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DanielBaeumler
MemberJun 2018
US:
MOC: -0.6%
MR: +1.5%
SPX Mom: -0.1%
NDX Mom: +1.3%ASX:
Growth Portfolio: -1.7%
ASX100 Mom: +1.6%Accout: +0.45%
MemberMy US MOC system is running on Russel 1000. Just came across OLED. I believe this one would go into the 5ct bucket. Is there a way of identifying those symbols or just going by try and error?
CheersMemberThank’s Julian.
I’ll give it a try. What is the 5_cent shares list?MemberHas anyone signed-up to Norgate yet?
My current Premiumdata subscription will expire end of August. I will probably signup late July before the 50% discount coupon will expire end July.
I’m not fully clear about the benefits I get from moving to the Norgate. I asked for Norgate Support what the value added would be to move from Premiumdata to Norgate. This was the answer:
“The “value add” for NDU lies in all of the ways its superior to the old Premium Data platform in terns of its software, the additional types of data and information that it can deliver and the data functions it offers, such as user-configurable stock market data, access to historical index constituents etc.”
MemberMay 2018
US:
MOC: -0.7%
MR: +1.4%
SPX Mom: -0.8%
NDX Mom: +2.4%AUS:
MR: – 0.7%
Growth: +8.1%
Mom: -0.7%Account overall: +1.5%
MemberThanks Nick.
I integrated the code into my MOC system but ran into attached error message.
Any thought’s what the problem could be?
Cheers. DanielMemberGreat effort! Thanks, Julian.
Just to make I understand the approach. On part 2, Nick says: ‘If your system takes 20 positions, then you only ever place the top 20, etc.’
Today, I may get 30 or 50 signals but end up with just 10 fills (for max 20 positions). With the new ranking I would only place 20 orders and may end up with just 5 fills. If so, there would be no need for the API to control the number of fills anymore. Is this correct?I tried the new code and gu
MemberApril 2018
US:
MOC: -1.4%
MR: -0.1%
SPX: +3.3%
NDX: -3.1%AUS:
MR: -0.6%
Growth: +1.0%Account overall: +0.4% (in EUR)
MemberThank’s Julian. But credits go to Nick. I joined his growth portfolio and was obviously lucky with the timing…
MemberMarch 2018
ASX:
Growth: +4.0 %
Mom: -1.0 %
MR: +1.6%US:
MOC: -5.0%
MR: +1.2%
SPX Mom: +0.9%
NDX Mom: – 5.0%Account: -1.44%
MemberThanks Travis. Yes, now I see it.
Really appreciate the insight. Have you ever measured the correlation btw the two systems?
I’m running a NDX momentum system next to a SPX momentum system. Correlation based on monthly net profit is 0.7 which is obviously not very helpful from a diversification perspective. Hence, I was first hesitant to develop a second momentum system but eventually thought that it’s always better to split the money on two systems than leaving it with the SPX systemMemberMaking +5% with a momentum system when the underlying index is dropping -4% is very impressive.
How do you differ standard from aggressive? I would expect in such a market environment to be better off with a standard, less aggressive approach.MemberFebruary 2018
ASX:
ASX MR: +2.0%
ASX Mom: + 16.7% (thank’s to A2M)US:
US MR: -0.6%
US MOC: +0.2%
US Mom: -4.0%Global ETF: -7.0%
Total account: +1.2%
According to AB, my US MOC should have returned +10.2%. I lost about 3% due to enforced closing of positions by IB during the first frenzy days in that month (margin issue with 2 MR and 1 MOC system running in the same account with maximum leverage). On 5 days, my MOC system was exposed to selection bias which is quite high considering a total of 33 selection bias days from 2000-2017 (avg 1.8/year). Good example that backtest results and reality can be quite different.
Overall, I’m very pleased with the month. At the beginning of the month, I was far away from thinking that this month would close with a positive result. Good and very valuable trading experience for me.
MemberThis is great!
Thank’s a lot, Nick.MemberThanks Said. I only know ranking from momentum systems. Can you share how you code ranking logic into a TF system?
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