[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.

[JulianCohen]

That one seems to have much bigger drawdowns than the one we are using

[JulianCohen]

July’24

Short-Term Systems
US Combined MR: -2.79%
ASX Weekly Swing: 1.61%
US NDX_OEX_MR Test: 1.73% {new strategy I’m testing with a variable account size}
ETFs: -0.36%

Long Term Systems
Long Term NASDAQ -4.47%
US Momentum: -4.78 %
US WTT: 6.63 %

ASX Growth: 2.86%
ASX Momentum: -0.22%

ETFs
USD All Weather: 1.40%
ASX All Weather: 1.65%

Total Account: -1.03%
Rolling Volatility: 13.34%

[JulianCohen]

Actually no, but I can’t find the one I saw it in now. Doesn’t matter…I always wanted to test beta so now I can

[JulianCohen]

June ’24

Short-Term Systems
US Combined MR: 2.49%
ASX Weekly Swing: 0.40%

Long Term Systems
Long Term NASDAQ 2.79%
US Momentum: -1.07 %
US WTT: -3.69 %

ASX Growth: 3.68%
ASX Momentum: 1.21%

ETFs
USD All Weather: 0.98%
ASX All Weather: 4.01%
ETFs: 1.45%

Total Account: 1.46%
Rolling Volatility: 12.73% 

[JulianCohen]

May ’24

Short-Term Systems
US Combined MR: 6.05%
ASX Weekly Swing: -1.40%

Long Term Systems
Long Term NASDAQ 15.18%
US Momentum:  7.60%
US WTT:  9.39%

ASX Growth: -6.26%
ASX Momentum: -2.70%

ETFs
USD All Weather: 4.32%
ASX All Weather: 1.09%
ETFs: 1.07%

Total Account: 6.57%
Rolling Volatility: 13.00%

[JulianCohen]

Ah that’s what LSS stands for

[JulianCohen]

Nice month and good luck with the move, whichever way you decide to go

[JulianCohen]

My commiserations

If it helps, I keep a separate script for order generation, an “operational” script, which generally starts at the beginning of each year, and one for backtesting which has a lot more data.

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