Trents Weekly Journal

[SaidBitar]

I am not sure if there is any difference since i need to run the same with LMT to compare the execution.
but theoretically if it is not better it should be the same

[TrentRothall]

March 2018

ASX MR = -0.83%

SAN5 = -1.4%

A wild ride especially on the nasdaq, Index filter almost turned down but still hanging in there. Should make for a interesting month…

[RobGiles]

thanks Trent…..what is SAN5?

[TrentRothall]

Just a aggressive Nasdaq momentum system

[TrentRothall]

April 2018

NDX aggressive – +0.8%
Asx MR – +1.41%

[RobGiles]

Trent, how has commission drag affected your ASX MR system?

[TrentRothall]

I look at commissions on the ASX a little bit differently. Because the commission we pay is a fixed rate compared to the cost of the transaction we know this beforehand and have tested the outcomes, I just basically think of as a cost of doing business. I’m more worried about slippage and missed trades on the ASX, but because I’m using limit orders to get into trades and opening auction to get out I haven’t had much of an issue with slippage.

There is no doubt about it you definitely pay more commissions on the ASX than in the US but in my testing the system is still profitable so I’m happy to pay the cost of doing the transaction.

My results on the other hand haven’t been very good in the last 12 months so that is what I’m more worried about but it’s not due to commissions, sure I would have made more money if I didn’t have to pay the higher price but I knew that beforehand.

edit: results actually haven’t been that bad the past 18 months
since 1 January 2017 = +17.5%
since 1 jan 2018 = 2.2%

So this year has been a bit slow but that goes to show if you look at the bigger picture then it’s not so bad.
Results haven’t kept up with historical testing but is hard to say whether it’s the system or the market conditions I guess?

[JulianCohen]

+17.5% is better than -17.5% after all

Could the reason it hasn’t kept up with backtesting be that you don’t get filled on your limit price sometimes? I found with the ASX I wasn’t getting good fills at the lows and eventually just gave up

[TrentRothall]

Funny you should mention that, I have not had that happened for months and since you wrote that I’ve had it happened twice in about 6 trades!!!

it hurts but it isn’t super frequent

[JulianCohen]

It might be worth monitoring it Trent as it could be that those few times it happens are the trades that assist in getting the CAGR up and missing them affects the system more than you would think. I’m saying it’s possible not probable. Just something to monitor

[TrentRothall]

yep thanks, i normally do a bit of a reconciliation to see how things are going and that’s a check i do.

I know about the FX restrictions for Australian clients in IB and trading currencies. I thought that we could convert non-base currency balances back to our base currency? I am holding Australian dollars in one account and I changed my base currency to USD so I could convert the Australian dollars to US dollars but it is saying the restrictions apply and I cannot do this transaction. Has anyone else had this?

[Nick Radge]

You need to call the IB trading desk to convert currencies.

[TrentRothall]

Thanks Nick

[TrentRothall]

Is anyone else’s TWS displaying incorrect daily P/L when you sell a position?

If i sell a position worth 10k it displays a daily P/L of +20K? I’ve noticed it yesterday and today.

It looks bloody good i’ll admit that!

[JulianCohen]

Trent Rothall wrote:

Is anyone else’s TWS displaying incorrect daily P/L when you sell a position?

If i sell a position worth 10k it displays a daily P/L of +20K? I’ve noticed it yesterday and today.

It looks bloody good i’ll admit that!

Does it correct itself if you log off and log back in again?

[Author]

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