Nick Radge – Daily Journal

[Nick Radge]

Yes. S&P 500 between $10 and $200

[JulianCohen]

Nick Radge wrote:

Yes. S&P 500 between $10 and $200

Is there a reason not to choose shares greater than $200?

[Nick Radge]

No – just restricting the universe = restricting selection bias

[ScottMcNab]

Julian Cohen wrote:

Did you choose 200% just to be a little conservative or did your research show that 300% or 400% didn’t make a drastic enough difference? Or was the main difference to the MDD as opposed to the CAR?

Is anyone here using 400%? When I do the walk forward testing at 200% the size of the worst overnight loss (6%) is pushing my comfort zone. I’d be interested to hear what others used as the upper acceptable limit in their walk forward testing for maximum system daily loss if anyone felt like sharing this metric. Thanks

[ChrisVirides]

I am using 300%, 20 positions @ 15%. The daily variance is in this is ok for me. It has been irritating to be in drawdown before actually making any profit. What is comforting is that the results are accurate with amibroker backtest results.

[Nick Radge]

A good week for ASX MR with a lot of activity and few standouts in NEA and todays SUL which I picked up on the opening gap. The ASX MR is +4.5% this month excluding another 0.5% in open profit.

The ASX trend system (Growth Portfolio) is within a few bucks of new equity highs so has been fluctuating for most of the month. A few earnings went against me earlier in the month then a few went for me so +24.3% in last year.

The US is still a struggle. Having given back some in the US Momentum and the High Frequency is just in positive territory for he year. The new day trade system is -1.9% after its first week.

Next 1000 trades.

[Nick Radge]

August results:

ASX Mean Reversion: +6.57%
US HFT: -0.44%
US Momo: -5.24%

Interestingly enough our other US Mean Reversion system has now strung together 3 good months after we made a slight adjustment; 2.5%, 2.1% and 3.5% since June. That strategy is +8.45% ytd compared the HFT which is +1.95% for the year

[Nick Radge]

Well, I just got screwed by this ASX/Chi-X things this morning as well. Had a sell order in GDI.asx a few filled at 0.945 and the majority at 0.89…FFS

I’ll be using ASX for both sells and buys now.

[TrentRothall]

I was just looking at the IB chart of GDI because i’m holding some and noticed the low was very low. Wondering if some funny business was going on.

I will adjust now too..

[SaidBitar]

mine got filled at 0.89 i changed the buy code to replace ASX instead of smart when the problem first happened to Trent but did not remember to manually change the sell orders

[TrentRothall]

Said Bitar wrote:

mine got filled at 0.89 i changed the buy code to replace ASX instead of smart when the problem first happened to Trent but did not remember to manually change the sell orders

It shouldn’t effect ‘Buys’ at all should it? I guess if the stock gapped lower below your order price someone could sell you shares at the higher rate?

[Nick Radge]

Yes, you’re quite correct. It works in our favour on the buy side.

[TrentRothall]

If you had a buy at $10 for 200 shares and the stock gaps down to open at 9.50 and the auction goes longer or whatever happens so you get routed to CHIX couldn’t someone sell you 200 at your buy limit though?

It should be in our favour if the auction is above our LMT order.

Or am i over thinking the situation?

[SaidBitar]

OK for the Buy it is limit order you will get filled on your price regardless of the routing. The problem will happen incase there is a gap down bellow the limit price because there is a chance to get filled on your limit price and not on the open incase you are routed via CHIX and it will be bad. Incase of gap up your buy order is at limit price and another sell order is at limit price bellow the close of the previous day. In this case there is a chance of getting filled on your limit price even if the market gapped up which is good.

For the sell side since the limit price is lower than the previous close it is way better not to use CHIX otherwise I will be the person selling you at your limit price when the market is gapping up and even if there is no gap up still I will be selling at the limit price which is even worse since I will lose my edge.

I hope I made sense

[Nick Radge]

Summary:

Entries = SMART
Exits = ASX

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