[OmarAouane]

Hi Seth,
congrat on your great July.
After a chat with Nick, I jumped into the MOC pool. After few days of research, I got some first decent results that I will submit soon. The 0.2% avg trade makes me a bit nervous. I would be very interested to know what path have you been investigating when you started? I started the simplest way possible, like ATR make an X day high.

[OmarAouane]

Thanks for the confirmation to both of you.
Craig, I am in process of switching to the CBT MR template and will sending the code once clean and complete.
Still a bit messy right now.

[OmarAouane]

Is it incorrect to code an MR strategy without the CBT template?
From my understanding it is needed if I enter on limit orders?

[OmarAouane]

I had this experience many times trading futures systems and was often bad sign for their lifespan hahah
That very nice from you Seth to offer help, I will start to dig seriously this week end. Quarantine was more relax in Switzerland ( no lockdown) but social life is slow, I take advantage to spend more time working and grasping system concepts.
Btw i like your bio desciption, i am in the same kind of mood

[OmarAouane]

Actually I was hearing an opposite story about robinhood traders. The mainstream story is to call them dumb money. We are all dumb money in the market at one point of time. But it seems a good chunk of them are engineers at google and other tech firms or associates/graduates at investment banks. Whatever…

[OmarAouane]

I understand your choice Seth but I see it as a slightly superior way to track the market with little workload.
MOC is still unchartered territory for me and will probably my next step but it is a complete new concept to me so Iwill have to find out where to start with.
I am the wrong person to speak about leverage hahah, I am completely against it . I intend to trade my own capital with those systems. For me, using -excessive- leverage means that you hope to never be unlucky (= being lucky) and as they say your worst DD is always in front of you.
I am based in Switzerland close to the Italian border.

[OmarAouane]

Just browsing through this very interesting thread, a potential logical explanation for the robustness of this ranking method could be that those slow and steady growers would be more mature companies with a higher absolute share price and consequently higher ATR.

[OmarAouane]

Thanks for the explanations Glenn.
Here is my first feedback. For infa, I am developping my first system that is a variant of the BBO on weekly timeframe on the Russell 1k.
I applied your concept in a simple way, meaning calculating the 20wk ATR vs its 40 wk MA, when above, vol is high.
On the CAGR front not much improvement, but big improvement on the DD being reduced by 30%. At first glance, it seems all the big down months get halved hence the improved risk/return ratio.
One little warning tough, I get this improvement between 2005 and 2020 (including last crash) but during the 2000s dot com bubble, there is a signifiant deterioration of return for the same risk. Probably because the market was much more upside down at this time.
Will keep investigating but it can be an illustration of ever changing markets.

[OmarAouane]

Hi Glen,
Congrats on the results and for bringing on this smart volatitily concept.
When you define high volatility, do you measure it on relative basis from the last 20 weeks for example or in absolute terms (20 wk ATR above 2%)?
Will test both method but glad to have your input
Cheers

[OmarAouane]

Hi Scott,
I am using this path of thinking to hedge Amibroker systems using futures systems on TradeStation. I have coded many futures systems using Easylanguage. If you know which set up to play a breakdown you want to code. I will be happy to try to code it and sent it out
Let me know

[OmarAouane]

Hi Justin,
about to start my journal after 1 month into the course and only in the system development part.
Ready through the forum, I am impressed by the returns of the various MOC systems while my first TF system is hardly beating the S&P 500 on my testting period (2006-2016).
To keep going your discussion about which system to use, I am convinced that the lower CAGR of trend following systems is the price for much greater robustness going forward. On a long enough period, there must be up trends on the stock market, in a similar way that economic GDP is mostly trending up. Not qualified yet to comment on MOC systems
Just my 2 cents…

[OmarAouane]

Hi Nick

The recording link is not working for previous call?

[OmarAouane]

Thx Nick, very interesting to hear to that, let s see what the future brings

[OmarAouane]

Hi Seth, Thx for the support, indeed building up confidence is what convinced me to cross the line and try this course.
Let s hope you are right!

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