Rob’s Journal

[RobGiles]

thanks Scott,

Yes I can see that an investment in getting the wrinkles ironed out of new systems by Nick & Craig in the future is money well spent.

[RobGiles]

OK, this is confirming what I was thinking. Ongoing guidance for system 2,3 4 etc once an initial system is completed sounds like a plan.

[ScottMcNab]

Rob Giles wrote:

thanks Scott,

Yes I can see that an investment in getting the wrinkles ironed out of new systems by Nick & Craig in the future is money well spent.

My post may have come across in the wrong tone Rob…I shouldn’t type before coffee. I remember feeling really pressured for time during the course…just seemed so much to try and master. When I re-read what I wrote it sounds like I think I have the answers..nup

[RobGiles]

Tone was fine and it was a helpful reply, so no stress Scott, but thanks all the same:)

[RobGiles]

I’m live with my MR MOC system. Got my 1st fill last night (yes just 1 fill!). API worked fine on the VPS, all unfilled orders cancelled at correct time. It even made a profit. Trading with small size real money for the next week to ensure I get the hang f it then will ramp it up to production level position sizing when I feel comfortable.

Thanks to all those that provided feedback / guidance / encouragement through the development phase.

[JulianCohen]

Rob Giles wrote:

I’m live with my MR MOC system. Got my 1st fill last night (yes just 1 fill!). API worked fine on the VPS, all unfilled orders cancelled at correct time. It even made a profit. Trading with small size real money for the next week to ensure I get the hang f it then will ramp it up to production level position sizing when I feel comfortable.

Thanks to all those that provided feedback / guidance / encouragement through the development phase.

well done!

[Anonymous]

Nice one Rob – welcome to the club!

[RobGiles]

Cheers Cuzzy Bro….have I earned that invite on your yacht yet?

[RobGiles]

I’m a bit over a week into trading my US MR MOC system. Had a couple of teething problems with the API, but seems to be working fine now.

One thing that came up today, my system generated 5 fills for Thursday’s session, but IB only gave us 3. The other 2 were not filled because the orders were unfilled at cancellation time (i.e. 20mins before the close) but my limit levels were reached during the last 20mins of trade, hence the backtest shows 2 extra trades. Has anyone had this happen to them on their MOC systems?

[JulianCohen]

Rob Giles wrote:

I’m a bit over a week into trading my US MR MOC system. Had a couple of teething problems with the API, but seems to be working fine now.

One thing that came up today, my system generated 5 fills for Thursday’s session, but IB only gave us 3. The other 2 were not filled because the orders were unfilled at cancellation time (i.e. 20mins before the close) but my limit levels were reached during the last 20mins of trade, hence the backtest shows 2 extra trades. Has anyone had this happen to them on their MOC systems?

I’ve not had that before. Were they losing trades? My thinking is that if a stock has gone through my buy point in the last 20 mins of trading the chance of it going up again before the close is not worth the risk of entry

[ScottMcNab]

Yes…normally saves me money as often if filled in last 20 min the price is on a slide into the close….not always …but swings and roundabouts

[RobGiles]

yeah they were both losing trades so was in my favour. My question is how out of whack is the backtest vs reality?

[RobGiles]

Julian Cohen wrote:

Rob Giles wrote:

I’m a bit over a week into trading my US MR MOC system. Had a couple of teething problems with the API, but seems to be working fine now.

One thing that came up today, my system generated 5 fills for Thursday’s session, but IB only gave us 3. The other 2 were not filled because the orders were unfilled at cancellation time (i.e. 20mins before the close) but my limit levels were reached during the last 20mins of trade, hence the backtest shows 2 extra trades. Has anyone had this happen to them on their MOC systems?

I’ve not had that before. Were they losing trades? My thinking is that if a stock has gone through my buy point in the last 20 mins of trading the chance of it going up again before the close is not worth the risk of entry

I tend to agree. If one could be arsed, it would be interesting to see if the intraday data supported that view.

[SaidBitar]

Intraday data will solve lots of problems but the real problem with them their price
regarding fills in the last 20 minutes i do not imagine the stock will move much in those 20 minutes normally the last 20 minutes prices tend to drop and the main thing you cannot place MOC anymore you need to close them with market orders(manually)

[RobGiles]

Been trading my US MRMOC system since the 16th Aug, so 11 sessions now:
Starting Capital US$100,000
Total Trades 37
Days with no trades: 3
Days with SB: 0
Return -2.3%
Winning Trades 32%
Win/Loss Ratio: 0.60
Profit Factor 0.29

So my current concern is that there are bugger all trades going on. Not lucky enough to be able to join the SB club yet.

I’m also trading Nick’s ASX Growth Portfolio (mid cap signals, no resource stocks):
Started trading 1st Mar 17
Total Trades 20
Days with SB: 0
Return 2.9%
Winning Trades 50%
Win Loss Ratio: 1.29
Profit Factor 1.29

Re-read Clenow’s “Stocks on the Move” and am building a US momentum system to compliment my MR system. Will probably look at its performance on the ASX as well, as I want to replace my current buy & hope portfolio with something with a bit more science behind it.

[Author]

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