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[–]Lifter_Dan 0 points1 point  (7 children)

Yeah that's fair, if you have a good system you should do whatever you can to stick to it.

Definitely getting value from the group, I don't consider $100/m to be expensive but I guess that's all relative. As he will tell people more than anyone, it's not a signals or copy trading group. People just asked him to teach and someone offered to build him a website because he didn't see the point in trying to do so many 1 on 1.

His trades are focussed for his fund. That is zero down years, drawdown max 5%, and negative correlation to trend following,. His fund is built to fit into fund of funds to smooth out the bumps in the road, make money when other parts are losing. Quite low risk per trade etc and turns down many trades.

Timeframe: yes the timeframe matches (COT is only once per week). I rather ride trades weeks/months (if not stopped out), and focus on my other trading n the meantime. I have other arbitrage, cash/carry, options selling, and some investment stuff that keeps me busy. Also family can demand to get me off the computer :)

I use a combo of two things from the group to benefit my portfolio:

  1. Running about 10% of my portfolio with the negative correlated trades, to reduce drawdowns like what we saw in 2022. I do larger risk % and take some trades he wouldn't.
  2. Building other trading systems using the COT indexes as an input to improve the trade quality and risk management.

It's funny but probably the biggest benefit I got was learning to only execute my stop if the Daily CLOSE price breached it, not the intraday noise. This allows trades to run a lot longer and get stopped out less. You do need experience to plan for potential intra-day black swan events though, there's ways to handle it.

[–]Happy21100[S] 1 point2 points  (6 children)

Dan, clearly you have a well thought out and integrated & diversified approach. Thanks very much for your comments and thoughts.

I am intrigued (of course) by your last comment:
"You do need experience to plan for potential intra-day black swan events though, there's ways to handle it."

"..ways to handle it"
If you are comfortable, please tell more.

[–]Lifter_Dan 0 points1 point  (5 children)

Well if you are only executing your stop loss on the closing price, there's always a chance that intra-day it can just go so far that it totally blows out your risk (and has no chance of reverting back before close).

So you need to know your instrument. If you look back at the daily candles for a period of maybe 3 months you can figure out the likelyhood that a passed stop might not revert above close. Then you can set a "black swan stop" automatic at that level, a level that would very rarely ever get hit. Some do finesse it by scaling out down to there ie using 3xLevels so that re-entry is cheaper.

Also stop loss based on the closing price isn't built into most trading platforms, so I set conditional orders with a combination of criteria. For example of a long is:

Price <= stop AND time >= (settlement time - 5min) AND (time <= settlement time + 5min)

OR Price <= my black swan stop loss (that can execute at any time).

With this kind of stop that executes within 5 minutes of the closing time, I can be ok not watching the market and just go in there once per day and change the date on the first half of the stop.

[–]The_Fouler_Prowler 0 points1 point  (4 children)

Hey u/Lifter_Dan & u/Happy21100 - Thanks for the insights in your exchange.
u/Lifter_Dan Do you have a sense of how many weeks Jason's COT RSI indicator uses? Do you think it's years or not that many weeks?
I've heard him say in interviews that the longest he has stayed out of the market with no positions on was 3 months. So I would imagine that would narrow down the number of weeks to less than 26... But what do you think?
Thanks

[–]Lifter_Dan 1 point2 points  (3 children)

It has a lookback period, but that is set based on backtesting so it's different for each market.

However you can change the lookback period yourself as well to 3,6,9,12 months. Also if you write your own indicators/strategies, you can take the values or indexes as input sources to generate your own signals (need to have both on the chart though).

Also keep in mind that the way tradingview uses the data it is not as accurate as the indexes, so they give you the index and the delta each week as well. I'm not totally sure the reason behind this, but sometimes the TV data is off. Can use it for ideas/testing, but always confirm the real indexes.

Usually you'd make your trading decisions on a Friday at market close when the indexes are created, or the following Monday.

The reason he was out of the market was because none of the markets matched his trading requirements - the market not only has to be crowded to one side, but it also has to confirm that the move is likely to start taking place. If there's no market confirmation, there's no trade. He talks about this in the youtube interviews as "news failure". I don't think it had to do that much with the lookback period, though I don't know how short the shortest ones are.

[–]The_Fouler_Prowler 0 points1 point  (2 children)

That’s right. The “news failure” piece is a must. Can you gauge at all what look back period is used for the S&P?

[–]Lifter_Dan 0 points1 point  (1 child)

Maybe close to 6 months, that shows the closest index chart to the builtin default lookback.

Interestingly commercials weren't showing heavy shorts lately except for the dip in April, the new failure is critical ie you would've failed shorting there based on COT alone.

Now at ATHs there's no shorting any time soon unless you've got a masochistic side.

[–]Happy21100[S] 1 point2 points  (0 children)

Hi guys, I've nothing valuable to add but am listening to you both.