Omar’s Journal

[OmarAouane]

After 2 months into the course, getting ready to start posting some progess.
I went through your different topics and I am impressed by the results you guys are showing. Great source of inspiration.
On my side, thanks to Nick and Craig help I am almost there with a weekly and daily variant of the BBO strategy. Results are not stellar( CAGR around 10%) but hopefully robust enough to pass test of time. I will monitor both systems a bit before deciding to jump in. Would be interesting to know if anyone developed this strategy? Might post some results if I decide to pursue it.

[Anonymous]

Hey Omar – I did tinker with the BBO but decided against. Market On Close (MOC) seem to be by far and away my preference for post-tax dollars trading. I think I’d lever more than 4x if they’d let me…

Where in the world are you located?

[OmarAouane]

I understand your choice Seth but I see it as a slightly superior way to track the market with little workload.
MOC is still unchartered territory for me and will probably my next step but it is a complete new concept to me so Iwill have to find out where to start with.
I am the wrong person to speak about leverage hahah, I am completely against it . I intend to trade my own capital with those systems. For me, using -excessive- leverage means that you hope to never be unlucky (= being lucky) and as they say your worst DD is always in front of you.
I am based in Switzerland close to the Italian border.

[Anonymous]

I do agree that the worst DD is in front – I thought I was trading a 11% max DD system and in two days I was -16%! That’s leverage, for sure. To each his own. If and when you start MOC give me a shout in my journal. I’m bored to tears here in quarantine, if you can’t tell by my prevalence on all of these forum threads…

[OmarAouane]

I had this experience many times trading futures systems and was often bad sign for their lifespan hahah
That very nice from you Seth to offer help, I will start to dig seriously this week end. Quarantine was more relax in Switzerland ( no lockdown) but social life is slow, I take advantage to spend more time working and grasping system concepts.
Btw i like your bio desciption, i am in the same kind of mood

[Anonymous]

I’ve just taken the slowdown in social life to watch entire seasons of “Jeopardy!”. Unsure if good or bad.

[OmarAouane]

Is it incorrect to code an MR strategy without the CBT template?
From my understanding it is needed if I enter on limit orders?

[Stephen James]

Omar

The system then opens up to selection bias issues. Perhaps revisit those sections in the course starting here

Then book a call if you’d like to discuss further.

[Anonymous]

From my understanding, generally you are correct that it is needed if entering on limit orders. It basically helps you understand if you would have made a fill on the entry day if you had a limit order in place on that entry day, but not using it then becomes a selection bias problem.

[OmarAouane]

Thanks for the confirmation to both of you.
Craig, I am in process of switching to the CBT MR template and will sending the code once clean and complete.
Still a bit messy right now.

[OmarAouane]

As promised here is the statistics on my first MOC system.
Following Nick guidelines using volatility expansion. Only 2x leverage, looks promisiing but intend to let paper trade for couple of weeks more to get a better feeling.
Happy to have your feedback.

[OmarAouane]

looks like I messed up the posting… sorry will try to show a better picture

[Nick Radge]

Look good Omar

[JulianCohen]

That’s interesting as August 2011 and October 2018 are normally big losing months when I test a system and yours hasn’t twitched at all in those months.

[Anonymous]

Looking forward to seeing the paper trade results this time next month!

[Author]

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