[JulianCohen]

OK interesting. This does now allow you to look at the correlation matrix and see how the two systems compare in returns and DD.

You can choose which system gets which orders allocated using StrategyScore

However I found with a bit of back and forth with Marsten that fewest new orders so far today seems to be the best choice

StrategyScore: 1000 – OrderSum(1)

[JulianCohen]

If you are using RT it will produce one file that you upload to your API. The strategy name will be the order reference so it is easy for RT and you to tell what from what.

It’s not code intensive…reach out to me and I’ll guide you through

[JulianCohen]

Have you tried putting them all into one portfolio and then restricting the stocks that can be held in more than one strategy?

[JulianCohen]

Scott McNab post=14510 userid=5311 wrote:

I guess the only answer is to stop whining, suck it up and get back in the ring…but I find it intriguing nonetheless

 

That’s the way mate….You’ve got a tough chin, just take it and carry on. The wad of cash will appear at some point.

[JulianCohen]

I just ignore him

[JulianCohen]

Seeing as the other strategies have had a nice OOS period of time, did they make money?

[JulianCohen]

January ’24

Short-Term Systems
US Combined MR: 3.79%
ASX Weekly Swing: -1.00%
ETFs: 2.85%

Long Term Systems
Long Term NASDAQ: 3.79%
US Momentum: 4.34%
US WTT: 2.80%

ASX Growth: 2.63%
ASX Momentum: 2.91%

ETFs
USD All Weather: -0.56%
ASX All Weather: 4.37%

Total Account: 3.48%
Rolling Volatility: 11.87%

[JulianCohen]

The interesting thing is, I have become quite detached from trading results.

I see that as a good thing

I’ve noticed some of my systems don’t perform as well with lower capital (mainly due to system missing out on higher priced shares – I think?). A potential solution could be trading less positions per system to ensure I have more systems.

Try splitting the universe up by a price filter and then apply lower priced stocks to the lower capital ones. If the results in the backtest are poor then that could be the issue.

[JulianCohen]

Yes a big recovery in the second part of the year. 2022 was a shocker for it though so swings and roundabouts

[JulianCohen]

Good point. I actually had my phone just go completely black screen on me for a couple of hours when in Budapest. I found an Apple Store and they just switched it on and it worked…felt like a twat of course, but it got me thinking that esims were a bad idea if I was extended traveling.

As for your problem Terry, I’d suggest a backup phone….keep an old one, I have an iPhone 11 from a few years ago for this purpose.

[JulianCohen]

Total Year Returns

I thought it might be a good exercise to post total year returns for each system so I could think about what is working and what is not. Before checking my guess was that the MOC/MR strategies were actually worse than they actually proved to be, probably as I have a higher account size there, so the cash loss appears worse than the percentage loss; that will come as no surprise to Nick of course. Overall I’m happy with the portfolio and especially the All Weather and Index additions I have made this year.

Short-Term Systems
US Combined MR: -4.20%
ASX Weekly Swing: 4.03%

Long Term Systems
Long Term NASDAQ: 7.10%
US Momentum: -0.30%
US WTT: 21.80%

ASX Growth: -2.30%
ASX Momentum: -7.50%

ETFs
USD All Weather: 11.99%
ASX All Weather: 0.05%
Indices: 14.00%

Total Account: -7.11%
Rolling Volatility: 11.80%
 

[JulianCohen]

How long is your average holding period Glen?

[JulianCohen]

in something as liquid as QQQ I doubt that even a $10,000,000 order would affect the price much. But in a smaller volume ETF, then maybe, but even $200K shouldn’t make too much difference.

[JulianCohen]

I have used a few ideas Scott

On a diverse portfolio of ETFs I have used:
One IBS strategy
One RSI strategy
One Moving Average IBS strategy
One Stochastic strategy that I purloined from Ali Casey (StatOasis on youTube)…he does a lot of data mining, but his basic principles of back testing are very aligned with ours and he has some good ideas that are worth testing.

On Indexes only I use an RSI strategy

I also amalgamated in the Double 7s strategy and the VXX trend following strategy.

Some ideas, like the TPS idea I found broke down in out of sample. But I figured that even if a squllion people are using RSI, he wrote these strategies in 2008 or earlier so there is a ton of time out of sample that they have continued to work. Plus being able to combine them in one portfolio in RT whilst controlling duplicate holdings and allocations gives me a greater deal of confidence that this is a robust strategy.

I have also leaned towards ETFs that have a tendency to trend, so multiple indexes in various countries, commodities, that sort of thing.

 

[JulianCohen]

November ’23

Short-Term Systems
US Combined MR: 1.50%
ASX Weekly Swing: 1.37%

Long Term Systems
Long Term NASDAQ: 1.60%
US Momentum: 0%
US WTT: 22.99%

ASX Growth: -1.35%
ASX Momentum: 0%

ETFs
USD All Weather: 3.66%
ASX All Weather: 3.07%
Indices: 13.95%

Total Account: 5.35%
Rolling Volatility: 13.34 % 

Pretty happy with this month. US_WTT was due to ROVR and the ETFs Indices is an amalgamation of Larry Connors strategies carefully curated and changed. I figured that since he wrote them there has been a long period of Out of Sample that works for most of them. Some spectacularly failed in 2020. I put them together as a portfolio of strategies and used top down mode to control things as I wanted.

 

[Author]

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