Julian’s Journal

[SaidBitar]

Julian Cohen wrote:

it’s been a while since I posted anything as I have been traveling and offline for a lot of the time, but I just landed back in Sydney and already have orders placed in the ASX this morning. I’ll be trading five systems over the next few months to give them all a good shakeout and make sure nothing untoward is occuring.

In the ASX I have a MR system, a momentum rotation system that has been running while I have been away, and a Trend Following system based on WTT. Also a MR MOC system in S&P and a MR system in the Russell.

The trend following system that I was working on recently on ASX is based on WTT
Actually it is the same one that I am using on US market just changed the indeX and price range

:blush:

I will start trading it when the other systems generate profit to be used as capital for it

[JulianCohen]

I should probably run WTT on the US markets but I’ll keep that up my sleeve for later :whistle:

[SaidBitar]

Russell 3000
1$ -10$ price limiters
Works well

[JulianCohen]

And I’m off with a whimper…2 non filled orders on ASX and 2 fills on my high frequency SPX last night.

Keep on trucking.

[JulianCohen]

Missed a fill on GPS last night as my Limit order was on the low of the day and doesn’t look like a lot traded there.

[JulianCohen]

I’m working on an ASX MOC system and I keep running into the same situation. Any system I test after 2005 or 2006 looks good, but pre2005 it completely bombs, usually losing all equity within a year or two of starting. Anyone else found this?

After 2006 I have some very good looking systems.

[TrentRothall]

Have you looked at the number of trades in both those periods? My trade frequency was lower in the early 000’s

[ScottMcNab]

I found the same thing Julian. Even when I tried to change price and volume restrictions my MOC systems were terrible on the ASX before 2004. In the end I just went with exactly the same system I use on the US market except I reduced volume requirement to 500000 and price to $1.

[TrentRothall]

Scott McNab wrote:

I found the same thing Julian. Even when I tried to change price and volume restrictions my MOC systems were terrible on the ASX before 2004. In the end I just went with exactly the same system I use on the US market except I reduced volume requirement to 500000 and price to $1.

Hey Scott

Did you test with the minimum price set lower? As of Friday there is 101 stocks between $.1 to $1 on the All Ords, that seems like a fair chunk of the universe that your missing out on..

[ScottMcNab]

Hi Trent,
I was finding that the backtest was purchasing >5% of total daily volume when I was lowering price to less than $1. Is that something you have been able to work around by using turnover filter ?

[JulianCohen]

I’m running with $0.15 to $150 for the price filter and 500,000 over 50 days average for the volume filter for all my ASX systems.

I finally found one that is robust even going back to 2000. I used the ASX200 excluding the ASX100. Hopefully I’ll not run into margin problems and the total trades is not excessive.

I plan to run this in the day and then run my Russell swing system off the same account funds in the evening. Maximum power!

[TrentRothall]

Scott McNab wrote:

Hi Trent,
I was finding that the backtest was purchasing >5% of total daily volume when I was lowering price to less than $1. Is that something you have been able to work around by using turnover filter ?

That’s a good point, depends on how big your account/positions are when you are buying a % that high i guess… if you have tested over 10-15 years then you will have huge positions

But i run a min ave volume and a min turnover filter too, not sure if that’s overkill or not. It’s been fine a few partial fills but not too many

[ScottMcNab]

Hi Julian and Trent,

Maybe I am approaching this incorrectly…

eg 50k account with 20 positions at 10% or 10 positions at 10% (I don’t use margin on asx ) = 5k per position
5k worth of $0.15 share is 33k shares = 6.6% of daily volume ? (or do you have the turnover filter increasing the volume requirement above the normal “500k over 50 days” with the cheaper shares?)
A few good years of compounding returns and 100k account and 10k per positions = 66k shares

I have tried to allow some slack in the system for future growth by going with $1 price / 500k volume requirement but perhaps I have been too conservative ? Or more likely I have not utilised the turnover filter well enough…might go and muck around with that now.

On a slightly different but related topic, if you are buying between 5 and 10% of daily volume, does the sell limit price become more important with respect to its potential impact on the algo determining the closing price during the closing auction ? I have the default set in BatchTrader to 8% below the price I bought it at (to maximise chances of getting filled) but if I was placing 5% (or more) of daily volume at 8% below the last traded price then potentially I may be harming my return by lowering the final closing price ?

Rambling now…

[JulianCohen]

I’m not too worried if my position is 5% of the daily volume. If it were 20% that might be a bit near the mark but the main thing is to get filled easily. These are for me shares in the top 200 so I’m not foreseeing a problem

[JulianCohen]

However, I have just gone back and checked my swing system and added a daily turnover filter of over 500K and that doesn’t affect anything, so I might live it in place.

Then I checked my ASX MOC system and I found I wrote it with no turnover filters in place at all! So scratch the idea of asx200 excluding ASX 100. That gives me 6%pa.

Off to do some more testing. Thanks for making me check Scott!!!

[Author]

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