Len’s Journal

[LEONARDZIR]

Makes sense.
Thanks Trent and Craig

[LEONARDZIR]

I had been thinking about sitting in cash and how much I missed the trading when I saw this quote of Jesse Livermore posted in one of Colin Twigg’s emails.

“What beat me was not having brains enough to stick to my own game ? that is, to play the market only when I was satisfied that precedents favored my play. There is the plain fool, who does the wrong thing at all times everywhere, but there is also the Wall Street fool, who thinks he must trade all the time”

~ Jesse Livermore

[JulianCohen]

Think I’m gonna write this on a post it note and staple it to my forehead

[LEONARDZIR]

Julian
I put the quote next to me my trading computer.

[LEONARDZIR]

Next to my trading computer

[JulianCohen]

I have a lot of space on my forehead

[LEONARDZIR]

Ha ha!

[LEONARDZIR]

Now that our trend following systems are out of the US market I would be interested in knowing what people are doing with their cash.
In my retirement accounts I have 30% in BND 5% in GLD the rest in cash
In my personal accounts I have 8% in US moc and the rest in cash.

[Nick Radge]

Len,
This weekends Trade Long Term article will test the addition of various ETFs alongside a momentum strategy.

Personally I’m just sitting in cash.

My short term systems are active at present and offering up a nice month (…so far).

Nick

[ScottMcNab]

Len Zir wrote:

Now that our trend following systems are out of the US market I would be interested in knowing what people are doing with their cash.
In my retirement accounts I have 30% in BND 5% in GLD the rest in cash
In my personal accounts I have 8% in US moc and the rest in cash.

The best use I could find last year when tested various options historically was to actually use the funds in the MRV systems…but while gave best return (by a significant margin) it obviously came with other issues so I am in cash..depending on individual circumstances some people may allocate a portion to short term over those times perhaps?

ps I should have mentioned that testing on MRV was done with no leverage (10×10) with settlement delay included

[LEONARDZIR]

Nick,
Will look forward to the article this weekend. Been long Gld for a couple of months with very nice profits but that was a discretionary trade
Len

[LEONARDZIR]

Scott,
My US mrv is flat but I am trading my US MOC . The bulk of my investments are US rotational so flat for now.
Len

[LEONARDZIR]

Jan 2019
US MOC. 1.3 %

US MR, US rtn, DTVI flat

[LEONARDZIR]

Had dinner with Cesar Alvarez last nite and two other full time traders. He is a really nice guy. Needless to say we did talk about mean reversion systems although everybody was pretty quiet about the details of their systems.
Couple of points. Cesar said that the Russell 3000 works very well for mean reversion. I’ll have to check that out. Also Cesar and one other trader said they have a lot of success with mean reversion systems that sell short even in an uptrending market. He also mentioned that with all the quants trading mean reversion strategies he thought the edge for mean reversion was being reduced.
There were a few other ideas I need to check out. Interesting evening.

[ScottMcNab]

Would love to have a MRV on short side but no success so far…better go back and have another look

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