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Said , what does WTT stand for? Weekend trend trader?

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Darryl, thanks for the reply. Your computer skills are impressive.

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Scott ,makes sense. Also raises the issue of how many systems you need to maximize profits. For me after testing multiple mr and trend following systems on the US market I found that for the US market MR with MOC and a monthly rotation momentum were far and away the most robust. So for me those 2 systems which have a low correlation with each other are my only 2 systems.

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Darryl, pardon my ignorance but what is the advantage of semi automating the orders? It takes me less than 5 minutes a night to go from amibroker exploration to batchtrader to IB, a little longer using the VPS for my US MOC .

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Just finished testing 3 trendfollowing strategies on the US market, namely WTT, bollinger breakout and yearly highs. None of these strategies was as robust as my Rotation or MRV MOC strategies.
So I am trading just 2 systems, Rotation and MRV both on Sp500.
Was initially trading the MRV on the Russell 1000 because of the outstanding results but Nick mentioned problems with the Russell namely selection bias and inability to margin some stocks. Lo and behold last week after a big downdraft in the market my MRV had 272 orders which is crazy. So I switched to Sp500 with 2:1 leverage for now.
Also read Basso’s article. He makes a convincing case for adding cash to proven systems in adrawdown. So I added to my MRV system.

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Thanks Nick. Will take a look.
Interesting results on my Mrv/MOC system on sp500. Down 4% last Friday. Had some of my beginners cycle thoughts. Then up 5 1/2 % on Monday. US market smacked today but my system down
<0.1% today. Builds confidence !

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Said, thank you for your reply. I did find in my back testing that my drawdowns ocurred in a relatively short time. Based on your observation and my back testing I am planning to add funds now and more with a larger drawdown. I am not sure you can test this in Amibroker.

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The current drawdown on my MRV MOC system raises a question in my mind of if, when and how much cash you add to a system in drawdown. Since I started trading my live account in August my MRV MOC system has a 9% drawdown. . My average system drawdown over the last 10 years was 15%. Considering Nicks comment that institutional traders will go into a sucessful hedge Fund after a drawdown I am contemplating adding to my system at this juncture. . So thinking about adding now and again if go down more to the 15% level.
I started my live account with a relatively small sum and planned to increase anyway over the next 6 months. Originally I thought I would add as the system turned profitable but from a trading perspective it makes more sense to add in a drawdown.
It really comes all down to your level of trust in your backtesting.
I’d appreciate any comments.

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Nick,
I just looked at a chart of a simple 20 ma of opens and closes. From mid December 2015 to mid February 2016 the ma of closes was below the ma of opens. Nevetheless my MOC MRV made 2.5% in Jan 2016 so that isn’t a good explanation either.
Len

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Also musing about MRV MOC systems. Since about 65% of a stocks daily movement is attributable to the market it would seem that successful trading periods would be marked by the $SPX closes>open. I plan to plot the MA of closes vs. opens with ma’s whose length is to be determined and see if there might be something for a filter. Trading only when ma(C)>ma(open). Seems to me would be easy to test. Just thinking.

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My progress.
Started live trading my USA MOC MRV system the second week in August. Ended up down 4.5%. At Nicks’s suggestion ran a 500 run MCS backtest on my system with a 25% seed and found my live trading results matched the theoretical from Amibroker. So I continue putting my orders in and following the system. It is interesting to see other forum members have similar results with their US MRV systems in August.

Meanwhile starting to test some stock and etf universes with a momentum rotation system(Thank you Craig). Saw an interesting tidbit from the quant people at Vanguard who said they could not find a successful momentum rotation system to trade(although haven’t seen what they define as successful)
Len

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Just to add to the unack issue I placed about 60 limit orders last night and each of them had an unack attached to the order. I canceled all the orders. I resubmitted the orders through batch trader this morning and all orders were live.

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Julian
Just spoke to IB. If you have MOC orders to close all positions there is no margin violation. You were correct. The person I spoke to at IB told me something different. Thank you again for your reply.
Regards
Len

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Julian
Thank you for your thoughtful reply. The American market closes at 4pm east coast time. My solution to the was to test dropping my total number of max positions by 1/2 without significantly altering results. Meanwhile you to have gotten more from IB than I have. It sounds like MOC orders will cancel the margin violation problem.i’ll double check with them.
Len

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Julian
Still considering closing all positions at the market at 3:49 pm. Alternatively checking in at 3:45 and see if they have issued a potential margin violation and the closing all at the market. That defeats the purpose of trying to stay away from the computer during the day

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