Len’s Journal

[JulianCohen]

Interesting Len. Does it allow for Ranking orders and backtesting the ones that were in the top rank only like our CBT code?

[LEONARDZIR]

Julian,
The short answer is yes.
Marsten Parker has 2 products: Realtest and traderunner. I use Realtest to Backtest and daily for setups. My MR strategy has 6 strategies which I run concurrently in one IB account. Realtest is excellent for Backtesting and running multiple strategies in one account . TRADERUNNER Is his API which I link to my IB account. It is very sophisticated. It is great for a multi strategy account. It also provides statistics.
Couple of points First Marsten’s products are in beta form although I believe he will offer them commercially in the next 6 months. Second both products require learning a new language.
Finally Marsten will be one of the traders highlighted in Schwager’s new book “Unknown Market Masters” due out in November.

[Anonymous]

Hi Len, thanks for sharing. I took a brief look at Marsten’s website and it isn’t really clarear the benefit of using his software. When you have a minute I would love to hear your thoughts. Regarding running multiple strategies from one account, I do that quite easily just with Amibroker and the normal API.

Does it integrate with Amibroker or is it completely separate?

Also, Does it allow for more precise intraday testing and execution?

Thanks!!

Dustin

[LEONARDZIR]

Dustin,
I find it much easier to run 6 strategies in one account for a variety of reasons. For example it takes me about 2 minutes to run Realtest daily to setup the 100 or so setups I have each day. The statistics especially the individual equity curves for each strategy and the combined equity curve are easy to perform. There are a host of other reasons. Traderunner ,the API is very sophisticated, You can change your entries and exits in multiple ways. For example when the stock price comes near the limit price Traderunner puts the my limit order in the market. I also can get a fill specifying the amount of slippage I will except (and test the consequence of slippage).
If you have no issues running multiple strategies in one account I wouldn’t change. Take a look at the Realtest site where there is a presentation. Neither Realtest or Traderunner is integrated with Ambroker.

[TrentRothall]

Sorry Len i missed this comment in the “Stretch” thread thought id move it here.

Quote:

Trent, I am running my MOC without leverage. It is one of several systems in my MR portfolio that are combined in one account. Tests great with no leverage.

Thanks for that, what kind of fill rate are you getting on a system like this? (and your others) In regards to your placed trades, do you know the % of orders that get hit? Thanks

[LEONARDZIR]

Trent,
Each of my 6 strategies has it’s own fillrate. With all strategies combined I get a 10% fill rate

[Anonymous]

Apologies for all of the questions Len but this is quite interesting.

I took a look at his website and the software – how difficult was it for you to translate all of your learning and your systems into his software? It doesn’t look super intuitive. Do you find that it has the same degree of flexibility as Amibroker? (the more I use Amibroker it seems you can do pretty much anything with it but it’s just a matter of spending the time figuring out how to code it)

Also regarding the API, it doesn’t appear on the website. Is that something special you arranged with him? Is it super expensive?

Thanks again!!

[LEONARDZIR]

Dustin,
It does involve learning a different language but not insurmontable. It is not super intuitive. I have become very good friends with Marsten so his help has been invaluable. As I mentioned if you are planning on trading multiple systems in one account REALTEST is superior to AMIBROKER. For my single systems like US momo I still use AMIBROKER.
TRADERUNNER his API is not shown on the site.
Right now REALTEST is in beta mode and I don’t know what Marsten will charge for it. I assume he is going to make both products available in the next 6 months.

[Anonymous]

Thanks again Len – really appreciate the input!

[TrentRothall]

Hi Len

i’ve been playing around with the software, do you mind if i ask you some questions on email?

[LEONARDZIR]

Trent,
Not at all. [email protected].

[LEONARDZIR]

September 2020

US HFT +0.76%
US MR(multisystem) +23.26%
Nasdaq Aggressive -1.2%
US Momo flat

US MR highest monthly return in last 10 years.

[Nick Radge]

Quote:

US MR(multisystem) +23.26%

Boom!

[MichaelRodwell]

Lovely! So inspiring to see that happen.

[GlenPeake]

Wow!! Awesome stuff with the MR system Len!!!

[Author]

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