Julian’s Journal

[JulianCohen]

April ’23

Short-Term Systems
US Combined MOC: -4.44%
TSX Daily Swing:  0%
ASX Weekly Swing -0.94%
TSX Weekly Swing -1.84%

Long Term Systems
Long Term NASDAQ: -0.75%
US Momentum: -5.64%
US WTT: -1.11%

ASX Growth -5.65%
ASX Momentum: -1.21%

For some reason this month felt worse than it actually turned out in terms of the numbers. Dunno what that means

[JulianCohen]

May ’23
Short-Term Systems

US Combined MOC: -1.79%
ASX Weekly Swing 0%Long Term Systems
Long Term NASDAQ: 5.26%
US Momentum: 0.20%
US WTT: 15.14%

ASX Growth -1.34%
ASX Momentum: 0%

[Nick Radge]

Nice on the US WTT…what universe are you trading that on?

[JulianCohen]

RUT with stocks over $1 and the setupScore favours lower priced stocks.

Still -32% in drawdown though and -18% YTD so a long way to go to crawl out of the hole.

[JulianCohen]

June ’23
Short-Term Systems
US Combined MOC: 1.38% 
ASX Weekly Swing -1.75%

Long Term Systems
Long Term NASDAQ: 9.6%
US Momentum: 0.15%
US WTT: 7.06%

ASX Growth 0.76%
ASX Momentum: 1.85%
 

[JulianCohen]

July ’23
Short-Term Systems
US Combined MR: 4.98%
TSX Combined MR: 0.33%
ASX Weekly Swing: 2.44%

Long Term Systems
Long Term NASDAQ: 3.38%
US Momentum: 7.64%
US WTT: 5.84%

ASX Growth: -1.46%
ASX Momentum: -1.02%
ASX Weekly: -0.69%

ETFs
All Weather: 2.41%
Indices: 1.43%

Total Account: 4.38%

I reintroduced the TSX mean reversion strategies after a chat with Kate. I changed the universe to the TSX 60 only to try to ensure that the backtest matches the actual. I’ll give it to the end of the year to prove itself worthy. It takes no time really to operate it as RT and OrderClerk make everything so easy. I feel the same way about the ASX Swing strategy although this month it actually traded plus made some money, as it has been doing very few trades in the last few months. So far since I moved to the ASX 300 the backtest and actual match.

I added an ASX Weekly strategy that works off momentum, using an idea I “borrowed” from another forum and improved to my own uses…although improved is purely subjective and time will tell.

I also have been working on a few ETF strategies. The All Weather I have had for a while so I’ve started to add the results from this month, and I added one strategy that just punts the Indices.

[KateMoloney]

Nice work Julian

[LEONARDZIR]

Julian,
Excellent results for July. You mentioned you have an All Weather etf portfolio. Is that Dalio’s , or Russo’s portfolio? I am trading a version of Russo’s all weather etf portfolio with nice results in July. Regards.

[LEONARDZIR]

I respectfully withdraw my comment and question.

[JulianCohen]

No Issue Len…it’s based on Dalio’s but I did have a good look at Tom Basso’s for a while, but decided there were too many positions for effectively the same outcome. I haven’t looked at Russo so I’ll go see what is different.

[LEONARDZIR]

Russo is an error I meant Basso

[JulianCohen]

OK that makes sense

I tested Basso’s strategy with RT but I found the same or better results, both CAGR and MDD, were possible using just QQQ or SPY instead of holding all those different sector ETFs. Of course anything that held QQQ for the last 10 years or so has done well, but I ended up using Dalio’s principles as they were much easier to implement.

[LEONARDZIR]

Interesting,. I opted for the 30 ETF portfolio using Donchian and Keltner channels for trend. I like some of the peripheral advantages like seeing how many ETF’s are in uptrends. I do some discretionary stock trading and look at Stocks in sectors with strong uptrends.

[JulianCohen]

August ’23

Short-Term Systems
US Combined MR: -11.38%
TSX Combined MR: -2.15%
ASX Weekly Swing: 1.01%

Long Term Systems
Long Term NASDAQ: -5.42%
US Momentum: -6.70%
US WTT: -1.35%

ASX Growth: -4.46%
ASX Momentum: -7.51%
ASX Weekly: 1.01%

ETFs
All Weather: -2.70%
Indices: 0.83%

Total Account: -8.27%

A month best forgotten

[TerryDunne]

Hi Julian,

Can I take you up on your kind offer to let me have your code for testing different systems together.

Thanks again,

Terry

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