Julian’s Journal

[ScottMcNab]

While I am in the zone for making gross generalisations and trying to pass them off as facts I have noticed one other thing recently….how often that when I make these allowances or when I actually change the code of the system itself to reduce the bias, the end result is nearly always between 18 and 23% CAR…..not quite as close to retiring as I thought !

[Nick Radge]

Quote:

The reduced selection bias system has poorer returns in the backtest, but I believe that I am much more likely to see those returns in real life over a longer period.

Nick…is that reading of the situation correct?

Correct. Lower but more accurate.

[JulianCohen]

I’m sure it’s not a dog Scott. Just not the money tree that it first looked like

From my point of view I am much happier with the probability that it will perform as expected and not be one of those systems you read about on the forums where it performs in backtests and fails in real life. Nick is certainly teaching us how to avoid that situation

[ScottMcNab]

Yeah there are so many potential pitfalls…makes me realise that the probability of success (not financial ruin) if had tried to work it all out myself was zero

[LeeDanello]

In most cases….The only source of knowledge is experience. Albert Einstein

[JulianCohen]

Maurice Petterlin wrote:

In most cases….The only source of knowledge is experience. Albert Einstein

Ooo another one for my list. Cheers Maurice

[ScottMcNab]

My favorite is Aristotle; “Never trust citations on the internet”

[JulianCohen]

Scott McNab wrote:

My favorite is Aristotle; “Never trust citations on the internet”

He was very smart that Aristotle….

[JulianCohen]

March ’17

Combined ASX ROC and SPY ROC MOC 3.05%
Combined ASX MR and SPY MOC 1.60%
Combined ASX MOC and RUA MR -4.19%
WTT US -3.47%
WTT ASX -1.09%

Overall Account -0.62%

[JulianCohen]

April ’17

ASX MR Systems -0.695%
USD MOC Systems 1.39%
USD MR Systems -.04%

WTT US -5.97%
WTT ASX 2.78%

Overall Account -0.51%

I am cutting back on my systems now and amalgamating others to streamline a bit. I’m just testing combining my two US MOC systems and also my two ASX Swing systems. So far they seem to have better results as a combined system than separate.

[JulianCohen]

I have been tweaking things around recently and decided it might be worth amalgamating some of my systems.

I have two Swing systems on the ASX and two MOC systems on the USD, so I figured if I could amalgamate them it could lower risk exposure so I don’t have so many open positions in the market.

Surprisingly I managed the amalgamation code pretty well. A couple of small errors but nothing that affected the outcome. I also changed my exit code on the Swing system from close on a higher close to close on the highest close over the last two days. This added a nice boost to CAGR with minimal boost to MDD (there is always a price to pay but this was worth it to me). If you can swallow a higher MDD and a good boost in CAGR then try close on the highest high over the last two days.

My thinking was that where I had 2 systems with 100K each making 22% and 25% CAGR with 10% MDD I would be better off with one system that ran 200K and had a better CAGR than 23.5%. I got it to 28% with a 14% MDD so I’m very happy with that.

I also achieved the same sort of results with the MOC system so now I’m back to one ASX MR system with one US MOC system running in the evenings. It was a long journey to get here but I’m glad I went through it all. I have found quite a few good systems that work nicely and now have found a way to merge them together. I’ll keep looking at new ideas, and will add them to the system if they work.

[LeeDanello]

Geez I’d like 28% CAGR at 14% drawdown

[JulianCohen]

Maurice Petterlin wrote:

Geez I’d like 28% CAGR at 14% drawdown

Hopefully I’ll get it!

[JulianCohen]

NVDA…love it!

[Nick Radge]

I had it since last March. Just exited on last rotation.

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