Scott’s Journal

[ScottMcNab]

Not so interesting after all…typo…nothing to do with fact that version is charting version…important point was that it did not have extra zero added in ……changing volume filter from 1000000 to 10000000
Good to know trick with database still

[ScottMcNab]

Sep results
same equitty used for both systems

SP500 moc -0.8%
ASX moc + 2.4%

[ScottMcNab]

Daylight savings time in NSW

[ScottMcNab]

Batchtrader MOC times changed for daylight savings time…hopefully got it correct….still messes with my head after all these years

[ScottMcNab]

Mucking around with stop loss in MOC systems again…seems to make little difference for daily timeframe but if change to weekly timeframe the stop loss make system metrics better more often than not for systems I have

[JulianCohen]

Scott McNab wrote:

Mucking around with stop loss in MOC systems again…seems to make little difference for daily timeframe but if change to weekly timeframe the stop loss make system metrics better more often than not for systems I have

An MOC on a weekly bar?

[ScottMcNab]

Yup

[ScottMcNab]

If you find its worth further investigation then drop down to daily with some changes:

prevweekclose = TimeFrameGetPrice(“C”,inWeekly,-1);

BuyLimP = prevweekclose- (atrmult*ATR(x));

sellsetup = DayOfWeek()==4 ;
LEx = Ref(sellsetup,-1);

[ScottMcNab]

Or just leave it as a weekly

[ScottMcNab]

Backtest results for my asx moc system that I am trading live:

Is 2016 just one of those years ?…are the returns going to show some MR ? Has the system lost its edge ?

TIme will tell I guess

[JulianCohen]

This is mine. Also lower than previous years but not such a dramatic drop off as yours

[TrentRothall]

Is it just on my end or are those attachments not working? i cant view them..

[ScottMcNab]

I can view Julian’s ok.

[TrentRothall]

funnily enough i can now too.

In terms of losing it’s edge. I guess an advantage of having a system with such a small historical MDD is even if you trade it to double its previous mdd, it won’t be catastrophic to your account. It might hurt but wont kill you. At that point it may be worth questioning it?

[JulianCohen]

Trent Rothall wrote:

funnily enough i can now too.

In terms of losing it’s edge. I guess an advantage of having a system with such a small historical MDD is even if you trade it to double its previous mdd, it won’t be catastrophic to your account. It might hurt but wont kill you. At that point it may be worth questioning it?

Good point

[Author]

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