[DanielBaeumler]

This happens every month to me and I rebalance based on the quantity the Explorer is bringing up for the new month (unless qty adjustments are really minor).

[DanielBaeumler]

Thanks Julian. I noticed from previous posts that you were trading the WTT. Getting around selection bias in a TF system seems a real challenge.

Thanks Nick for you hint how to address the selection bias in the growth portfolio. I will give it another go…

[DanielBaeumler]

No, it’s trend following. Since it runs on Russell 3000, the universe is quite large. Nevertheless, since it is quite popular I presume it works nicely for a lot of people. I just wonder how big of an issue selection bias is in reality.

[DanielBaeumler]

I received several notes on ‘margin violation’. I’m trading my US MR and MOC system from the same account (LVR 50 and LVR 25). I didn’t respond to the IB notes and IB enforced the closure on a number of positions to. Despite the fact that 80 MOC orders were open and due to be closed at market closure. I didn’t notice the enforced liquidation. Then, the API kicked in and closed all MOC orders including the ones which were already closed by IB. Now, I’m sitting on 10 short-positions which I need to re-buy again in order to get the position finally closed. Well, I think I learnt something today…

[DanielBaeumler]

Julian, to tell you the truth, I don’t remember exactly how it came in. The general concept is to select titles with a high and stable growth long and short term but to remove candidates showing extreme growth in the last month. Nevertheless, when I looked at the code yesterday, I was wondering myself…

[DanielBaeumler]

Jan 2018

US MOC: -1.0%
US MR: +5.3%
US Momo: -0.3%

ASX MOC: -1.5%
ASX MR: -1.8%
ASX Momo: -5.3%

Global ETF: +6.5%

Total account: -0.7%

Overall, my month was not really successful considering how the leading US markets performed.

US: Looking at the numbers from all the others, my momentum system looks rather weak. I verified the parameters and found the ‘trouble maker’: C > MA(C,40). Removing this parameter would have delivered +15.2% for the month. In the long run, it adds value, but not to a large degree. I need to look deeper into it. Interesting case anyway…

ASX: Over the last 6 months, the performance of my ASX MOC is flat. The only party who may appreciate me trading this system is IB (I don’t even want to mention the commissions I threw at them…). Even if the idea of trading US and ASX MOC systems back to back from the same account is very tempting, I will finally pause it for now.

My ASX Momentum system is running on ASX100. A momentum system on large caps is obviously not a perfect match (although ASX100 is paying nice dividents). Need to give it some more thoughts…

[DanielBaeumler]

thank’s for the hint. I’ll give it a shot…

[DanielBaeumler]

Yes, I did and that’s why I brought it up. It just looks odd to me. The IB guy on the chat was not very ‘open’ to my issue. He said, that the order was executed to my Lmt. So, what’s your problem?

I will leave it for now since it’s (hopefully) a one-off event.

[DanielBaeumler]

Thanks, Nick.

[DanielBaeumler]

Of course, this individual case doesn’t matter. I was more concerned whether I missed out on s.th. and e.g. other order types may be more suitable

[DanielBaeumler]

December results:

US:
US MOC: +0.36%
US MR: -0.53%
US Momo: -1.23%

ASX:
ASX MOC: -0.76%
ASX MR: -1.85%
ASX Momo: + 4.20%

Global ETF: 3.04%

Wishing everybody all the best for 2018 and great trades. I’m very happy to be part of this fine community!

[DanielBaeumler]

Indeed. Gives a good feeling that I have for sure joined the right mentor course.
BTW. In my recent conversion with Norgate they mentioned that they would be looking into the Canadian market next year. Although, I’m sure how much diversification an additional system running on the Canadian market would deliver assuming a strong correlation with the US.

[DanielBaeumler]

Thanks. Norgate confirmed that this there approach is specific to Norgate data.
I contacted Tai Pan which is a data provider users were recommending. I talked to them about the handling of historical constituents. They don’t really seem to care about this very much. In fact, clients are supposed to create individual watchlists every time the index is changing. Backtests would then have to be run depending on the lifetime of the watchlist. You would end up with many individual backtests… Ridiculous. Hard to believe that people develop systems and relying on this kind of data.
In general, getting decent data from European stock markets seem a real pain. I’ll keep on looking. May be Norgate is entering this market at some point…

[DanielBaeumler]

Will do. Thanks, Scott

[DanielBaeumler]

Thanks, Nick.

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