Julian’s Journal

[TimothyStrickland]

Lol, true. I was thinking from a single system point of view. I was a little rattled during this time, had to reach out to Nick a couple of times. I was trusting the system but was really feeling the pain in the moment. I stuck it out which I am happy with but this was my first real drawdown. It opened eyes to the fact that its one thing to see a drawdown on paper, its quite another to go through one.

[ScottMcNab]

Doubt I would have remained calm if it happened in my first month Tim. Probably not a bad way to start in some ways.

[JulianCohen]

I promise you I have wanted to kick the ASX momentum system out since I first created it. I have never made money with it. I have tinkered with it a few times and every time it goes into drawdown. Believe it or not I’m happy with it now. It will come good in the next upturn. In the meantime I treat it as the “drawdown system I have to have in order for the others to be OK”

[TimothyStrickland]

Very interesting point Julian.

[RobGiles]

Well done Tim for keeping with it. As Scott said,I would have found it tough to keep calm if it was my fist crack at it.

[JulianCohen]

My RUI switched back on today.

[JulianCohen]

NOV ’18

Short-Term Systems

US MR: -1.21%
US MOC: 3.19%

Long Term Systems

S&P 500 Momentum: 0%
NASDAQ Momentum: 0 %
(Nick’s) Long Term NASDAQ: 0%
US WTT: 1.35%
ASX Momentum 0%
(Nick’s) ASX Growth 0.61%

Total Account: 1.06 %

I love my MOC system

[JulianCohen]

Looks like we will have no entries for our rotation systems this coming month

[JulianCohen]

Dec ’18

Short-Term Systems

US MR: -1.25%
US MOC: -14.02%

Long Term Systems

S&P 500 Momentum: 1.00%
NASDAQ Momentum: 1.01 %
Long Term NASDAQ: 0%
US WTT: -7.46%
ASX Momentum 0%
ASX Growth -1.57%

Total Account: -4.94 %

For the Year -19.3%

[JulianCohen]

Jan ’19

Short-Term Systems

US MR: 0%
US MOC: 5.29%

Long Term Systems

S&P 500 Momentum: 0.50%
NASDAQ Momentum: 0.50 %
Long Term NASDAQ: 0%
US WTT: 1.30%
ASX Momentum 0%
ASX Growth 0.15%

Total Account: 2.01 %

The 0.5% return from the US Long Term systems is from the IEF ETF

[TimothyStrickland]

Julian,

Do you split your capital equally between the systems or do you allocate more to certain ones? Reason why I am asking as I may be going down a similar path as you in the future. I have my momentum systems and Nick and I are working on the MR system now. I would like to create a MOC system in the future and split capital and brokers to mitigate risk.

[JulianCohen]

Tim Strickland wrote:

Julian,

Do you split your capital equally between the systems or do you allocate more to certain ones? Reason why I am asking as I may be going down a similar path as you in the future. I have my momentum systems and Nick and I are working on the MR system now. I would like to create a MOC system in the future and split capital and brokers to mitigate risk.

Hi Tim,

I have about 40% in MOC and MR combined, and 60% in the various trend following systems.

That is based off actual capital. The MOC trades at 4x leverage and the MR at 2x leverage.

[JulianCohen]

I just spent countless wasted hours testing a new system. It looked so good too. An MOC system returning over 55% CAGR. I was slightly suspicious but every test came up good.

Until I realised that I had set the ranking to the same number for all the stocks, it didn’t vary, so therefore all the results had selection bias. I thought it was a bit weird that a lot of the results showed a preponderance of tickers in the first half of the alphabet!

Back to square one, cos when I fixed it the CAGR went to 9%

[TimothyStrickland]

Yikes, just had something similar happen, although not quite as drastic. My system was giving some pretty amazing results. 44% CAGR over my test period with 16-17% drawdown. Turned out there were settings in amibroker that were not correct and I had fallen into the trap of optimizing to many things. Thankfully Nick caught it before I went live.

[TimothyStrickland]

Julian, I extended my time for the mentor course so I can learn the remaining systems. I think I still need to learn a trending and MOC system.

Do you find that MOC systems outperform your others from a CAGR standpoint? Is this because of the 4x leverage you get during the day? I am starting down this path although I really need to wait until Craig is feeling better as I will have lots of coding issues.

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