Julian’s Journal

[ScottMcNab]

I have found maxDD gives me a false (not sure if that is the right word) sense of security that is rocked when I do the walk forward testing. Might be worth doing walk forward (2011 always good year to start…aug hurts) and see what sort of losses get on those terrible days when you are probably going to be fully loaded in mean reversion systems?

[LEONARDZIR]

Julian,
Are you running your MOC systems and MR systems with the same API?

I am currently running my MOC system with one of the earlier versions of Levante’s API. I wonder if that API can be changed to run a separate account for my MR system.
Alternatively I thought I would just purchase Nick’s API for my second system?
Len

[JulianCohen]

Scott McNab wrote:

I have found maxDD gives me a false (not sure if that is the right word) sense of security that is rocked when I do the walk forward testing. Might be worth doing walk forward (2011 always good year to start…aug hurts) and see what sort of losses get on those terrible days when you are probably going to be fully loaded in mean reversion systems?

Good idea….what was it about Aug 2011 anyway? It’s always a horrible month. The first place I look when reviewing how a system did

[JulianCohen]

Len Zir wrote:

Julian,
Are you running your MOC systems and MR systems with the same API?

I am currently running my MOC system with one of the earlier versions of Levante’s API. I wonder if that API can be changed to run a separate account for my MR system.
Alternatively I thought I would just purchase Nick’s API for my second system?
Len

I use one version of Batchtrader but run one API for each system, so I have six of them set up on my VPS, each with a different system id

The one I run is configurable for MR or MOC systems. So far it has been flawless and well worth the money. I often have 40+ trades in a day over all the systems and this API combined with Said’s TWS to STT spreadsheet are a massive time saver.

[ScottMcNab]

US had its credit rating downgraded in Aug 2011..panic…think were also some other global issues… I also use 2011 as default year for walk forward

I’m in awe of 6 systems running…I have to concentrate hard enough just with one in the day and one in the night to make sure I have my settings correct for each exploration and save results correctly into each folder…

[JulianCohen]

Scott McNab wrote:

US had its credit rating downgraded in Aug 2011..panic…think were also some other global issues… I also use 2011 as default year for walk forward

I’m in awe of 6 systems running…I have to concentrate hard enough just with one in the day and one in the night to make sure I have my settings correct for each exploration and save results correctly into each folder…

I’ve got a systematic method for doing it. It goes wrong every now and then, but generally I’ve got it well sussed. I do have to concentrate though and it goes wrong when I get sidetracked

[LEONARDZIR]

Julian what is the version number of your API?
Len

[JulianCohen]

Len Zir wrote:

Julian what is the version number of your API?
Len

1.4.3

[LEONARDZIR]

Thanks Julian

[JulianCohen]

For a whole day I was the proud owner of GMA.AU

[TrentRothall]

In a Moc system? I’ve got it too

[ScottMcNab]

Julian Cohen wrote:

For a whole day I was the proud owner of GMA.AU

Wish I only had it for a day ! Because it dropped more than 10% below entry price my limit order in closing auction didn’t trigger….still sitting there in red..not being able to monitor close on ASX wont work I guess unless put in 20 % below buy price…and even then some days it wont…backtest has days >30% loss for biggest loser

[TrentRothall]

Have you tried setting it at say 50% for a day? Just exit on the open if needed, shouldn’t be too bad?

[JulianCohen]

I feel for you Scott. I just entered my trades and found I’m holding it in my ROC system as well so I got double F*&%$ed. HA HA

Never know, it might go up tomorrow

[ScottMcNab]

Trent Rothall wrote:

Have you tried setting it at say 50% for a day? Just exit on the open if needed, shouldn’t be too bad?

Should work…I’m not sure what effect selling 5% of daily volume at the close 50% below would be…. I need to look to find some stats on what average % of daily volume transacted in closing auction…if it was 20% and 1/4 of that was 50% lower it would impact system adversely I imagine?

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