[JulianCohen]

I had a pretty poor August too, especially in MR and MOC long positions. But I can’t say any one strategy failed, they just all went down at the same time.

[JulianCohen]

August ’23

Short-Term Systems
US Combined MR: -11.38%
TSX Combined MR: -2.15%
ASX Weekly Swing: 1.01%

Long Term Systems
Long Term NASDAQ: -5.42%
US Momentum: -6.70%
US WTT: -1.35%

ASX Growth: -4.46%
ASX Momentum: -7.51%
ASX Weekly: 1.01%

ETFs
All Weather: -2.70%
Indices: 0.83%

Total Account: -8.27%

A month best forgotten

[JulianCohen]

I think

Volatility: stddev(S.NetPct,20) * sqr (252)

I think that gives you 20 day annualised std dev

but maffs and spelink were never my strong point

[JulianCohen]

I haven’t downloaded and tested this but I think you need to have

EntrySetup: MyRank = 1 and Setup

remove the setup from the ranking. That will switch on/off the regime filter

 

[JulianCohen]

OK that makes sense

I tested Basso’s strategy with RT but I found the same or better results, both CAGR and MDD, were possible using just QQQ or SPY instead of holding all those different sector ETFs. Of course anything that held QQQ for the last 10 years or so has done well, but I ended up using Dalio’s principles as they were much easier to implement.

[JulianCohen]

No Issue Len…it’s based on Dalio’s but I did have a good look at Tom Basso’s for a while, but decided there were too many positions for effectively the same outcome. I haven’t looked at Russo so I’ll go see what is different.

[JulianCohen]

July ’23
Short-Term Systems
US Combined MR: 4.98%
TSX Combined MR: 0.33%
ASX Weekly Swing: 2.44%

Long Term Systems
Long Term NASDAQ: 3.38%
US Momentum: 7.64%
US WTT: 5.84%

ASX Growth: -1.46%
ASX Momentum: -1.02%
ASX Weekly: -0.69%

ETFs
All Weather: 2.41%
Indices: 1.43%

Total Account: 4.38%

I reintroduced the TSX mean reversion strategies after a chat with Kate. I changed the universe to the TSX 60 only to try to ensure that the backtest matches the actual. I’ll give it to the end of the year to prove itself worthy. It takes no time really to operate it as RT and OrderClerk make everything so easy. I feel the same way about the ASX Swing strategy although this month it actually traded plus made some money, as it has been doing very few trades in the last few months. So far since I moved to the ASX 300 the backtest and actual match.

I added an ASX Weekly strategy that works off momentum, using an idea I “borrowed” from another forum and improved to my own uses…although improved is purely subjective and time will tell.

I also have been working on a few ETF strategies. The All Weather I have had for a while so I’ve started to add the results from this month, and I added one strategy that just punts the Indices.

[JulianCohen]

yay!! all green

[JulianCohen]

June ’23
Short-Term Systems
US Combined MOC: 1.38% 
ASX Weekly Swing -1.75%

Long Term Systems
Long Term NASDAQ: 9.6%
US Momentum: 0.15%
US WTT: 7.06%

ASX Growth 0.76%
ASX Momentum: 1.85%
 

[JulianCohen]

I don’t think I can fault your logic Steve. You get one set of entries with wife and one set with mistress and they booth work. Better to run as two strategies than to run it as one.

[JulianCohen]

I rebalance once a year…sometimes.

I have to admit that as for allocation it’s kind of “let’s try this and see” however on the last rebalance I did even things up somewhat.

[JulianCohen]

Nice returns on the USD MR…you are in profit for the year which is better than a lot of short term traders I’m reading about

[JulianCohen]

RUT with stocks over $1 and the setupScore favours lower priced stocks.

Still -32% in drawdown though and -18% YTD so a long way to go to crawl out of the hole.

[JulianCohen]

May ’23
Short-Term Systems

US Combined MOC: -1.79%
ASX Weekly Swing 0%Long Term Systems
Long Term NASDAQ: 5.26%
US Momentum: 0.20%
US WTT: 15.14%

ASX Growth -1.34%
ASX Momentum: 0%

[JulianCohen]

A couple of things to consider, especially as this is ASX…

Are your price limits feasible to trade?

Are you compounding your results?

The second will relate to the first as if you are compounding then it will be almost impossible to trade the volume of any particular stock in 2022 with a 200 million account size. This can screw with your perceptions of the strategy.

Try switching to a shorter time frame, say 2010 to present and backtest non-compounded and see how the results come out. That might give you a more realistic outlook.

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