[Howard Lask]

Having had a rough time last March and April I got out of the habit of posting my results here. I stuck with my systems and glad I did so as I recovered from the drawdowns and ended the year up 35% in my NDX Rotation Strategy and up 15% in the DTT system.

I have added both long and short MOC systems on the R2K and R1K in the past couple of months. The R2K systems are being beta-tested with limited capital.

This year I have resolved to re-start posting monthly results:

January 2021

MOC Systems
R1K Long: +1.45%
R2K Long: -0.74%
R1K Short: +7.87%
R2K Short: -13.84%

Long Term Systems
Nasdaq Momentum: +7.94%
R2K DTT: +9.78%

[Howard Lask]

I had a similar experience last week – beta launched a new MOC short system on Monday, ended the week shorting GME (+51% on Friday). Ended the week in a 19% DD

[Howard Lask]

Hi Michael – one option is to setup a SIPP with an administrator that supports Interactive Brokers accounts. There are constraints around what you can trade so probably best suited for long only rotational and trend following systems. I don’t believe you can take short positions in a SIPP. The approved SIPP administrators who work with IB can be found here: https://www.interactivebrokers.co.uk/en/index.php?f=39434

[Howard Lask]

I had the same issue. 6 MOC orders did not execute at the close.

[Howard Lask]

same here – , based in the UK and orders were filled around 09:45 ET for me

[Howard Lask]

Thanks Julian,

I have been following your suggestion to just vary price and volume – increasing price and volume levels does appear to improve the R2000 system and if I can make that work without adjusting other parameters then so much the better. I too would prefer to see the system perform with other parameters unchanged as that further validates it’s robustness.

Your suggestion to apply the system to NYSe stocks is interesting, I will have a look at that next…

[Howard Lask]

Thanks for your feedback and suggestions – I have now got to the bottom of the issue….

Julian – I am using the afl template for my exploration code which defaults to SMART as the exchange so this is what is being sent by the API

….this led me to have a look at the Primary Exchange field that Glen identified

As a test I tried manually adding NYSE to the Primary Exchange field in the csv for SPCE and this worked when I submitted a test trade.

So now I have edited the exploration code using MarketID(1) function to add the Primary Exchange where this was previously left empty as follows:

Code:

SetOption(“NoDefaultColumns”,True);
Filter = BuySetUp;
Exchange = MarketID(1);
Width = 65;
Width1 = 75;
if(Status(“action”)==4)
{
SetSortColumns(-27);
}
AddTextColumn(WriteIf(BuySetUp,”” + NewName,””),”Symbol”,1.3,29,55,90);
AddTextColumn(WriteIf(BuySetUp,”STK”,””),”Type”,1.3,29,55,80);
AddTextColumn(WriteIf(BuySetUp,””,””),”Expiry”,1.3,29,55,Width);
AddTextColumn(WriteIf(BuySetUp,””,””),”Strike”,1.3,29,55,Width);
AddTextColumn(WriteIf(BuySetUp,””,””),”P/C”,1.3,29,55,Width);
AddTextColumn(WriteIf(BuySetUp,””,””),”Multiplier”,1.3,29,55,Width);
AddTextColumn(WriteIf(BuySetUp,””,””),”Trading Class”,1.3,29,55,Width);
AddTextColumn(WriteIf(BuySetUp,”SMART”,””),”Exchange”,1.3,29,55,80);
AddTextColumn(WriteIf(BuySetUp,””+Exchange,””),”Primary Exchange”,1.3,29,55,Width1);

As a final confirmation today’s exploration generated an order for SPCE which has been submitted with no errors.

Thanks again for the input….

[Howard Lask]

Hi Seth, I am using the Smart API and TWS.

The only other service I have running on the VPS is dropbox which I use to sync csv files in order to import orders and export trade reports from and to my desktop machine. That way I don’t need to run excel or an open office alternative on the VPS.

[Howard Lask]

Just one at the moment Nick. I will be introducing a second strategy next week so will report how it performs. Next option up is 2vCPU, 4gb RAM, 80gb SSD for $40/month…

[Howard Lask]

I have been using a Lightsail instance from AWS which they offer as a low cost and easy to setup VPS solution without the overhead of setting up and configuring an EC2 server. I have been using the $20/month option (1vCPU, 2gb RAM, 60gb SSD) which has been running without any issues since January.

You can read more about it here: https://aws.amazon.com/lightsail/faq/

[Howard Lask]

Thanks all for the interesting discussion. Quick point of clarification… does PDI stand for Positive Directional Indicator as used as a component of the ADX?

Cheers

[Howard Lask]

Thanks for the response Matthew and I take your final point well – an emphasis on recent performance may lead to selection of a system and parameters that may be prone to failing in the future.

Since you are looking for time-established market truths your approach makes a lot of sense….

[Howard Lask]

Thanks so much Matthew for sharing your thoughts and process – I am near the beginning of my MOC system building journey and these detailed insights based upon your experiences have been invaluable education.

I have a question regarding how you use IS and OOS data during the development and optimisation process…. I have up to this point used a historic data set – say 1/1/2003 to 31/12/2010 for idea development and for IS initial optimisations and then apply the optimised parameters to more recent OOS data. I have found that with MOC systems the results will frequently deteriorate in the OOS period, I may tweak a few parameters to see if that helps but will often need to go back to the drawing board.

I am coming round to thinking that I have this the wrong way round, particularly with MOC systems where market evolution is more likely to influence system performance and where arbitrage for successful strategies will lead to system deterioration. In which case an alternative/improved approach might be to develop and optimise on a more recent IS data set and then see how the system holds up further back in history….

[Howard Lask]

Muswell Hill reunion at the Maid of Muswell when you are next in London Julian

[Howard Lask]

I am just down the road – Muswell Hill…. we’ll have to meet for a coffee… when the coffee shops open

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