[Nick Radge]

I would also add, that if using multiple accounts, ensure the ID numbers are all different.

[Nick Radge]

I think IBKR/BasketTrader had an issue last night. We had orders across different accounts, all unrelated, using different baskets, and none failed to fill. 

[Nick Radge]

0.77, 5.07 and 7.94 are the total return components. They are not multiplied by the allocation percentages – that’s already been done.

When added they come to 13.01, then the additional is the compounding element. 

[Nick Radge]

Yes.

Import:
IncludeList:  AUDUSD

Settings:
Currency:    AUD
 

[Nick Radge]

Here are my two All Weather strategies combined (ASX and US)

Seriously turbo charged bank account. Volatility drops to 7.55%

[Nick Radge]

BatchTrader or BasketTrader?

I have my TWS set to QLD time but times in the order sheet are US Eastern.

[Nick Radge]

Make sure you have

Import:
SaveAs:   XYZ.rtd

Settings:
DataFile:  XYZ.rtd

If that doesn’t work, feel free to send me the file

[Nick Radge]

Hold fire on this line

(symbol=$BTCUSD and year < 2022) or (symbol=$BITO and year >= 2022) or (symbol=$IBIT and year >= 2024)

I’ve only just added the $IBIT part and not sure RT likes 3 symbol references.

Checking it out and will revert.

(symbol=$BTCUSD and year < 2022) or (symbol=$BITO and year >= 2022)

works fine

 

[Nick Radge]

One file here as well.

[Nick Radge]

Alternates refer to assets apart from stocks, bonds, interest rates, commodities or metals. They could incorporate hedge funds, long short funds, etc etc

My Alternates is Bitcoin only. Here is what I use:

Alts:    (symbol=$BTCUSD and year < 2022) or (symbol=$BITO and year >= 2022) or (symbol=$IBIT and year >= 2024) and…

If you’re going to test using the above, ensure the account size is large enough to facilitate the pricing of BTCUSD, i.e. use a minimum of $1,000,000. Obviously going forward you use either BITO or IBIT
 

[Nick Radge]

Not per se.

ETF’s are effectively listed funds, so there is a fee involved in their management. However, as far as we’re concerned, its like futures pricing, funding/management fees are already priced into the buy/sell prices we receive. The only thing we see is the trading commission. 

[Nick Radge]

Here’s the correlation matrix of all strategies

[Nick Radge]

To keep this discussion going, here are the individual equity curves

S1 – short day trade system that trades non-index ETFs

S2 – A long swing system that buys weakness and exits into strength. It doesn’t use indicators – price only. Trades a selection of index ETFs

S3 – This one trades long-only in a selection of index ETFs. The setup / exits are RSI based, but with a few twists. 

S4 – this one trades ‘alternates’ namely Bitcoin ETFs and uses the same setup as S2.

S5 – another price pattern that measures internal bar strength. Long only across a variety of index ETFs

S6 – Another price pattern that evaluates whether the relative change between the opening and closing prices of a stock is significant. Trades the index ETF universe, long only

S7 – this is a new setup from Larry Williams and looks at the relationship between two 5-period moving averages. It trades the same universe as S1, but long side (rather than short as per S1)

S8 – this is my original short-side R-1000 MOC strategy that uses a very simple price pattern in an uptrend. 

[Nick Radge]

I have added two new systems to my ETF Diversifier strategy.

One system is the amalgamation of a short-stock MOC strategy that I used in my MOC strategy (now disengaged). I know that’s not specifically an ETF strategy, but my goal here was to add truly diversified and low-correlation elements to diversify against my many long-only strategies. This short system trades $RUI only, with 7.5% allocation to 5 stocks. Again, the setup is based on a simple bar pattern, specifically

ShortTrigger:     C > O and C > H[1]

As a result, I get an increase in CAGR, a slight drop in maxDD, and a slight increase in volatility. 

[Nick Radge]

February 2024

ASX
Growth Portfolio: +4.13%
WTT: +10.29%
ASX Momo: +8.67%
ASX Momo PLUS: +4.07%

US
HFT: +15.00%
US Momo: +14.66%
MOC: Discontinued / blended into ETF Diversifier
DTVI: +9.18%
ETF Diversifier:  +9.37%

Managed Account
Multi: +9.74% (net of fees)

All Weather
US:  +8.30%
ASX:  +2.81%

Total account was about +10.35% for the month. 

[Author]

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