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January 30, 2021 at 2:41 pm #102064
RobertMontgomery
ParticipantJan-21
I went live on 1/25/21 with my first MOC system using the chartist API. The API really makes the day to day trade management very smooth, night and day from using the TWS DDE process that I used with the HFT system. Only five days of trading with this system, so I will hold off on making any conclusions about the fills prices and missed trades as compared to the backtest yet. So far the results are in the ballpark with the backtest. We will see what happens in February with all the reddit group drama. For January, my TLT results are not tracking Nick’s, I assume it’s due to differences in when I started and trading the strategy and subsequent rebalancing or lack there of.
US
MOC #1: -5.94% (live on 1/25/21)
TLT: +0.9%February 27, 2021 at 12:58 pm #112953ParticipantFeb-21
My MOC system recovered nicely and the actual results continue to track well with the backtest. There were a few missed trades in during the month, so I’m curious to hear from others how often your systems miss a trade that is filled in the backtest but not in the live account.
US
MOC #1: +15.10% (live on 1/25/21)
TLT: -4.2%February 27, 2021 at 9:08 pm #113048Nick Radge
KeymasterWow. Great result.
When there isn’t a fill in realtime you should investigate it. You can look at time & sales in TWS or submit a trade query to IB.
Usually the issue comes from a trade that was too small for SMART routing to pick up on, or it was an off-market trade which is usually associated with some kind of options trade
February 28, 2021 at 12:01 pm #113049ParticipantThanks Nick, I will keep pestering IB for details as they haven’t yet been very responsive to my trade inquiries.
April 1, 2021 at 1:13 am #113055ParticipantMar-21
My MOC long system survived the volatility this month and the actual results continue to track well with the backtest. No missed trades during the month, although I did get a few nastygrams from IB when the system pushed up against the margin limit a couple of days. I assume this is par for the course with a leveraged MOC system. I may just need to turn off the notifications.
US
MOC #1: +8.4% (live on 1/25/21 18.7% YTD)
TLT: -6.4% (return diluted by cash carried in account)May 2, 2021 at 1:10 pm #113152ParticipantApril-21
Steady month, very calm and boring for the MOC system has me itching to deploy another MOC system variant.
US
MOC #1: +3.3% (live on 1/25/21 +22.8% YTD)
TLT: +9.7%May 2, 2021 at 10:59 pm #113250KeymasterGood stuff Rob.
May 29, 2021 at 3:02 pm #113252ParticipantMay-21
Another quite month with the MOC system(s) except for the one trading day I missed due to traveling on vacation (-6.5% kick in the gut for not trading one day). Using a VPS is in the future for travel and power outages, as I used recovery mode at least three this month.
Deployed a second MOC long system (Nick’s system) to add some diversification, which did it’s job this month and helped my account break even for the month. Still not ready to go Live with an MOC short system, due the added daily complexity and the lower expected returns compared to the long systems. Maybe when my account grows and I will become less hesitant and more inclined to add the diversification. Also the MOC short system trading on the all US stocks is very slow on my PC to update, so it severely bogs down my daily update routine.
Any suggestions to speed up the exploration and backtest when using the all US stocks?
US
MOC #1: -1.4% (live on 1/25/21)
MOC #2: +2.9% (live on 5/13/21)
Combined MOC: +0.8%TLT: +0.5%
July 1, 2021 at 11:17 am #113314ParticipantUS
MOC #1: +0.5%
MOC #2: -2.0%
Combined MOC: -0.6%TLT: +7.4%
July 31, 2021 at 12:42 am #113515ParticipantUS
Combined MOC: +3.3%
TLT: +15.3%
September 5, 2021 at 10:10 pm #113640ParticipantAug 21
US
Two Combined MOC systems: -0.01% … a very back and forth month for the two MOC systems
TLT: +6.9%
Due to recurring power outages and Hurricane Ida, I moved from running TWS and the Smart API on my desktop pc to Speedy Trader VPS and I use dropbox to move the upload from my pc to the VPS. The setup was went pretty smooth, but I missed the time zone change of the VPS (EST) vs. my location CST. I had TWS setup to restart at 4 pm CST which resulted in TWS shutting down at the market close (4PM EST) when it was running on the New Jersey server. It only caused the API report to missed all or most of the sell orders. Minor oversight, but it’s working as expected now after moving the TWS restart time to 5 pm.
September 5, 2021 at 10:19 pm #113849KeymasterHi Rob,
Rather than use DropBox, you should be able to simply cut and paste the upload from the PC to VPS.Nick
September 5, 2021 at 10:28 pm #113850ParticipantThanks Nick I will give that a go next week and it should save a few clicks.
October 1, 2021 at 4:18 pm #113851ParticipantSeptember 21
US
Two Combined MOC systems: 0.26%
TLT: -3.1%
401k ETF momentum: -3.6%… another back and forth month for the two MOC systems, balancing each other out and keeping the curve flat.
Per Nick’s recommendation I read Trading in the Zone this month, very insightful and I encourage everyone to read it if you haven’t yet.
October 30, 2021 at 1:36 am #113932ParticipantOctober 2021
US
Two Combined MOC systems: -0.51%
TLT: 3.0%
401k ETF momentum: 4.3% -
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