Scott’s Journal

[ScottMcNab]

thinking a bit about tail risk and came across this graph…I am thinking about falls greater than 20% (maybe even 25% to make it cheaper still)

[ScottMcNab]

July 2018

MRV CBT

RUI: 6.5%
XAO: 3.7%

Rotation

NDX: -0.8%
RUI: -1.3%
XTO: -5.7%

[ScottMcNab]

Previously I posted results using Metastock data for the rotational momentum system

Here is the same table for the MRV system I use. I use the same system for all markets (except price/volume filter)

[ScottMcNab]

I have been trading the CBT MRV system on RUI and XAO for a few months. Julian and I started Tokyo this month. So far all live trades for TSE MRV system have agreed with backtest exactly. Taking things slowly and only started live on TSE with 2 million (yen).

I did have an issue with an update where the stocks for the LSE folder was incomplete. Early days at the moment….will monitor ongoing accuracy of data but so far so good.

Had to eliminate HKSE and National Stock Exchange of India as Julian mentioned due to issues with variable batch lot…disappointing as both tested very well. At this stage, likely future candidates are LSE, EuroNext, and Korea. One breakdown may be 50% RUI and 10% each for remaining 5 markets.

[SaidBitar]

Very interesting
Does TSE work better in Comparison to ASX for MOC in terms of liquidity I know that they should be more liquid
And what data provider you are using

[JulianCohen]

We are using Metastock. I think the TSE would be better than ASX. It is nearly four times the size by capitalisation so it should be, but I did a few trades and did have two trades out of twenty with partial fills.

[ScottMcNab]

Said Bitar wrote:

Very interesting
Does TSE work better in Comparison to ASX for MOC in terms of liquidity I know that they should be more liquid
And what data provider you are using

MRV system not MOC so not sure about the closing auction….I agree TSE should be more liquid but different markets seem to each have their idiosyncrasies that are not always immediately apparent…I was thinking of starting with same amount of ASX rather than replacing it…will then slowly increase size and see if hit issues…at worst it should be able to handle the same volume and becomes a useful addition

[ScottMcNab]

Said Bitar wrote:

Very interesting

And what data provider you are using

Metastock has a free trial (1 month?) I believe if you want to try..as Julian mentioned, we installed on separate computer to avoid potentially corrupting Norgate database…even if not planning to trade those markets the data seems accurate enough to expose your systems to some fresh data

[ScottMcNab]

LSE (and it seems other European exchanges) seem to have a tick rule the varies not only with the price of the stock but also with the liquidity (number of times a day on average that it trades) ….so at this stage have to cross them off the list too…not many left

[ScottMcNab]

AUG 2018

Rotation

NDX 1.1%
RUI 9.9%
XTO 0.0%

MRV

RUI 4.7%
XAO 7.3%
TSE 2.8%

MRV on RUT and SEHK to start on Monday

[Nick Radge]

Great work Scott.

[JulianCohen]

You’re going to run on SEHK? How did you overcome the lot size issues?

[ScottMcNab]

Julian Cohen wrote:

You’re going to run on SEHK? How did you overcome the lot size issues?

I have been trialing it for the last week or so. I found an excel file (not sure if sent it to you but can of course…dont think SEHK has MOC though?) on SEHK website that has every stock listed with its lot size. I do it the old fashion way …once I export the buy setups from DDE into excel, I manually check the lot size. The MRV for SEHK only has max of 10 positions so most nights it only takes 60 sec to adjust.

[ScottMcNab]

http://www.hkex.com.hk/Services/Trading/Securities/Infrastructure/Overview?sc_lang=en

link is on left side under heading SECURITIES LISTS

[JulianCohen]

Did you get anywhere with TSE?

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