Scott’s Journal

[JulianCohen]

Scott McNab wrote:

ASX MOC system bought BAL yesterday on open….makes me think a (wide…15% or so) stop loss would be nice psychologically for these type of shocks

That’s a NASTY one.

[TrentRothall]

oooo that is a shocker, wouldn’t be real nice with 4:1 leverage. These things happen though…

[SaidBitar]

i think 15% stop would have helped in this case but on the long run stops hurt anyhow you can always test.
regarding this trade everytime you run backtest there are two statistics one is the max trade DD and max system DD
trades such as this are the ones that you see in max trade DD of 70% or so

[ScottMcNab]

Interestingly the stop didnt make metrics of the backtest better or worse in long term…would be there to make it easier to stick to the system only…psychological aid

[ScottMcNab]

Trent Rothall wrote:

oooo that is a shocker, wouldn’t be real nice with 4:1 leverage. These things happen though…

Only 2:1 ….that is as high as I can handle and still place the trades

[ScottMcNab]

Hmmm….here’s a question…do you take bal.asx tomorrow ?

[TrentRothall]

Everyday of the week.

All the mums and dads would be dumping it on the open. Big opening gap followed by 12.3% rally.. heard it here first… lol

[SaidBitar]

Scott McNab wrote:

Hmmm….here’s a question…do you take bal.asx tomorrow ?

Honestly i do not have it as signal but if I do i will place the trade.
I believe this is why I have system is to follow it, I totally agree that sometimes overriding the system is helpful but the problem if I did it once and it worked then I will think that I am smarter than my system and I will start doing it more often.

In my opinion and until I become good enough I am following this: System says Said does

[ScottMcNab]

Reality…slap in the face with a wet fish that sometimes is necessary

After much fluffing, a simple ATR filter brought the buy signals down such that every trade except 1 would have been captured since I started trading system live in Aug…..reality is a CAR in the backtest since 1/1/2011 of 21%….

[JulianCohen]

As in a stretch on the buy limit?

[ScottMcNab]

Julian Cohen wrote:

As in a stretch on the buy limit?

No..just an extra line in the buysetup

[TrentRothall]

If you are only ave 5 or so trades by the looks, wouldn’t you be better off relaxing the parameters to increase frequency? Sure you might miss some but you might be better off??

[SaidBitar]

Lower frequency means lower exposure means the money will be sitting in the account doing nothing unless you have another system that will benefit from the low frequency.

[ScottMcNab]

Trent Rothall wrote:

If you are only ave 5 or so trades by the looks, wouldn’t you be better off relaxing the parameters to increase frequency? Sure you might miss some but you might be better off??

This was essentially what I had . The system without the ATR filter had about 32% exposure and a CAR of about 38%….but since going live I have been disturbed by the results I get on those days when buy signals were greater than positions available as I posted about previously (even when only 32 buy signals and 25 available positions).

This current system has an exposure of about 16% and a CAR (2011 to present) of about 22%. Perhaps I have allowed the pendulum to swing to far the other way towards being overly conservative….but whats the worst that can happen ?… that I can see is that my live results will be lower but closer to the backtest… I’m not in a hurry.

I don’t know the answer Trent. I will take baby steps, trade this more conservative system for another 6 to 12 months and see what I learn by trading it.

[ScottMcNab]

Said Bitar wrote:

Lower frequency means lower exposure means the money will be sitting in the account doing nothing unless you have another system that will benefit from the low frequency.

The same equity is also used to trade the ASX. Both systems (SPX and XAO) give about 21-22% CAR in backtest for period 2011-present (which drops to about 15% each with 20% trade skip). I will be very happy if I can produce that consistently.

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