Scott’s Journal

[ScottMcNab]

MRV systems performing above long term averages so expecting a draw down soon…. Fri 13th ? Too obvious surely

[GlenPeake]

Nice work Scott!! 442 Trades, is that both of your MRV system stats combined? That’s over what period of time? (For me I’m about 210 trades for my 2 MRV systems combined in the last 6 months….. that’s using 5 positions @ 20%).

How’s your MRV performance for NOV looking thus far? …. (Mine’s performed….. solidily…couple of sample trades here: https://twitter.com/LeTourTrader

[TrentRothall]

Do you take some big daily swings with the high position size Glen?

[GlenPeake]

Trent Rothall wrote:

Do you take some big daily swings with the high position size Glen?

From time to time yes… can be a little volatile, but backtests provide insight into that, so you accept/know that going in…..

As Nick would say, “Forget the money and follow the process”…. atm the market conditions are quite favourable for my MR systems, so I want to be involved etc…

Keep in mind that I’m trading 5 different systems, so when you see my MR systems with 5 positions @ 20%, as a percentage of total capital across ALL systems per position, those positions aren’t large as a percentage etc. So it’s another layer of risk management etc

[ScottMcNab]

Glen Peake wrote:

Nice work Scott!! 442 Trades, is that both of your MRV system stats combined? That’s over what period of time? (For me I’m about 210 trades for my 2 MRV systems combined in the last 6 months….. that’s using 5 positions @ 20%).

How’s your MRV performance for NOV looking thus far? …. (Mine’s performed….. solidily…couple of sample trades here: https://twitter.com/LeTourTrader

Thats for 2 MRV for year…both are 10×10
is NOV a typo for MOC (beside each other on keyboard)? Or ticker for stock?

[TrentRothall]

November i think Scott?

Cheers Glen

[GlenPeake]

Yep…. NOV = November.

[ScottMcNab]

Doh.. :whistle: 😳
One system (RUA) only done a single trade for NOV
The other (RUI) done 5 or 6 and up about 4% for month

[TrentRothall]

Efficient!

[GlenPeake]

Smooth going Scott…. nice and solid!!!

[ScottMcNab]

Nov 2020

MRV RUA 1.6%
MRV RUI 4.1%
MOC Long USA 0.0%
MOC Short USA 1.6%

[ScottMcNab]

Hmm…missed 3 out of 4 (CAAS, RIOT and MARA) short trades last night
cost of almost 10k profits
placed trades at close of ASX
may be better use of capital

[TrentRothall]

Ouch!

Do you know why you missed them? Just no fill or not available?

Maybe change price filter to C > $20 ?

[JulianCohen]

I have my short price filter to > $20

I still get missed fills but that’s pretty unlucky to miss those three

[ScottMcNab]

I’m not sure Trent

change to price filter worth a try
currently I have price>5 and turnover>20M

I am unsure whether to continue it as I have other systems waiting that have sig higher cagr… I like the diversity of having a short system in the mix but ultimately I am here for the money…only 3 months in but actual returns are only 50% of the backtest due to missed trades …will backtest higher price filter as see how it goes

on another note the MRV systems continue to do their thing and I remain on edge about a pullback in their stats. I find myself wondering if the stats from the combined portfolio of systems would follow a normal distribution (such that could use something like profit factor > 2 SD above mean as a means of reducing position sizing) or have fat tails like individual stock returns ?…in the absence of a formal system, I will continue to just watch the profit factor and wait for the reversion to the mean to occur as an interested spectator

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