Trents Weekly Journal

[TrentRothall]

Does anyone notice slippage in their US short term systems? Seems to be entering on the open

for example

Short FIVN
My Lmt – 166.35
My entry – 166.35
Open – 166.54
Didn’t get the open

short PYPL
My Lmt – 198.46
My fill price – 202
Open – 202.30
Didn’t get open again

These are tiny positions ($1000) while i am test trading so it’s not a size issue

[ScottMcNab]

Hi Trent,

I thought I had saved some info on this from IB but cant find it sorry. Here goes the explanation…others will correct if necessary

The “open” price for Norgate (and most other data providers like Yahoo) are different than IB for US markets…for IB, the “open” does not happen until the first trade/cross (whatever) occurs on the primary exchange…so multiple trades may occur between 0.9:30.00 and 0.9:30.15 but if the first trade on the NYSE occurs at 0.9:30.16 then this is the “open” as far as they (IB) are concerned. Their advice to me, if I wanted to get the open that included all the other ECN (and agree with Norgate backtest), was to enable TWS to allow it to trade pre-market BUT to also set a time limit of no earlier than 0.9.30.00.

I have found that in cases where the open price does not agree in the backtest, if I check “Time and Sales” that the opening cross on the primary exchange did not occur at 9.30.00

[TrentRothall]

Thanks Scott, did you (or others) do this?

It’s a pretty big difference, surprising really.

[Nick Radge]

Take a look at this article – and I believe Marsten uses these orders as well

https://quantitrader.com/use-opg-order-heck-anyway/

[TerryDunne]

Nick, is there is a chance with this order type that you miss the open, the order is cancelled and when you wake up you still hold a position you thought you’d exited?

If this can’t happen, I think all of my exits will be ‘OPG’ from now on

[ScottMcNab]

I haven’t done this Trent but should look into it I guess..be interested to read what others do.

I wonder too if the small positions used for testing resulting in odd lots also contributing ?…IB chat told me one time that odd lots are in a different “order book” and do not receive same entitlements as orders that are over 100 shares

[JulianCohen]

Also there’s the uptick rule for shorting isn’t there? That could affect things.

Plus you don’t always get set on a short anyway due to not having stock available.

I’m including selection bias into my shorting systems to give it a bit of oomph (that’s a technical term I believe). I’m not expecting the backtest to be in line with reality, but as long as it is around 10-15% margin of error I’m comfortable at the moment.

At the end of the year I’ll have been running them for about six months so I’ll see how it is going at that point. So far I’m happy.

[TerryDunne]

Can I ask a really dumb question? Wait…I just did!

When I back test a short system, are the results presented as positive or negative? For example, if the back test report says I made negative CAGR, is that good or bad?

Told you it was a dumb question

[Nick Radge]

Everything should be the same as a long side so, the P&L should be green, not red.

[TrentRothall]

How do you filter trades by dates on the STT dashboard? In older versions i thought there was a date range selection?

[GlenPeake]

@Trent

I believe that feature was removed from STT. I can’t remember which version it was removed from, but remember reading somewhere in the release notes, that it was removed. It was a nice feature though.

[TrentRothall]

How do you guys post your STT performance over x period?

[ScottMcNab]

Since the change, I can only post results since start

[Nick Radge]

Trent,
I use STT to log the P&L of each portfolio, then each month I insert that end balance into the tables below which enables me to track the monthly P&L. I also add a maxDD column as well.

https://edu.thechartist.com.au/kunena/progress-journal/519-cftc-performance-tables.html

[Anonymous]

Leave an empty spreadsheet on the desktop with your system names and weekly just re-add all of the CSVs, take screenshots, and don’t save it.

[Author]

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