Julian’s Journal

[JulianCohen]

March ’24

Short-Term System
US Combined MR: 2.56%
ASX Weekly Swing: 1.39%

Long Term Systems
Long Term NASDAQ 2.58%
US Momentum: 6.60%
US WTT: 4.46%

ASX Growth: 3.87%
ASX Momentum: 1.74%

ETFs
USD All Weather: 4.49%
ASX All Weather: 5.04%
ETFs: 0.32%

Total Account: 4.06%
Rolling Volatility: 12.53%

[JulianCohen]

April ’24

Short-Term Systems
US Combined MR: -3.63%
ASX Weekly Swing: 4.84%

Long Term Systems
Long Term NASDAQ -3.83%
US Momentum: -3.76 %
US WTT: -1.39%

ASX Growth: -5.35%
ASX Momentum: -8.05%

ETFs
USD All Weather: -5.88%
ASX All Weather: 1.39%
ETFs: -4.60%

Total Account: -5.37%
Rolling Volatility: 13.08% 

[JulianCohen]

May ’24

Short-Term Systems
US Combined MR: 6.05%
ASX Weekly Swing: -1.40%

Long Term Systems
Long Term NASDAQ 15.18%
US Momentum:  7.60%
US WTT:  9.39%

ASX Growth: -6.26%
ASX Momentum: -2.70%

ETFs
USD All Weather: 4.32%
ASX All Weather: 1.09%
ETFs: 1.07%

Total Account: 6.57%
Rolling Volatility: 13.00%

[Nick Radge]

Nice Julian.

[JulianCohen]

June ’24

Short-Term Systems
US Combined MR: 2.49%
ASX Weekly Swing: 0.40%

Long Term Systems
Long Term NASDAQ 2.79%
US Momentum: -1.07 %
US WTT: -3.69 %

ASX Growth: 3.68%
ASX Momentum: 1.21%

ETFs
USD All Weather: 0.98%
ASX All Weather: 4.01%
ETFs: 1.45%

Total Account: 1.46%
Rolling Volatility: 12.73% 

[JulianCohen]

July’24

Short-Term Systems
US Combined MR: -2.79%
ASX Weekly Swing: 1.61%
US NDX_OEX_MR Test: 1.73% {new strategy I’m testing with a variable account size}
ETFs: -0.36%

Long Term Systems
Long Term NASDAQ -4.47%
US Momentum: -4.78 %
US WTT: 6.63 %

ASX Growth: 2.86%
ASX Momentum: -0.22%

ETFs
USD All Weather: 1.40%
ASX All Weather: 1.65%

Total Account: -1.03%
Rolling Volatility: 13.34%

[JulianCohen]

August ’24

Short-Term Systems
US Combined MR: -4.94%
ASX Weekly Swing: -0.20%
US NDX_OEX_MR Test: -8.87%
ETFs: -4.00%

Long Term Systems
Long Term NASDAQ -7.32%
US Momentum: 5.08%
US WTT: 3.68%

ASX Growth: -7.46%
ASX Momentum: -2.16%

ETFs
USD All Weather: -0.82%
ASX All Weather: -1.76%

Total Account: -3.57%
Rolling Volatility: 16.46%

Considering my stupidity, it could have been a lot worse

NEVER override your system. Lesson learned.

 

[JulianCohen]

September’ 24

Short-Term Systems
US Combined MR: -4.54%
ASX Weekly Swing: 0%
US NDX_OEX_MR Test: -1.10%
ETFs: -1.42%

Long Term Systems
Long Term NASDAQ -0.02%
US Momentum: 7.23%
US WTT: 0.86%
NDX Weekly Rebalance: 1.84%
Bond Spread: -1.18%

ASX Momentum: 9.01%

ETFs
USD All Weather: 2.04%
ASX All Weather: 1.69%

Total Account: 1.09%
Rolling Volatility: 16.71% 

[RichardKoziel]

Hi Julian,
Are you using the “Rolling Volatility” in your systems or just tracking it for the total portfolio ? Thanks Rick

[JulianCohen]

Just tracking it Rick

[JulianCohen]

October’ 24

Short-Term Systems
US Combined MR: -0.58%
ETFs: 0.21%

Long Term Systems
Long Term NASDAQ 3.27%
US Momentum: 4.35%
US WTT: -1.57%
NDX Weekly Rebalance: -0.21%
ASX Momentum: 0.79%

ETFs
USD All Weather: 2.34%
ASX All Weather: 8.44%

Total Account: -0.24%
Rolling Volatility: 16.48%

[JulianCohen]

November’ 24

Short-Term Systems
US Weekly MR: -0.8%

Long Term Systems
Long Term NASDAQ: 9.84%
US Momentum: 31.95%
US WTT: 7.09%
NDX Weekly Rebalance: 25.89%

ASX Momentum: 16.76%
ASX Rebalance: 1.90%

ETFs
USD All Weather: 5.96%
ASX All Weather: 8.27%

Total Account: 7.25%
Rolling Volatility: 16.56%

I know some of you are going to find this hard to believe but I have dumped my daily systems completely. I was thinking about this for a few months, and then when Nick told me his dailies were down to 10% of the portfolio, I thought why bother at all. Sure it only takes 10 minutes a day to operate them, but in the back of my mind it was bothering me that they never really lived up to the massive backtest expectations, and also that running them and watching the P/L on a daily basis fed some sort of trading addiction. So I switched the script to weekly from daily and ran a ruthless cull on any strategies that didn’t work. I ended up with 5 that did perform weekly on the $MEL, and I have an idea for some more to test. 

Of course, as with any new strategy when put into operation it promptly lost money, so that’s encouraging!

The rest is all thanks to the Orange Man and APP !

 

[TerryDunne]

Nice result Julian!
I’ll be interested to see how your move away from daily trading plays out…it’s odd isn’t it, we have both done similar training and I couldn’t be further from you in terms of time frame.

[ScottMcNab]

Hi Julian. Thanks for taking time to update. Interesting stuff particularly in light of the number of years you have been trading and coding. Are you able to share more regarding the aspect of dailies not living up to backtests ? Were you able to determine if this was missed entries on longs or inability to borrow stocks to short or something else entirely (I think you were using a slightly more involved system that selected or weighted sub systems on some sort of correlation matrix ??) Or was this a minor component in the switch into the longer time frame ?

[KateMoloney]

Nice results Julian. Be interested to hear about your journey to the longer term time frames.
Missed fills on the dailys can make a difference to the real results VS the back test.

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