Scott’s Journal

[Anonymous]

Scott McNab wrote:

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%….

Scott – This is impressive – such small capacity for selection bias yet still very impressive results at least on an absolute basis from what we can see.

I am curious how many orders you are generating…are you having days with hundreds of orders (assuming the SPX) but still under 25 get triggered or are you consistently putting in less than 100 orders?

[ScottMcNab]

Hi Brent, I am still trading my original system at the moment and will look to switch over in 2017. I will test the number of buy setups rather than buysignals and post the results….I am trying to pack the kids for flight early tomorrow so not sure when will get to it sorry but will try.

I was checking trades from 15 Dec and noticed the following:
buy limit order for UA placed with batchtrader
trade log shows UA was bought but at the prices that Amibroker has for UA.C….
turns out symbols now (according to IB) UA correlates with Amibroker UA.C and UAA (at IB) corresponds with UA in Ab

maybe i need to sync my data again? Haven’t got time to work out tonight other to pull out all orders for UA and UA.C (Ab symbols) until I get it sorted

[ScottMcNab]

[Anonymous]

Scott – Same thing happened to me re UA / UAA. Not sure of the mechanics of it, but see my post “Beware of not syncing Amibroker / Premium data”.

[ScottMcNab]

Yep..thanks Brent…read your post yesterday when I managed to get some wifi connected…..from +33 to -14 deg has been a shock to the system…synced Amibroker last night
Cheers

[ScottMcNab]

2016 in review

Happy New Year (if that applies to you)

Jan 2016: began Mentor Course
Aug2016: SPX MOC went live after a couple of false starts
Sep2016: ASX MOC went live
Backtests performed (since Jan 2016 to current) according to Report Explorer: 21,284
Live results:
trades: 953
win%: 55
win/loss ratio: 0.96
profit factor: 1.16
P&L: 7%
(SPX climbed up to 8 and dropped back to 7 in Dec; ASX went up to 4% and then went back to zero…..ozzie ozzie ozzie….not)
The SPX came in just above the lower limit of 20% trade skip so all ok…human error in US election hurt live results
The ASX system (even though didn’t make any profit) came in midway between the upper and lower limits of the 20% skip)

Thoughts:
1: I found the course much harder than I thought I would (due to my computer skills being much worse than I was aware of…never heard of API, didn’t know what a csv file was, still cant code well)
2. The systems that I am trading live exceed what I even hoped for at the start of the course….so many thanks to Nick and Craig for getting me through.

Goals in 2017:
1: trade new MOC systems (only 1 extra line of code added to previous systems) for SPX and ASX WITHOUT human error/intervention (that US election taught me something)
2: introduce a new market for the current MOC system to add some more diversification (SEHK/LSE ?)

Long term goal (2018+): learn to code well enough that can develop a system without having to use templates (which have saved me really…thanks again Craig and Nick)

Finally, thanks to everyone who has posted in the last year. I find the thoughts and codes people post a source of constant enjoyment. A special thanks also to Said whose excel file I use nearly every day to import results into STT.

[JulianCohen]

Hear Hear to all that.

The forum and the community here is a major factor in my improvement and the help I have received from Said as well as a few other guys in the forum (plus Nick and Craig of course) has been invaluable.

Thanks to everyone and I hope I can pay it forward next year.

[ScottMcNab]

Would love to hear what % of daily volume people live trading ASX with intraday systems are limiting their positions size to ! ………5% of daily volume for entry and another 5% on exit would seem to be the upper limit to me ? As I look to increase position size my backtest returns on ASX are starting to look a bit anaemic with these limitations.
Cheers

[JulianCohen]

I’m using 5% for entry and 10% for MOC systems. I have my volume filter set to >500,000 over 50 days.

[ScottMcNab]

entry and exit combined less than 10% of daily volume for MOC Julian ?

[JulianCohen]

Yes that’s what I use…5% Entry and 5% Exit on the same day.

I have the MOC on the ASX 200 so really I should be quite safe though

[ScottMcNab]

Thanks again Julian

[ScottMcNab]

Jan 2017 results

SPX MOC 2.6%

Extra line of code added on 1 Jan to reduce selection bias working ok so far…was only 1 day for month when system had more buy signals than positions available (30/1…. were 40 signals for 25 positions)….

will start trading ASX system again today (not traded since early dec as I was unable to monitor closing auction….seems dont need to though so will monitor and post outcome)

Enjoyed group call last night …good motivation to touch base again….software seems smooth

[ScottMcNab]

Reading book by Ochoa…on pivots…anyone tried using pivot points to set buy limit in MRV ? Caught my interest so far

[ScottMcNab]

Feb 2017

SPX MOC +2.15 %

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