Scott’s Journal

[TrentRothall]

I’ve been loaded up with them for a few days also Scott. I did get a div from ANZ though

See how it goes.

[LeeDanello]

Bendigo Bank has gone up.

[JulianCohen]

I bought MQG today. Woohoo!

[Nick Radge]

I thought you dumped the ASX system?

[ScottMcNab]

I have been working on it solidly for the last six months or so. I stopped it in Dec and for Jan/Feb 2017 was trading the SPX only. Then in March I finally subscribed to live data feed with IB and that eliminated the issues I was having trying to be in front of the computer for the ASX closing auction….the MOC system has worked without a hitch to date using the live feed to closing the asx stocks calclating the limit price from the last traded price. March was spent using “token” position size but trading live nonetheless. The final piece of the puzzle was the filter I added to the SPX system to reduce selection bias. I also added this to the XAO system. I traded both systems with full position size in April.

I couldn’t let it go as it seemed the most effective way of adding 10 to 15% to the CAGR of the MOC system I was trading on SPX.

Today was certainly interesting with the banks with the news indeed having been priced in to yesterdays fall as you said this morning Nick. Was this something that the Treasurer had mentioned ahead of time to reduce the shock ? I tend to switch stations when politics is discussed and so had heard nothing of the impending bank tax.

[JulianCohen]

No I dumped the MOC system but I also had two swing systems that I amalgamated into one and the metrics were too good not to trade.

Selection bias is 97%, CAGR 36% with 17% MDD

Even with variance testing on parameters it stands up well.

I can live with the commission drag for those numbers.

Oh sorry. Thought you were talking to me :silly:

[ScottMcNab]

May ASX/US MOC

+ 0.07%

[ScottMcNab]

missed AET list night….checked time and sales …seems a bit strange the price drop that occurred but I had an buy limit order for 55 at $142.69 placed before the open that didn’t get filled….the red arrow indicates a normal trade I believe

[ScottMcNab]

Interesting…IB response below

[Nick Radge]

The idea of SMART routing is to get not only the best price but the volume at your price. If there is only an odd lot traded then SMART wouldn’t route to that ECN.

[ScottMcNab]

I have missed a few trades recently where my buylimit was the exact low of the day…que sera…..so I went back and tested my MOC systems and changed LE line:

AND (Low<=(Ref(buylimit,-1)-tick) etc It had almost no impact on US system but had significant impact on AUS…may just be chance that the AUS system was picking lows but I use exactly the same systems for both (except AUS has lower price/vol filters) Interested to hear if anyone else sees similar changes

[ScottMcNab]

After some pretty confusing conversations with my accountant I have found that if I think of the “Sole Purpose Test” to mean anything that “minimizes the chances that the government will have to pay me a pension or contribute to my retirement” then everything starts to make much more sense

[ScottMcNab]

June +0.6
US MOC 1.0
XAO MOC -0.4

2 mistakes for the month that hadn’t done this year
1: forgot to place US entries one Friday night …would have been a positive night
2: last week managed to use csv file from previous day for entries on XAO…lost again

[JulianCohen]

Been there, done that

[ScottMcNab]

July -0.02%
Pretty quiet

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