Julian’s Journal

[Nick Radge]

Nice. Thanks Julian.

[ScottMcNab]

Julian Cohen post=13209 userid=5314 wrote:

 
I have tried to keep parameters as broad as possible. For example if I have ATR as a parameter I use the same ATR(20) anywhere I am going to use that parameter, irrespective of the strategy. I did this to keep things as robust as possible. I’m sure I can make the backtest much much better by tweaking the parameters, but by deciding that this setting is the one only one I am going to use across the board, this stops the temptation to individualise each strategy. Once a portfolio is built I might then see if ATR(10) is better, but it will be ATR(10) everywhere ATR is used, not just on one or two strategies. 

Interesting…fwiw i went the opposite path (chasing diversity)..if one system uses atr(10) then the next will use atr(5) or atr(20) in the next system….just halved or doubled to avoid curve fitting.

 

[JulianCohen]

Did you resist the temptation to see which strategy worked best with which ATR value?

In actual fact, is that a bad thing to look for that? After all I certainly looked to see which strategy worked best with which ranking measure….

[ScottMcNab]

I think, from memory, the changes didn’t seem large enough or consistent enough to feel significant….the improvement or worsening for each strategy was pretty random across markets…ie may have been better for USA but worse for AUS and no change for Canada and then also varied across time frames sampled….the size of stretch seemed more critical for MRV systems (ie in the formula var1*atr(x) for calculation of buylimP then “var1” seemed much more important than “x”)

[JulianCohen]

July ’22 
Short-Term Systems 
US Combined MOC: 0.56%
    
Long Term Systems 

All in Cash

[JulianCohen]

August ’22 
Short-Term Systems 

US Combined MOC: -2.44%     

Long Term Systems 
Long Term NASDAQ: -4.31%
US Momentum: 0%
US WTT: 4.35%
ASX Growth 1.92%
ASX Momentum: 0%

[JulianCohen]

September ’22

Short-Term Systems
US Combined MOC: -9.03 %   

Long Term Systems
Long Term NASDAQ: -2.59%
US Momentum: 0%
US WTT: -7.26%

ASX Growth -6.54%
ASX Momentum: 4.85%

Less said the better!

 

[JulianCohen]

October ’22
Short-Term Systems
US Combined MOC: 7.25%   

Long Term Systems
Long Term NASDAQ: 0%
US Momentum: 0%
US WTT: 5.29%

ASX Growth -0.6%
ASX Momentum: 0%
ASX Weekly Swing -0.14%

[JulianCohen]

November ’22
Short-Term Systems
US Combined MOC: -1.92%

Long Term Systems
Long Term NASDAQ: 2.71%
US Momentum: 0%
US WTT: 0.36%

ASX Growth -0.54%
ASX Momentum: 0%
ASX Weekly Swing 0.57%

[JulianCohen]

Finally got a fill on the TSX Weekly Strategy after 3 weeks…I have a decent size stretch….

Next 10000 trades…if I live that long!

[Nick Radge]

lol…better start bio-hacking

[JulianCohen]

December ’22
Short-Term Systems
US Combined MOC: -3.10%

Long Term Systems
Long Term NASDAQ: -5.58%
US Momentum: -9.18%
US WTT: -5.21%
ASX Growth 0%
ASX Momentum: -3.41% …mistakenly entered half size positions Hoorah!!
ASX Weekly Swing 0.99%

[JulianCohen]

January ‘ 23

Short-Term Systems
US Combined MOC: 5.50%

ASX Weekly Swing 2.00%
TSX Weekly Swing -0.29%

Long Term Systems
Long Term NASDAQ: 0.93%
US Momentum: 0%
US WTT: -0.24%

ASX Growth -0.82%
ASX Momentum: 5.72%

[JulianCohen]

 February‘ 23

Short-Term Systems
US Combined MOC: -8.09%
ASX Weekly Swing -0.18%
TSX Weekly Swing -3.05%

Long Term Systems
Long Term NASDAQ: -5.21%
US Momentum: 4.39%
US WTT: 1.77%

ASX Growth 6.02%
ASX Momentum: -7.22%     

[JulianCohen]

March ’23

Short-Term Systems
US Combined MOC: -5.64%
ASX Weekly Swing 0.69%
TSX Weekly Swing -2.34%

Long Term Systems
Long Term NASDAQ: -1.09%
US Momentum: 6.15%
US WTT: -12.00%

ASX Growth 1.05%
ASX Momentum: -1.79%

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