Len’s Journal

[LEONARDZIR]

April,2921

US MR -7.85%
US Multisystem +6.52%
TLT -0.4%
US MOMO +4.9%

US MR made a position sizing error that cost me 2%. Have not been using an API but enter orders by hand. May rethink that decision.
My multisystem uses Realtest and Traderunner.
Thinking about just trading multisystem since it has 4 different MR strategies.

Traderunner.

[LEONARDZIR]

June 2021

US MR Multisystem +15.83%
Trade long term +8.45%
US MOMO -3.08%

I dropped the single system MR in the R1000 and am doing all short term trading in the multisystem account. The results are better in the multisystem account although more volatile and the multisystem has long and shorts in MOC and MR.

and shorts

[Nick Radge]

Great results Len.

Also great to see the US opening up and almost back to normal. Interesting stat last night I read; of all the deaths in the US last week, 99.2% had NOT been vaccinated.

[LEONARDZIR]

Hi Nick,
I live in Massachusetts and our state has the highest vaccination rate in the US. It does seem like everything is almost back to normal. Last week we went to the REDSOX-Yankee baseball game( a longstanding rivalry) in Boston. The stadium was at capacity at over 36,000 people with barely anybody wearing a mask,
We hadn’t seen our kids and grandchildren for more than than 1 1/2 years because they live in California. They are now spending 2 weeks with us for my birthday.
One peculiar thing in the US. The vaccination rate depends on whether you are a republican or democrat. The lowest vaccination rates are in our Southern states which typically vote republican and the highest rates in the Northeast which typically vote democratic. Very bizarre.
Hope you and Trish are staying safe.
Len

[LEONARDZIR]

July, 2021

US multisystem +2.4%
TLT +15.98%
US Momo -4.12%

Notes:At new equity highs for all accounts. Have taken Nick’s advice about diversifying systems and markets very seriously. I am trading more than a dozen systems that cover intraday ,daily, weekly and monthly timeframes as well as multiple stock markets, bonds and commodities. Fair amount of work at month’s end but very little time spent during the month. My short term trading systems are completely automated.
Have learned to live with an extremely volatile short term trading systems. This week went down 5% in 2 days in the early parts of the week. Then up 8.5% next two days and down 2.5% yesterday.

[ScottMcNab]

Which stock markets did you settle on Len?

[LEONARDZIR]

Scott,
Mostly US markets R1000,SP 500, Nasdaq100. Outside US includes EWJ,VEA, VWO,FXI ,VGK and EFV.
I also have 5 different stock systems that trade US stocks in the Dow,,SP 500, R1000 and Nasdaq 100.
Actually I trade 11 systems in 5 Retirement accounts and 10 systems in 3 personal accounts. My short term trading (1-5 days) only takes place in one of my personal accounts. Short term trading consists of 6 systems all automated and run in Realtest, traderunner and IB.
Surprisingly there is very little work intramonth. The short term trading takes 10-15 minutes each morning since it is 100% automated. I spend 15-30 minutes each Monday morning for my weekly systems. End of month can take as little as a 1/2 hour or this month will take about 3 hours.

[LEONARDZIR]

August 2021

MR Multisystem -4.55%
TLT +6.5%
US MOMO -0.2%

New equity highs for my portfolio. Thinking hard about continuing my MR Multisystem trading.

[Nick Radge]

Is your MR system tracking the backtests Len?

[LEONARDZIR]

Nick,
I am using Realtest for backtesting and Order entry for 6 short term systems. The actual results are different from the backtest both positive and negative. I asked Marsten why and at least part of the explanation is that the systems do not correct for selection bias. He maintains over time the results will match the backtest.
The difficulty I am having with short term trading is that the bulk of my systems are intermediate term and I have had a great 2020 and so far an excellent 2021 with the intermediate systems. So I am not really complaining about my overall results but wondering whether it is worth my time to continue to trade short term.

[JulianCohen]

One thing I would say Len, with short term systems vs longer term systems….The last few months my short term systems have been doing very little, but the long term are flying….That won’t stay that way. We have very little volatility at the moment and the short term systems thrive in volatility. When (and I say when not if) the volatility returns and the SPX goes below its 200 day MA and the long term systems do nothing for a while, that’s when the short term systems will start to return to profitability. As long as they don’t lose too much in this quiet period I really think it is worth continuing with them.

[LEONARDZIR]

Julien,
Thanks for the reply. My short term systems are extremely volatile now despite the low volatility of the spy and I have a pretty decent drawdown but your point is well taken.
Thanks

[JulianCohen]

really? That’s interesting…..

[LEONARDZIR]

For example down 4% this week so far and was up 4.9 % last week.

[LEONARDZIR]

Julien,
I have given some thought to your response. I think you are right. I am judging the short term trading which has been in a rut compared to my momentum/trending systems which have been extremely profitable. Will keep trading short term and wait for more advantageous markets.

[Author]

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