[JulianCohen]

So given that he is changing to highly tactical hedge divestment strategies (WTF does that mean…do they look this crap up in a book…Confusing Jargon for Economists)

You can be pretty sure that that will stop working almost immediately.

[JulianCohen]

My portfolio of dailies had a good start to the year, but I took a hit back in August because I inexplicably overrode the system. That made me start thinking about going predominantly longer term, as I think that I am better suited to just setting orders and forgetting about it. I want everything to be really boring, and I was getting too much excitement from checking the daily progress. Plus this way I’m saving a crap load of brokerage. IB has done very well out of me, even though they are cheap as chips.

[JulianCohen]

That’s the thing Terry isn’t it. Everyone gets what they want from the market

[JulianCohen]

November’ 24

Short-Term Systems
US Weekly MR: -0.8%

Long Term Systems
Long Term NASDAQ: 9.84%
US Momentum: 31.95%
US WTT: 7.09%
NDX Weekly Rebalance: 25.89%

ASX Momentum: 16.76%
ASX Rebalance: 1.90%

ETFs
USD All Weather: 5.96%
ASX All Weather: 8.27%

Total Account: 7.25%
Rolling Volatility: 16.56%

I know some of you are going to find this hard to believe but I have dumped my daily systems completely. I was thinking about this for a few months, and then when Nick told me his dailies were down to 10% of the portfolio, I thought why bother at all. Sure it only takes 10 minutes a day to operate them, but in the back of my mind it was bothering me that they never really lived up to the massive backtest expectations, and also that running them and watching the P/L on a daily basis fed some sort of trading addiction. So I switched the script to weekly from daily and ran a ruthless cull on any strategies that didn’t work. I ended up with 5 that did perform weekly on the $MEL, and I have an idea for some more to test. 

Of course, as with any new strategy when put into operation it promptly lost money, so that’s encouraging!

The rest is all thanks to the Orange Man and APP !

 

[JulianCohen]

This time it will probably tank if it looks like he is going to lose 

I’m going to sleep though it and see the carnage in the morning

 

[JulianCohen]

I didn’t think to see if the series was based on a book. I’ll check it out Terry Thanks

[JulianCohen]

October’ 24

Short-Term Systems
US Combined MR: -0.58%
ETFs: 0.21%

Long Term Systems
Long Term NASDAQ 3.27%
US Momentum: 4.35%
US WTT: -1.57%
NDX Weekly Rebalance: -0.21%
ASX Momentum: 0.79%

ETFs
USD All Weather: 2.34%
ASX All Weather: 8.44%

Total Account: -0.24%
Rolling Volatility: 16.48%

[JulianCohen]

Just tracking it Rick

[JulianCohen]

September’ 24

Short-Term Systems
US Combined MR: -4.54%
ASX Weekly Swing: 0%
US NDX_OEX_MR Test: -1.10%
ETFs: -1.42%

Long Term Systems
Long Term NASDAQ -0.02%
US Momentum: 7.23%
US WTT: 0.86%
NDX Weekly Rebalance: 1.84%
Bond Spread: -1.18%

ASX Momentum: 9.01%

ETFs
USD All Weather: 2.04%
ASX All Weather: 1.69%

Total Account: 1.09%
Rolling Volatility: 16.71% 

[JulianCohen]

Turns out I had that too…I change the Exchangemap file so hopefully it will be fine on Monday

[JulianCohen]

Ben if they were shorts it was probably because there was no stock available to borrow at the time of entry.

I had the same issue with shorts, so much so that I only short RUI stocks now so that the probability of a fill is around 90% instead of 60% with RUT or RUA

[JulianCohen]

Good luck Kate. I’m sure we are all wishing you the best this time.

[JulianCohen]

The trend following rotational strategies will have some brutal months. That’s just part of the strategy. I’d be a little careful about changing it too much, assuming the backtest looks OK that is. You might end up overfitting it a little

[JulianCohen]

August ’24

Short-Term Systems
US Combined MR: -4.94%
ASX Weekly Swing: -0.20%
US NDX_OEX_MR Test: -8.87%
ETFs: -4.00%

Long Term Systems
Long Term NASDAQ -7.32%
US Momentum: 5.08%
US WTT: 3.68%

ASX Growth: -7.46%
ASX Momentum: -2.16%

ETFs
USD All Weather: -0.82%
ASX All Weather: -1.76%

Total Account: -3.57%
Rolling Volatility: 16.46%

Considering my stupidity, it could have been a lot worse

NEVER override your system. Lesson learned.

 

[JulianCohen]

I did exactly the same as you Kate. I have no idea why I over rode my strategies. I saw and email and got spooked, but I will never do that again.

[Author]

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