Scott’s Journal

[ScottMcNab]

Thanks Trent…Said has some great posts…exit in my HFT system is a higher close….this HFT system is actually a breakout system buying strength rather than a MRV system like Said’s so close above the MA wont work well in this particular case as this occurs on entry. I have found, not surprisingly I guess, that the profit factor improves if I move to a weekly system but I’m trying hard to get a daily one. I was looking over Said’s posts again in light of your suggestion and noticed for the first time that his MRV seems to operate with a profit factor not too far removed from 1.3 so I will keep tinkering with this one… thanks again for your suggestion.

[TrentRothall]

oh ok interesting i was thinking about looking into a system that buys a breakout. Do you buy on the open or have a buy stop order? I hven’t thought about a short term weekly system either really.

You might be able to try 2 consecutive higher closes or something like that?

[TrentRothall]

Another possible thing that might help.

I went over alot of my trades to find out what conditions produced the best trades an tightened the parameters to weed out the crap trades. It looks as though you have alot of trades so you might be able to do this. I found i was better off doing less better quality trades in certain periods rather than taking every signal.

[SaidBitar]

So you are looking for a daily system.
I think the Australian market trends better than the US and less noise. So why you don’t make a medium term trend following system you can test with the ones from unholy grails and modify the parameters to make it shorter term
This suggestion incase you don’t want mean reversion

[ScottMcNab]

System buys on the open to keep it simple (to try and avoid added complexity to order entry). I am confined by some pretty limited coding skills at the moment…if it wasn’t for Craig’s looping templates I’d be stuffed . So all of my systems do currently buy on open but a MRV system I have been playing with gives better results using the stretch concept associated with buy limit order. Coding is something I will work hard on after the Mentor Course is complete but for the moment I need to keep rolling to get the paper trading and then live trading happening.

At the start of the course I thought a weekly system would be better as I felt it would be more sustainable for me long term (only having to trade over the weekend) but as it turns out it was the only type of system I could get to work (until now)….I found the patterns I was testing were more definite (less noise ?) in the weekly time frame and the size of the move meant commissions had less impact…the downside was the reduced trade frequency.

I did try the two consecutive higher closes too…I am yet to try a profit target with this particular system so that is probably next….thanks again for your input Trent

[ScottMcNab]

For reasons I am unsure of every system I have is pretty awful on ASX. I have a weekly system with decent stats but when it is compated with short term MRV or breakout systems the results are significantly lower. The only potential I can see for it relates to the low number of trades and possible application in super fund depending on ATO/super laws but thats for the accountants.

Trend following on SP1500 hist 1/1/95 until present:

I am also working on a MRV as it seems to produce its drawdowns at different times to the TF and breakout systems…so if both systems have a maxDD of -25% but they happen at different times I should be able to keep maxDD of portfolio under 20. The current MRV system buys on open and suffers a bit as a result but is a work in progress.

MRV on Russell 3000 his 1/1/95 until present:

Thanks for the input Said

[TrentRothall]

Quote:

For reasons I am unsure of every system I have is pretty awful on ASX.

That’s funny because the few systems that i have been playing around with are the opposite, not sure why…

48000+ trades seems like a fair bit! Are there lots of other signals that you don’t take?

also i was thinking, if you are using a higher close for the exit and the system is a breakout type entry. Wouldn’t alot of the entries have a exit signal on the same day? Not sure if that is a bad thing though.

Quote:

thanks again for your input Trent

No worries happy to help, i am in no means a coding expert either all my systems are pretty simple but simple seems to work just as well. Time will tell

[ScottMcNab]

Yep….it would do that Trent…this system doesn’t allow an exit signal on the same day as entry though…day after entry has to be a higher close to trigger exit. I did try it allowing exit on same bar but results were sig worse…but for a slightly different system it may turn out differently.

[ScottMcNab]

Slowly progressing

Paper trading 2 systems using DDE for entry orders now
MRV daily: 19 entries
weekly momentum: 20 entries

Uploaded 40 positions into Share Trade Tracker into the 2 different portfolios….copied the report from TWS trade log(trade tab…not summary) using “collapse all” and copy to clipboard….then pasted into blank excel spreadsheet….then copied columns into Share Trade Tracker using bulk uploaded page…cut and past symbol, buy price, quantity, commission and then manually selected portfolio and added date etc….seemed ok but time will tell as any errors become apparent

[ScottMcNab]

My explorations keep bringing GMCR up but it seems to have been acquired by another company in March. Is there a lag period before stocks are removed from an index ?

[SaidBitar]

Normally when they release the news that one company is going to be acquired they mention when will be the last trading day

[ScottMcNab]

Thanks Said…I will ask mr google

Reading Trent’s blog made me go back and look at my fills…so far this week there were 10 entries on monday and 7 exits on tues

monday entries (buy) at market (placed before markets opened):
STOCK my fill price amibroker open price
ARMK 33.84 33.89
CBL 11.81 11.79
COTY 29.67 29.23 (hurts)
GE 30.83 30.81
IM 35.10 34.99 (hmm)
NLY 10.24 10.23
ORCL 40.74 40.59 (ouch again)
TAHO 12.60 12.61
TJX 76.56 76.43

Tues sell LOC orders:
STOCK my fill price amibroker close price
TJX 77.15 77.16
NWL 44.38 44.39
TAHO 12.98 12.99
GE 30.90 30.90
IM 33.35 33.33
CBL 11.90 11.91
ARMK 33.93 33.93

SO…LOC orders are getting me pretty close but on the open I need to change from MKT DAY to MKT OPG….7 orders going in tonight to buy on open in a few hours so it will be an interesting (but not statistically sound) comparison

Am enjoying bulk uploads with STT…while I was working out the above values I was thinking it may be quite simple for the developers of STT to add another column to the buy and sell pages called SLIPPAGE in which the user enters the “target price” (for want of a better word)…a drop down menu where the selection could be “open|close|manual entry|formula|etc…” The software already searches out prices online so it should be able to compare the fill price against the recorded open (or close etc) reasonably easily?? This would enable slippage to then appear on the dashboard along with commissions and help with assessment of the performance of portfolios…weekly v daily etc…..

I will post the results of buy on open with MKT OPG tomorrow night if I can (working late)

[ScottMcNab]

hmmm…thats looks like a mess with reformatting…apologies for the jumble of numbers…was originally in 3 columns

[SaidBitar]

Scott McNab wrote:

Am enjoying bulk uploads with STT…while I was working out the above values I was thinking it may be quite simple for the developers of STT to add another column to the buy and sell pages called SLIPPAGE in which the user enters the “target price” (for want of a better word)…a drop down menu where the selection could be “open|close|manual entry|formula|etc…” The software already searches out prices online so it should be able to compare the fill price against the recorded open (or close etc) reasonably easily?? This would enable slippage to then appear on the dashboard along with commissions and help with assessment of the performance of portfolios…weekly v daily etc…..

I will post the results of buy on open with MKT OPG tomorrow night if I can (working late)

I would like to see also current cash in the account and the percentage invested

[ScottMcNab]

Yeah…I drove Nick crazy one day he was flying down to Sydney with emails cause I thought I had made a mistake with the setup as the current cash wasn’t showing up on my STT !!

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