[BenOsborn]

May 2022 Performance

US
Combined MOC -15.62% (-26.46% since late March 2022)

ASX
Growth Portfolio 0.46 (-3.85% since Oct 2021)

[BenOsborn]

I’m using TradeStation and they have a list of stocks that are only 50 or 100 leverage (it updates each day).  Maybe IB has the same that you can check.  

[BenOsborn]

Hi Alex,

I think the code that you are looking for for the index is $SPX.

In the monthly template your “rank” is currently the first line in the entry and exit section. The rank is how you define the strongest stocks.

I am trying to work on a rotational system at the moment too (just very time poor).

Can’t help you with the rest sorry.

[BenOsborn]

Another large loss for the US Combined MOC last night; if this keeps going I will have to use my safe word!

Drawdown has now exceeded the drawdown in all of my backtesting by over 10%. If the total drawdown starts to exceed 40% (which it is nearing) I think will start to feel it. At the moment I am so/so about it and trust it will turn around.

In the meantime I guess I just need to keep pushing the buttons and wait it out!

[BenOsborn]

Hi Rob,

Image still not coming through unfortunately.

If it is a longer term trend following system could it have something to do with some sort of start date bias? E.g. If you were running the test from 2000 to 2022, you are already going to have stocks in your portfolio rolling into 2010 so this will effect the make-up of your portfolio in the following years compared to if you just started from 2010.

[BenOsborn]

Love it Kate!

I also have a laptop set up with everything to go in case I need it.

I too enjoy the process of it all. From trading to research to planning out what will happen when you reach x, y and z.

Yeah the drawdown sucks right now but at the same time I’m not bothered. I have no problem loading up each night. I have undertaken a lot of testing and also understand where and why I might see some deviation. I feel much more comfortable than drawdowns in discretionary trading in the past.

Get well soon!

[BenOsborn]

Hi Kate,

Looks pretty similar to my loss. The first thing I do when seeing larger losses is run my backtests and if it aligns I seem to feel much better!

[BenOsborn]

US Combined MOC got smoked last night. Largest one day loss since I started trading it (although not the largest one day loss in backtesting). However, my drawdown has now exceeded the max drawdown in backtesting. No risk, no reward I guess!

[BenOsborn]

April 2022 Performance

US
Combined MOC -20.9% (ouch!) (-12.84% since late March 2022)

ASX
Growth Portfolio 2.88% (-4.29% since Oct 2021)

[BenOsborn]

Thanks Ken and Kate.

I have gone back and re-run backtests and resolved most of them. There were a number in the last session and I am trying to think back to when I ran the backtest after market close. I am beginning to think that it was probably after the interim data was published but before the final data was published for the day. I think this could be the issue.

There are a few instances that are unresolved, however, they involve the same shares each time – HZNP and AMED. They are picked up and rank in the exploration but are not picked up in the backtest. Will continue with the suggestions to see if I can find out why.

[BenOsborn]

April has been a below average month for my combined MOC systems so far. Some interesting stats:

– I had a losing streak of 6 days (which is equal to my longest loosing streak in terms of losing days over the 17.25
year backtest period)
– The total length of my current drawdown period has only occurred 4 other times in the past 17.25 year backtest
period (although I am only halfway to the max drawdown period)
– I am now starting to nudge my max DD in my backtest period (only 2% away)
– Although a lot can change in a week (even a day), this is currently looking to be the worst month my system has had
since I started backtesting.

On the positive side, the probability of things turning around gets higher each day!

Whilst I would prefer to be positive rather than negative, I’m not bothered about it at the moment and have had no problems executing my trades each night. Although I’m not sure how I will start to feel if it begins to exceed my backtested max drawdown by a significant amount.

I am aware that it may though because, apart from the fact that the past does not necessarily = the future, there is some uncertainty in my calculations due to combining the systems and my position sizing. So the total number of trades taken by the combined systems, in theory, at times exceeds my available capital. This means that on days where there are a large number of fills for each system in the backtest, I have had to average the results out a little. Chances are in real trading my systems would have caught all the worst trades leading to worse results than the backtest might suggest. Obviously, it could also go the other way and things may even out over time.

I have the option of reducing my position size and reducing this risk but at this stage I am aware of the risk and ok with taking it on. Most of the time the results have been pretty similar, except there was one day where I lost a bit more than what the averaged out backtest result was. Who knows how I will feel in another month if the results vary significantly to what the backtest suggests! I am keeping a close eye on it anyway.

Hopefully that makes sense.

The only other problem that I have been noticing lately is that I have had a few instances of trades being in my exploration and entered in real trading yet the next day they do not appear in the backtest and a different stock might. Has anyone else come across this?

[BenOsborn]

It sure can be!

Yeah I like to sit the Max DD graph below it too to see if one of the flat spots married up.

[BenOsborn]

Julian Cohen wrote:

When I look at the chart I see that area as flat, whereas the area you have a line under has greater variances in the data points. I would think that the MCS conducted over that area would give less variance between points. Maybe also go out to 300 days and see if the area out to there is flat too.

What does anyone else think? It’s interesting to see how different people see the same data.

I see it as 2 potential flat areas, one being 102ish to about 150ish and the other being the 156 to 216 region. The first has that outlier around 110ish which may introduce further variance.

When it comes to a value to pick I have been trying to go with a low point in a valley, such as what looks to be about 123 or 189.

I see the probability of downside variance being less here. Probably just stating the obvious but you have further distance to to move either side in terms of values before you get a larger change, rather than say going with 148.

148 looks to be a similar level but move ahead 10 points and there is a large difference to the downside. 10 places either side of 123 and you are roughly at the same level or the variance is to the upside.

[BenOsborn]

In early March I decided to close the remaining trades in the BWTT and move the capital to my MOC systems. This was because the version of WTT had been cobbled together prior to joining the Mentor program from what I could find on internet chat forums, trying to piece together the code myself and throwing in some over optimisation of irrelevant parameters. In short, it wasn’t robust. I may revisit it again sometime in the future, putting into practice the knowledge I have gained here.

From the beginning of March until 28 March I was trading a live MOC system on the Russell 2000 whilst I worked on getting an API type solution developed for Tradestation. This was ready for me to start testing this week. I tested on SIM Monday and then moved to live testing Tuesday as some of the features (such as the MOC orders) do not work on SIM. This week has been a lot of late nights (US opens at 9:30pm here) making sure the system was running, orders were entering etc and early mornings (3:20 am for me) ensuring unfilled orders were cancelled, MOC orders were in place etc.

On Tuesday when I moved to live testing of the API I moved to trading a combined MOC system. I should buy a lotto ticket as pure luck saw me start trading the combined system live on a day where I got an 11% return. Will continue testing with the late nights and early mornings next week to make sure it continues to run as it should.

No problems with ChartVPS so far.

March 2022 Performance

US
BWTT + 0.21% (17.58% drawdown) (discontinued early March)
MOC RUT – 6.7% (discontinued late March)
Combined MOC +9.1% (started late March)

ASX
Growth Portfolio -0.31% (7.26% drawdown)

[BenOsborn]

Slow week for me this week. I only had 21 fills, which is less than half the last two weeks.

Observations for this week:
– Three trades didn’t close in time for one session. The orders tried to send one second after market close. There were 10 other orders that filled that day that did close in time though. Closed on in aftermarket trading, on in pre-market the next day and one when the market opened.

– I had a partial fill in one session. Unlike Interactive Brokers, Tradestation does not recognize the partial fill to send an OSO order to close just prior to market close. Managed to close in aftermarket trading.

The problem with closing in aftermarket, pre-market or the following day is that Tradestation seems to reserve that available margin / capital and I can’t use it in the next session, even though the trades are closed. This means that the next session I can only have a max of 37 trades. This presents an opportunity cost. What if the 3 trades that I couldn’t enter were the ones that triggered (it has happened before)?

To try and mitigate this I have changed my OSO orders to send the order to close 5 seconds prior to market close. This does come with its own costs. More often than not I end up with a worse price than 2 seconds before or the MOC orders in the backtest. Although I only have limited data to test at this stage. Either way there is a trade off.

All this will hopefully be irrelevant soon as the API type solution is progressing. I have put it on my VPS this morning to start testing it next week. To say I’m excited about this is an understatement!

I am trying ChartVPS for my VPS as I needed more RAM to run it than what Speedy Trading Servers offered (unless I went for their Mega VPS). I have heard that they are good but I will wait and see over the coming month.

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