Len’s Journal

[JulianCohen]

I know misery loves company Len so if it makes you feel better I dropped a bundle last night….

[RobertMontgomery]

Down about -4% today myself, seems like coding and back testing the reduction in position sizing should be possible.

[LEONARDZIR]

Thanks Nick. Kaufman also mentioned the Turtles drawdown system. Interesting concepts.

[LEONARDZIR]

Based on Nick’s post zi am using the “Turtles” portfolio management system for my MOC.  iI have a significant reduction in position size which is really helping with the drawdowns. Still thinking about how to up my position size when I start turning a profit.

[LEONARDZIR]

May 2022

USMomo.   -0.7%
TLT.            -0.1%
MOC.         -4.74%

[LEONARDZIR]

June 2022
US MOC – 15.9%
USMR     -20.2%
TLT flat
USMOMO  flat

I have been using the turtles position sizing method for leveraged portfolios posted by Nick otherwise would be down close to 40% in my MOC. Since significantly past my historical drawdown stopped trading my MOC. Will start back again as of July 5th.

[LEONARDZIR]

Just an observation. My MOC is turning positive this month particularly past few days. I notice that there has been a change in the market. There are now days where the market sells off in the morning and rallies in the afternoon. Also noticed a few other things like money is now moving into growth and away from value. Hope it continues.. Had been reducing position size per Nick’s post.  Now working out how to increase position size if the MOC remains profitable.

[BenOsborn]

Hi Len, my MOC systems also came back strong this week.  I actually probably feel more nervous now than when it was constantly taking a beating as I don’t want to give back the gains!  Can’t wait for the trading week to begin either way.

[LEONARDZIR]

July,2022
US MOC   +5.14%
USHFT     +3.5%
USMOMO  Flat
TLT            Flat

[LEONARDZIR]

August, 2022,
TLT  -3.88%
USMOMO  flat
USHFT  -0.24%
US MOC -6.62%

Made a number of significant changes to my portfolio over the last 8-12 months. I stopped trading my MOC this month. Not a big deal since it was less than 1% of my portfolio. It had a great equity curve from 2000 to 2021. This year the equity fell off a cliff. Most importantly compared to prior drawdowns which resolved quickly the MOC continues to lose money. Will watch for now.
Because of the size of my portfolio and the fact that I don’t trade the Australian equity markets I added 3 systems: another daily stock MR system; a weekly stock trend system; and a daily futures trend following system. In addition in June I added a buy and hold stock portfolio consisting of 16 American companies like Hershey, Boeing JNJ etc. Finally I have been doing some discretionary trading using the SPY. Bought SPY near the lows( lucky) in June based on extreme negative sentiment and a stock signal I follow. Stopped out last week with a nice profit. Bought  again  last week and stopped out with a small loss.

[LEONARDZIR]

September 2022

US

TLT    -2.52%
US MOMO flat
MOC  stopped trading
HFT stopped trading  
Daily Timing Stocks     +1.98%
Weekly Trend Stocks    -8.59%
Futures Trend               +7%

Stopped trading mean reversion for now. Added 3 of Perry Kaufman’s systems. The futures portfolio has been acting as a hedge for the stock systems.

[ScottMcNab]

Did you do the system design/testing for the Futures Trend system in Ami or RT Len ?

[LEONARDZIR]

Scott,
Neither. I am using one of Perry Kaufman’s futures portfolios. Incidentally it is up 50% so far this year.
‘

[LEONARDZIR]

Interesting post in the blog section of Cesar Alvarez’s site alvarezquanttrading.com. He notes the edge of mean reversion trading is shrinking. Still profitable but much more difficult to make a profit. Worth reading.

[JulianCohen]

To my way of thinking, all it shows is that the edge in RSI(2) is getting smaller…with the number of people using it that is understandable..having said that, MR is definitely taking a hit this year

[Author]

Posts