[JulianCohen]

I have a lot of my strategies running on inMEL now to try to pick up that edge in the smaller more volatile stocks.

Except shorts which are only inRUI in order to get best possible fill percentage

[JulianCohen]

I use Order Clerk, and this allows me to download the trades from IB, it uses the Trade Summary from TWS, and then I can run it in a script. I believe this is possible with Basket trader too but I’m not sure.

I then have a script that I can run that shows all the metrics for those trades, like running a backtest. You can then run the Actual Trades and then run the backtest and use the Compare Trade Lists function which will show the trades lists side by side sorted by date, and it is very simple to check actual vs backtests this way.

Have a look in the Help Files for Trade Comparison Window…should have all the information you need, but reach out if you get stuck

[JulianCohen]

nothing wrong with Marmite

[JulianCohen]

He’s back!!

[JulianCohen]

March ’24

Short-Term System
US Combined MR: 2.56%
ASX Weekly Swing: 1.39%

Long Term Systems
Long Term NASDAQ 2.58%
US Momentum: 6.60%
US WTT: 4.46%

ASX Growth: 3.87%
ASX Momentum: 1.74%

ETFs
USD All Weather: 4.49%
ASX All Weather: 5.04%
ETFs: 0.32%

Total Account: 4.06%
Rolling Volatility: 12.53%

[JulianCohen]

Nice one Glen…testing it already. It has possibilities for sure

[JulianCohen]

When you combine AUD and US strategies in RT like this, do you just include AUDUSD in the include list? I’ve not done it before so if you wouldn’t mind posting a template to show how it is done that would be much appreciated. I don’t think there is one in the Examples folder in RT

[JulianCohen]

I always keep them in one script. I prefer to keep everything in one place so it’s easier to make changes, but that’s just me.

[JulianCohen]

Also be aware that if you are using C > MA(C,200) in your entry criteria, the ETF has to have at least 200 days of data in order for that moving average to work correctly in RT

[JulianCohen]

I backtest with

LimitExtra: 0.001 * Fillprice

Included so that my testing accounts for some missed fills and slippage to a certain extent. Have to remember to remove that for live trading though otherwise the results are messed up.

[JulianCohen]

Yes quite a nice start to the year…however I’ve seen this before so I’m not going out shopping yet!

[JulianCohen]

February ’24

Short-Term Systems
US Combined MR: 2.13%
ASX Weekly Swing: -1.16%

Long Term Systems
Long Term NASDAQ: 9.05%
US Momentum: 14.95%
US WTT: -1.47%

ASX Growth: 6.35%
ASX Momentum: 10.55%

ETFs
USD All Weather: 7.70%
ASX All Weather: 2.53%
ETFs: 11.62%

Total Account: 7.30%
Rolling Volatility: 12.05%

[JulianCohen]

Could it be that the account is AUD based, so when you buy USD stocks you are borrowing USD from IB?

[JulianCohen]

This is a real issue Kate. It was one of the reasons I was always reticent on strategies like this, however, there is very little doubt that some indexes are mean reverting and some follow large trends. So I don’t see a reason not to choose general mean reverting ETFs for some strategies and breakout/trend following ETFs for other strategies. In other words choose the ETFs that fit the strategy.

Once you accept this principle, it lets you construct a whole different set of strategies.

I always go for volume and to a certain extent AUM…I’m looking for high daily volume primarily

[JulianCohen]

Actually I don’t know the answer to that. I just check to see that the DD especially show little correlation but I didn’t think about how the matrix was calculated. Does it matter?

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