Julian’s Journal

[GlenPeake]

Nice Julian!!! :woohoo:

Hopefully the ‘next 1000 trades’ contains many more mean reversion trades like this one!!

[SaidBitar]

It made my day yesterday and the returns for the month

[RobGiles]

Re other markets to trade – thanks for sharing Julian,

Would it be worth spending the same energy & time simply developing a system for a single instrument that is highly liquid in order to add diversification to your overall portfolio, like some of the major US futures contracts?

[JulianCohen]

Rob Giles wrote:

Re other markets to trade – thanks for sharing Julian,

Would it be worth spending the same energy & time simply developing a system for a single instrument that is highly liquid in order to add diversification to your overall portfolio, like some of the major US futures contracts?

Actually it might be. I didn’t consider that Rob. Thank you for the suggestion.

[JulianCohen]

August ’18

Short-Term Systems

US MR: 2.58%
US MOC: 5.04%

Long Term Systems

S&P 500 Momentum: 4.23%
NASDAQ Momentum: 6.52%
Long Term NASDAQ: 7.92%
US WTT: 2.26%
ASX Momentum 6.61%
ASX Growth 6.03%
ASX MOC -1.11%

Total Account: 4.93%

[LEONARDZIR]

Julian,
Super results!

[TimothyStrickland]

Wow Julian that is quite the amount of strategies going on there. Are all those live or are you still testing some?

[JulianCohen]

Tim Strickland wrote:

Wow Julian that is quite the amount of strategies going on there. Are all those live or are you still testing some?

No those are all live. Not too tricky to run. Three daily, one weekly and the rest monthly

[TimothyStrickland]

Wow, nice! I am finding that building my system is much more difficult now that I have to apply everything I learned then just learning small pieces of info. The learning curve is real!

How long did it take you to get through your first system?

[JulianCohen]

Tim Strickland wrote:

Wow, nice! I am finding that building my system is much more difficult now that I have to apply everything I learned then just learning small pieces of info. The learning curve is real!

How long did it take you to get through your first system?

The first system didn’t take me too long. maybe a couple of weeks. But in all honesty it wasn’t very good. far too much selection bias. I have gone through a number of systems after that, quite a number, but once I realised how to control the selection bias things settled down a bit.

Selection Bias isn’t too much of a problem now with the new code. My advice is to keep it simple. I know you hear that a lot but you will be amazed at how simple some of our systems are.

[TimothyStrickland]

Thanks Julian, good advice. I will keep that in mind, getting more familiar with the code, will probably take me more than a couple of weeks but that’s fine with me. I plan on this being a long term thing for me.

[JulianCohen]

Sept ’18

Short-Term Systems

US MR: 4.9%
US MOC: -0.77%

Long Term Systems

S&P 500 Momentum: -2.1%
NASDAQ Momentum: 0.17 %
Long Term NASDAQ: 1.06%
US WTT: -1.47%
ASX Momentum 1.11%
ASX Growth -0.39%

Total Account: -0.42%

[JulianCohen]

For those of you that are a bit squeamish, best look away now

Oct ’18

Short-Term Systems

US MR: -15.26%
US MOC: -7.43%

Long Term Systems

S&P 500 Momentum: -8.23%
NASDAQ Momentum: -37.64 %
Long Term NASDAQ: -24.70%
US WTT: -12.11%
ASX Momentum -27.99%
ASX Growth -20.43%

Total Account: -14.38%

Diversification across systems helped me this month. My aggressive systems got butchered, but the non aggressive ones helped a great deal.

[TimothyStrickland]

Julian, that puts my month in perspective. You got a stomach of iron my friend. I am working towards that myself.

[JulianCohen]

Tim Strickland wrote:

Julian, that puts my month in perspective. You got a stomach of iron my friend. I am working towards that myself.

Hey Tim you’re down 23%…I’m only a measly -14%….who’s got the iron stomach now

I am joking BTW

[Author]

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