Julian’s Journal

[JulianCohen]

Trent Rothall wrote:

Hi Julian

I just listened to the group call, check out this page on my journal https://edu.thechartist.com.au/Forum/progress-journal/35-trents-weekly-journal.html?start=30 it talks about the trades i take when the index is down.

Thanks Trent…I had it bookmarked already :cheer:

I’m going to ponder this for a while…I might ask some questions later if I may?

[TrentRothall]

Yeah no worries, that’s the bones of it anyway =]

[JulianCohen]

I have been working on a structure to regiment keeping track of what changes I make to any systems I am testing and the results of that testing. I use Notes on my iPad to keep the information in one place; Notes is searchable which is useful, but something like Evernote will also work well. Another advantage is both Notes and Evernote can be opened on a number of devices and edited there if needs be.

I start my code at version 1.0 and then test it. I record the pertinent information, Trade Frequency, Win/loss rate etc…Then if I want to add a condition I will save the code as 1.1 and note the change both in Notes and also in a comment at the top of the code. Any MCS results are saved as screenshots and placed in the note under the relevant code version. Any major changes, for example adding an Exit on “n” days to the looping, I would call version 2.0 and then carry on from there. This means I am keeping all the different versions of the code separately and also with written notes so it is easy to see what I did and the effect of it, as well as find that same piece of code if I wanted to try a different test on it. This is very useful for me as I can’t remember what I had for breakfast most days.

Works for me…I just thought I’d share in case it helps anyone else.

[LeeDanello]

Record keeping is an issue I have. I always put a date at the end of the code file name and write comments at the top of my code to let me know of the changes I’ve made. I think I will create a superseded folder in the Amibroker folder tree and archive all the old code in there. Like Craig has stressed it’s good practice to annotate each line of code.

[JulianCohen]

Maurice Petterlin wrote:

Record keeping is an issue I have. I always put a date at the end of the code file name and write comments at the top of my code to let me know of the changes I’ve made. I think I will create a superseded folder in the Amibroker folder tree and archive all the old code in there. Like Craig has stressed it’s good practice to annotate each line of code.

I like to write the criteria for the entries and exits in the comments at the top of the code so I can easily see what that version is supposed to do.

Does anyone happen to know if there’s a way to change the folder structure in the code snippets section? That would be nice to reorder.

[SaidBitar]

I believe it is not possible to change the folder structure for the code snippets

[JulianCohen]

Said Bitar wrote:

I believe it is not possible to change the folder structure for the code snippets

I didn’t think so but I live in hope 😆

[LeeDanello]

Darryl has brought up the idea of using include files in his code. I prefer this method for blocks of repeatable code rather than using snippets. Everything stays nice and compact. Where you need to modify code like looping structures, then obviously snippets need to be used.

[JulianCohen]

Yes I saved that bit for reading later

[JulianCohen]

Here’s a general question re Rotational systems.

If you are running with the Index Filter, do you exit any positions when the Index Filter goes down, or only if the Index Filter is down on the first trading day of the month? I believe you should only exit on the first trading day of the month but is that what the backtest code is doing?

[Nick Radge]

You exit when the signal is generated – so if the signals are generated on the first of the month then you exit then

[JulianCohen]

After the last group chat I coded up the idea of the same day exit system that Said brought up. I took the MR system I was planning to use and changed it to a same day exit and it worked beautifully. At full 4x leverage it has great results but I will be trading it at 30/10 where it produces a respectable 30% CAGR and very low teens MDD.

The developer of the API sent me through an updated version that produces MOC orders on any fully filled positions and cuts off any partially filled positions at a certain time and produces the MOC orders for them at that point. I am running it for the first time tonight to see how things go. Over a hundred orders placed and it has a 30/10 set up.

Watch this space….

[LeeDanello]

If I may ask was that 500 euros.

[Anonymous]

Julian Cohen wrote:

After the last group chat I coded up the idea of the same day exit system that Said brought up. I took the MR system I was planning to use and changed it to a same day exit and it worked beautifully. At full 4x leverage it has great results but I will be trading it at 30/10 where it produces a respectable 30% CAGR and very low teens MDD.

The developer of the API sent me through an updated version that produces MOC orders on any fully filled positions and cuts off any partially filled positions at a certain time and produces the MOC orders for them at that point. I am running it for the first time tonight to see how things go. Over a hundred orders placed and it has a 30/10 set up.

Watch this space….

Very interested to see how it goes!

[Anonymous]

Maurice Petterlin wrote:

If I may ask was that 500 euros.

scott mentioned this earlier here in his journal maurice: 500 CHF

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