Scott’s Journal

[Nick Radge]

Quote:

Starting MOC (mkt at 15:59) system live on ASX today

You can’t place some type of limit order into the closing auction?

[ScottMcNab]

I’m not sure yet Nick. I was going to try a few weeks with mkt at 3:59pm and compare the difference with the official close. If it is having a negative impact then I will have to ask Levente if Batchtrader can be changed. At this time it closes all ASX positions at the selected time

[Nick Radge]

ok. My guess is during the auction will be best but watch and see…

[ScottMcNab]

Doh….left for work this morning and forget to change TWS shut down time…so orders were sent to IB and held but then wasn’t able to test the ASX close as TWS logged off at 7am…will have to sell them on open tomorrow morning and try again

[ScottMcNab]

$200 flushed down the toilet…serves me right

[TrentRothall]

Scott McNab wrote:

$200 flushed down the toilet…serves me right

Was a bit of a rough open this morning…

[Nick Radge]

I find it intriguing the kinds of mistakes we can make.

For example, the other day in my ASX MR system I started getting fills with the minimum commission. This usually occurs only when I get a partial fill. The fact that I was getting one after another I thought it strange so I investigated. Turns out I left a digit off my position sizing balance so was only trading 1/10th the real size. Needless to say the fills I got on the open gap all went on up…

[JulianCohen]

Nick Radge wrote:

I find it intriguing the kinds of mistakes we can make.

For example, the other day in my ASX MR system I started getting fills with the minimum commission. This usually occurs only when I get a partial fill. The fact that I was getting one after another I thought it strange so I investigated. Turns out I left a digit off my position sizing balance so was only trading 1/10th the real size. Needless to say the fills I got on the open gap all went on up…

What astonishes me most is that anytime you cock up it will absolutely cost you money. Without fail. It’s a certain bet, like death and nurses!

[Nick Radge]

Quote:

What astonishes me most is that anytime you cock up it will absolutely cost you money.

We used to have a saying on the trading floor, that your first out was the best out, in other words if you made an error just cut it immediately.

That was back in the very early 90s. Then along came Nick Leeson who started with a very small error of about $1000 and rode it into GBP832m…

[ScottMcNab]

start date dependency !

US MOC

start date 3/8/2016:
129 trades
5% return
63% winners
profit factor 2.1
payoff ratio 1.25

if was start date 4/8/2016:
109 trades
0.6% return
58% winners
profit factor 1.2
payoff ratio 0.9

So majority of gains for month of Aug were on the first night I started live trading….pretty much marking time/ going sideways for rest of the month

[Nick Radge]

Quote:

pretty much marking time/ going sideways for rest of the month

Yes, and this can be a challenge when live trading. You become a lot closer to the day-to-day gyrations of the account, including no equity movement, and sometimes that can become frustrating. This is one reason why we wrote the lesson ‘Looking Inside Your System’

Great effort for the month though…

[ScottMcNab]

Japan seems to have some pros as an alternative to asx….liquidity, commission and orders types…if only can convince guys at PDU…alternatively may paper trade it for a bit using data from another supplier…just toying with idea but will probably look into further…again would value any advice/feedback from others who have had similar thoughts…the MOC system I am trading live in US and ASX does sig better in US due to more opportunities and lower commission (commission equates to about 10% of profits in US and almost 50% in ASX)…if could get it to work overnight in US and during day in JPN then may be improved return for no extra risk

[ChrisVirides]

I thought you were in drawdown based on the tone of your posts.

If you had this type of month for every month of the year you would have an 80% return by the end of the year.

Congrats

[ScottMcNab]

Have they sounded a bit negative? Apologies if they have. I have been interested (obsessed?) in trying to ensure my trades replicated the backtest and to further my understanding of missing fills and perhaps been a bit excessive in that regard. I have found (so far) that switching from R1000 to S&P500 has almost eliminated the “phantom fill”. Interestingly the system does not do 80% returns and the year to date is well above average CAR. Perhaps the discretionary trader may reduce position size expecting the system returns to mean revert while the systematic trader would just keep following the system.

[JulianCohen]

Scott have you run into issues with margin on the Russell stocks yet? I was literally just discussing this with Nick so seeing as you are trading the Russell thought I’d ask you.

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