[JulianCohen]

Sorry I am testing monthly rebalance against not rebalancing.

 

[JulianCohen]

I didn’t get that…I get 9.4% CAGR with 11.32%MDD and 60 trades since 2003.

 

I used Entry: EndofMonth and canhold

Exit: EndofMonth and not canhold

canhold is factor > 0 and uptrend.

 

If I use Exit: EndofMonth I get 9.1%, 10.2% and 440 trades

 

 

 

• This reply was modified 2 days, 8 hours ago by JulianCohen.
• This reply was modified 2 days, 8 hours ago by JulianCohen.

[JulianCohen]

This one looks good Nick. I like it because it’s just stocks, bonds and Gold so nothing cherry picked, and it has very few trades per year if you don’t rebalance each month, so for funds I keep in a bank that charges a lot to trade, it’s a good long term alternative to US fixed deposits or Bonds.

• This reply was modified 3 days, 8 hours ago by JulianCohen.

[JulianCohen]

I would guess that the profile settings are actually looked at by someone, and it’s not done automatically. So it’s very possible that someone decided that you just changed your experience levels to allow you to trade that ETF.

I’m just guessing though.

[JulianCohen]

A combination of both I’d suggest…..plus sheer good luck 😉

[JulianCohen]

December’ 24

Short-Term Systems

US Weekly MR: 0.14%

 

Long Term Systems

Long Term NASDAQ: -0.48%

US Momentum: -8.73%

US WTT: -9.44%

NDX Weekly Rebalance: -7.02%

ASX Momentum: -1.42%

ASX Rebalance: -2.32%

 

ETFs

USD All Weather: -1.09%

ASX All Weather: 5.17%

Total Account Year: 18.30%

Max DD: -15.92

[JulianCohen]

Happy New Year Scott….nice returns indeed mate…all with small leverage I would guess?

[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

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