Len’s Journal

[LEONARDZIR]

Julian, as part of his post he mentions that the decreased edge in the RSI MR strategy agrees with his personal trading that the edge is growing smaller with mean reversion. Most of us have experienced losses in our MR systems this year and this bears watching.

[ScottMcNab]

Pun unintended ?

[LEONARDZIR]

Unconscious Pun

[JulianCohen]

I took that to mean that he used RSI in his personal trading a lot, but I agree with you. Most of us are having a poor year as far as MR is concerned.

I’ve had a look back over a few decades and bear markets in the SPX are not good generally for my MR strategies. I won’t say MR in general as I don’t know about other strategies, however I have quite a few different ideas and most stay stagnant or gradually fade during a bear run.

It’s difficult to tell as there hasn’t been a sustained bear market for so many years now, and I don’t have data from the 70’s…We only really have 2000 – 2002 which was any kind of longer term bear market to look at in recent times.

[LEONARDZIR]

Oct 22
US
TLT. flat
US momo flat
HFT trading again November
Daily Timing Stocks  4.48%
Daily Trend Futures. 4.67%
Weekly Trend Stocks  9.46%

Good month for me. Started trading HFT again in Nov.

[LEONARDZIR]

November 22

US

TLT    +2.56%
US MOMO   Cash
HFT    +14.2%
Daily Trend Futures  -0.91%
Daily Stock Timing    -0.64%
Weekly trend Stocks -0.71%

Have also been trading an ETF portfolio I developed on Allocate Smartly.  Trading/investing as well the stocks of 20 US companies I like such as MRK, CAT, UNH etc. It is a rough system that is basically ” buy and hold” but with a trend component. Have a relatively small allocation when trend is down and increase the allocation when the trend is up but always hold at least some allocation to each stock.
 

[LEONARDZIR]

Dec. , 2022

TLT:    -3.73%
HFT  -3.3% 
USMomo  -7.87%
Daily Timing Stocks -0.57%
Daily Trend Futures   -0.63%
Weekly Trend Stocks  -1.56%
ETF Portfolio  -1.79%
Comments: Total Portfolio return for 2022: -5.7%. Drawdown 14.4% from peak in 2021.  Portfolio  losses kept reasonably small by SPY standards because two of the stock systems were positive and the futures portfolio was up big. Stopped trading MOC after it had a drawdown beyond historical testing. Only my subconscious knows why I allocated a very amount of capital to my MOC. It had a negligible effect on my total portfolio. I like the systems I am trading and looking forward to 2023
 

[LEONARDZIR]

January 23

US only

US MOMO flat
TLT   +1.26%
US MR  +10.6%
Daily timing stocks +3.16%
Weekly trend stocks +4.78%
Daily Trend Futures -0.4%
ETF Portfolio +4.4%
Sector rotation +3.18%

Pressing the buttons. Good month.

[LEONARDZIR]

February 2023
US only

US MOMO  +1.9%
HFT -1.9%
TLT -7.63%
Weekly Trend Stocks  -7.05%
Daily timing Stocks -4.66%
Daily Trend Futures  + 14.16%
ETF Portfolio  -3.1%
Sector portfolio on hold.

Lousy month for stocks. Excellent month for futures.
Made back a significant amount of my February losses in Stocks over the last 2 days.

[LEONARDZIR]

March 2023
TLT                -1.12%
US MOMO    +6.22%
MOC              -15.2%
Daily Trend Futures  -10.2%
Daily timing Stocks   +2.98%
Weekly Trend Stocks  +2.36%
ETF Portfolio    +1.29%

Whole Portfolio  +0.6%

Futures portfolio  took a big hit in March. Many CTA’s were smashed because of a turn in interest rate futures after the FED announcement. Part of the problem was interest rate futures volatility had fallen so position sizes were increased right before the Fed announcement..I did not increase my position size because I was uncomfortable with the size increase so it wasn’t as bad a loss. 
Otherwise it looks to me like the American market is in an uptrend. Hope it lasts.

 

[LEONARDZIR]

My error, not trading MOC. MR was -15% for march not MOC.

[LEONARDZIR]

April 2023

US MOMO   -9.2%
TLT              -3.35%
HFT              -2.9%
Weekly Trend Stocks -1.29%
Daily Timing  Stocks +2.98%
Daily Trend Futures -0.02%
ETF portfolio +2.2%

[LEONARDZIR]

May 2023

US MOMO   -1.06%
TLT               +6.59%
HFT              -1.3%
Weekly Trend Stocks  +5.57%
Daily Timing Stocks  +2.98%
Daily Trend Futures -0.4%
ETF portfolio +1.5%

Made good money this month. Decided to stop trading HFT and MOC for now and reassess. My mean reversion results results haven’t been that great and they were a very small percentage of my portfolio. The bulk of my investments/trading are in Trend/momentum stock strategies in US and trend following futures.

 

[LEONARDZIR]

June 2023

US MOMO flat
TLT +  9.7%
Weekly Trend Stocks  +7.11%
Daily timing stocks   +2.98%
Daily Trend Futures + 16%
ETF Portfolio + 1.97%
Dow Trend +3.78%

Total Portfolio +4%

Comments. Excellent profits this month. The fact that US MOMO was out of the market this month yet I had one of my better months reinforces to me that you need to trade multiple noncorrelated systems.  My futures portfolio has been very profitable over the last 1 1/2 years  and mulling over increasing it’s allocation. I did add  a Dow stock system which had excellent profits for the month.  I have been studying Tom Basso, a great Trend trader and instituted a part discretionary ,part systematic trend trend system loosely based on Nick’s bollinger band system but instead using Keltner and Donchian channels for trend. I haven’t reported the the results since it is not completely systematic but had excellent profits as well. I consider Nick, Tom Basso and Peter Brandt the 3 great traders who have had the most influence on my trading.
Hope this bull market continues.

[AnthonyFuentes]

Nice work, Len! I’m just about to finish Tom’s new book The All Weather Trader and looking forward to doing some of what he talks about in the book.

[Author]

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