[LEONARDZIR]

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

[LEONARDZIR]

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

[LEONARDZIR]

I encountered an interesting problem with IB using MOC orders and significant margin. Starting at 10 minutes before the close in the US market IB requires that you have 50% of your account value in cash or you incur a margin violation. Near as I can tell from talking to IB they have the right to start liquidating your position at the market until you have 50% of your account in cash. I asked if you have repeated violations and they said no issue but your position could be liquidated. There are 3 options. 1. Continue to trade and ignore margin violation messages. 2 Close positions at 3:49 Eastern standard time (US) at the market. I have no way to test if closing on market orders at 3:49 makes a difference in my system outcomes. 3. Trade with less margin but that dilutes my results.

[LEONARDZIR]

Julian, my system stays strong over the last 5 years.

[LEONARDZIR]

Thought it was about time to post my progress since I ran into an interesting issue.
Finished the theory part of the course and developed an MR system. The mentoring from Nick and Craig was and is simply outstanding.
Developed an mr system with a few simple rules.
Over the last 10 years the system returned 40% with a 9% drawdown. Over the last 19 years a 35% CAR with a 15% drawdown. The system has a small edge (55% right) so makes its profits from a high frequency of trading ( > 1000 trades per year). Those returns by the way included the standard IB commission rates and the universe traded is the Russell 1000.
Ran into an interesting problem. For the last 19 years the system is great. From 1990 to 1996 the results were awful with one continuous drawdown.
Talked to Nick about the problem and his observation was that markets change. He gave me three options; optimize the system from 1990-1996 and see if the system was robust, trade more than one system or discard the system. I elected to optimize the system and at the recommendation of Nick will optimize every 6 months.
I tried to figure out why the system did so poorly in 1990 to 1996. I backtested another system whose rules were close<

Meanwhile started trading my account at IB today with batchtrader. Elected to go with an exploratory live account at IB rather than papertrade
Len

[LEONARDZIR]

Scott, when time does the batch trader cancel all open orders before placing MOC orders? Can you control that time?

[LEONARDZIR]

Thank you Julian

[LEONARDZIR]

Forgot to mention I live in Sherborn, Massachusetts a small town near Boston, Massachusetts.(USA)

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