[LEONARDZIR]

After 6 months of trading my MOC system I am still trying to get my head around the selection bias issue. I believe Nick stated he gets 97% of all trades and days. I have managed to get to 90% of trades and 95% of days where all signals were taken but no better. I improved my signal ratio using Nick’s adaptive position sizing which was helpful.
My question is what is the minimum acceptable % of trades taken and minimal number of days all signals taken to assure realtime results match backtesting? I see different numbers on the forum. I believe Said mentioned that if you take 80% of trades you would be ok although I didn’t see any evidence. Is there any way to predetermine the correct numbers or do you just trade and see if results fall within MCS testing?
Len

numb

[LEONARDZIR]

I learned something about overnight margin at IB. Had tested and started to trade an MR swing system on the Russell 1000. Had tested 20 positions at 10% per position and naively assumed I could carry 2:1 leverage overnight. with all my money. Rapidly learned that is just asking for a margin call. Actually IB informed me there is no margin call. They have an algorithm that closes your positions automatically.
Among the possibilities I decided to keep a cash balance as a relative hedge to avoid a margin call.That means that I cannot trade all my funds. I also learned when I am carrying close to 20 positions I need to check my margin numbers like excess liquidity and SMA before the market close. An issue with the Russell 1000 is that not all the stocks are marginable. Non marginable stocks effect the SMA twice as much as marginable stocks.

[LEONARDZIR]

Nick,
In mid January I noticed I was underinvested and in comparison to the portfolio many of my positions were out of whack. So around the 3rd week of the month I rebalanced my positions to exactly match the model portfolio. When I calculated my returns from Jan 31 to Feb 28 I found the portfolio had appreciated about 4%. I am trading the portfolio pretty heavily in 3 accounts and the other accounts also went up 4%. I am not sure rebalancing is the explanation but it is the first time since Jan, 2016 that my returns have differed significantly from the model.

[LEONARDZIR]

My Feb results

US momo 4%( this is Nick’s system) did some rebalancing in Jan – Feb which may account for higher returns this month than on the site
US MOCSPX 1%.
80% US momo 20% MOC. overall 3.4%

[LEONARDZIR]

My Feb results

US momo 4%( this is Nick’s system) did some rebalancing in Jan – Feb which may account for higher returns this month than on the site
US MOCSPX 1%.
80% US momo 20% MOC. overall 3.4%

[LEONARDZIR]

There is certainly a point about a black swan event always lurking about. Maybe it is correct that you shouldn’t trade money that you couldn’t afford to lose completely.
On my backtesting my MOCSPX account lost 0.76% on May 6th, the day of the flash crash. My MR swing was ultimately profitable on positions held on the day of the flash crash.
Life is a black swan event waiting to happen.

[LEONARDZIR]

Thanks Craig.
Len

[LEONARDZIR]

Craig,
Where do you put the NorgateOriginalVolumeSeries? It is not mentioned in the LMS additions page. I presume you substitute it for V in the volume turnover code.
Len

[LEONARDZIR]

Said,
Please ignore my prior email, I figured things out. Sorry for the bother.
Len

[LEONARDZIR]

Said,
I changed my PF1 as you suggested and surpisingly my returns went up 10%, which is nice but suspicious.
Could you take a look at this line of code and tell me if I also have to change my PF2?

oc = NorgateOriginalCloseTimeSeries();
PF = oc;
//PF1 = ParamField(“Channel Price field”,3);//default to close
PF2 = ParamField(“Breakout Bar Price field”,3);//default to close
CLength = Param(“Channel length”,5,1,14,1);//default to 5 period
//CLength = Optimize(“Channel length”,7,1,14,1);//default to 7 period
//SetOption(“ExtraColumnsLocation”,1);

Channel = LLV(PF,Clength);// using the price field PF

Thanks
Len

[LEONARDZIR]

I did not get email but requested access to ndu .Was given new username and password and installed the ndu without a problem using the link sent by Corey. Changed all my formulas per Nick. All running smoothly for a week. I didn’t have any custom watchlists.
Len

[LEONARDZIR]

Scott
You placed a semicolon after .afl”
Take away the semicolon. See if that works for you.
Len

[LEONARDZIR]

Decided to start trading an MR system on Russell 1000 in addition to my MOC SPX system but was completely stuck on how to install a second instance of batchtrader for the second account.
Levente went on my VPS and reinstalled both instances.
So this is a shoutout to Levente for the incredible service he provides for batchtrader.

[LEONARDZIR]

Luke,
My 2 cents. I have been trading an extremely simple MOC system and have 7% of the days with more signals than I took(I just rechecked it from 2011 to 2017). I am using SPX, prices 10-75, 30 positions at 10%.. Been trading the system since October and has been profitable and basically my returns fall around the average return when I do MCS backtesting. So far on days I have not taken all signals the results look pretty random winning on some and losing on some although recently haven’t had many of those days.
Len.

[LEONARDZIR]

Julian,
I retained the old masterdatabase but when I upgraded apparently a new masterdatabase was formed. I just followed the instructions to upgrade from pdu to ndu given on their site.
Len

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