Maurice’s Journal

[LeeDanello]

Yeah I have it saved. It’s a matter is setting up the interface to remove all the clutter. I don’t generate enough orders to use the API so whatever I have goes in manually. I might have a look at the spreadsheet at the Chartist forum where someone wrote a macro to place orders. See if that suits my needs.

And also Saids spreadsheet.

[LeeDanello]

I’ve made some coding tweaks to allow more trades. The system actually performs better with the higher trade frequency. The stats were acceptable before but now they are even more so. In the interim, I’ve been trying out the IB DDE spreadsheet and while it worked some days, on other days it sometimes hanged when I went to open it, so trades had to be entered by hand. This I could see would become the anchor around my neck so I purchased Nicks API program which runs nicely. One question it did answer for me was the handling of exposure which the IB DDE spreadsheet would not be able to do. My system does not utilise margin so I was made aware that if I submitted more orders that I had funds for then my account would go into margin. So I learned something new. Currently testing orders on both the US and ASX to get some idea on the amount of trades being triggered in both markets. I have modified the core system to trade both markets. I’m finding that at this stage, the order numbers going thru are similar for each market. The final back test stats for both markets are quite similar with lower exposure and drawdown for the ASX, overall profit for the ASX is lower but the returns over the years are less lumpier. I’m thinking maybe in real time I could put in orders for both markets to increase exposure. It would then work as a 1st in 1st served basis.

[LeeDanello]

A trading update. I’m testing my MR system on the US and Aussie markets. They are basically the same system but with different liquidity filters. It’s been 5 or 6 weeks and the results are presented below

ASX

US

so the net result is that for the last 6 weeks I haven’t lost “money”. There have been a few hiccups with placing trades into IB. I tried using their Excel DDE which worked OK when I got it to open which was hit and miss so I invested in Batch Trader which is the only way to go if you want to manage a large set of buys.

SWM taught me a lesson on how to set a sell limit order. I put in my limit of 99c on Tuesday only to see it gap past. Tried again today and got my fill at 82c. So I will be using 5% off the low from now on. Mind you 5% off Mondays low is 98c, it actually opened 6.8% below the the previous days low.

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