Julian’s Journal

[Anonymous]

Thanks a lot for the info.

I too would be using for the slow turnover systems.

I’m an Australian citizen but am based in China, so like you I too can probably work with them to open an account.

Did you find any other operators along your path that you would specifically steer clear of?

I may even try to work out a relationship with more than one alternative provider, because at the moment it is looking like around 70% of my funds might be in these longer term systems which presents the same problem if I keep 70% with one provider like TD. If I am holding 30% in system 1, 40% in system 2 and 30% in my HFT system at IB it may well be worth spreading funds for system 1 and 2 across two different providers like TD or similar.

Thanks,
Matt

[JulianCohen]

Sure Matt that sounds like a good plan. TD only allows you to trade US stocks, so if you are going to trade AUS stocks as well that’s worth bearing in mind.

There are a few brokers but I went for TD as it is a large well known brand in the US, (mind you so was Man Global and they went totally tits up and took me 3 years to get my funds back), and also their brokerage rates were reasonable.

You will be able to access a number of brokers out of HK so worth doing a Google search to see what pops up.

[JulianCohen]

Jun ’18

US MR: -4.37%
US MOC: -2.78%

S&P 500 Momentum: -0.96%
NASDAQ Momentum: -7.32%
US WTT: 3.14%
ASX Momentum 2.07%
ASX Growth 6.42%

Total Account: -0.68%

[LachlanPhillips]

Hi Julian,

I have been reading your journal, because i am starting to code and designing my WTT trading system.
I wondering would you be as kind share some thoughts, idea or hints what you happy to share with me what you find when you designed Your WTT system.
I really appreciate your time, have a great week!

Tamas

my email: [email protected]

[JulianCohen]

Hi Tamas

There’s not really any secret sauce here. I followed exactly the rules from Nick’s book. I run mine on the Russell 3000 and have the price limits set from $1-$100 as I wanted to capture the smaller end of the market if I could. Then add the CBT code to remove the selection bias and that is pretty much it.

it’s a good way to start, to try to replicate a system that is known to work. Then you can start to play around with different parameters, add your own, change things around and peer down a few rabbit holes

[TimothyStrickland]

Thanks Julian,

I will take another look at Nick’s book once I finish the course. I read it twice already. I have a ton of questions for you but I am pretty sure they will get answered in the course, I just haven’t gotten there yet.

[JulianCohen]

Tim Strickland wrote:

Thanks Julian,

I will take another look at Nick’s book once I finish the course. I read it twice already. I have a ton of questions for you but I am pretty sure they will get answered in the course, I just haven’t gotten there yet.

if they are not then happy to help if I can

[SaidBitar]

Julian Cohen wrote:

Hi Tamas

There’s not really any secret sauce here. I followed exactly the rules from Nick’s book. I run mine on the Russell 3000 and have the price limits set from $1-$100 as I wanted to capture the smaller end of the market if I could. Then add the CBT code to remove the selection bias and that is pretty much it.

it’s a good way to start, to try to replicate a system that is known to work. Then you can start to play around with different parameters, add your own, change things around and peer down a few rabbit holes

I also trade as it is in the book honestly i tried all sorts of modifications and all the time i end up removing them it is good as it is. the only thing that made the difference is the ranking

[JulianCohen]

Said Bitar wrote:

the only thing that made the difference is the ranking

yes that’s pretty much what I have found too Said

[LEONARDZIR]

Julian, Said
What Car and MDD are you getting for WTT since 2007?
I haven’tt Ever gotten decent returns with my testing. I assume the ranking is extremely important.

[JulianCohen]

20% CAR and 22% MDD for me

Try Rank = 1/ATR(50);

[SaidBitar]

i do not have the exact figure but they are more or less aligned with Julian (I will check it tonight)

[LEONARDZIR]

Thank you Julian and Said

[RobGiles]

Hi Julian,
What’s the attraction of WTT vs a weekly rotational system?

[JulianCohen]

I never actually tested a weekly rotational system to be honest.

When I first started coding I had a go at coding the WTT as I had read the book and didn’t realise that Nick didn’t actually trade it himself. It wasn’t too hard to code so I pretty much just started to trade it, until I really understood selection bias and then I stopped trading it. In the meantime I had written monthly rotational systems, but never made the mental connection to test it weekly. Then when the CBT selection bias code came along I plugged it into my old WTT and found it worked nicely. 20% CAGR with 25% drawdowns is pretty good for a trend following system, so I added it back into my portfolio.

So the honest answer is, I never tested a weekly rotational system. Now I’m going to have to do it!

[Author]

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