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I’m currently in stress testing phase for my MOC system and wanted to highlight a finding.
As part of my testing, I’ve also been scanning the market everyday and then confirming trades with a daily backtest to see which trades were triggered (paper trade testing), trying to simulate what it would be like to ‘live’ day to day with the system etc and also confirm signals matched the backtest report.
I’m testing 40 positions @ 10%.
What I was seeing is that some trades that were in the backtest report, were ranked outside the TOP 40 stocks in the explorer.
Explorer is on the left for the 27/8.
Backtest report is on the right for the trades that were triggered on the 28/8.Notice that AAP & KDP were ranked 42 & 43 in the explorer, however they were being flagged in the backtest report. As we only ever place the TOP 40 ranked signals, both AAP & KDP would not have traded in real time and should not appear in the backtest report.
(Notice how there are numerous 100.02 in the ranking measure).
I was also seeing stocks/signals ranked in the TOP 40 which (would’ve) triggered in the market, however these trades were not showing up in the backtest report.
After contacting Nick/Craig, I’ve increased the number of digits for the Rank column in the custom backtesting code.
Changed from 1.2 to 1.8
The 2 stocks that were previously ranked outside the TOP 40, are now sitting in the TOP 40 ranked stocks
Additionally, the ‘missing’ trades from the backtest report for some of the signals previously ranked in the TOP 40, were in fact for stocks that should have been ranked outside the TOP 40 and should not be flagged in the backtest report, as we only place the TOP 40 ranked signals etc.
So the rounding up of the 2 digit version was changing the order of the ranking measure for the Explorer output.
After updating the ranking digits to 1.8, trades are now consistent between the Explorer TOP 40 and the Backtest report.
Cheers
GlenA few updates on the IB front.
When I logged in during the week I was presented with the following message.
(The image might be a little hard to read, but it basically reads that IB US will cease business in AUS, so I need to transfer my account from IB US to IB Australia)
Having just opened my account, I found this odd.
Not sure if others have recently encountered this? However, I contacted IB and confirmed the message.
So it’s either transfer or close account…. tough choice
So my account that’s only recently been setup will transition to IB AUS. Apparently, no negatives/restrictions associated with the transition (i.e. I confirmed leverage was still OK etc).
However, they did mention that I’ll be receiving a new ACCOUNT ID. So, I believe Nick’s API is associated/configured with your unique ACCOUNT ID etc??? So, just thought I’d mention it here in case others might be affected etc.
In addition to this, I hit a hurdle when activating my IB Key via my mobile phone.
This is in relation to the 2 factor authentication. I loaded the IB Mobile app on my phone, I was then suppose to click on “REGISTER 2-FACTOR”. I was never presented with this option, only a Live/Paper Trade Login
https://ibkr.info/article/2277
Anyway, to cut a long story short, the explanation to why I couldn’t see the “REGISTER 2-FACTOR” icon is that my Mobile is (apparently) a dinosaur and doesn’t meet the minimum Android spec……. Minimum Android version is v5, I guess my 6 year old Samsung Galaxy S3 Android version 4.4.4, just isn’t up to scratch these days
Solution is, IB are posting me the hard device/token and in the meantime I’ll use the online Security Card.
Glen
Nick Radge wrote:Great news.
Let us know how it all went…40 Orders placed…. with Zero fills. :cheer:
Rinse and repeat for tonight.
Glen
Current Update:
MOC/IB/Margin Restrictions: A case of wait and see whether IB follow through with their changes to margin….etc… until then I will continue to trade my MOC as usual.
WTT Testing: Working through testing my WTT. I originally purchased the turnkey code from Nick a couple of years ago (2015 from memory), so I’ve been tweaking some of the settings, adding a ‘stale exit’, sell after X bars if the stock is less than entry etc (in a bid to weed out some of the false breakouts).
Also adding in an additional Index vs Stock filter comparison.
Current variations test results:
I also want to add a Relative Momentum system(s) to the mix. Yet to start any design/build.
Cheers
Glen
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