[LEONARDZIR]

Thanks Julian

[LEONARDZIR]

Trent,
I just switched to the ndu and my backtests are running just as fast as with the pdu.
Len

[LEONARDZIR]

Julian what is the version number of your API?
Len

[LEONARDZIR]

Julian,
Are you running your MOC systems and MR systems with the same API?

I am currently running my MOC system with one of the earlier versions of Levante’s API. I wonder if that API can be changed to run a separate account for my MR system.
Alternatively I thought I would just purchase Nick’s API for my second system?
Len

[LEONARDZIR]

Disregard lms question forgot it was in welcome section

[LEONARDZIR]

Nick what is the LMS?
Len

[LEONARDZIR]

My Jan results.

USmomo 1%
USSPX MOC 2.1%

Results not in Julians league but this is 3rd straight month of new equity highs in my trading accounts.

[LEONARDZIR]

Randomly checked the VPS today and noted that I received a partial fill in one of stocks and the API had’nt placed an MOC order. Apparently you need a complete fill of your order in order for API to send MOC order.
Second time in 2 months that checking my trading platform intraday revealed problems that if not corrected could have cost me money.

[LEONARDZIR]

Craig
Thank you
Len

[LEONARDZIR]

I do have a question about using the operating code. When I use the Op code on one of my systems and run explore I get different results if the watchlist in the filter is SP500 rather than SP500 historical constituents. Why is that?
Len

[LEONARDZIR]

Just changed my clock to synchronize with the nist servers. Went to the system clock. Then to change date and time. Went to internet time and changed to nist.gov server. And synchronized. Hopefully solves the problem of the server changing the time without notification
Len

[LEONARDZIR]

Darryl,
That is very helpful. Thank you.

My trading results for December:
US momo 3.58%
US MOC(SP500) 0%. Didn’t trade the last week.
I am 80% US momo and 20% US MOC.
My trading accounts have made new equity highs in November and again in Dec.
Len

[LEONARDZIR]

Interesting problem with the VPS today, a cautionary tale. Normally I place my orders the night before the US market opens and never look at the VPS until the next night. For no particular reason I checked my API at work in the middle of the day to learn that most of my open orders were cancelled although I did have fills for which MOC orders were placed by the API.
The timestamp on the API was 5 hours ahead of IB’s time. The VPS server had reset the clock ahead 5 hours without warning.
Lesson learned. I will go on the VPS before the market opens to make sure everything is working properly. I use Hostwinds

The

[LEONARDZIR]

Julian, I either don’t take a new position or discard a holding if a 15% gap in last 100 days.
Here are results from 2006 to 2016 single runs
With gap filter:
Car DD Risk parity
16.6 26 0.1
17.8 26 0.2
Without gap filter
17.6 23 0.1
19.5 25 0.2.
I also ran the WTT on Russell 3000 price 1-100 with ranking from 2006 to 2016 single run and got CAR of 10% with 34% drawdown..
Couple of things. No selection bias in rotational momentum.
I am probably based on my test results going to trade it with risk parity of 0.2 and no gap filter in 2017.
Len

[LEONARDZIR]

Julian in the Us momo system I use the 15% gap rule so keeping nvda was a judgement call. Since nvda should not strictly be a holding. At this time.
About your WTT. Nick used the Russell 3000 price 1-10 in his book for statistics. Clearly you are using a different universe if you use WTT. Could you share that universe so I could retest the WTT. So far I have found the WTT pretty inferior in returns to rotational momentum in the US.
Len

[Author]

Posts