Ignis

Systematic trader | TF, Momentum & MR | Sharing backtested strategies and live portfolio performance

[Ignis @ignis55]

First Monthly review:
- YTD +7.38%
- Shorts were a drag on performance. NAV reveals it.
- Lessons learned.
- My first year trading systematically with real capital.
• The focus remains on execution, process, and continuous improvement.

Still early in the journey. More to come.

[Ignis @ignis55]

Momentum Part 5/5: Key Takeaways
- Momentum works.
- Regime filters help.
- Time Luck appears minimal.
- Adding more US universes adds little diversification.
- Lower-correlated markets provide better diversification.

Simple beats complex more often than most traders expect.

[Ignis @ignis55]

Momentum Part 4.2/5:
0001: 50% NDX + 50% TSX
0002: 50% (NDX + OEX + SPX) + 50% TSX

• TSX provided significantly more diversification than adding another US equity universe
• Risk-adjusted returns improved
• Portfolio behavior became less dependent on a single market and .. ⏬

[Ignis @ignis55]

The benefit was larger than splitting capital across multiple US universes.

[Ignis @ignis55]

Momentum Part 4.2/5:
0001: 50% NDX + 50% TSX
0002: 50% (NDX + OEX + SPX) + 50% TSX

• TSX provided significantly more diversification than adding another US equity universe
• Risk-adjusted returns improved
• Portfolio behavior became less dependent on a single market and .. ⏬

[Ignis @ignis55]

Momentum Part 4.1/5:
Time Luck + Regime Filter + Split between SPX, OEX, RUI Universes.
Results:
• Higher Sharpe
• Lower DD
• More trades
• More complexity (If handled manually)
But one lesson stood out: ⏬

[Ignis @ignis55]

Diversification across highly correlated universes is weak diversification.

Most of the risk still comes from the same underlying US equity market.

The improvement was real, but much smaller than adding an uncorrelated strategy.

[Ignis @ignis55]

Momentum Part 4.1/5:
Time Luck + Regime Filter + Split between SPX, OEX, RUI Universes.
Results:
• Higher Sharpe
• Lower DD
• More trades
• More complexity (If handled manually)
But one lesson stood out: ⏬

[Ignis @ignis55]

Momentum Part 3/5:

Many traders believe End-Of-Month momentum rebalancing is overcrowded.

So I tested it.

I shifted the rebalance date a few days before or after month-end to check for “Time Luck”.
Result: almost no meaningful difference.
Momentum edge appears robust.

[Ignis @ignis55]

Momentum Part 3/5:

Many traders believe End-Of-Month momentum rebalancing is overcrowded.

So I tested it.

I shifted the rebalance date a few days before or after month-end to check for “Time Luck”.
Result: almost no meaningful difference.
Momentum edge appears robust.

[Ignis @ignis55]

Momentum Part 2/5:
Add trend/regime filter:
- Stock price must be above its 200-day MA
- NASDAQ-100 index must be above its 200-day MA

This removes many weak-market periods.
Simple strategy.

Executed manually once per month using basic stock screeners like TradingView.

[Ignis @ignis55]

Momentum Part 2/5:
Add trend/regime filter:
- Stock price must be above its 200-day MA
- NASDAQ-100 index must be above its 200-day MA

This removes many weak-market periods.
Simple strategy.

Executed manually once per month using basic stock screeners like TradingView.

[Ignis @ignis55]

Momentum Rotation Part 1/5:
- NASDAQ-100 momentum rotation
- Monthly rebalance
- Buy top 10 stocks by 12-month performance
- Hold only positive momentum stocks
- Equal weight positions (10% each)
- Sell when rank falls below top 10
- No regime filter

[Ignis @ignis55]

Momentum Rotation Part 1/5:
- NASDAQ-100 momentum rotation
- Monthly rebalance
- Buy top 10 stocks by 12-month performance
- Hold only positive momentum stocks
- Equal weight positions (10% each)
- Sell when rank falls below top 10
- No regime filter

[Ignis @ignis55]

Ask AI to give me 5 widely used trading strategy ideas and 99% of the answers will include Momentum rotational trading strategy.
Let's explore it.

[Ignis @ignis55]

@bot_fra @Dan_Trend @PtrPomorski With python after lot of effort, mistakes you paid for you will came up with most what RealTest already have and it was tested by many traders (this is one of most important things). For me its much more fun to construct strategies and portfolios, then code what already exist 👍🏼

[Ignis @ignis55]

@Dan_Trend @TradeQuantiX Dan, how many years you are trading systematically? Btw, I really enjoy your posts in RealTest forum, many knowledge you share there, thank you! 👍

[Ignis @ignis55]

@TradeQuantiX I would say that I would quit working for others, but I like work and I would continue doing so just on my own ideas 👍

[Ignis @ignis55]

@saxena_puru How many trading strategies are you running in your portfolio?

[Ignis @ignis55]

@TradeQuantiX Another way of learning..

[Ignis @ignis55]

Looking back each year into top 5 NDX stocks and I see a 'clear trend'.

But actually I'm missing the 15 stocks with identical setups in January that went nowhere.

The edge was never in identifying the right stock. It was in surviving enough wrong ones to let the right ones pay.

[Ignis @ignis55]

You see strategy backtest on X, study the shape of the equity curve. A strategy that climbs steadily through both bull and bear markets has a MR topology. One that goes flat for years then surges has a TF topology. These are structural fingerprints.

[Ignis @ignis55]

1/4 If you would ask, it's hard to look into 5 years chart of underperformance.

It's even harder when most on X posting double digit returns (some even triple digit) on years performance.

- Lessons was learned
- Experience gained
- I will find it out!

[Ignis @ignis55]

1/1
My trading journey in the past 5.5 years starting at 2021 January.
First, only Index ETFs investing.
First in red 2 years - discretionary with some systematic rules breakouts trading on weekly TF.
Next Volatile period is leveraged ETFs trading with mostly...

[Ignis @ignis55]

1/3
I did have a rebound, but as broad indexes are overextended I might expect another DD under the corner.

[Ignis @ignis55]

1/2
TQQQ, was wild ups and downs. I traded QQQ3 (TQQQ proxy for EU citizens)

In 2026 I have started my systematic trading journey by using RealTest + OrderClerk + Norgate Data.

My systematic trading journey started right into the drawdown (the one small dip in the chart and...