[JulianCohen]

My Canada results are not so good.

Only 7 trades though so a small sample size. I’m -1.47% 

I have my stretch at 0.8 ATR

[JulianCohen]

Yes it can do that

[JulianCohen]

I’m running 5 Trend Following strategies, 2 weekly MR, 4 daily MR and 6 MOC

The Trend following is roughly 50% of the account, split between AUD and US, each is approx the same size.
The MR and MOC strategies are each about 8%

[JulianCohen]

Do you mean what is the position size within each strategy, compared to the total account? or what is each strategy compared to the total account?

[JulianCohen]

A few years ago my wife and I sat down with solicitors and went through every possibility we could think of, plus a few the solicitors told us about that we’d never have thought of; solicitors often get to see the worst side of people I guess.

I also enclosed a codicil to the wills that I update regularly with a letter to the recipients explaining our choices (very useful in case of arguments afterwards that go to your state of mind) and details like computer passwords, lists of companies and bank accounts etc etc.

[JulianCohen]

I use the entryskip random method…if the strategy works with a random number of trades skipped then it is robust for me…that removes the possibility of a few big trades making the numbers up.

Ben I like the idea of randomizing the low

I also randomize some of the parameters and set it to run 200 times to see how this affects things

[JulianCohen]

December ’22
Short-Term Systems
US Combined MOC: -3.10%

Long Term Systems
Long Term NASDAQ: -5.58%
US Momentum: -9.18%
US WTT: -5.21%
ASX Growth 0%
ASX Momentum: -3.41% …mistakenly entered half size positions Hoorah!!
ASX Weekly Swing 0.99%

[JulianCohen]

Len, for what it’s worth, this year, as I assume all trend following strategies will go to cash on the weekend, I will rebalance cash amongst my trend following strategies, but if they were all staying in stocks, then I probably wouldn’t.

I think being in cash is a good opportunity to rebalance, but if they were all in the middle of trends, then I would probably leave them to run their course before rebalancing.

[JulianCohen]

Quote:

No I agree with that. That’s where the conundrum comes in. It could be that by reoptimising you restrict the trades and that prevents further losing trades until the strategy starts to recover and then the next reoptimisation might improve things, or the opposite could happen.

I don’t often reoptimise my strategies. I test on 2014- present and use whatever that may bring up.

My out of sample is 2003-2013 as that has two other major crashes in it, the GFC and the flash crash of 2011.

I tend to use whatever is best over all those periods and leave it after that.

For example, I am experimenting with volatility based position sizing. It can make a huge difference to the bottom line from 2003-2013, cutting the MDD in half, but from 2014 to present it actually increases the MDD a couple of %points and affects the CAGR….do I use it? Do I keep fiddling? conundrums

[JulianCohen]

That’s an interesting question.

My initial thoughts are that if the drawdowns for each strategy are generally within expectations, then I will just treat it as any normal year. Good with the bad and all that

[JulianCohen]

Great analogy Sean. I didn’t know that, but I’m glad I do now.

[JulianCohen]

I would say in this circumstance your gut instinct is correct. Better to taper a strategy to your sleep at night level, than to cut it and worry that it might improve immediately.

This way you still have skin in the game.

[JulianCohen]

Finally got a fill on the TSX Weekly Strategy after 3 weeks…I have a decent size stretch….

Next 10000 trades…if I live that long!

[JulianCohen]

The RUA has been quite volatile this year. 

[JulianCohen]

If you need any help with Real Test feel free to ask…there’s a couple of us on here that use it and the RT forum is a great place to ask questions

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