Trading System Article Depository

[ScottMcNab]

Sounds logical to me Rob but then that may be cause for concern.I think the article caught me eye as it was something I had seen in my MRV MOC system.

I have a very similar atr filter in the system I use Said.

[JulianCohen]

Standard Deviations: Flawed Assumptions, Tortured Date and Other Ways to Lie With Statistics by Gary Smith

I’m half way through and I think this is a very important book for anyone that wants to attain or retain a healthy suspicion of any statistic that they read, no matter where it is published. Even Steven Levitt from Freakanomics is debunked in this great read.

[ScottMcNab]

http://sanzprophet.com/2012/11/better-than-mean-reversion-adaptive/

Another vote for diversity in systems

[Nick Radge]

A Deep Dive Into Trend Following

[ScottMcNab]

http://alvarezquanttrading.com/blog/the-abcs-of-creating-a-mean-reversion-strategy-part1/

Part 2 is meant to include selection bias with some form of ranking…either not using buy limit entry or has another method other than positionscore ? ….R3000 is a lot of stocks

[JulianCohen]

Scott McNab wrote:

http://alvarezquanttrading.com/blog/the-abcs-of-creating-a-mean-reversion-strategy-part1/

Part 2 is meant to include selection bias with some form of ranking…either not using buy limit entry or has another method other than positionscore ? ….R3000 is a lot of stocks

I’m very keen to hear his selection bias methods as he usually holds 10 positions

[SaidBitar]

Julian Cohen wrote:

Scott McNab wrote:

http://alvarezquanttrading.com/blog/the-abcs-of-creating-a-mean-reversion-strategy-part1/

Part 2 is meant to include selection bias with some form of ranking…either not using buy limit entry or has another method other than positionscore ? ….R3000 is a lot of stocks

I’m very keen to hear his selection bias methods as he usually holds 10 positions

I heard this one will be interesting the second part I have a feeling that since he is talking about ranking it means that he is entering on Open

[RobGiles]

Nick Radge wrote:

A Deep Dive Into Trend Following

Thanks for that link Nick. It was a very timely read for me as I develop my longer term rotational /trend following strategy. The following quote resonated with me:

“Of course, trend-following rules will only work if the massive bear market doesn’t happen in a short time period before the long-term trend rules can signal an exit. Technical rules will not save an investor from a 1987 type “flash” crash, but they can save an investor from a 1929 or a 2008 type crash, which can take a few months to develop. In the end, if one believes in a price dynamic that involves steep and relatively sharp declines, followed by slow grinding uphill climbs, simple technical rules will, by design, improve risk-adjusted performance.”

[TrentRothall]

Said Bitar wrote:

I heard this one will be interesting the second part I have a feeling that since he is talking about ranking it means that he is entering on Open

I think he must enter on the open too, you dont hear much about API etc, i question if he is doing any meaningful trading himself. Not sure

[Nick Radge]

Can’t speak for but many of these US traders use the close to enter. There is a lot of data about the importance of holding o/night.

I’ll go one better – I’ll send Cesar and email and ask him!

[LEONARDZIR]

Nick,
What leverage are you using on your US MOC system?

[Nick Radge]

Quote:

What leverage are you using on your US MOC system?

4x

But only a small percentage of total assets in there at present. I may increase in due course.

[RobGiles]

Nick, would you mind sharing what would be the driver or framework by which you decide to increase your exposure to your MOC system?

[ScottMcNab]

Nick Radge wrote:

Can’t speak for but many of these US traders use the close to enter. There is a lot of data about the importance of holding o/night.

I’ll go one better – I’ll send Cesar and email and ask him!

Interesting regardless of whether Cesar referring to this…would need an API to monitor live prices and then at a set time (eg 1 min prior to the close) the API would check if the price satisfied a certain criteria (above/below a certain price or within a price range) …..the API would then work its way down the top x ranked stock to place MOC orders for those stocks ?

[JulianCohen]

You know I never tested my MOC to see if holding overnight made a difference. I mean entry stays the same and exit is Sell on open next day instead of MOC….another rabbit warren to run down maybe but a valuable test. I bet Said tested it

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