!” and I have no explanation for it.
“Russian Buffett” ended September with the same fall as the Moscow Exchange index. Finally, for the third quarter, he formed a portfolio that confidently overtook the Moscow Exchange index. True, this is local, but globally in 2018-2022 it is the “Mosbirzhi index side view”. Its lineup in the third quarter was:
GAZP, MGNT – ¼ each
SBER, YNDX – 1/12 each
Profitability of the strategy Become a qualified investor! in September was symbolic -0.01%. Why is it not a plus if it is trading GAZP and SBER in equal volumes in lots per system, I have already discussed in detail above.
For my comon indices, September also turned out to be a negative month, but much less than the fall of the Moscow Exchange and S & P500 indices (-16.8% in rubles). Their result-2022 as of 30.09 since the beginning of the year was:
Gorchakoff Micex Index -15.11%
Gorchakoff Global Index -13.00%
We will talk in more detail about the results of individual components of these indices in September and plans for the future at the traditional webinar on October 6th.
PS Let me remind you.
The “small saw filter” disables trading “long” on 3 of my 4 systems (with the “fastest” entries), leaving unchanged trading “shorts”, which for futures is 2 times less in volume “long”, and for shares – in three.
“Big Saw Filter” completely prohibits tool trading.