Julian’s Journal

[LEONARDZIR]

Julien,
What length RSI are you using?
Also I don’t understand how tightening trade entries from RSI 20 to RSI 5 adds trades. I would think you have less trades.
Cheers.

[LeeDanello]

I think these are his specials that he enters on the open.

[JulianCohen]

Len Zir wrote:

Julien,
What length RSI are you using?
Also I don’t understand how tightening trade entries from RSI 20 to RSI 5 adds trades. I would think you have less trades.
Cheers.

I used a Connors RSI at default parameters. If you were to use say RSI 20 you might get 2000 odd trades over 5 years and the selection bias rules out using the idea. However if you drop down to 5 or 8 then you get much fewer trades, maybe 50 over 5 years, but those 50 have a very good Win/Loss ratio. To run them as a entirely separate system is not worth the time and effort to do, and would drive you nuts because you get so few trades, but to tack them onto the end of an existing system takes a few hours in testing and sorting the metrics to your satisfaction and then they are part of a system that you are already running.

I just thought it was a good idea and when I find the odd little thing like that I like to share the love

[RobGiles]

Julian Cohen wrote:

Len Zir wrote:

Julien,
What length RSI are you using?
Also I don’t understand how tightening trade entries from RSI 20 to RSI 5 adds trades. I would think you have less trades.
Cheers.

I used a Connors RSI at default parameters. If you were to use say RSI 20 you might get 2000 odd trades over 5 years and the selection bias rules out using the idea. However if you drop down to 5 or 8 then you get much fewer trades, maybe 50 over 5 years, but those 50 have a very good Win/Loss ratio. To run them as a entirely separate system is not worth the time and effort to do, and would drive you nuts because you get so few trades, but to tack them onto the end of an existing system takes a few hours in testing and sorting the metrics to your satisfaction and then they are part of a system that you are already running.

I just thought it was a good idea and when I find the odd little thing like that I like to share the love

I listened to the podcast as well Julian, and found it inspiring. Sounds like he trades a lot of different MR systems simultaneously.

Apologies if I seem retarded, but I get the tightening up of the RSI level to a lower number (e.g. from a level of 20 to 5) to improve signal quality, but are you adding this as an additional entry to whatever MR entry criteria you may have in your existing system? If so, how do you handle a day when your original entry criteria max out your investable capital? If I’m completely missing the point here, feel free to write something rude or condescending back.

[JulianCohen]

Rob Giles wrote:

If I’m completely missing the point here, feel free to write something rude or condescending back.

What must you think of me?

I added it to an existing system for example:

Code:

Cond1 = C > MA(C,100);
Cond2 = EntryMainSystem OR EntryRSI

Doing it this way, adding the underlined bit, means that the code will pick up your existing system, or if the new bit exists as an entry it will pick up that as well.

You can use Nick’s code above to cover double entries

[RobGiles]

I was taking the Mickey out of myself, as I seem to have a habit of needing things explained in detail….what do I think of you? I think its bloody great that you’re in this forum!

Thanks for the explanation, it’ll be interesting to see what it tests out like.

How leveraged do you think Ceasar Alvarez’s MR strategies are? I don’t think he mentioned it, maybe he will in part #2.

[JulianCohen]

Rob Giles wrote:

I was taking the Mickey out of myself, as I seem to have a habit of needing things explained in detail….what do I think of you? I think its bloody great that you’re in this forum!

Thanks for the explanation, it’ll be interesting to see what it tests out like.

How leveraged do you think Ceasar Alvarez’s MR strategies are? I don’t think he mentioned it, maybe he will in part #2.

Don’t worry mate. I too was being ironic…it’s my default setting

I reckon Nick might know a bit more about Ceasar’s general modus operandi but I don’t think he’s too leveraged. every time I’ve looked he often uses 10 positions at a low percentage so I doubt he is, although for his own trading he probably would be.

[RobGiles]

Julian Cohen wrote:

I reckon Nick might know a bit more about Ceasar’s general modus operandi but I don’t think he’s too leveraged. every time I’ve looked he often uses 10 positions at a low percentage so I doubt he is, although for his own trading he probably would be.

So where are we all at with MOC systems and leverage. I reran my backtest on mine at 2:1 instead of 4:1 leverage which reduced my CAGR to 19.5%….kinda think I’m happy with that given only 50% of my account would be wiped out in an ’87 fat tail type event.

[JulianCohen]

Rob Giles wrote:

Julian Cohen wrote:

I reckon Nick might know a bit more about Ceasar’s general modus operandi but I don’t think he’s too leveraged. every time I’ve looked he often uses 10 positions at a low percentage so I doubt he is, although for his own trading he probably would be.

So where are we all at with MOC systems and leverage. I reran my backtest on mine at 2:1 instead of 4:1 leverage which reduced my CAGR to 19.5%….kinda think I’m happy with that given only 50% of my account would be wiped out in an ’87 fat tail type event.

I’m running 4x for my MOC. It now represents 15% of my total account and even if there’s a calamity all holdings will not go to zero.

[ScottMcNab]

my MOC currently:
asx is 4x…10% of total acct
SPX is 4x….10% of total acct
RUI LOO is 2x…10% of total acct

[JulianCohen]

October ’17

ASX WTT 8.00%

US MOC 5.87%
US MR -0.94%
US WTT 4.28%
US Momo 5.38%
NASDAQ Momo 7.77%
ETF Momo 0.10%

[JulianCohen]

November ’17

ASX WTT -0.01%

US MOC 0%
US MR -0.02%
US WTT -0.01%
US Momo +0.03%
NASDAQ Momo -0.05%
ETF Momo 0%

[JulianCohen]

I got an amazing fill yesterday on AXTA.

This was filled at 29.75 turning a losing day into a winning day.

So there is such a thing as positive slippage, although it is a bit of a unicorn

[SaidBitar]

i got filled at 29.75 as well, maybe there is mistake in the data

[Nick Radge]

Better ring the exchange and tell ’em you want to give it back…

[Author]

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