Scott’s Journal

[Nick Radge]

As a guess, it may be the same as I discussed here

https://edu.thechartist.com.au/forum/trading-system-idea-s/926-all-weather-discussion.html?start=54#14602

I would say the rebalance and compounding effects make the sum greater than the parts.

[ScottMcNab]

I hadn’t considered the rebalancing as a source of additional return but will now…cheers

[ScottMcNab]

They are under a family/friends login but each of the accounts runs a different system. With RT it only takes 10 min or so which is great. I am happy to keep placing separate basket trade orders as long as I can continue to get them to work. Thanks for the help again Nick

[ScottMcNab]

Nick Radge post=14620 userid=549 wrote:

As a guess, it may be the same as I discussed here

https://edu.thechartist.com.au/forum/trading-system-idea-s/926-all-weather-discussion.html?start=54#14602

I would say the rebalance and compounding effects make the sum greater than the parts.

Actually just reading an article made me realise than I did not appreciate the second point/factor in your answer properly

 

[Nick Radge]

There are a few nuances that catch people out.

One we get regularly is that they will add up the monthly results in the performance table and not understand why the year-end total is more than the sum. Obviously they fail to appreciate the compounding.

[ScottMcNab]

try again

Mar 2024

MRV1   0.2%
MRV2  -0.9%
MRV3   4.4%
MRV4  -1.4%
MRV5   9.7%
MRV6   0.7%

 

[JulianCohen]

He’s back!!

[ScottMcNab]

Strange how the few weeks I stopped trading when Russia/Ukraine war broke out suddenly became 2 years on the sidelines…
One last thing to finalise is futures hedging….still testing/pontificating/procrastinating/clarifying/systematising topic ….then will get back to trading total account size

[ScottMcNab]

Just happened to glance at results page of RT when placing orders and noticed quite a large difference between systems 1 and 6 for 2024….both same system (the first one I came up with in 2016/2017) but the first is on RUI and the other is on USA excluding RUI

 

[JulianCohen]

I have a lot of my strategies running on inMEL now to try to pick up that edge in the smaller more volatile stocks.

Except shorts which are only inRUI in order to get best possible fill percentage

[ScottMcNab]

I like the boost in cagr too but I was thinking more along the lines of surprising how much diversification can sometimes achieve with same system that is restricted to different subsets of market…another possible benefit is psychological ..if it was still just running on RUI I would possibly be in some sort of FOMO crisis thinking about modifying the system because it must somehow be out of sync or broken

[JulianCohen]

You could always run the two strategies side by side in a portfolio…How would that look?

[ScottMcNab]

for sure…I didn’t explain it well…these are 2 of the 6 systems I run in the portfolio…RUI is the system1 in the EOM report and the other (USAexRUI) is system6…over the last 10 years RUI does a bit under 20%cagr and USAexRUI does mid to high 20’s (depending on limitextra etc settings in backtests) so not all that different on average….what piqued my interest was how vastly different they have been for 2024…be interesting to check again in Dec

[ScottMcNab]

No other posts here about IB orders so must have been me. After several weeks where basket trader has been running perfectly, no orders (buy or sell) were executed for any account last night…when I checked this morning the basket trader templates were all completely empty…no clue what happened…wonder what I did

[Nick Radge]

Maybe ask IB Hong Kong. They can look at the audit trail.
I ran three baskets last night without issue.

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