Rob’s Journal

[RobGiles]

US MRMOC1
-12.3% since inception (16th Aug 17)
-13.3%% for the month

On 5th Feb (largest ever sell off day S&P500) the API left 2 positions open. I freaked out as I wasn’t confident the software could handle the large amount of orders I was routing in (299) and the fact that it was leaving me with exposure, so I didn’t trade the following day which cost me 12%. Nick came out with a patch to slow down the amount of instructions / second that the API was feeding into TWS that arvo,so placed trades the day after. This cost me 12%. I should have placed the trades manually the 6th Feb while I waited for a technology fix on the API before using it again. Costly mistake, lessons learned, luckily I’m only trading the system with small $$.

ASX Growth Portfolio
+25% since inception (1st Mar 17)
up 2.0% for the month
Win/Loss Ratio 2.48

USMOM1
+2.7% since inception
-3.3% for the month

4th rotation tonight

[RobGiles]

When my API sent orders to TWS last night the following 3 symbols were immediately flagged as “Rejected”: XYL,EMR, C.
Is this something to do with symbols that should appear on the “exclude” list?

[SaidBitar]

maybe they need to have the routing ISLAND as instead of SMART or they are are with 0.05 increments

[Nick Radge]

“When my API sent orders to TWS last night the following 3 symbols were immediately flagged as “Rejected”: XYL,EMR, C.
Is this something to do with symbols that should appear on the “exclude” list?”

These will be the 5c increment testing that the SEC is conducting. There is an in-depth thread here somewhere about it

[RobGiles]

US MRMOC
– 19.2% since inception (16th Aug 17)
– 6.9%% for the month
598 trades
Win/Loss Ratio 0.90

Backtested results for the month came in at -5.5%. Frustrating that a MR system hasn’t performed when volatility finally arrives, as the whole point of the system was to provide diversification when market conditions change. In saying that, I understand that it is possible for losses to accrue even in volatile times and therefore I’ll suck it up and keep trading. I’ll be fascinated to see how it performs if volatility hangs around.

ASX Growth Portfolio as @ 4/4/18:
+23.8% since inception (1st Mar 17)
– 1.2% for the month
account equity has been understandably volatile this month.

USMOM1
-4.3% since inception
-6.9% for the month

[RobGiles]

US MRMOC
– 19.8% since inception (16th Aug 17)
– 0.5%% for the month
619 trades
Win/Loss Ratio 0.92

ASX Growth Portfolio:
+25% since inception (1st Mar 17)
+ 1.2% for the month
Banked a 190% profit trade on A2M which was satisfying to see the trend following approach work really well.

USMOM1
-7.0% since inception
-0.3% for the month
Added 28% fresh capital to the system mid April.

[RobGiles]

May 2018

US MRMOC
– 21.3% since inception (16th Aug 17)
– 1.6%% for the month

ASX Growth Portfolio:
+28.6% since inception (1st Mar 17)
+ 3.6% for the month

USMOM1
+3.1% since inception
+3.36% for the month

[RobGiles]

Late this month due to travel. Results are as @ 10/7/18:

US MRMOC
– 21.76% since inception (16th Aug 17)
– 0.22%% for the period
Times I have questioned the time effort and cost of running this system as I often miss days where I cannot trade due to travel. I guess June wasn’t good for MOC systems due to declining vol.

ASX Growth Portfolio:
+37.88% since inception (1st Mar 17)
+ 4.73% for the period (previous month was understated due to unsettled trades cash not counted)

USMOM1
-1.34% since inception
-4.44% for the period
Added 50% more capital to the system mid June.

Best system continues to be the one I haven’t coded (Growth).

[JulianCohen]

Rob Giles wrote:

Times I have questioned the time effort and cost of running this system as I often miss days where I cannot trade due to travel. I guess June wasn’t good for MOC systems due to declining vol.

(Growth).

When I first started the course I too did a lot of travel, some of it was away on boats at sea where there was no chance of placing orders and when I coded up my MOC I thought it was great that I had a system where I could place trades as and when I could and would be able to make money from it.

That was a fallacy and I soon realised that if you miss a few days of big returns then it has a great impact on the system. The long term trend systems are the way to go if you can’t place orders every day.

However if it is just missing a day or so here and there because of flights or that sort of thing, there are ways around the problem. Forgive me if you have done this already but setting up a VPS and running offline has made a great difference to me. I have even used airline wifi to place orders into IB via the VPS from 36,000 feet over the Pacific.

[TimothyStrickland]

Great insight Julian. Would the US Aggressive strategy that Nick has be a good candidate. I believe its only updated once a month so you would just have to figure out how to switch positions once per month.

I was in the Navy for 7 years and was on submarines from time to time. Some guys went on long deployments 6 months, but usually we would stop at a short sight occasionally, depending on where it is, internet would be sketchy but maybe like a satellite line or something similar? I did not trade then so I’m not 100% sure.

[JulianCohen]

The US or the Oz systems that Nick trades are a great alternative. Although with our new found skills we should be able to code something similar, or better even

having said that I covered my arse by coding my own and using Nick’s too for diversification

[Anonymous]

I started trading a new MRV system a few months back and it went into DD of ±5% over 2 months. In the past 2 days I have a new equity high. I wouldn’t be too happy if I missed the trades those 2 days.
So personally I am quite strict in the sense that if I will be in a position that I will miss a lot of trading days I would rather not trade it and the longer term systems will work best.

[Nick Radge]

Quote:

Although with our new found skills we should be able to code something similar, or better even

Yeah..you go girl…

[TimothyStrickland]

Awesome Julian,

I have not finished the course yet, I am very anxious to do so. I am learning a different perspective on trading through the course. Hoping to be able to take full advantage of it and program my own systems.

[ScottMcNab]

Rob Giles wrote:

Late this month due to travel. Results are as @ 10/7/18:

US MRMOC
– 21.76% since inception (16th Aug 17)
– 0.22%% for the period
Times I have questioned the time effort and cost of running this system as I often miss days where I cannot trade due to travel.

Best system continues to be the one I haven’t coded (Growth).

How does the MOC look in the backtest if you had been able to take all the trades Rob ?

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