Julian’s Journal

[TrentRothall]

If you have a min turnover of $500,000 (c*v), then a lower priced stock will need a higher volume to satisfy that requirement.

for a $0.15 volume would need to around 3.3m (500,000/0.15)

Make sense? Now hopefully i am correct lol

[JulianCohen]

Trent Rothall wrote:

If you have a min turnover of $500,000 (c*v), then a lower priced stock will need a higher volume to satisfy that requirement.

for a $0.15 volume would need to around 3.3m (500,000/0.15)

Make sense? Now hopefully i am correct lol

Looks right to me but I have the price filters as outright volume not volume times price. I hadn’t thought of c*v. I’ll try it but might cut back the universe a little

[ScottMcNab]

Interesting I settled on something similar but using XAO excluding XTO…with 10 postions at 10%..

[TrentRothall]

Pretty sure its discussed in the course material, think that’s where i got it from. Just a turnover filter..

[JulianCohen]

I just looked back on that section. Funnily I have never used it. Don’t know why.

So….do I go back and try it with my systems? Another bloody rabbit hole to disappear down Ha Ha

[JulianCohen]

Of course I’m going down the rabbit hole right now :unsure:

Actually it’s not too bad on the CAGR and will make sure that I’m not going to get a big position in a small stock. Worth doing

[SaidBitar]

Just one comment not sure if it is valid thing though, but if you are planning to sell on the close then if the buy position it is 5% of the daily volume then you need to calculate it as 10% since you are going it sell it back so if you bought 30K shares end of the day you will sell 30K shares and then you have contributed with 10% of the daily volume then it will be problem to get filled on your limit order

[JulianCohen]

Said Bitar wrote:

Just one comment not sure if it is valid thing though, but if you are planning to sell on the close then if the buy position it is 5% of the daily volume then you need to calculate it as 10% since you are going it sell it back so if you bought 30K shares end of the day you will sell 30K shares and then you have contributed with 10% of the daily volume then it will be problem to get filled on your limit order

It is a valid point. I’m going to set the TOFilt to around 200,000. That should eradicate any problems

[JulianCohen]

I spent most of the day checking through the volume data on the ASX. As long as the account size is around $100,000 volume shouldn’t really be a factor at all. Not much chance of ending up with any position more than 5% of the traded amounts.

I used EMA(V,7) to give a perspective of the volume traded over the last few days and compared that to EMA(V,50) of the Volume and the Turnover. As the position size gets larger, pretty much anything over account size of 300K you start to run into problems. The best way to eradicate them is to trade the ASX200 once the account size gets bigger so if anyone has a bigger account, or when your small account gets bigger in a few years, this needs to be taken into consideration.

As Said pointed out, if you are using an MOC then your trading volume will actually be double for the same day so you need to watch for anything where you are going to be close to 10% of the traded daily volume.

For my MOC account I’m only going to trade the ASX200 and for my swing system I will trade the All Ords but have set three volume filters, EMA(V,7) and EMA(V,50) for the volume both greater than 600,000 and EMA(V,50) > 600,000 for Turnover. I could have made some cockups in the numbers but that seems to me to be the safest way to avoid running into position size problems for my account size. It cuts the CAGR from 28% to 19%, but nothing you can do about that.

[TrentRothall]

Thanks Julian,

Remember turn over is c*v to calculate turn over in $$$

Liike you said in the ASX200 shouldn’t be an issue.

Out of interest how long does your swing system hold for?

[JulianCohen]

Trent Rothall wrote:

Thanks Julian,

Remember turn over is c*v to calculate turn over in $$$

Liike you said in the ASX200 shouldn’t be an issue.

Out of interest how long does your swing system hold for?

Exits after 10 days or a higher high

Noted on the Turnover…I just typed it wrong innit

[TrentRothall]

Thought it may have been the case

Thanks for that, was that the 19% car?

[JulianCohen]

Trent Rothall wrote:

Thought it may have been the case

Thanks for that, was that the 19% car?

Yes the swing system was making 28% in backtests on the full All Ords with a 100K account. But it won’t do that with a bigger account but luckily the MOC I’ve just been working on will using the ASX 200 so I should be OK.

I’m just setting up everything to run it later in the week.

[ScottMcNab]

Julian Cohen wrote:

I spent most of the day checking through the volume data on the ASX. As long as the account size is around $100,000 volume shouldn’t really be a factor at all. Not much chance of ending up with any position more than 5% of the traded amounts.

I used EMA(V,7) to give a perspective of the volume traded over the last few days and compared that to EMA(V,50) of the Volume and the Turnover. As the position size gets larger, pretty much anything over account size of 300K you start to run into problems. The best way to eradicate them is to trade the ASX200 once the account size gets bigger so if anyone has a bigger account, or when your small account gets bigger in a few years, this needs to be taken into consideration.

As Said pointed out, if you are using an MOC then your trading volume will actually be double for the same day so you need to watch for anything where you are going to be close to 10% of the traded daily volume.

For my MOC account I’m only going to trade the ASX200 and for my swing system I will trade the All Ords but have set three volume filters, EMA(V,7) and EMA(V,50) for the volume both greater than 600,000 and EMA(V,50) > 600,000 for Turnover. I could have made some cockups in the numbers but that seems to me to be the safest way to avoid running into position size problems for my account size. It cuts the CAGR from 28% to 19%, but nothing you can do about that.

Found similar results..price and volume filters for me reduce CAR to about 20

[JulianCohen]

Only a couple of weeks of trading for the MR systems but my Momentum Rotation was working all through the month.

Monthly Rotation: 0.51%
WTT: -0.04% (only a couple of weeks data)
MR: S&P500 MOC and ASX all ords combined: -0.85%
MR: Russel1000 and ASX200 MOC combined: 4.48%

I am using the same funds in the Australian and then the US markets, that’s why I am treating the results as combined.

It shows why it’s worth running systems in more than one universe as I have good diversification here.

[Author]

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