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LEONARDZIRParticipant
Matt,
At your suggestion I ran a Monte Carlo analysis on my MOC which Nick helped me develop. Using your parameters of trade list and no change I had a 50% risk of ruin. This makes no sense to me and I doubt it has any relevance to real world results. I suppose if there was a historic crash and all 40 positions went down 2.5% it could happen. I suspect Monte Carlo analysis is not that useful with mean reversion since the assumption of a random reordering of trades doesn’t pertain to a system with no selection bias.
I use another testing software in addition to Amibroker and Monte Carlo analysis did not show risk of ruin. I could be wrong but those are my thoughts.
You did pick my interest in adding A short MOC strategy. Currently trading a long and short MR system and am looking at a long/ short MOC system without leverage that is very promising.
Be interested in Nick’s commentsLEONARDZIRParticipantLooks fine since 2000.Great return in 2007,2008.
Currently most of my short term term trading is in 3 uncorrelated strategies. One long MR, one short MR and one shorterm breakout startegy. Slow start to the year but nice returns with reasonable drawdowns. Putting MOC on hold for now.LEONARDZIRParticipantJust another thought. I have a trading buddy (been trading for a living for 20 years) who tells me when evaluating a new system he assumes a worst case scenario of 1/2 the CAR and twice the drawdown of the Backtest before adding the system.
LEONARDZIRParticipantNo Matt. Lost 6k on the 50k account. I was musing that if the account was 500k where I intended to go it would have been a 60k loss. Sorry for the confusion.
Backtest of my MOC since 2010, with 4x leverage 46% DD 18.7%, with no leverage 9% DD 4%.LEONARDZIRParticipantThanks Matt. Interesting approach.
My MOC has backtested CAR 48% and max DD 19.4% with 4x leverage. It is the psychology that is the issue. I am currently trading with a small account 50k but was planning to ramp up to 500k if it worked well. Problem is a 60k loss in one day is past my uncle point. Thinking about ramping up the account with no leverage which would leave me with a good income producer and acceptable drawdowns.LEONARDZIRParticipantI had an interesting week as well. On Thursday my MOC take an 11.5% hit which was a function of volatility and 4x leverage. On the other hand my MR system which does not use leverage came into Thursday mostly short so nice profit. I am finding though stressful my MR systems (long and short) thrive with the volatility.
I am rethinking using an MOC with leverage. I am ok with a small account but doubt I could handle a large account with 4x leverage especially with persistently high Vix levels.
LEONARDZIRParticipantMay 2020
US MR +12.41%
LEONARDZIRParticipantThanks Nick
LEONARDZIRParticipantNick
What was your max drawdown over Last 10 years?LEONARDZIRParticipantThe volatility in my MR systems is insane! Yesterday I went out for a walk 45 minutes before the close down about 5%. Mostly down because I was short GRUB (UBER announced a potential takeover) and I was short 9 positions and long 1. Checked when I came back from my walk, after the market closed and was down only 0.5%. Today up 2.4%. So net positive 2 % for past 2 days with an 8% swing. I don’t use leverage.
I have shorts in my MR system but shorting is not for the feint of heart. Have had some good winners and then get slammed being short stocks like GRUB and TESLA. Also can’t always borrow shares to go short.
My MOC with 4:1 leverage is tame by comparison.and TESLA.and
LEONARDZIRParticipantNick,
What time do you shut off your limit orders with the API?LEONARDZIRParticipantNick
Are you talking about your MOC today?LEONARDZIRParticipantApril 2029
US MR +5.18%
TLT flat
US momo flat
The volatility on my MR systems is insane. I was up close to 6% this tuesday. Went down 6% on Wednesday and up 5% today and I am not using leverage. Function of the high VIX.
LEONARDZIRParticipantNick,
Any concerns about IB? Want to make sure it is no MF Global.LEONARDZIRParticipantI just read in the Financial Times that interactive Brokers took an 88 million dollar hit having to pay off margin calls on oil futures.contracts for some of it’s clients. Says it shouldn’t effect trading operations. Also being investigated by the Dept. of Justice for anti money laundering and privacy practices. Not sure what this means for our accounts at IB but bears watching.
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