[KateMoloney]

ASX

Asx Momo -0.09%
Asx Swing -1.01% (discontinued)

US

US TLT +2.69%

MOC 1 & 2    -4.66%
MOC 3 & 4   -1.40%
MOC 5 & 6    -0.37%

TSX

Weekly Swing +1.08% (discontinued)
Daily MOC trial -2.86% (discontinued)

Combined account -0.43%

Thoughts from the last month;

1) Baby brain is REAL  if I say dumb sh*t … that is why 
2) I’ve had to learn to embrace nausea, being hungry AF and feeling vomity over random food. You blokes might wonder WTF it has to do with trading … well, the lesson has been to surrender and ask for help. Trading can be such a lonely endeavor. Having mates in the market and asking for help will help us to improve as traders.

3) I discontinued the ASX & TSX swings. After a few weeks research and contemplation, the divergence between real time VS back tests were too great. For example, my TSX swing made +6% in the last 3 weeks. When I reviewed the trades, the trades that made up the majority of the profit were at the low of the day with about $3k of volume. Despite increasing liquidity filters, the problem persisted.

4) MOCs were up 2.5% overall, then profits were pretty much wiped out in 2-3 trading sessions. Will review the systems this month. (Funnily enough, they recovered half the July drawdown last night).

5) Been working on some MR systems for a few months, been feeling stuck with it. Signed up for an additional 3 months of mentoring with Nick to get things flowing again. Also collaborating with a mate on an all weather system for super. Looking forward to getting my trading MOJO back.

Happy trading for August.

 

[KateMoloney]

Well done Glen

[KateMoloney]

Nice work Julian

[KateMoloney]

Same thing happened to me Chris. Up about 2% for the month, then into negative for MOCs. Annoying but part of the process.

[KateMoloney]

I’ve been reviewing the TSX trades and it appears that there is sufficient volume, other than the 4-5 trades where its been the low of the day with insufficient vol.

Turns out the major reason for slippage was I was backtesting using AUDCAD whereas I measure the trades for tracking in CAD. Once I changed the backtest to CAD the trades lined up much better.

Slippage is now -1% of starting account balance

[KateMoloney]

TSX 

For the ASX I am currently doing better than the backtest results, although slippage has gotten worse in the last 2-3 months … not sure if its a phase of the market.

[KateMoloney]

June

ASX

Asx Momo – 0.1%
Asx Swing -1.58%

US

MOC 1 & 2    -2.32%
MOC 3 & 4   + 1.17%
MOC 5 & 6    + 0.42%

TSX

Weekly Swing -0.43%
Daily MOC trial -0.67%

Combined account – 0.37%

A few user errors with ASX systems this month.

For the ASX momo, I entered one of the trades a few days late as the order didn’t fill and I forgot to check it.

I also had a hiccup with the ASX swing. I am certain I entered the orders on IB, and either I forgot to upload them on basket trader, or they were cancelled by accident.
In future I’ll be making a point of checking the ASX pending trades are showing when I load the MOC orders. This mistake meant missing out on a 10.31% profitable trade.

Slippage

I am reviewing the TSX & ASX swing systems and deciding if they are viable trading long term. As an example, my system took a 13.11% profitable trade this week, but in reality there was only $30,000 of volume at my entry price (for 5 minutes) and there was no way of getting into it. I have a few solutions in mind. At this stage most of the slippage has occurred in the last 2 months, prior to that real time trading was generating slightly better results than the back test.

 

[KateMoloney]

Nice work Glen

[KateMoloney]

Australia
ASX Momo 0%
ASX Swing -2.8%

USA
TLT +5.70%

MOC 1 +1.50% 
MOC 2 -1.54% 
MOC 3 +0.13%  newly launched

TSX
Swing -1.96%
Daily -4.8% newly launched

Added a new MOC system and also a daily TSX system on a small account. Most of the DD for TSX daily was attributed to HC not selling MOC, and then gapping below sell order the next day by over 25%. Turns out certain exchanges don’t support MOC orders. Commissions are high as well. Will review in 6 months. 

Goals for the next month are to finalize two more systems.
 

[KateMoloney]

Has anyone else had issues uploading weekly swing orders to TWS?

Error is 
 

Odd thing is, I go onto the VPS and can upload the exact same file to TWS through there.

TWS versions both on and off the VPS are the exact same 10.19.1m
Tried uninstalling and reinstalling TWS. No luck.

[KateMoloney]

ASX Momo – TBA/cash
TLT – TBA 

TSX swing -1.2%
ASX swing -0.86%

MOC 1 +0.26%
MOC 2 -0.73%

Launched 2x new MOC systems – still trading the old ones, just splitting the capital across more systems for diversification purposes.
Overall, been a productive month of systems development.

At an event this weekend, listening to someone worth $50M talk about investing. Very interesting weekend and its been so easy running the systems with RT vs AB whilst away from the office.
 

[KateMoloney]

Nick Radge post=14000 userid=549 wrote:

In TWS Export Trade Reports, change the custom Columns to the following, then use the IBKR transfer in STT.
I use Last 2 days, then change the Start Time to 20:00. That gives me just the trades from o/night.

to-> 

Just making a note for others as this took me a bit to figure out

Open trade history window, select last 2 days
Top right corner, click more options to change the start time to 20:00 for trade export
 

[KateMoloney]

Hi Nick,

Just checking this is correct. IB chat said the export section didn’t exist.

-> Configuration is where I found export settings.

Are my settings correct? And then once a day go into STT and upload from IB directly?
I added order reference because of different MOC strategies. Not sure if it will work, have to wait and see…

 
 
 

[KateMoloney]

Nick Radge post=13997 userid=549 wrote:

Yeah, I canceled the VPS several months ago too. I’m not running OC but BasketTrader does what I need

For the MOC strategies, is there a way to extract the data that matches the STT format?

I pulled data from trade history in IB, and was able to change the order to resemble STT by clicking settings, layout. 

Just need to manually change buy/sell and instrument to share.

 

[KateMoloney]

At least your head size has shrunk so you can walk through doors again. 

Happy trading for April !

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