[BenOsborn]

Look’s like I am going to go against the flow of everyone else and have a negative month.  It was a lot worse after the election but recovered.  I beat my backtest a little at least with some better fills.

November 2024 Performance

US
Combined MOC -7.84%
Schwing (semi – discretionary) – No trades taken (life has been busy) – Whilst this was doing ok I just don’t have the time 

I have spent a lot of time over the past couple of months working on other systems to try and move away from having all of my eggs in the one MOC bastket (albeit it is numerous long and short MOC strategies combined).  I am yet to get to a point where I am happy with the systems but have enjoyed the research and testing.

Edit: I almost forgot, I have been trying to get my kids interested in investing so developed an All Weather System for them so it is only the monthly rebalance.  I haven’t tracked the monthly stats but it is up +6.23% in the two months it has been running.  I have only put a small amount in each of their accounts but will continue to contribute and encourage them to also.  Would have been better off moving my account into it!

[BenOsborn]

Just goes to show that what is in your mind is not always correct. Now that I have run the numbers, while the shorts did get hammered after the election they were what recovered over the last week to roughly halve my max drawdown throughout the month.

[BenOsborn]

Funny, my shorts had the worst month ever, I got creamed daily after the election.  Only started to recover a little from this week but I expect I am still going to be down a decent amount when I run the numbers for the month. 

Nice result on MR2000.

[BenOsborn]

Sorry to hear about your mum. I had a friend’s father develop a brain tumor (undiagnosed for a long time) and pass away. Finances were in a mess also and it was clear he hadn’t been thinking straight for a while.

[BenOsborn]

October 2024 Performance

US
Combined MOC +0.65%
Schwing (semi – discretionary) – No trades taken (life has been busy)

[BenOsborn]

September 2024 Performance

US
Combined MOC -2.8% 
Schwing (semi – discretionary) – No trades taken (life has been busy)

The issue with the Real Test order cut-off time cost me about 1.75% in gains before I figured out what was going on.  At least I make sure I double check that every night now!  

[BenOsborn]

I think MOC orders need to be placed by 15:45 or 15:50 (and can’t be modified after that) so 15:40 to be safe.

[BenOsborn]

Marsten posted an updated file here Orders – adjusting “good until time” for day trades – Questions – RealTest User Forum (mhptrading.com) if you don’t want to adjust yourself.  Just replace the one that is in your realtest folder with this.  I had no problem with my orders friday after this.

[BenOsborn]

Turns out all my trades were only good to 13:30. I have just checked my orders file and IB is correct, good til 13:30. I was just looking on the realtest site on how to change it and Marsten has included an updated ExchangeMap file on someone’s post.

Costly error. Never goes the other way,

[BenOsborn]

Yes, they were shorts. I spoke to IB but I was in the office so didn’t have all the trade details. I gave them one that I remembered and they said that they couldn’t see any reason why it didn’t fill.

They have raised a ticket on that one to start so I will let you know how it goes.

[BenOsborn]

Is there a way that you can see why orders didn’t trigger in IB? Last night only 12 out of 22 (in the backtest) triggered and I am not sure why. All I can think of is it was a margin issue but it shouldn’t have been.

[BenOsborn]

August 2024 Performance

US
Combined MOC +8.7% 
Schwing (semi – discretionary) – No trades taken

I have made a few changes lately brought on by some observations in my results compared to the backtest over time.

TradeStation has less trades stocks available with full leverage compared to IBKR and the list changes daily (called a Special Margin List).  Each day I would have to download the list and exclude them from my universe of stocks before I ran my orders for each system.  Since I started a couple of years ago, this list has grown from about 6500 stocks to exclude up to somewhere in the 9000s. 

This didn’t really appear to be a big deal on the surface.  In general, my monthly results in the past were fairly similar to the backtest (in terms of % gain or loss) even though the list of stocks to exclude changed daily.  Running 10 or 20 year backtests with random copies of the exclude list were always profitable and didn’t show large changes in drawdown or CAGR (although they were not as good as not having to use the list). 

However, this year I started to notice some discrepancies that were outside my tolerance level. As an example, one month I got hit with some sizeable losses on a few different stocks.  The daily backtests matched but at the end of the month my live trading showed roughly -2.5% whilst the backtest was roughly +4%.  The main reason for the difference was that these stocks had been moved onto the special margin list after the big losing days and didn’t show in the backtest.

I quickly lost a lot of confidence in the backtests using a changing special margin list.  Sure it appeared as though everything balanced out over time but what if it started to hide things more often with the increasing numbers of stock on the list?  It was really bothering me that it didn’t match (or closely resemble at least).

So I thought it is pretty rare that my system would enter all 40 positions (average is 12) so I would try not using the special margin list and see how often I ran out of margin because of the stocks not using full leverage.  It ran ok for a while, there were only a couple of occasions when I ran out of margin.  Backtests matched a lot closer.  Then a big day came.  I could only enter 13 positions out of the 36 that entered in the backtest because I ran out of margin as all of the stocks had less leverage leverage at TradeStation.   The difference was 13% on the day in live trading compared to 28% in the backtest (days like this are rare).

I thought I can’t handle these discrepancies in my backtest to live trading so I need to change broker.  Whilst I couldn’t previously use IBKR for leveraged systems I found out that I was now able to so I have moved across to IBKR part way through this month. It has been smooth sailing since (knock on wood).

Some of the other changes I have made more recently is that I upped my liquidity filter a lot.  I found one of the other reasons my results could differ were stocks entering on the backtest whereas in real life I wasn’t getting filled as there were very little shares available at my price, if it even traded there at all (some of those trades where there is a random 100 shares trading somewhere below your limit order and it never really trades near your price).

I have also added some new short and long systems trying to bring down the drawdown correlations overall.

[BenOsborn]

Thanks Scott.

It is just super simple at the moment. Buy limit with ATR stretch off the low and when I put a stock trend filter on for the second RUT version I have just used C > 200 MA.

[BenOsborn]

Sure, I have attached a screenshot.  NASDAQ, Russell 1000, Russell 2000, Russell 2000 with simple trend filter.

Results are nothing to write home about on their own but I am just looking for something that is simple and robust that is not overly correlated to my other MOC strategies.  If I did go ahead with adding something like this (the NASDAQ version) to the rest of my MOC strategies it reduces overall drawdown of the combined portfolio a little whilst increases he CAGR a little.

t

[BenOsborn]

Anyone else having a problem with the recording?  I am getting the following:Sorry, we couldn’t find that pageMake sure you’ve typed the URL correctly, or try searching Vimeo. You could also watch one of the videos below instead.

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