Stephane’s Journal

[Nick Radge]

Are you saying that BatchTrader kept buying positions and didn’t cancel any excess over the 10? If so, then yes, that’s an issue. I too had excess signals executed, but I see those were exited within 1 second of the fill.

If no, then I’m not sure why you would expect an answer? That’s the job of the API and what is was designed to do.

Calculate the difference of selling when the API did and holding till the close…makes the commission look miniscule.

[StephaneFima]

The API did its job.

Maybe a way to avoid the situation where the API would have to sell back excess positions would be to place stop limit orders with enough room between the limit and the stop.

Yesterday was tough but could have been worst. -2.71% on my MRV system.

[Nick Radge]

If the API did it’s job and the system as you designed did it’s job then I’m unsure there’s a system issue.

The issue sounds emotional which in turn suggests that’s perhaps not enough research was done to understand what the system can and cannot do.

Exercise
1. Turnoff compounding
2. Run a single run backtest
3. Sorry oldest to newest
4. Place into excel
5. Use a pivot table and sum each day P&l
6. Plot and review the results and consider in relation to Fridays results.

My feeling is that Friday exceeded your own comfort level.

[ScottMcNab]

Not sure if it helps but I got spanked for -3.2% with my MOC system… but I know that a couple of times a year I will wake up to a 5-6% loss….will save $5 on coffee those mornings at least…in a weird way I’m relieved I finally had a decent loss as I’ve been waiting to see since I started how I would react to it

[StephaneFima]

Nick, you are probably right, there may be some emotional stuff here (but I refrained myself from switching off the model).
I am pretty confident about my system (I did several times MC analysis, backtested using different parameters, … and everything was OK).

The only thing which was indeed not in my comfort zone was the fact that I didn’t control my entries and I couldn’t do anything about it.

Now with a little bit less than -3.0%, I am perfectly in my DD acceptable range (and I agree with Scott, that’s not so bad). At the end of the day, I am quite happy that it happened at the beginning of trading this system, I learned something (and I think I will keep learning!!).

[StephaneFima]

September Russell 1000 MOC results = +0.83%

[Author]

Posts