[OliverBenson]

Hi Gents,

I read the same Cesar Alvarez post about ranking. I have found in testing my MOC short system that Rank = 100+(ROC*HV) tests really well (better than 100+ROC or 100+HV). My long MOC ranks by 100+HV(20) – also plagiarised from Cesar Alvarez.

I’ll have to test 100+(ROC*HV) on my live long system now (although I feel like I shouldn’t really be messing with it seeing as I’ve only just started trading it…).

In general I have found that the ranking method has a huge impact, probably more than anything else. But my experience is very short lived and I have only ever looked at MOC systems.

[OliverBenson]

Hi Julian,

Thanks for your message.

Yes I’ve being reading the chat about Realtest. I would love to check it out but to be honest I feel I have a long way to go before I am anywhere near fully confident with Amibroker and don’t think I can handle a war on 2 fronts yet!

To track performance I have come up with this (probably crackpot) plan…. please bear with me this is probably way off the mark but I think it makes sense in my head….

Each day I should;
– get the total account balance from IB
– run the exploration in Amibroker for both long and short systems with the full account balance at 20 x 10%
– load all 40 orders via the API
– next morning reconcile trades on both systems and upload into STT in which I will be able to filter for 2 sets of P&L (for long and for short).

Then at month end;
– For example purposes assume I start month 1 with $100;
– Long system makes $8, Short makes $2. Month end balance is $110
– I will maintain 3 copies of Nick’s ‘Performance Table’ excel sheet (one for long, one for short, one for combined).
– Combined sheet. At month end, enter the total net P&L ($10). This shows CAR of 10% and month 2 starting balance is $110
– Long sheet. At month end, enter the long only P&L ($. Then put $2 in the deposit column – this sounds weird but it’s the only way I can think of to keep the CAR as showing 8% but also start month 2 with the correct starting account balance ($110)
– Short sheet. Same principle, put $2 in the P&L column and $8 in the deposit column giving you 2% CAR and $110 starting account balance for month 2.

I hope that doesn’t sound too overthought, wrong and/or silly…I’d be very grateful for your thoughts.

Thanks again.

[OliverBenson]

Hi Terry,

Thanks very much for your message.

That makes sense, I have noticed already with the long system that the fully loaded days tend start with a big gap down across the board so I envisage busy days in one direction but not often in both.

It’s not so much that I am worried about margin calls, more that I want to know how each system is performing in relation to my backtests so that I can evaluate periodically and hopefully identify issues more easily than if both systems were combined.

[OliverBenson]

April 2021 (Since go live on April 9th)

MOC Long 1 – 4.61%

Still can’t believe it! Actually buying and selling stocks… making PnL!… Amazing. And a nice bonus that month 1 is green (hopefully not just beginners luck).

[OliverBenson]

Hi All,

I got a partial fill in $TXG on friday at $188.85 (my system buys with a stretch limit entry 0.3 ATR below the prior day’s low). Norgate data shows the low of the day at $189.03. I checked time and sales in IB as Nick showed me how to do, and found the trade. It had the initial ‘I’ which apparently means ‘Odd Lot Trade’.

Nick has explained to me previously that this kind of thing (getting filled outside of the official day’s trading range) happens from time to time but I just wanted to run it past you all to see if anyone else had the same happen, whether it happens regularly and whether in the long run these kind of things have much of an impact?

Any feedback would be much appreciated, thank you in advance.

[OliverBenson]

Hi Rob,

Thanks for your post.

In hindsight, my biggest challenge during the course has been over thinking and second guessing myself. I also found it hard to come up with original ideas so spent ages tinkering with the same things when I would have been a lot better off experimenting more freely. It’s almost like I’m scared of getting a poor backtest result (crazy right!) so once I had found an idea that kind of worked, I clung on to it and was too nervous to deviate and try other things. I also had in my mind I had to create this perfect system and this led to a whole lot of overfitting and self deception. I ultimately came full circle back to what is a very simple system with just a couple of entry criteria.

It’s a great feeling to be actually trading after all these months of introspection and self scrutiny. I am going to have to be disciplined about trusting the work I have done, leaving the system alone and letting it do it’s thing, whilst moving on to developing the next one.

[OliverBenson]

Haha well it’s my fault really Scott, my spelling is fracking terrible.

[OliverBenson]

Yes it was a very ‘crude’ attempt….

[OliverBenson]

….and haha great start, I mis-spelt my own name in the title of the post!

[OliverBenson]

Hi Howard, how about that coffee?

[OliverBenson]

Thanks Magnus. Likewise.

[OliverBenson]

Small world. Yes definitely.

[OliverBenson]

Thanks Howard, you too. Greetings from sunny Finchley.

[OliverBenson]

Thanks Trent, good to meet you.

Yes it’s great when it works!…

[Author]

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