Kerry’s Journal

[ScottMcNab]

Did IB suggest placing buy limit order (placed above previous close…maybe 2-3% above) instead of mkt ?

[Anonymous]

US MRV -1.0%

Second down month. Although still up 3% since starting in May. The win rate is up there still – unfortunately the downside, just like last month is due to several big losses rather than a low win rate.

I’m trading the Russell 2000, which is good for volatility, but it seems to be pretty full of biotech’s – they work nice for setups, but when they drop in price (setting off my limit buy) man do they drop!!! Considering renaming the strategy “Falling Knives”

Just as an example – had 5 stocks this month drop 25% or more. Most of them recovered somewhat, and the highest closed trade was only down 25%. Looking back at backtests and looking at the MAE, is good though – gives you confidence that these things do happen, and hey, several of the biggest winners are Biotech’s too!

Started 2 new rotational systems yesterday too, which are reasonably uncorrelated with the MRV and trading a different universe too.

[Anonymous]

In my MRV system purchased a stock (FOR) that now is “When Issued” status. When I try to sell it at market it won’t sell. Any ideas (haven’t contacted IB yet just wondering if anyone had had this before?)

[Nick Radge]

Takeover mate…see below

http://www.nasdaq.com/article/dr-horton-dhi-completes-austins-forestar-group-takeover-cm856239

I suggest you add a gap filter to your code so you don’t get involved in these.

[Anonymous]

US MRV 4.3%
US Momo 6.8%
US Aggressive Momo 8.3%

Markets were good to lots of us this month!

[RobGiles]

Kerry O’Keefe wrote:

US MRV 4.3%
US Momo 6.8%
US Aggressive Momo 8.3%

Markets were good to lots of us this month!

Kerry, how many positions in your US Aggressive Momo?

[Anonymous]

Five…

[Anonymous]

Nov Results;
US MRV -4.1%
US Momo -0.9%
US Agressive Momo -2.9%

Just donating last months profits to the trading gods!

Like most, until the last day of the month was looking like a good one…oh well!

[Anonymous]

Dec 2017 results

US MRV 5.3%
US Momo -3.3%
US Aggressive Momo -5.2%

MRV system in backtest with all the fill would’ve been about 9%! (See my other post – still investigating)

Happy new year, and all the best for 2018 trading!

[Anonymous]

Jan 2018 results

US MRV 6.3%
US Momo 10.7%
US Aggressive Momo 13.5%

I think I’ll stop trading on the 28th of the month haha. The MRV and aggressive Momentum ended pretty well still but got smashed on the last 2 days of the month – like the last 3 months!

[Anonymous]

Feb 2018 results

US MRV -7.4%
US Momo -1.3%
US Aggressive Momo 1.0%

[Anonymous]

March 2018 results

US MRV -0.9%
US Momo -2.0%
US Aggressive Momo -0.4%

[Anonymous]

April 2018 results

US MRV 0% (filter on)
US Momo 0.7%
US Aggressive Momo -0.7%

[Anonymous]

US MRV 0%
US Momo 6.8%
US Aggressive Momo 13.0%

[Anonymous]

US Momo -1.2%
US Aggressive Momo -1.5%
Modified momo -0.2%

As per a comment in another thread – was thinking about playing around with a profit target for a month, the coding is beyond me at this stage, but say for example once (and if) you return 5% for a month, you exit all positions next day, and reenter positions on first of month if system says so.

It may be total crap, but the number of times I’ve been up pretty big in a month (with some huge MFEs) only to see it all disappear intrigues me. Obviously the big months – like last month – wouldn’t happen, but if backtesting proves that this is better solution may be worth a try!

[Author]

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