Nick Radge – Daily Journal

[TimothyStrickland]

Had a similar thing happen on the same day with my MRV, good to see you two had the same issue. I had several stocks that didn’t match the backtest, luckily that didn’t happen again but was very wierd. First time seeing it happen in a long time, ended up making money on it but still

[Nick Radge]

April 2020

ASX
Growth Portfolio: 0%
WTT 0%

US
HFT: +2.5%%
US Momo: 0%
MOC: +1.25%
DTVI: 0%

MOC was +6% on Tues. Got run over last few days…

[Nick Radge]

Managed to squeeze some more juice out of my version of the ASX WTT

[GlenPeake]

Yep…Those stats look sweet Nick…!!! Very clean indeed…

This version of the WTT is certainly a little different to the WTT Turnkey code

I’m excited/happy to see the WTT system listed in your suite of systems now as well!!! I’ll be following along with the monthly stats.

[Nick Radge]

Welp, that wasn’t my worst day this year, but not far off. Interestingly my two worst days this year were both the first larger volatility move for a change of direction.

Could be worth some investigation that a level of volatility gets too low the stretch needs to increase, or something a long those lines.

[LEONARDZIR]

Nick
Are you talking about your MOC today?

[GlenPeake]

Maybe take a look at this Index Filter…

ADX Index Filter for Short Term MOC/MR Systems

Maybe, instead of using it as an Index filter…. as you say, use it as a VOLA check and adjust your STRETCH during Low VOLA using an IIF statement.

For what it’s worth, the index filter has been OFF for the past 5 days, so I haven’t placed any trades during that time.

FYR:

Here’s a snapshot of the On/Off for the ADX Index Filter for the past month or so.

[Nick Radge]

Len – yes.

Glen – my short term systems don’t use index filters

[LEONARDZIR]

Nick,
What time do you shut off your limit orders with the API?

[Nick Radge]

20 mins before the close

[SaidBitar]

Actually I was thinking about this (time to cancel entry orders) last night, I noticed that most of the time the orders that are filled in the last hour turn to be losers. I don’t have any statistics but I will try to start collecting them.
But with days like yesterday regardless when you got filled it will turn to be a loser.

[JulianCohen]

I have YTD every trade (thousands) with time stamps on them. I’ll have a look and see.

Be nice if we could backtest that eh!

[Nick Radge]

Well, we could quite easily with intra day data.

[JulianCohen]

I just examined one of my MOCs. I checked on all trades taken after 3pm NY time and they made a decent profit. I guess like yesterday, there are a lot of days when you get a bounce off the bottom in the later period of trading, and those trades give you a profit.

[BenJeffery]

Nick Radge wrote:

Could be worth some investigation that a level of volatility gets too low the stretch needs to increase, or something a long those lines.

Hey Nick, I had this problem too. What I do is set a minimum stretch for all trades, then take the minimum price of that and my regular stretch. A different option is to exclude any trades that don’t meet the min stretch in the entry setup rules.

[Author]

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