Same Day Trading Idea Discussed on the Group Call

[ScottMcNab]

Scott McNab wrote:

Darryl Vink wrote:

Said Bitar wrote:

It will be great if anyone can verify if there is any benefit from exiting on same day on the close, because there is chance i made mistake some where and day dreaming about the results

I had a go with some interesting results: –edit: results based on 20/20 position size/max positions from 1/1/200 till 24/6/2016
Results at first glance are a bit misleading wtih my system. Here is the initial results table that looks good!:

Then on closer inspection at the profit table. There are clearly some bumper years that skew the results:

Is that maxDD of -18 correct Darryl? Seems lower than any of the individual years ?

[Anonymous]

Scott McNab wrote:

Is that maxDD of -18 correct Darryl? Seems lower than any of the individual years ?

good question… i noticed the other day while backtesting… i assumed the monthly average shown in the table was somehow under-cooking the results. here is the code that calculates the maxDD for the ‘enhanced profit table’:

Code:

// — MaxDD —
EQ = C;
MaxEQ = Highest( EQ );
DD = EQ – MaxEQ;
MaxDD = Lowest( DD );
DDpct = 100 * ( EQ – MaxEQ ) / MaxEQ;
MaxDDpct = Lowest( DDpct );

im not sure why the difference in maxDD between the backtester and the table. i would tend to believe the backtest resutls over the table

[Nick Radge]

Just a word from an old hand: 20% position size is quite large. You open yourself up to large exposure in my view.

[ScottMcNab]

Just checked Wiki…largest drops over 1 day for SP500

1987…20%
3 times in 2008 at 8%

20% drop when using margin is a terrifying prospect

[LeeDanello]

What about having the system on all the time and turning leverage off and reducing position size when the index filter turns down and then cranking it up when the filter turns up.

[TrentRothall]

Yeah i don’t know if i could do 20% leverage, seems like a fair bit. If the results are achievable you only need 50% anyway i think.

[ChrisVirides]

I am in the midst of doing a Daily Walkthrough from 2010 until present 20 pos @ 20%. Not sure if anybody could honestly handle the daily variance in this strategy. The Maximum drawdown in this setup is comparitively low compared to the potential returns, but the drawdown on a daily and weekly level is significant.

[SaidBitar]

Scott McNab wrote:

Just checked Wiki…largest drops over 1 day for SP500

1987…20%
3 times in 2008 at 8%

20% drop when using margin is a terrifying prospect

Instead of checking on the index you can check on the stocks in the universe you are trading.
Filter = LE

Add column the distance in percentage from the entry to the low

This will give clear idea
Of the real risk

[ScottMcNab]

Any reason that a system that exits on the close of the same day as entry would not allow the same capital to be used on US markets overnight and then the ASX during the day (ie work capital twice as hard) ?

[SaidBitar]

one weird question

AB is giving me weird stuff:
if i multiply the position size by the entry price it is not equivalent to the position value shown

10.19*1484 = 15121 while position value displayed is around 10K

anyone had this issue before

thanks

[JulianCohen]

Maurice Petterlin wrote:

What about having the system on all the time and turning leverage off and reducing position size when the index filter turns down and then cranking it up when the filter turns up.

I tested with 30/10 with Index Filter on and 20/10 with it off. I can achieve 30% CAGR with below 10% drawdowns. I need to play with this some more but this is not pushing out to 20% position size so not as aggressive and yet still getting a very good result.

I’m going diving for two weeks so I’ll see what you guys have done with this on my return.

[ScottMcNab]

Said Bitar wrote:

one weird question

AB is giving me weird stuff:
if i multiply the position size by the entry price it is not equivalent to the position value shown

10.19*1484 = 15121 while position value displayed is around 10K

anyone had this issue before

thanks

I just ran a test Said…it does not occur for me with RUI (which is all am paper trading) but did when I loaded up for ASX300…not sure if you were using ASX?

[LeeDanello]

Julian, I thought you mentioned this in the group call. It’s something I will try and test on my own system.

[TrentRothall]

Said Bitar wrote:

one weird question

AB is giving me weird stuff:
if i multiply the position size by the entry price it is not equivalent to the position value shown

10.19*1484 = 15121 while position value displayed is around 10K

anyone had this issue before

thanks

I don’t have this issue on any market guys, not something to do with margin or anything somehow?

I am not sure…

[Stephen James]

Said – check currency settings as well

[Author]

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