Len’s Journal

[JulianCohen]

Len Zir wrote:

Julian
Just spoke to IB. If you have MOC orders to close all positions there is no margin violation. You were correct. The person I spoke to at IB told me something different. Thank you again for your reply.
Regards
Len

No problem…I spent the day also working a way around the problem. The good thing is that the API places MOC orders as soon as the buy order is filled so they are there on the system and IB will see them.

Good luck.

[LEONARDZIR]

My progress.
Started live trading my USA MOC MRV system the second week in August. Ended up down 4.5%. At Nicks’s suggestion ran a 500 run MCS backtest on my system with a 25% seed and found my live trading results matched the theoretical from Amibroker. So I continue putting my orders in and following the system. It is interesting to see other forum members have similar results with their US MRV systems in August.

Meanwhile starting to test some stock and etf universes with a momentum rotation system(Thank you Craig). Saw an interesting tidbit from the quant people at Vanguard who said they could not find a successful momentum rotation system to trade(although haven’t seen what they define as successful)
Len

[LEONARDZIR]

Also musing about MRV MOC systems. Since about 65% of a stocks daily movement is attributable to the market it would seem that successful trading periods would be marked by the $SPX closes>open. I plan to plot the MA of closes vs. opens with ma’s whose length is to be determined and see if there might be something for a filter. Trading only when ma(C)>ma(open). Seems to me would be easy to test. Just thinking.

[Nick Radge]

Yes, it opens up some interesting lines of thought. Here’s one I’ve been working on over the last week:

My high Frequency system in the US has been spinning the wheels this year.

Market volatility is the lowest since 1965 or something.

My ASX mean reversion system has been going gangbusters and ASX volatility has been huge in recent weeks due to earnings season.

Will a volatility filter help, i.e. remove me from low volatility periods?

That’s the logic, but not testing out that way (at least not with what I’m looking at)

[LEONARDZIR]

Nick,
I just looked at a chart of a simple 20 ma of opens and closes. From mid December 2015 to mid February 2016 the ma of closes was below the ma of opens. Nevetheless my MOC MRV made 2.5% in Jan 2016 so that isn’t a good explanation either.
Len

[LEONARDZIR]

The current drawdown on my MRV MOC system raises a question in my mind of if, when and how much cash you add to a system in drawdown. Since I started trading my live account in August my MRV MOC system has a 9% drawdown. . My average system drawdown over the last 10 years was 15%. Considering Nicks comment that institutional traders will go into a sucessful hedge Fund after a drawdown I am contemplating adding to my system at this juncture. . So thinking about adding now and again if go down more to the 15% level.
I started my live account with a relatively small sum and planned to increase anyway over the next 6 months. Originally I thought I would add as the system turned profitable but from a trading perspective it makes more sense to add in a drawdown.
It really comes all down to your level of trust in your backtesting.
I’d appreciate any comments.

[SaidBitar]

I did the same for my trend following system back in January, I was in DD same as you still higher than the worst DD as per my backtest.
the amount that i added is almost the same amount i had in the account. this helped in going out of the DD faster.
With TF DD can be long I mean the time required to go out of DD to make new equity high can take several months while i noticed in MRV that the duration is very short. Honestly i don’t know if it is needed to add to MRV.

[LEONARDZIR]

Said, thank you for your reply. I did find in my back testing that my drawdowns ocurred in a relatively short time. Based on your observation and my back testing I am planning to add funds now and more with a larger drawdown. I am not sure you can test this in Amibroker.

[Nick Radge]

Len,
not sure if you’ve read this article – post #79

[LEONARDZIR]

Thanks Nick. Will take a look.
Interesting results on my Mrv/MOC system on sp500. Down 4% last Friday. Had some of my beginners cycle thoughts. Then up 5 1/2 % on Monday. US market smacked today but my system down
<0.1% today. Builds confidence !

[LEONARDZIR]

Just finished testing 3 trendfollowing strategies on the US market, namely WTT, bollinger breakout and yearly highs. None of these strategies was as robust as my Rotation or MRV MOC strategies.
So I am trading just 2 systems, Rotation and MRV both on Sp500.
Was initially trading the MRV on the Russell 1000 because of the outstanding results but Nick mentioned problems with the Russell namely selection bias and inability to margin some stocks. Lo and behold last week after a big downdraft in the market my MRV had 272 orders which is crazy. So I switched to Sp500 with 2:1 leverage for now.
Also read Basso’s article. He makes a convincing case for adding cash to proven systems in adrawdown. So I added to my MRV system.

[LEONARDZIR]

Nice month for me.
US MOC. 2.1%
US MOMO. 10.1%

[LEONARDZIR]

Interesting problem with the VPS today, a cautionary tale. Normally I place my orders the night before the US market opens and never look at the VPS until the next night. For no particular reason I checked my API at work in the middle of the day to learn that most of my open orders were cancelled although I did have fills for which MOC orders were placed by the API.
The timestamp on the API was 5 hours ahead of IB’s time. The VPS server had reset the clock ahead 5 hours without warning.
Lesson learned. I will go on the VPS before the market opens to make sure everything is working properly. I use Hostwinds

The

[Anonymous]

I had the same thing happen to me a while back. I contacted Host Winds and they assured me that it would not happen again (for what thats worth). I would reach out to customer service and tell them not to mess w your time settings.

[JulianCohen]

I had these problems with Hostwinds which they didn’t manage to solve. I switched to Speedy and haven’t had a problem since. More expensive but so far it just works.

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