[JulianCohen]

Have you looked at the Holiday List? That is what sets a particular date as a holiday so RT knows not to issue orders for that date. Once you have that in place for your operation scripts (the script that issues the orders) everything should work fine without any changing of dates in settings

[JulianCohen]

Did you work out the asterisk in the holiday list file means a half day

[JulianCohen]

I used to short RUA but switched to RUI and since I did about 6 months ago the fill rate is far better. I used to treat shorts as a kind of lottery where the metrics could not be relied upon but now I don’t think that way as the fill rate is probably about 95%…there will always be the odd one where the stock is not available for shorting but it is much rarer inRUI

[JulianCohen]

And get rid of Optus toot sweet! They have proved themselves to be unreliable a number of times.

[JulianCohen]

October ’23

Short-Term Systems
US Combined MR: -2.95%
ASX Weekly Swing: 2.62%

Long Term Systems
Long Term NASDAQ: 0.70%
US Momentum: 0%
US WTT: -3.56%

ASX Growth: -3.30%
ASX Momentum: -1.92%
ASX Weekly: -2.83%

ETFs
USD All Weather: -1.09%
ASX All Weather: -1.51%
Indices: -2.10%

Total Account: -2.61%
Rolling Volatility: 14.30%

[JulianCohen]

September ’23
Short-Term Systems
US Combined MR: 0.14%
ASX Weekly Swing: 0.16%

Long Term Systems
Long Term NASDAQ: -5.10%
US Momentum: -10.84%
US WTT: -8.65%

ASX Growth: -4.80%
ASX Momentum: -10.21%
ASX Weekly: -5.31%

ETFs
USD All Weather: -3.42%
ASX All Weather: -2.53%
Indices: -2.10%

Total Account: -3.84%
Rolling Volatility: 12.95%

[JulianCohen]

Kate, listen to your mentor.

Maybe if you want to get your hands dirty then work out how to use Order Clerk but don’t switch it on yet.

I think the issue the boys on the RT forum are having with it is they want to fully automate the whole thing; download data, run RT, run OC and then check in at the end of the week and count your money.

I don’t fully automate. I run RT and then I run OC and place the orders. Doing it that way I have not had an issue with OC at all. When you are ready OC is very easy to use and it makes things very simple if all your orders are coming from RT scripts.

However, I would strongly suggest you listen to the guvnor and take some more time. Trust me you are missing nothing!!

[JulianCohen]

I’m really sorry to hear about this Kate. Wishing you the best for the future.

I can’t really add much to what you have already worked out for yourself. If you feel like you can’t trust yourself on the administrative side 100%, as you have already identified, then going in at ¼ account size is a great idea.

You will know when the time is right. On that part you can trust yourself

[JulianCohen]

Quote:

 the dual stretch made about a 25% improvement in both CAR and DD on the MR short , also optimizing the short (No of) positions with long and short combined added quite a bit to car and not DD(another 4 or 5 % car) . this was not apparent when just looking at the short system in isolation .
 

If you are backtesting InMEL with shorts then you might not get the fills in real time. I found after a while that it was better to trade shorts only InRUI as the probability of a fill was higher, therefore more chance to match the backtest

[JulianCohen]

I have a few strategies that don’t use Index filters. My stretch is around 0.6 though. I’m guessing your strategies are doing fewer trades with that stretch, which is fine. Probably a good win rate.

Something you could try..set an Index Filter and change the stretch if the Index Filter is on or off

Stretch: if(IndexFilt, 0.7, 1.2)

[JulianCohen]

A few questions

Do you watch the market during the day, or do you set your entries and exits and leave it to run?

Why didn’t you build the spreadsheet part using RT?

Do you use RT for any part of the entry process, or is it primarily discretionary. I assume you are using Order Clerk to place the trades, or are you just using tradelists to monitor the trades. 

[JulianCohen]

I’m very interested to hear what you have to say Glen. As are we all.

[JulianCohen]

Hi Terry

Send me an email and I’ll make up a template in the meantime

[email protected]

[JulianCohen]

I have changed things around a bit in the last couple of months, so there isn’t a constant to backtest against. However every day I check trades against the backtest and there’s very little differential.

If I can just find a period of time where I don’t change things I can give a definitive answer to that question.

[JulianCohen]

Terry I have been developing my strategies this way for over a year now. Unfortunately the mean reversion idea hasn’t been particularly profitable in that time, but I carried on developing that way.

I keep one symbol across all multi day hold strategies, and one symbol across all MOC strategies. MOC and MR can hold the same stock. I use statsgroups to control this.

I have no more than 3 conditions for entry in any one strategy, apart from price and liquidity filters, although the majority only have 2.

If an MOC strategy has more than a 10% MDD during InSample or OutOfSample testing, I don’t use it. For MR I allow a deeper MDD, up to 20%

I use the same stretch for all strategies, to avoid the temptation to make things less robust. Most strategies are based on InMEL, however all shorts are InRUI only and that has helped me to get fills that I wasn’t getting in the wider universe of stocks.

I have four different ranking methods, which helps to differentiate between selections.

My theoretical leverage would appear to be massive, as I have 15 strategies all using around 8% or 5% of total account size, however using statsgroups I can set the combined leverage exposure to 400 and on average it is around 150%

All looks great on paper, but in all honesty I’m still waiting for it to pay off. However I think I have the theory correct, and seeing as Nick seems to have been working on the same kind of lines is solace. As far as I can see, I have done as much as I can to set the probability in my favour. I just have to wait.

This is the InSample drawdown Graph and  a section of the Report…I have a number of strategies only producing 2-3% but I still keep them as they cost me nothing in time or opportunity cost to run as they are all part of the same script, so I figure why not.

I uploaded a pdf as I’ve never been able to get a screenshot to work well in this forum..not sure why

 

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