Scott’s Journal

[TerryDunne]

Nothing I’ve seen suggests that doing this is a good idea.

With my systems, ROR is 10% less and MDD is worse (from 2005 to 2024) if I restrict the number of times a ticker can be traded across different systems to one.

While everyone’s systems will are unique, I’d be surprised if anyone had systems so unique that doing this didn’t have a negative impact on metrics.

Leaving hard numbers aside, this is a psychological issue – everybody notices when the stock that is traded more than once loses, but when it makes $$$ it’s just another day.

[ScottMcNab]

Hi Nick…on RT now

[ScottMcNab]

Thanks Julian…generous as always.. I think I have it for done it correctly for the testing so far

[ScottMcNab]

Interesting call Terry

Combining 2 systems from 2010 until now…first on RUI and second on RUA (both systems have 50 k allocated)

when I have maxsamesym: 2 (assuming this means both have normal/uninhibited choice of stocks ?)
system A grows 50k to 533k for cagr of 18.4 (same result as code in the stand alone system…so prob not mucked anything up..yet)
system B grows 50k to 1.8m for cagr of 29.2 (same result as for stand alone code)
total earnings (A+B ) from initial 100k start is 2.35m for cagr of 25.3 (sits between A and B which seems in correct ballpark)

when I have maxsamesym: 1 (no other code changes)
system A grows 50k to 517k for cagr of 18.2 (not sure why slight drop as I thought first system always got the pick with RT by default)
system B grows 50k to 1.25m for cagr of 25.8 
total earnings (A+B ) from the initial 100k is 1.76m for cagr of 22.8 (between A and B which again seems in correct ballpark)

DD almost same for both scenarios

 

[JulianCohen]

OK interesting. This does now allow you to look at the correlation matrix and see how the two systems compare in returns and DD.

You can choose which system gets which orders allocated using StrategyScore

However I found with a bit of back and forth with Marsten that fewest new orders so far today seems to be the best choice

StrategyScore: 1000 – OrderSum(1)

[ScottMcNab]

Hmm..I’ve never really looked at the correlation matrix as I have always had the systems stand alone rather than share an equity pool. I need to read up on how these are matrices are calculated…whether it the monthly correlation averaged over the test time range ?

[JulianCohen]

Actually I don’t know the answer to that. I just check to see that the DD especially show little correlation but I didn’t think about how the matrix was calculated. Does it matter?

[Nick Radge]

I think the correlation is calculated daily

[ScottMcNab]

I am not sure if it matters tbh. My concern (which could be entirely incorrect) was the risk that I was taking a portfolio with 5 to 10 thousand trades over multiple markets and then optimizing it based on two individual equity curves (each of which is theoretically only one of many possible outcomes)….I would be worried if this was even further “complicated” if the correlations were only computed monthly as I would have reduced my sample size of many thousands of trades and could now be making changes to systems on the basis of only 50 or 60 data points. Usually I am down the wrong rabbit hole but that was my initial concern. Perhaps this has been eliminated by the correlations being performed using the (averaged) results of the MC (rather than just the 2 individual equity curves) and are done on a daily basis ? It seemed a potential threat to the robustness of the system(s) with the additional layer of complexity (especially if determined by a small number of data points)

[ScottMcNab]

6 systems back up and running with limited funds.  
Cash accts have USD as positive value
One of RegT accts has a few hundred dollars in USD as a negative balance….its all a bit hazy but does that relate to an old fx trade (other than the conversions done for normal stock trades) ?…spent a few hours hunting online for explanation of what this means with no clearer idea in the end …does anyone have a link bookmarked or a pdf from IB please so I can refresh memory on what I did to accrue this ? Perhaps it was a AUDUSD futures trade.
Many thanks in advance for any help

[Nick Radge]

You can convert non-base currencies back to base in TWS.

TWS > Account > Market Value – Real FX Balance > right click > Close all non-base currency balances.

This will generate an FX trade which you need to transmit

 

[ScottMcNab]

Thanks Nick. I will do that. I am still a bit confused as to why the USD balance shows up as a positive value in the cash accts but with a minus sign in front of it in the RegT accts….what tomfoolery did I engage in those years ago to produce negative USD balance…i suspect being a regT acct I triggered a margin loan 

[JulianCohen]

Could it be that the account is AUD based, so when you buy USD stocks you are borrowing USD from IB?

[ScottMcNab]

All the accounts are AUD based so I think the difference is between it being a regT v cash acct. I have not had any luck finding more specifics in the IB website yet. I will keep looking

[ScottMcNab]

I came across the following quote in a book was re-reading yesterday and thought it summed up nicely how I have found the last seven years or so :

“Every trade is haunted by the obsession of the possible failure of the system he (she) is trading. This is the psychological burden systematic traders need to withstand in order to achieve suceess.”

[Author]

Posts