Rob’s Journal

[RobGiles]

Back from 2 week camping trip with the kids.
Have been playing around with the MR system after taking on board suggestions from the forum / Nick which has reduced the number of trades but still getting very high CAR/MaxxDD ratios (i.e. higher than 4.0 in some cases) which tells me that I still have a selection bias issue (I think). Still, there’s been improvement in the Max System DD.

Annual returns are somewhere between 13% to 23%. Can’t help but feeling that consistently achieving above 20% is impossible. If it weren’t we’d all be pushed over in the rush by the wealth management industry if we made our results public (assuming they were auditable). Anyway, maybe that a psychological hurdle I need to get over.

[SaidBitar]

CAR/MaxDD ~4 and the CAR between 13 to 23% means that the DD are less than 5%
you can increase the CAR and DD by increasing position size increase till the limit that you feel this is the DD that you will be happy with

[ScottMcNab]

Capacity plays a role in the systems we are designing too I think….20% for a 6 fig or small/mid 7 fig account possible without moving the markets but these systems would probably not translate such that large funds would be able to implement them and are therefore not using them…that is the best explanation in my mind as to why these work…it may have been quoted in here before where Buffett ponders the return he would be able to achieve with only one million dollars …hope that helps clear the hurdle Rob ?

[JulianCohen]

Here’s a couple of other things to try Rob.

Try 2 lower lows
Try C < MA(C,5) instead of lower lows
Try ROC instead of lower lows
Try IBS instead of lower lows

Try going through the list of ideas Nick has in the mentor course and code them up and test them. Mix and match.

I have tried all these things, some I use and some I don’t. What I’m saying is you have to try to think your way through your system and experiment with everything. I have literally hundreds of dead ideas scattered along the road to where I am now. But I couldn’t have got here without going through all of those ideas. Every failed test taught me something, and every now and again I had a brain fart that made me change everything and go back and start again.

My advice would be to keep all your failed tests. Log them somewhere so in a few months you can go back and see easily what you did. Somewhere down the track you will discover something that makes you want to go back to those failed ideas and try them again in a newly discovered way.

[RobGiles]

Yeah look it does thanks Scott….in fact its probably the only explanation I can think of, although given the liquidity of the US markets, I feel that they should be able to handle a portfolio of well over (guessing here) $5m if you had that to invest. Hopefully I’ll find out one day!

[RobGiles]

Brilliant. thanks Julian. Just out of interest, re your MR systems that you trade, have you come across a liquidity issue at all?

[ScottMcNab]

Using 5% of volume for the day as a cutoff for intraday systems (assumption is that over this % is going to impact price) even the US stocks seems struggle to have the liquidity once reach 8 figures…most funds would have aum of 50m+ I’m guessing…course I have probably the least experience or understanding of these issues of anyone in the entire mentor course so my posts are only meant as topics for possible consideration

[RobGiles]

Hi Julian

IBS??

[JulianCohen]

http://jonathankinlay.com/2016/06/the-internal-bar-strength-indicator/

I have tried to make it work but couldn’t. However I might have another go. Often I go back to things after a few months and see if there was something that I missed first time around.

[JulianCohen]

Rob Giles wrote:

Brilliant. thanks Julian. Just out of interest, re your MR systems that you trade, have you come across a liquidity issue at all?

The only liquidity issue is on the ASX where sometimes I don’t get full fills. Maybe 1% of the time. On the Russell 1000 I have not had a problem.

[RobGiles]

I’ve got my MR system to the stage where I have a good understanding of the selction bias issues and dealt with them to a level I am comfortable, I have optimised one of the filters that has given a material improvement to the results of the back test, and I have run a MCS over 10 years using a 10% seed which has produced results that are encouraging. I am now ready to look at random trades to see if they are the same as back test results and then I guess its time to set up my trading IT infrastructure (VPS and API) and hopefully let the rubber hit the road.

[RobGiles]

As I’m about to go live with my MR system, I’m now spending as much time as possible building simple test systems, so that I can get the hang of coding whilst I still have mentors.

I’m still finding the coding of different systems fairly challenging. I’d be interested how many systems did others code themselves before they got a level of confidence that they could do it without Craig checking the code is all OK.

[ScottMcNab]

I have been trading ASX and US MOC for a year now….I am about to launch rotational systems on these markets but have subscribed to the extra 3 months to get Craig to check code and Nick to improve/advise on implementation…..hard to imagine I would ever have sufficient knowledge and experience such that getting their input isn’t worth the 800 bucks or so…. absolutely worth getting as much out of the 6 month mentor course as you can but take the pressure off yourself to feel that have to know it all and have every system running in that time….2c worth (at most)

[JulianCohen]

I agree with Scott. Don’t sweat it too much. Get one good operational Mean Reversion system or an MOC system sorted. Make sure you have a template for looping for an MOC system, a MR system and a trend following system.

I keep these templates and when I make a new system I’m basically just changing the entry and exit conditions. The rest is all part of a template.

Knowing that you can add on an extra three months at a competitive rate is a great safety stop.

[LEONARDZIR]

I have also found the extended mentoring systems invaluable. I keep looking at systems and really need Nick and Craig’s input.

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