Julian’s Journal

[TrentRothall]

Hi Julian,

Hows the LIT orders going? any noticeable difference in anything

[JulianCohen]

Trent Rothall wrote:

Hi Julian,

Hows the LIT orders going? any noticeable difference in anything

Well I haven’t missed a trade yet. So far so good. I’m copping a flogging on the system though

[TrentRothall]

I have been the last week too, frustrating 1 step fwd 2 back at the moment

[JulianCohen]

I actually just discovered that my system is doubling up on orders. I have merged two systems into one and this week it has doubled up on some positions which it is not supposed to do. Plus I have two positions which are filled correctly which are not showing on the backtester, so there’s an error in the code that I can’t find, so I’ve chucked the toys out of the pram and placed orders to close all positions on this system.

I’ll go back to the drawing board and recheck all the code but I can’t be arsed to do it now, so I’ll stop trading it and have a look in a few days.

[Nick Radge]

When I merged two systems together I opted to take the lowest buy price from any signals that doubled up.

BuyLimit = IIf(BuySetUp1 AND BuySetUp2,Min(BuyLim,BuyLim2),IIf(BuySetup1,BuyLim,BuyLim2));
BuySetUp = BuySetUp1 OR BuySetUp2;
LE = Ref(BuySetUp,-1) AND L <=Ref(BuyLimit,-1) AND NOT OnLastTwoBarsOfDelistedSecurity;
LEPrice = Min(Open,Ref(BuyLimit,-1));

[JulianCohen]

September ’17

ASX MR -3.07%
ASX WTT 2.82%

US MOC -0.81%
US MR 0.68%
US WTT 2.56%
US Momo -0.3%
NASDAQ Momo 8.09%

Account is flat for the month, although early this week it was down a bit but Donald helped me a bit.

[JulianCohen]

I’m thinking I might apply more acronyms to my systems and as I firmly believe that British toilet humour is the purest kind of humour, the NASDAQ Momo will henceforth be known as Back Up The Truck and I am working on a new Absolute Returns System Etfs to start next week.

[ScottMcNab]

MOC = Fast Acting Reversion Trading System

apologies

[JulianCohen]

Scott McNab wrote:

MOC = Fast Acting Reversion Trading System

apologies

Apology accepted. I’ll probably steal it!

[Anonymous]

You guys! 😆 😆 😆

[JulianCohen]

Hey guys,

Can anyone point me to Nick’s post about Kelly Criterion position sizing. I know I read it ages ago and wanted to go over it again but I’m buggered if I can find it. maybe it was in the mentor course and not the forum but if anyone happens to know it would be appreciated

[RobGiles]

Julian Cohen wrote:

Hey guys,

Can anyone point me to Nick’s post about Kelly Criterion position sizing. I know I read it ages ago and wanted to go over it again but I’m buggered if I can find it. maybe it was in the mentor course and not the forum but if anyone happens to know it would be appreciated

Module 23/27, Lesson 5/6

[RobGiles]

Julian Cohen wrote:

I’m thinking I might apply more acronyms to my systems and as I firmly believe that British toilet humour is the purest kind of humour, the NASDAQ Momo will henceforth be known as Back Up The Truck and I am working on a new Absolute Returns System Etfs to start next week.

hear hear

[JulianCohen]

Rob Giles wrote:

Julian Cohen wrote:

Hey guys,

Can anyone point me to Nick’s post about Kelly Criterion position sizing. I know I read it ages ago and wanted to go over it again but I’m buggered if I can find it. maybe it was in the mentor course and not the forum but if anyone happens to know it would be appreciated

Module 23/27, Lesson 5/6

Thanks Rob

[JulianCohen]

I listened to Ceasar Alvarez on Better System Trader podcast the other day and one thing he said got me thinking. ( http://bettersystemtrader.com/127-building-mean-reversion-strategies-with-cesar-alvarez-part-1)

He was talking about combining ideas and tightening the entry criterea right up so only a few, in theory the best, trades get through. So for example if the system was normally looking for trades that had an RSI less than 20 as an entry, I tightened it up to less than 5. It only adds a few trades a year but those are good trades and basically because I just added it to my conditions with an OR statement, they just get added into my entries on my existing system. No need to run a separate system. Very few trades so no selection bias issues. I didn’t bother with writing a seperate limit entry stretch for it. It just gets added into my buys at 0.7 ATR. I’m sure you can tweak it to have it’s own limit entries and run them as proper combined systems but I wanted to keep everything simple (read that as I couldn’t be arsed coding it).

Basically a few added trades per year that costs me nothing to do. I found two of these add on ideas that complimented my system very well.

[Author]

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