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June 24, 2016 at 8:04 am #101528LeeDanelloParticipant
Exciting times ahead!
Say yeah for trading systems because if I was a discretionary trader I’d have no idea which way to jump!
A bit like the song by The Clash!
Do I stay or do I go?
June 24, 2016 at 8:06 am #104436TrentRothallParticipantWas a bit wild today in the markets!
Who knows what/who might follow their lead…
June 24, 2016 at 8:09 am #104446LeeDanelloParticipantTrent Rothall wrote:Was a bit wild today in the markets!Who knows what/who might follow their lead…
Just think, you’ll know what to do!
June 24, 2016 at 8:12 am #104437TrentRothallParticipantTrue, i would have had a break even day but i missed a trade on wednesday and it is up 15% today lol.
Nick – Next 1000 trades
June 24, 2016 at 8:14 am #104447LeeDanelloParticipantThe mean reversion trades are going to start to come into play now.
June 24, 2016 at 8:20 am #104438TrentRothallParticipantYeah i am feeling more confident on placing my orders now the XAO turned my index filter on, volatility could produce good trades!
June 24, 2016 at 10:55 am #104439ScottMcNabParticipantYeah…just placed API orders for MRV…got the feeling that will wake up to 35 new positions if the market tanks on open…easy to be relaxed about it when paper trading though
June 24, 2016 at 10:57 am #104448LeeDanelloParticipantYeah paper has many uses
June 24, 2016 at 12:20 pm #104440AnonymousInactiveA question re some practicalities – the choice of whether to override the system is a different topic:
Assuming one carries on as per system rules. I assume most mean reversion strategies will have this scenario, I am only looking at US stocks so the Aus ones may have already had the scenario.
Question:
The potential that the open will be lower than the buy limit is high, how would you place the orders? Place at the system buy limit price and if the market opens lower the entry price would be at the market open (assuming lower than the limit price). I also assume in practice this is what happens as in testing, is that correct?June 24, 2016 at 4:14 pm #104449SaidBitarMemberMiguel Teixeira wrote:Question:
The potential that the open will be lower than the buy limit is high, how would you place the orders? Place at the system buy limit price and if the market opens lower the entry price would be at the market open (assuming lower than the limit price). I also assume in practice this is what happens as in testing, is that correct?If the market gaped lower than your limit price you will be filled on the open.
so what you said is Correct.
this is the reason in the system for buyprice you put Min(limitPrice, Open)
June 24, 2016 at 10:26 pm #104441ScottMcNabParticipantOnly 18 new positions rather than 35….makes me think about adding an extra condition to buysetup to backtest….something that may try turning off the system if UK market opens down >3% or similar (targeting catastrophic events)…or using sp500 futures etc. However it may, in fact, be the opposite and these days may be quite profitable for MRV systems rather than something to be avoided ?
June 25, 2016 at 4:33 am #104450JulianCohenParticipantScott McNab wrote:However it may, in fact, be the opposite and these days may be quite profitable for MRV systems rather than something to be avoided ?Did you have a look to see what happened to your system in 2008 during the TARP announcements when the S&P went up and down 10% in a day?…I haven’t but thinking about it the Index Filter would have kept my system out of it…but it might be interesting to see.
My commodities system was up 15% yesterday so the long term trends were right all along. Having said that I could just as easily be down 20% today if the vote went the other way.
That’s trading for you :sick:
June 25, 2016 at 5:20 am #104451ScottMcNabParticipantJulian Cohen wrote:Scott McNab wrote:However it may, in fact, be the opposite and these days may be quite profitable for MRV systems rather than something to be avoided ?Did you have a look to see what happened to your system in 2008 during the TARP announcements when the S&P went up and down 10% in a day?…I haven’t but thinking about it the Index Filter would have kept my system out of it…but it might be interesting to see.
I haven’t looked at individual days but I think I might go back and do that.I do know that 2008 was the best year for the system over its 20 year backtest. It does not have an index filter so it probably was in interesting day for the system.
June 25, 2016 at 5:43 am #104442Nick RadgeKeymasterQuote:.something that may try turning off the system if UK market opens down >3% or similar (targeting catastrophic events)You’re moving into data mining and curve fitting.
This is the beginner logic that you only want to trade the best markets and exclude the nasty ones. Unfortunately these ‘black swan’ events will always be different.
June 25, 2016 at 7:21 am #104443ScottMcNabParticipantOk…..will not waste any more time on it.
Thanks Nick -
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