Scott’s Journal

[GlenPeake]

Green is Good!!!

Both Win/Loss Ratio and Profit Factor are improved since you last posted the stats image in mid-NOV!!! Heading in the right direction…. may that continue!!! Nice work Scott

The Short system(s)… I haven’t done any testing/development yet…. but it’s something that I’d like to at least review/have a look at in the future and then go from there.

[TrentRothall]

Another thing with stocks under $20 in the US they are probably more likely to go up 1-200% in a day! Probably similar to a 3c mining company in Aus.

I’ve got some serious brain block trying to come up with a decent US MR system. Hopefully i can snap out of it soon!

Looking good mate!

[ScottMcNab]

price filter >20 dropped cagr to 15%…back to the drawing board

[ScottMcNab]

Happy holidays to all !! Hope the man in the big red coat finds your house ok if thats your thing

[GlenPeake]

All the Best for Xmas and 2021 Scott!!!

[ScottMcNab]

Happy New Year to all

Dec 2020

MRV RUA 13.7%
MRV RUI 0.8%
MOC Long USA 6.8%

May seem a silly milestone for some but seems a big deal to me for some strange reason….2020 is first year any system has survived unchanged (2019 lost margin with IB and had to tweak, 2018 changed to CBT I think, 2017 had issues with too much selection bias…2016…cant even remember)

Anyway, for the 2 systems that survived 2020 results were:
MRV RUA 48.3%
MRV RUI 33.5%

[GlenPeake]

Great going this month Scott!!!! +13.7% for the MRV RUA…. Nice!!! Very Nice!!!

Some nice yearly statistics there! Well Done!!

[Nick Radge]

Quote:

2016…cant even remember

😆

The fog of war…

[TimothyStrickland]

Nice Scott! Any plans to diversify a little into a longer term type system in 2021?

[JulianCohen]

Nice Results Scott….That’s with not a lot of leverage either I think?

[ScottMcNab]

Tim Strickland wrote:

Nice Scott! Any plans to diversify a little into a longer term type system in 2021?

I have been in and out with rotational systems over the years Tim but I have “issues” that no normal person has that I am working hard to overcome. For example, I get hung up on the small sample size regarding the number of times the index filter triggers but the massive impact it has…the choice of different index filters also has a significant effect on my backtests..the choice of index filter seems to introduce a larger element of “luck” than I am comfortable with (Nick has mentioned previously I think how the pros use Swarm Theory to overcome this but I am looking at other work arounds)..the low trade frequency for individual stocks also bothers me regarding sample size..I like to see over 1000 trades to feel confident based on the degrees of freedom involved…..so I have gone to designing weekly rotation systems even though the cagr drops…. I can “produce” rotn and WTT systems that do cagr over 30% but I now know (after repeated attempts) that I cannot stick with them. I feel I am close to overcoming these psychological hangups. My goal is to have 50:50 split between short term systems and longer term. Be great if that happens in 2021.

[ScottMcNab]

Julian Cohen wrote:

Nice Results Scott….That’s with not a lot of leverage either I think?

Yeah..no leverage (damn it….another psychological hangup exposed)…just 10×10

[ScottMcNab]

Nick Radge wrote:

Quote:

2016…cant even remember

😆

The fog of war…

I’m more worried that it’s just old age :unsure:

[ScottMcNab]

Jan 2021

MRV RUA 4.8%
MRV RUI 6.5%
MOC Long USA 1.6%

Live trading new MRV with small amount of equity
2 new MRV to start live testing in Feb

[TerryDunne]

Good luck with the new systems!

[Author]

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