Home › Forums › Trading System Mentor Course Community › Running Your Trading Business › Tracking Long/Short MOC Performance
- This topic is empty.
-
AuthorPosts
-
May 19, 2021 at 8:24 pm #101890OliverBensonMember
Hi All,
Please can I ask for some advice.
I have been running my MOC Long system at 20 x 10%
I now intend to add a short version of the strategy also at 20 x 10% using the same pool of capital and thereby utilising the available 4 x leverage.
The problem I can’t get my head around is that one system’s performance would impact the other’s, making it impossible to accurately track the performance of each individual system. If for example the long system on day 1 takes a 5% hit whilst the short system stays flat, on day 2 the short system has only 95% capital to start with thus ‘penalising’ the short system. Surely this would affect the compounding of returns?
I am tracking results in SST and can filter by system ‘MOC Long 1’, so when I add the short system I understand that I will also be able to see individually ‘MOC Short 1’. But as I see it, this will not get over the issue of one system skewing the compounding of the other by either adding or removing available capital on any given day.
Is it that…
a) I have to accept that this is just how it is and treat the performance as a combined Long/Short single system?
b) there is some way of picking this apart that as of yet I haven’t been able to figure out?
c) it is what it is but not worth worrying about?I’d be very grateful for any pointers.
Thank you all and best wishes.
May 20, 2021 at 3:16 am #113285JulianCohenParticipantI believe that option a) is the answer, as you are sharing the equity pool between systems but running them separately in Amibroker, as you have no choice. This is where RealTest comes into its own as that would allow you to backtest the two strategies together as part of the same system.
I think that you would have to backtest separately as you have done, then know that the strategies work. When you run a test each day you would have to compare trades manually, as the equity totals won’t match well.
May 20, 2021 at 7:21 am #113286TerryDunneParticipantHi Oli,
I don’t think your plan actually does use 4x leverage. Practically speaking, you are unlikely to get many (if any) short trades on a day you get long trades (and vice versa). I suppose you might have a ‘generous’ filter and very small stretches, so I guess it’s possible. I just think it’s unlikely.
I also note that you refer to them as different systems. In that case, I don’t fully see the value in treating them as the same system in terms of portfolio management – can’t they just be two different systems? If so, then your problem disappears?
Best wishes,
Terry
May 20, 2021 at 12:26 pm #113287JulianCohenParticipantTerry Dunne wrote:Hi Oli,I don’t think your plan actually does use 4x leverage. Practically speaking, you are unlikely to get many (if any) short trades on a day you get long trades (and vice versa). I suppose you might have a ‘generous’ filter and very small stretches, so I guess it’s possible. I just think it’s unlikely.
Although it might be very unlikely, you have to account for the eventuality of getting fully loaded on both systems at the same time, otherwise when it does happen, IB will start to cancel trades haphazardly while they get you back into margin.
It would be preferable to design your system to give you good metrics and ideally it is fully loaded less than once a year.
May 20, 2021 at 9:16 pm #113288OliverBensonMemberHi Terry,
Thanks very much for your message.
That makes sense, I have noticed already with the long system that the fully loaded days tend start with a big gap down across the board so I envisage busy days in one direction but not often in both.
It’s not so much that I am worried about margin calls, more that I want to know how each system is performing in relation to my backtests so that I can evaluate periodically and hopefully identify issues more easily than if both systems were combined.
May 20, 2021 at 9:20 pm #113289OliverBensonMemberHi Julian,
Thanks for your message.
Yes I’ve being reading the chat about Realtest. I would love to check it out but to be honest I feel I have a long way to go before I am anywhere near fully confident with Amibroker and don’t think I can handle a war on 2 fronts yet!
To track performance I have come up with this (probably crackpot) plan…. please bear with me this is probably way off the mark but I think it makes sense in my head….
Each day I should;
– get the total account balance from IB
– run the exploration in Amibroker for both long and short systems with the full account balance at 20 x 10%
– load all 40 orders via the API
– next morning reconcile trades on both systems and upload into STT in which I will be able to filter for 2 sets of P&L (for long and for short).Then at month end;
– For example purposes assume I start month 1 with $100;
– Long system makes $8, Short makes $2. Month end balance is $110
– I will maintain 3 copies of Nick’s ‘Performance Table’ excel sheet (one for long, one for short, one for combined).
– Combined sheet. At month end, enter the total net P&L ($10). This shows CAR of 10% and month 2 starting balance is $110
– Long sheet. At month end, enter the long only P&L ($. Then put $2 in the deposit column – this sounds weird but it’s the only way I can think of to keep the CAR as showing 8% but also start month 2 with the correct starting account balance ($110)
– Short sheet. Same principle, put $2 in the P&L column and $8 in the deposit column giving you 2% CAR and $110 starting account balance for month 2.I hope that doesn’t sound too overthought, wrong and/or silly…I’d be very grateful for your thoughts.
Thanks again.
May 20, 2021 at 9:40 pm #113290OliverBensonMemberSorry…..looks like somehow I accidentally put a smiley face where i intended to put $8……
should read as follows; “Long sheet. At month end, enter the long only P&L ($ Then put $2 in the deposit column…….”
May 20, 2021 at 9:42 pm #113292OliverBensonMemberStill coming up as a smiley face… I give up!
May 21, 2021 at 4:20 am #113293JulianCohenParticipantThere is another way of looking at it…..Test every day to ensure that the daily backtest and the actual trades match up correctly to ensure that the system is taking the right trades. Then just allow the funds to (hopefully) accumulate.
To me, the main reason to check performance against backtest is to ensure the software is working correctly. if you do that every day then you can check that off your list. Then just allow the system to run and you will see over time the effect of working the account allocation as you have chosen to do.
Bear in mind that a year long backtest will always be different than a year of real time trading as there will bear a difference in trades not taken after the cut off time, which will show up in a backtest but not in real time. So what I’m trying to say is that it is easy to get caught up in trying to get everything to match up to the cent, but in fact that is difficult to do.
If you are comfortable checking daily to ensure the software is working as it should, then just let the real time results work. Over time you will be able to see if there is a marked difference due to the difference in the account sizes and then decide if you want to make any changes at that point.
Hope that makes sense
May 23, 2021 at 12:32 pm #113294OliverBensonMemberThanks for that Julian. That does all make perfect sense and to be honest is a relief to hear as I was worried I was missing some important special sauce.
I just want to make sure I don’t find myself 6 months or a year down the road with performance that doesn’t align with the backtests, not knowing what the issue is.
Talking of rabbit holes, I have had an idea to adapt the monthly performance table excel sheet into a daily version using the same approach i posted before of adding / subtracting capital based on yesterday’s closing balance. As I see it, at worst it won’t work, I’ll waste some time and I’ll get some excel practice but I’ll let you know if it does.
May 24, 2021 at 1:25 am #113299TrentRothallParticipantAnother option down the line if you try out Realtest. Is you can download a flex report from IB and then import your actual trades to see the equity curve, stats etc.
But like Julian said as long as you have an idea of the executions and you are not missing heaps or having issues it should be ok. Nick has posted a video recently of his routine too and how he tracks them if you haven’t seen it.
https://edu.thechartist.com.au/kunena/progress-journal/519-cftc-performance-tables.html#11309
May 26, 2021 at 6:03 am #113300OliverBensonMemberHi Trent,
Ok that’s great, thanks very much.
-
AuthorPosts
- You must be logged in to reply to this topic.