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May 8, 2016 at 3:24 pm #101497
Anonymous
InactiveI have been through Section 1 & 2 and will be starting with Section 3.
As coding is new to me I tried not to get overwhelmed with it but work through it with a view of returning to the relevant parts as required as I progress. (Already some parts that seemed foreign at first made more sense further down the line).
I have created and saved snippets that will hopefully come in handy down the line that I can just insert into future systems. (That is the theory). There will obviously be new ones that will need to be created as I go along.Going through some of the posts in the forum some of the code makes “little sense” to me and the thought of starting a system from scratch with ideas I have is quite daunting but as with everything that is new it seems like that at first but I am sure by working through it methodically it will come together and get easier.
Looking forward to putting the ideas into practice in the next section.
May 9, 2016 at 12:58 am #103806ScottMcNab
ParticipantI still struggle understanding some of the code that people post so don’t sweat it…the saving grace is the looping templates Craig and Nick have created and posted towards the end of the course work….using these (and substituting in different criteria for buy and sell without changing the template) has enabled me to develop systems that seem worthwhile to trade…I’m sure you will find it the same. I had no real coding experience at the start of the course.
June 11, 2016 at 12:31 pm #103807InactiveAfter going through all the sections I started with coding a trend following system. I did not spend too much time on it as the initial results were not great and to practice coding I started coding ideas from the group collaboration (shorter term systems).
I then tried quite a few other short term ideas I had and these did not come to much, but could be a basis for something further down the line. From the group collaboration MRV I made some adjustments and got some good results and started paper trading it this week. Thanks guys!I will come back to the trend following or momentum system later on, at this stage I would rather develop a system that trades more actively.
Along with the paper trading I am still stress testing the system, I have done the MCS and the results were acceptable.
***Stress Testing question: with either the data or signal variance do you apply the stress test on a parameter by parameter basis or a number or all of them together, I would be interested to hear how others have done it and what is best practice, if there is a best way to do it.
IB – I have registered a simulated account for now and will be starting the process of opening an account in the next week, I have noticed that the fills and times that trades are done are not very real (this has been mentioned on other posts) so it is more getting used to the platform than anything else as I can’t rely on the trades being recorded as they have not been real at all.
Yesterday (10 June) out of +/- 60 orders, 16 trades should have been entered and on Monday there is about 190 orders, so only 4 can be entered as per my plan.
I spoke to Nick about the API and will be getting that shortly to manage the process. In the meantime I tried the DDE and it was not working for me, anyone had a similar experience or might know of a reason why it may not work:
* I initially had the TWS platform on my Mac, it seems the DDE will only work for Windows
* I downloaded the TWS Windows version and that did not work either, solution seemed to be that the 32 bit version is required and not the 64 so I uninstalled and reinstalled
* No changes
* I have Excel 2016 on Windows running on Parallels
* I followed a solution on the IB website but no luck
* I get “Remote data not accessible” and some other jargon to start another application “Start application ‘S…. .exe’ but when I say yes it gives me errors.Any ideas? And I am also wondering if the API will give me a similar thing.
From here, stress testing and paper trading will continue until I have sorted out my admin, account etc.
August 12, 2016 at 4:05 pm #103808InactiveAround the end June I started testing my systems with “real” data, I had a few that I was working on and was still doing some stress testing before making a final decision on which one to use.
On 14 July I decided on one of the systems and discarded some others. I am happy with the system, but in a rolling window analysis there was a long max wait period which made me a little uncomfortable even though the long term results are good.
The addition of the MOC system (thanks Said) and running that alongside the initial one has made the difference in comfort levels. On 20 July I settled on the MOC system and from that date have been running the 2 in the IB simulated platform with the API’s.They are both MRV systems and not closely correlated.
Results so far:
System 1:
* 82 trades
* 51% win rate which is below backtest results
* W/L ratio 0.67 which is below backtest results
* CAR -3% – since 14 July
* I am quite happy with these results as the market condition (with hindsight) is what I would expect from the system and it will align at some stageSystem 2: MOC
* 68 trades
* 59% win rate – in line with expectation
* W/L ratio 1.61 – which is above expectation
* CAR +3.3% – since 20 JulyNext steps:
* Decide on a date to go live, my IB account is open and funded
* Work on a trend following and/or rotational systemHappy with where I am and progress made.
August 12, 2016 at 9:33 pm #103809Nick Radge
KeymasterGreat result Miguel – well done!
August 20, 2016 at 10:27 am #103810InactiveMore or less flat week for me as testing carries on.
I did some MCS simulations over the testing dates and results are in line.
I am looking at going live from next week (29 Aug) :cheer:
August 29, 2016 at 8:48 am #103811InactiveToday is the day, time to go live:
2 MRV strategies that run side by side and share capital. One is MOC.
July combined return: 4.2% – Only started testing midway through the month
Aug combined return -6.0%:woohoo:
August 29, 2016 at 9:35 am #105105TrentRothall
Participantwell done, next 1000 =]
August 29, 2016 at 9:11 pm #103812KeymasterQuote:Today is the day, time to go liveBoom!
August 30, 2016 at 3:25 am #105106InactiveMiguel Teixeira wrote:…Today is the day, time to go livedr seuss says it best:
“Congratulations!
Today is your day.
You’re off to Great Places!
You’re off and away!”September 3, 2016 at 9:46 am #103813InactiveFirst week of live trading on MRV system and although one week does not make a difference in the greater scheme of things it is nice to get off on a positive note. It was a fairly quiet week.
Number of trades 22
Win % 73%
W/L Ratio 1.31
:cheer:September 11, 2016 at 7:32 pm #103814InactiveLike most trading a MRV strategy I got bashed on Friday. (No emotion emoticon!)
API did it’s job, I run 2 versions and both got 20 orders triggered and cancelled the remaining orders, I did not get filled on more than my max of 20 trades on each.
The one strategy has its max open positions, I actually got 1 exit so can take on one, lol.
The other is the MOC version which will be ready for what the trading day has to offer.
Good trading week ahead everyone.October 2, 2016 at 6:24 pm #103815InactiveSeptember results
MRV -0.05%
MOC -0.25%
Combined -0.28%
These two share capital
Max DD ±4.8%Trend Trading – I am trading a rules based discretionary system as I have not developed something that I am happy with yet. Testing carries on.
November 1, 2016 at 1:30 pm #103816InactiveOctober results
MRV -3.09% – Currently “turned off”
58 Trades
Win% 53%
W/L Ratio 0.50MOC +1.08%
66 Trades
Win% 56%
W/L Ratio 1.24Combined
-2.00%Result to Date
-2.2%November 8, 2016 at 11:15 am #103817InactiveI go into today flat and no new orders to set. I’ll take that.
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