Said Bitar Daily Journal

[Nick Radge]

Quote:

Does not this make TF systems selection bias free as well ??

No.

The one variable that separates them is that rotational systems are date dependent whereas a trend following system will create a signal on any given date.

You need a date to anchor the signal (rank).

You can use ranking with a trend following system, but the entry variable will be be a condition within the ranking criteria. Example with WTT:

Close > highest close(20) and ROC > 30 on date X.

[SaidBitar]

So i started running MCs on Rotational systems by changing the start date one month at a time
so with each run it will start from different month

here is the code if anyone is interested and to verify

Code:

_SECTION_BEGIN (“Start Date”);
//=================================================================================
//Start Date
//=================================================================================
dt = DateTime();
//Take the start date from the user as string
SDate = ParamStr(“Set Start Date”,”1995-01-01″);
//changes the entered date to date
sDate = _DT(SDate);
//Get Current Date
cDate = _DT(Now(format = 1));
//Calculate the number of Months between the entered start date and the current date
// the return value of DateTimeDiff is in seconds so divide by 3600/24/21 to get number of month
//use floor in order to remove the fractions
NumberOfMonths = floor(DateTimeDiff(cDate,sDate)/3600/24/21);
//increments 1 month to the start date
//_DT Changes date from string value to date
start_dt1 = _DT(“1995-01-01”);
//increase the starting date one month at a time
MON = Optimize(“MON”,0,0,NumberOfMonths,1);
//Add the value of MON to the entered start time
start_dt = DateTimeAdd(start_dt1,MON,inMonthly);
//Create condition
datewindow = dt >= start_dt;
//=================================================================================
_SECTION_END();

and you need to add this condition to the entry condition

LE = Ref(BuyTrigger,-1) AND datewindow;

[ScottMcNab]

using TF system but with
positionscore = ref(rank,-1) Said?

[SaidBitar]

Scott McNab wrote:

using TF system but with
positionscore = ref(rank,-1) Said?

Yes Normally I have more signals than the allowed trades so this is why i rank them all the time and i buy them as per their ranks

[Nick Radge]

Quote:

So i started running MCs on Rotational systems by changing the start date one month at a time

Why not just use walk forward mode in AB?

Does the same thing.

[SaidBitar]

Yes you are right
Seems sometimes i tend to complicate things

[SaidBitar]

FEB 2018

First I found out that I made two mistakes in my tracker.
1- in Vami for some reason i was summing the daily returns together
2- the total return in % again i was plotting running sum of the daily returns instead of comparing the current value to the starting value.

ASX MOC:2.77%
ASX MRV:0.25%*

US MRV:11.15%
US MOC:-2.12%**

US WTT:-4.83%
SPX MOMO:-6.2%
NDX MOMO:-3.61%

*I stopped trading ASX MRV around mid FEB due to the fact that the system performance was not good after i made the entry price should be tick higher than the low.
**This result was supposed to be much higher but the day the system was supposed to make the big returns the account was loaded with the trades for the ASX MRV and i couldn’t place trades. this is the second reason to stop trading ASX MRV.

[SaidBitar]

Weird things on a weird day
i was filled on one trade (TXN) one hour before (10am GMT) this is 5 hours and half before the open initially i thought it is delayed mail from last night but then i logged in and i saw the trade is filled )

[Anonymous]

Yes just about to go to bed and checked API, loads of orders filled out side market hours!

Was just about to send a query to IB re an order filled yesterday way above high of day, now there’s a lot more to query!

[Anonymous]

A bulletin came out and said ISLAND not available, then I’ve had 10 orders filled in last hour? And their customer service is down as well.

[SaidBitar]

one of those weird days what to say

[Nick Radge]

Been on the phone to IB US this morning. They had several issues, both at their end and on Island. I had 11 orders fail to execute. They’re calling me back.

This is the same issue I had one the first day of last month which they blew me off on.

IB will not pay any compensation on an opening trade. That said, they refused to provide any compensation on closing trades last month as well.

Will revert when they call back

[ScottMcNab]

I had half a dozen market or more orders that failed to execute too. I cancelled them and resubmitted as market and went through ok. I wonder what it is with their system or algos that doesn’t like a mkt order on the open ?

[JulianCohen]

I was awake and noticed my two market on open orders weren’t filled so I cancelled them and executed myself.

The Island cock up was a mess….imagine trying to fix that one up!

I ended up nett short of one stock from the MOC system that got filled early on Island. I knew I was going to end up short the stock but I didn’t want to cancel all 90 MOC orders and then resubmit them. IB were in a mess as it was, I didn’t think it was worth the risk. Luckily the stock is still going down

[RobGiles]

I had 12 MKT On Open orders last night that all got filled at the opening price for what its worth.

[Author]

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