[CAIHuang]

35% gap down geez!

Just curious what ppl have for an MRV exit?
I have:
SellSetUp = C > Ref(C,-1);

So my TWTR trade is still on. Never really considered anything else like:
SellSetUp = C > O;

I know my system is tested for these conditions and maintains a strong edge over time. I’m sure slight variances with an exit wouldn’t result in much of a difference in the systems metrics anyway. Stress testing would have tested out those issues with entry and exit variances.
Just thinking out loud I guess.

Good to see my system with 23 positions even though it took another hit last night.

[CAIHuang]

Only 2nd month trading the system so just wanted to see how others were going.

Agree with your quote of Nick’s famous quote Julian “Next 10,000 trades”.

[CAIHuang]

How are everyone’s US MRV systems going this month? Mine has been treading water and obviously the markets haven’t been that volatile so not a lot of action. Until the last week where it picked up two nasty trade. Looking at a return of -1.0% for the month at this stage. Volatility seems to have picked up this week though as earnings reports are being released to the market, so hopefully should get a lot more active. The twitters gap on earnings was quite shocking, hope there isn’t too many more big open gaps like that.

If it weren’t for 2x trades however, my performance would be quite a bit better for this month.
NTRS – 9.7%
TWTR – currently – 13%

They both killed me with massive gaps down. Did other people pickup these 2x trades in their systems?
Just curious.

[CAIHuang]

US Russell1000 MRV system – 50% LVR
1st month performance: 5.1%

Still paper trading it ATM but happy with the first months performance in a choppy market

[CAIHuang]

Nice Nick. Very good one day return!

[CAIHuang]

First time since trading I am fully loaded with my MRV system. 30 trades held on my Rus 1000 system. Feels good.

[CAIHuang]

Hey Nick,

It didn’t activate the trade in TWS for paper account but it did for my system in Amibroker. Was just a bit confused as in the past the TWS paper account has picked up a trade that the Amibroker system didn’t. But I guess that’s just the issue with the IB paper account and nothing to really stress over.

[CAIHuang]

Yeh it is a bit annoying but it’s only sim I guess. Still wanting to iron out any cracks and hoping positions aren’t missed.

My amibroker system had a fill for GPN @ 91.205 last night. The low of the sessions was 91.16 yet my sim account didn’t pick any up. That has been the only trade that my sim account has completely missed from the amibroker account. But thought I should have had a fill for that trade. It’s not like the fill was at the low of the day.

[CAIHuang]

Definitely more reassuring if it’s just the sim.

Cheers

[CAIHuang]

How are people tracking their deviation from their simulated systems?

I am getting variances with just about every buy and fill which I guess is expected? Not a huge variance though.

For a total of 9 closed trades the net % profit difference is:
operating code comparison – 1.7%
monte carlo code comparison – 1.37%

I guess compounding those variances over a year would add up to quite a bit of a performance difference. Is this in the realm of what others are experiencing? Every trade has suffered adversely from slippage with the greatest differential being 0.54%

Cheers

[CAIHuang]

So on Friday night I got a fill on my paper trading account for a US equity. The fill was at the very low of the day. Although I didn’t get the fill on my amibroker system when back testing or performing explorations.
Has this happened to other ppl quite often?
Is it anything to worry about?
When trading my paper account and running my amibroker system and back testing side by side is it expected that results will diverge slightly with positions that fill in the paper account but don’t in the amibroker simulated account?

[CAIHuang]

It would be the fact that I didn’t click transmit. What an idiot!
Saw the order pop up to sell once i clicked ‘close’ assumed that the order would be in the system after clicking close.

[CAIHuang]

I just did it. Still showing WST as a position. But i definitely close it last night.
I right clicked then pressed ‘close’. I take it that’s how you would close a single position?
Unless I need to click ‘transmit’ as well, which I didn’t last night. Still very new to TWS.

[CAIHuang]

I had a false start with the initial account balance of my paper trading account and my TWS account balance etc. So I reset the paper trading account and have now sussed it out with help from share trade tracker.

One minor issue though. I spoke with Nick a few weeks back about TWS and from memory to close a trade I right click on the position in my portfolio tab and then click ‘close’. I did this yesterday before the US market open and I checked my TWS this morning and it seems the position is still open. The position still appears to be showing in my portfolio although there is not data in the bid and ask columns yet every other trade has data displayed in those columns. The trade summary tab also only shows one trade for last nights session which was a buy order, the sell is not shown.
Not sure what the deal is.

Note: WST was the position I closed before last nights session.

[CAIHuang]

OK no dramas if it is too tricky and doesn’t really sync well due to the trading instruments being currencies and CFD’s of futures etc.

Thanks Said.

[Author]

Posts