[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.

[JulianCohen]

Just reading through this which has some insights

https://forums.whirlpool.net.au/archive/3vw47zl6

[JulianCohen]

And in the morning you could either hear the voice say “See!! I told you so!” or it could be saying “I knew it was going to go up, lucky you didn’t do anything”

 

[JulianCohen]

Long probably won’t be an issue, but shorting is tough when there’s no stock available until it hits the low of the day and then you get filled…

[JulianCohen]

The main issue is getting a fill. Instead of being filled as per the backtest and making 25% on a short yesterday, I got filled and made -1% instead.

[JulianCohen]

Interesting that a Stop Loss gives you good results…generally speaking in MR strategies it hurts the strategy

[JulianCohen]

April ’24

Short-Term Systems
US Combined MR: -3.63%
ASX Weekly Swing: 4.84%

Long Term Systems
Long Term NASDAQ -3.83%
US Momentum: -3.76 %
US WTT: -1.39%

ASX Growth: -5.35%
ASX Momentum: -8.05%

ETFs
USD All Weather: -5.88%
ASX All Weather: 1.39%
ETFs: -4.60%

Total Account: -5.37%
Rolling Volatility: 13.08% 

[JulianCohen]

You could always run the two strategies side by side in a portfolio…How would that look?

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