[RobGiles]

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

[RobGiles]

With the recent bout of weakness I was wanting to add to my US Momentum system. As this is a monthly rebalancing system, is it still acceptable to add capital now, or should one wait until the start of the next month (and possibly miss the pullback)?

[RobGiles]

Trent Rothall wrote:

Sounds like a fairly random wide spread issue, IB said it should be resolved now. Nick had issues too

How do IB get out of that? If you placed an order and it traded through your level, they owe you a fill right? At least that’s how it worked when I traded Ag futures. Broker f%^*s up, he owes you the fill.

[RobGiles]

Trent Rothall wrote:

I’d be wary of affecting the effect of compounding over the years to come, you would be kicking yourself if you reduced the allocation to a well preforming system to re-balance only to see it keep out preform other systems over the coming years.

I’d agree with that Trent

[RobGiles]

Len Zir wrote:

Rob,
On the other hand, rising interest rates which are still historically low are a reflection of the robust economy in the US. This is the first correction of 3% or more in the last 444 days in the US market. Finally increased volatility should be great for our mean reversion systems.

Hi Len, yes, you make a good point and I seem to remember reading somewhere that at the initial stages of an interest rate tightening cycle, equities can be relatively unaffected, but it can be a different story in the later stages. My view though is that individuals and businesses globally have geared themselves on extremely low rates and if rates were to go from 2 – 4% (a doubling of the funding costs for households and businesses) there will be some pain. Yet by historical standards we would still be at very low rates. If that were to happen in Australia, the mortgage stress would be acute.

Like you I see all this resulting in increased volatility and hence the need for systems that can generate profits from that.

[RobGiles]

Scott McNab wrote:

I have never tried it but it would be interesting to see if any of the charts in markets/us economy could be overlaid as an entry/exit filter or for changes to position sizing in regard to those points Rob

Yes it would Scott, although I’m unsure how to do it. I wonder if Donald Dony (Canadian economist/ trader who presented at Noosapalooza) has one?

[RobGiles]

Scott, do you mean for e.g. that the momentum systems M2M P&L has way outpaced another system (say mean reversion), so you are looking to take profits in the former and reallocate to the latter to bring it back into line where you were at a year ago?

[RobGiles]

Kerry O’Keefe wrote:

Yes all my MRV API fills happened but most of my manually entered orders for other systems were not filled (Buys and Sells) Have 2 separate accounts and was an issue in both!

I did 16 manual MKT on open last night and about 20 round turn trades via the API with no problems for what its worth.

[RobGiles]

mine takes about a minute for up to ~20 round turn trades

[RobGiles]

Nick Radge wrote:

Your US Momentum was -6.5% for the month?

sorry, fat fingers….+6.0%

[RobGiles]

Scott McNab wrote:

I ended up adding a MRV with 2-3 day hold for that same reason Rob…frustrated when closed down on entry day and then climbed back in next few days….MRV can work well in sync with MOC…..MRV helps on those days when reversion comes after a day or two and MOC helps limit downside a bit in those times when it just keeps on falling…gives a bit of diversity for not much extra work on the coding/system design

Cheers Scott, appreciate the insight. Yes I’m keen to develop a similar system as well as a swing trading approach as per Nicks new system. Would be good to share ideas. I’m starting mentoring again next week so am looking forward to increasing the coding skill base and furthering my learning.

[RobGiles]

S MRMOC
+1.0% since inception (16th Aug 17)
-0.7%% for the month
314 trades
Win/Loss Ratio 1.05
*traded intermittently over Jan as was away on holidays.

ASX Growth Portfolio
+22.9% since inception (1st Mar 17)
up 3.5% for the month
Win/Loss Ratio 1.88

USMOM1
+6.5% since inception
-6.0% for the month
3rd rotation tonight

[RobGiles]

Got the most fills on my MOC system last night (22). Disappointed that it was net down 1.15% given its the first piece of vol we’ve had in a long time. Its well within the realms of normal, but just frustrating.

[RobGiles]

Trent Rothall wrote:

I think he is Rob, well that’s what i’m talking about anyway. What are you doing about it?

To be honest nothing at this stage. I’m happy to take the swings and roundabouts for now.

[RobGiles]

Trent Rothall wrote:

I think he is Rob, well that’s what i’m talking about anyway. What are you doing about it?

To be honest nothing at this stage. I’m happy to take the swings and roundabouts for now.

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