[RobGiles]

Travis

My view is that if it doesn’t compromise the essence of the system and it makes it easier for you to trade / fits your beliefs about what prudent risk management is and you’re prepared to do the extra work, then re-balancing makes a lot of sense.

[RobGiles]

Hi Glen and good luck.

[RobGiles]

Len Zir wrote:

I run my Nasdaq and US MOMO strategies with a lot of money on multiple retirement and personal accounts at Vanguard. They charge $2.00 a trade and there is essentially no commission drag. I only run my US MOC with IB with a relatively small amount of money because of the API and frequent trading.

Nick,
Do you mind sharing which broker you hold your US rotational system positions with?

[RobGiles]

Kerry O’Keefe wrote:

Hi Rob, I also trade my MRV on R2000. Something to really take into account when back testing would be the unreliability of getting a fill on a lot of those stocks. In real trading I miss a decent number of the big winners you’ll see in a backtest.

The issue quite often is there will be a LOW of the day that has one trade, or is some other special type trade that you won’t get a fill of course – and they always be winners in a back test!

Also not sure if you’re holding overnight or MOC, but if holding overnight be prepared for some pretty decent gaps down when you’re lurking in the R2000 haha.

That said the volatility of it still can produce results.

Cheers Kerry
Yep, I’m looking to hold positions for up to 7 days, so I would be getting nasty surprises on large down days. Have you come to any conclusions about how much lower real time results are likely to be relative to back-tested metrics as a result of the fill issues you describe above (thanks for the heads up on this, I wouldn’t have factored that in)?

Have you explored other indexes to trade the same / similar systems on (like NASDAQ for e.g.)?

[RobGiles]

I’m in the process of building a swing trading system. I’ve looked at the Cesar Alverez article posted by Maurice, which has been a great source of ideas, but I’m finding many of them are giving ho-hum results. I’m trading at 50% leverage max 20 positions as I don’t want another 4 x LVR system. To date I’m looking at the Russell 2000 and the following approaches:

Using RSI oversold as an entry / overbought as an exit with a secondary stale close exit
MAR Ratio 0.91
CAR 17.8% (would like to see this at 20%+)
Max DD -19.2% (trying to get this < 15%)
have played around with changing liquidity filters, ATR stretch entry parameters, RSI entry and exit parameters, stock and Index MA filter values, number of stale exit bars

Using RSI oversold as the entry setup, short term MA as the exit, with a secondary stale close exit
MA(3) gives me MAR of 0.98
CAR 17.7%
Max System DD -17.6%

Have also looked at “x” days down as an entry, which is also not that encouraging, but will persist in playing around to see if I can improve it.

FWIW (for what its worth!) I have the following objectives:
CAR >20%
MaxDD <=15% aprrox
Max LVR 50%

Any tips, pointers would be appreciated.

[RobGiles]

Trent Rothall wrote:

I’m all good now, checked this morning and my Acc is up 1.5%. US trading is a thing of beauty when it’s going your way

mine was all back to normal as I placed my orders at 9:00pm WA time

[RobGiles]

I just logged into my Account Management / Reports / PortfolioAnalyst and it has my full NLV there, but when I log into TWS it has 0 open positions and over 50% of my equity has gone. I spoke to the sales rep who set me up on IB and he’s getting hammered with calls and fobbed me off to the support desk (currently on hold for 10 mins), but insisted its a technology issue with TWS.

[RobGiles]

When my API sent orders to TWS last night the following 3 symbols were immediately flagged as “Rejected”: XYL,EMR, C.
Is this something to do with symbols that should appear on the “exclude” list?

[RobGiles]

I had 12 MKT On Open orders last night that all got filled at the opening price for what its worth.

[RobGiles]

US MRMOC1
-12.3% since inception (16th Aug 17)
-13.3%% for the month

On 5th Feb (largest ever sell off day S&P500) the API left 2 positions open. I freaked out as I wasn’t confident the software could handle the large amount of orders I was routing in (299) and the fact that it was leaving me with exposure, so I didn’t trade the following day which cost me 12%. Nick came out with a patch to slow down the amount of instructions / second that the API was feeding into TWS that arvo,so placed trades the day after. This cost me 12%. I should have placed the trades manually the 6th Feb while I waited for a technology fix on the API before using it again. Costly mistake, lessons learned, luckily I’m only trading the system with small $$.

ASX Growth Portfolio
+25% since inception (1st Mar 17)
up 2.0% for the month
Win/Loss Ratio 2.48

USMOM1
+2.7% since inception
-3.3% for the month

4th rotation tonight

[RobGiles]

Nick Radge wrote:

Well, the Russell 3000 is a significant universe so I’m not surprised.

Any system that has a simplistic entry, such as WTT or 20% Flipper, will have major selection bias issues in such a large universe.

If you wish to use that universe, then use price and volume filters to dilute, although even then it will be significant.

In my ASX Growth Portfolio we use a few filters:
– I trade only industrial stocks outside of ASX-100
– we use a market momentum filter which basically looks for entries only on stocks that are trending harder than the underlying market.

Thanks for that insight Nick. Are you willing to share whether the measurement of the momentum of the stock relative to the underlying market is based on regression analysis and the relative slope between the two?

[RobGiles]

One of the daily market wires I’ve read for the past 5 years had some interesting comments to make about rising interest rates resulting in increased volatility:

So getting back to the sharp correction last week, I think it was more about the market reacting to the sudden break from the ultralow volatility levels, and acclimatising to the reality that interest rates need to rise.

It was a volatile week and placing this in perspective with history, the S&P 500 Index’s 14-day relative strength index – a technical gauge of the magnitude and speed of price movements – has swung 57 points lower over the past two weeks. Bloomberg highlighted last week that this was the biggest such reversal for the S&P500 in history, with the next biggest swing being a 47-point reversal during the 1987 crash, thirty years ago. There is a generation of market participants that have not experienced this much volatility.

So it will take markets some time to accept that interest rates need to rise, and that volatility is not going back down to the low levels we saw during the goldilocks era. But recover the markets will.

Last week reminds me a little of 1987, where the US economy had a strong corporate sector and solid economic fundamentals, and volatility levels peaked early after October that year, and recovered relatively quickly. US interest rates were also much higher back then. We believe that markets reached a climactic selloff last week and the correction of 10% that we were looking for is now in place.

[RobGiles]

Thanks Maurice, I found this very useful.

[RobGiles]

Julian Cohen wrote:

I’m just doing it all now to be sure.

When I put it in it was a very small difference to the results from 2010-2017 and the selection bias was about 1% improved so I used it.

Without it yesterday I had 150 entries. With it I had 28

So 99% of the time it does what I thought it would do, but that one time that makes a big difference to the P/L it didn’t

thanks Julian….how do you plan to handle days where large number of entry orders are routed to TWS. Tonight I have over 280.

[RobGiles]

Nick Radge wrote:

Quote:

thanks to an API failure I couldn’t trade last night. I was down 9.7% the day before.

We’re not sure if its an API failure or not. Two missed MOC orders out of 40 in those conditions is hardly a failure.

I had 6 MKT orders failed to execute but it didn’t stop me taking the trades last night.

So I’ve now been told that TWS can only handle certain amount of orders from an API feed….i.e. I probably had “too much traffic trying to go down the pipe”. Don’t know if anyone else has ever experienced this issue? I had 299 orders placed via the API that night. I’m in the process of trying to find out exactly what the maximum number of orders can be handled by TWS via an API feed. I presume others will be interested given there’s a number of us here who trade a MOC system with max # positions = 40.

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