Darryl’s Journal

[TrentRothall]

Good Luck Darryl, as a wise man once said “Next 1000 trades”

[JulianCohen]

And? We’re waiting…..

[Anonymous]

Julian Cohen wrote:

And? We’re waiting…..

… :whistle: … 4 orders filled!

[JulianCohen]

Darryl Vink wrote:

Julian Cohen wrote:

And? We’re waiting…..

… :whistle: … 4 orders filled!

Nice one

[Anonymous]

1st week live trading MR system on russell 1000 results:

so far so good! portfolio is up 0.7% and everything is pretty close to backtesting results.

1 week in however and im now thinking of making some changes i revisted my system with MOC orders and the results are just too good to ignore.
when i first tested the MOC system i decided backtesting results taken from 01/01/2000 where not so good over the last 5 years or so. on futher scrutiny this was only because the equity was so huge that the amibroker setting of restricting trades to 10% of daily volume was skewing results. when backtesting from 01/01/2010 however the resutls are much different and closer to realistic.

i have emailed levente today and will hopefully have the MOC API soon for further paper trading and testing. happy days :whistle:

[JulianCohen]

Darryl Vink wrote:

1st week live trading MR system on russell 1000 results:

so far so good! portfolio is up 0.7% and everything is pretty close to backtesting results.

1 week in however and im now thinking of making some changes i revisted my system with MOC orders and the results are just too good to ignore.
when i first tested the MOC system i decided backtesting results taken from 01/01/2000 where not so good over the last 5 years or so. on futher scrutiny this was only because the equity was so huge that the amibroker setting of restricting trades to 10% of daily volume was skewing results. when backtesting from 01/01/2010 however the resutls are much different and closer to realistic.

i have emailed levente today and will hopefully have the MOC API soon for further paper trading and testing. happy days :whistle:

Welcome to the MOC Club mate. You might want to look at the number of orders the Russell 1000 will throw up. I decided (on Nick’s advice) to use MOC on the S&P only, also because you can leverage the bejesus out of it. I am using my normal MR for the Russell excluding S&P

[Anonymous]

Julian Cohen wrote:

…Welcome to the MOC Club mate. You might want to look at the number of orders the Russell 1000 will throw up. I decided (on Nick’s advice) to use MOC on the S&P only, also because you can leverage the bejesus out of it. I am using my normal MR for the Russell excluding S&P

and if backtests are right… the MOC club will be the Money Club :woohoo:

yes its a lot of signals over the $RUI if i just use my current MR system for buy signals:

ill have a look at refining it perhaps… initilal stress testing over 15 years with 20% trade skipping still had acceptable returns even at the low extreme of low 30’s CAR and low teen’s MDD. ill look at more rigorous stress testing and rolling windows in the next week or so. so maybe placing the odd 250-350 orders here and there is acceptable! :dry: :S

[TrentRothall]

Darryl Vink wrote:

1 week in however and im now thinking of making some changes i revisted my system with MOC orders and the results are just too good to ignore.
when i first tested the MOC system i decided backtesting results taken from 01/01/2000 where not so good over the last 5 years or so. on futher scrutiny this was only because the equity was so huge that the amibroker setting of restricting trades to 10% of daily volume was skewing results. when backtesting from 01/01/2010 however the resutls are much different and closer to realistic.

i have emailed levente today and will hopefully have the MOC API soon for further paper trading and testing. happy days :whistle:

I remove the 10% of daily volume for that reason, it can make a good system look like it’s degrading over time. At the end of tthe day in the testing you want to know the % returns not the possible $$$ return over 15 years i think.

Well done on getting going!

[Anonymous]

Trent Rothall wrote:

… I remove the 10% of daily volume for that reason, it can make a good system look like it’s degrading over time. At the end of tthe day in the testing you want to know the % returns not the possible $$$ return over 15 years i think.

Well done on getting going!

thanks trent. yes once equity gets > ~ 25 million the 10% rule starts making an impact on my settings. hopefully this becomes a real world problem! its taken this long fo me to become fully aware of the impact though :angry:

[TrentRothall]

In the real world you wouldn’t be trading that system with 25mil so it should be fine! Would be nice though…

[Anonymous]

results from 1st month of trading MR system over the russell 1000:

Portfolio return: -1.5%

results from 100 MCS over the same period:

would be nice if live results were more in line with the other end of the MCS range :dry:

[TrentRothall]

Does that range between min/max seem very large?

edit: i was looking at Annual return and not net profit…A bit tighter now

[Anonymous]

Trent Rothall wrote:

Does that range between min/max seem very large?
edit: i was looking at Annual return and not net profit…A bit tighter now

im looking forward to seeing a year of results…. all i can do with a month of results is say at least it is within mcs tolerances… :blink:

[SaidBitar]

I don’t know about the others but AUG started really bad only the last week profits started to appear and to cover the losses so -1.5% is somehow OK for AUG

[TrentRothall]

Said Bitar wrote:

I don’t know about the others but AUG started really bad only the last week profits started to appear and to cover the losses so -1.5% is somehow OK for AUG

Agree, Aus market is looking similar for me :side:

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