Julian’s Journal

[JulianCohen]

Well that was a tough week. Very Mean and not a lot of Reversion

[TrentRothall]

Same on my end!

[JulianCohen]

Trent Rothall wrote:

Same on my end!

Forgive me for rejoicing at your misfortune, but it’s nice to have company 👿

I’m almost fully loaded on my swing system so come the reversion it’s gonna be party time!

[Anonymous]

im also enjoying the celebrations here

[SaidBitar]

Now we became 4

[JulianCohen]

October Results:

I am running the same funds from the ASX and the US markets back to back. One with an ASX Swing followed by a US MOC and one with an ASX MOC followed by a US Swing. As you can see they help to balance each other out quite nicely.

ASX Swing: -0.56%
US MOC: 0.22%
Combined: -0.17%

ASX MOC: -0.57%
US Swing: -7.39%
Combined: -3.99%

ASX WTT: 0.13%
ASX Rotation: 1.09%

The WTT and Rotation systems are both now in Index Filter Red territory so I can get rid of all the Rotation positions probably on Tuesday’s open for a month at least.

[JulianCohen]

My US Swing system Index filter went red today. Took me a few checks on the code to work out why I had no entry signals for today.

[JulianCohen]

November

ASX Swing & US MOC: 4.80%

ASX MOC & US Swing: 14.72%

ASX WTT: -5.46%
ASX Rotation: 0% (No Trades this month)
US WTT: -2.73% (Just started a few days ago

[ScottMcNab]

How long does the swing systems hold positions for Julian ? Does the MOC system just use any spare equity overnight ?

[JulianCohen]

Scott McNab wrote:

How long does the swing systems hold positions for Julian ? Does the MOC system just use any spare equity overnight ?

I have exitbars exits on the ASX Swing at 10 days and the US one at 5 days. On average they are generally quite a bit shorter than that. The MOC system in theory can’t hold any positions if the Swing is fully loaded but in effect I can run them normally as my WTT and momentum systems are not fully loaded so there is excess funds in the account. However I might run into trouble tonight as I am getting close to fully exposed, so we’ll see how things go. Worst case IB will not allow me to place the trades….I think

[LEONARDZIR]

Julian, what is the leverage on your US MOC?

[JulianCohen]

Len Zir wrote:

Julian, what is the leverage on your US MOC?

I use 30 positions at 10%

[LEONARDZIR]

Julian you keep mentioning a US swing system. Is that your mean reversion system that is not your same day MOC system or is it something different such as a short term breakout system?

[JulianCohen]

Len Zir wrote:

Julian you keep mentioning a US swing system. Is that your mean reversion system that is not your same day MOC system or is it something different such as a short term breakout system?

Yes the Swing system is a short term Mean reversion system, not holding longer than 5 days on the Russell 1000 or 10 days on the ASX All Ords. The MOC system runs on the S&P on the US and All Ords on ASX.

I run each in conjunction with each other. The ASX MOC runs in the morning, the Russell MR (Swing) system runs in the evening. They both use the same funds.

Then I have another set that runs the ASX All Ords (Swing) and then later that day the S&P MOC; both using the same set of funds.

The idea is to work my money as hard as I can by using the MOC in conjuction with a short term system, both of them showing +20% CAGR in backtesting.

[LEONARDZIR]

Julian, thank you for letting me know

[Author]

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