[Nick Radge]

I would only rebalance if there is a substantial skew over the course of the year.

[Nick Radge]

Sounds like a plan.

I will also be rebalancing across portfolios myself

[Nick Radge]

Quote:

You don’t get to trade in real life all the trades that come up in a back test, so I wanted to check the this in more detail.

In theory, you should be very close.

[Nick Radge]

Great to have you here Paul. I look forward to your progress.

[Nick Radge]

Be interesting to see the same for the ASX.

[Nick Radge]

mmm…bummer, but very common. On the bright side, the momentum strategies tend to be low frequency so commission drag shouldn’t be too bad.

[Nick Radge]

I don’t do it in STT, although you can add/subtract it using the interest tab.

The accountant does take it into account at the end of the year.

Back in the day, any margin interest was offset by interest paid on spare cash…those days are long gone

[Nick Radge]

Nice work Oli.

[Nick Radge]

November 2021

ASX
Growth Portfolio: -0.65%
WTT: -5.49%
ASX Momo: +1.69%

US
HFT: -7.49% Trading R-1000 & R-2000. Was +8% just a few days ago…
US Momo: +0.58%
MOC: -3.58%
DTVI: -3.02%

[Nick Radge]

US month not complete yet…

[Nick Radge]

Cancellations will only show when TWS is connected to the exchange. If the exchange is closed, such as during our daytime, then cancellations are held on the IB platform and will therefore be deemed as ‘pending’ until they’re cancelled.

[Nick Radge]

Quote:

If I change the Filter box to include ASX300 Current & Past and Exclude ASX100 Current & Past I get CAGR 19.65% and MAxDD 30.7%. I just don’t understand the reason for the difference unless data is wrong.

The data is not wrong.

What is wrong is excluding the ASX-100 Current and Past.

Take a think about it for a moment…

[Nick Radge]

MOC orders can’t be placed in the last 15 minutes of trade, so if you didn’t adjust the cancel time for the shortened day, then any LMT buy orders executed in that last 15 minutes would not have been closed.

[Nick Radge]

To sell bulk orders, assuming that’s all you have open in the account:

TWS > Trade > Close All Positions > 100%

If you have a few more open trades, then it could be best to follow the above protocol, then cancel the others that you wish to retain.

[Nick Radge]

Yes, liquidity and price filter on the XAO. 500,000 turnover keeps volatile nasties out of it.

If you get a real big outlier, then yes, take it out.

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