[RobGiles]

Trent Rothall wrote:

Said Bitar wrote:

wow because it was already a bad week for me in the ASX market but Fairfax was the worst loser.
i put order to sell it monday on the open

It will probably workout in your favour Said because you’ll end up with 1 share in DHG for every 10 as per Robs’s post

yep you’ve got to look at the 2 together and the net P&L…I was actually up on the day of the split up. The other thing is the DHG shares don’t hit your HIN or account until later in the month (forget the date) so my account is down by the value of the DHG shares, until they hit my account.

[RobGiles]

Interested to know what allocation people are giving the WTT system as a % of total investable funds, vs rotation systems.

[RobGiles]

Trent Rothall wrote:

it was similar to my reaction when i looked at IB yesterday and FXJ was down 33%, i was holding it in 2 accounts too! I think i’m ok tho because it was a split.

You’re all good Trent:

“The spin-off of Domain from Fairfax Media has been completed today, with Domain Holdings Australia now trading on the ASX under the ticker DHG.
 
Fairfax shareholders will have received 1 share of Domain for every 10 Fairfax shares held. Fairfax Media shares are now trading ex-entitlement. This has meant a natural adjustment in the pricing in Fairfax shares. At current pricing the merger has come on at a premium.
 
Fairfax Media continues to own 60% of Domain, and we remain positive on the shares, and the related ongoing value driver. We are also positive on Domain and we will be commencing separate coverage on the company.” (From an analyst I follow)

[RobGiles]

Len Zir wrote:

Just finished listening to part 3 of Caesar Alvarez’s presentation on mean reversion trading on Better System Trader where he answered listener questions. Somebody by the name of “Rob” (?this forum’s Rob?) asked what he thought of trading an MOC system with 4:1 leverage. His answer was that it was “suicidal” and guaranteed to wipe out your account. He cited what would have happened to an MOC system during the flash crash and the 1987 crash.
Of some interest my MOC system actually made money the day of the flash crash. Nevetheless interesting perspective on leverage. It doesn’t sound like he uses leverage on his mean reversion systems based on the CAGR’s quoted on his site.

Guilty as charged…that was me!
I’m still trading it at 4:1 but only have small % of my total investment capital allocated to it. I intent to build another MR strategy next year that carries positions overnight, but uses max 50% leverage, maybe none. If I can get > 15 CAGR at zero leverage in a volatile market regime, then I’d like to add that system to my portfolio.

[RobGiles]

Scott,

I look at my MOC system from a diversification of systems perspective. The CAGR is important to me, but I ultimately want a portfolio of about 5 – 6 systems that work in varying market types and are not all closely correlated. I trade mine in a company owned by a trust, not in my SMSF.

[RobGiles]

Trent,

In Commsec I just go to Portfolio / Statements / 2016 / 17 Financial Year Summary and download that. Its has everything you need.

With shares held via IB, I just give him the realised P&L from STT and run a report to capture divis.

Hope that helps

[RobGiles]

Nick Radge wrote:

Why not use Smart API…that’s what its for!

Its for my once a month order placement for rotational system, placing MOO orders. I’m not an IT expert so was unaware I could use the same API that’s managing my MOC system, if that’s in fact what you are saying? If I can use it then I’m all ears about how to make that happen.

[RobGiles]

Instead of manually entering a bunch of orders, has anyone tried using the TWS Basket Order functionality? I’d be interested if you’ve found it more efficient than keying multiple orders into a TWS Order Ticket window.

[RobGiles]

Kerry O’Keefe wrote:

US MRV 4.3%
US Momo 6.8%
US Aggressive Momo 8.3%

Markets were good to lots of us this month!

Kerry, how many positions in your US Aggressive Momo?

[RobGiles]

Good luck with the US Rotn system Scott

[RobGiles]

Scott McNab wrote:

Congrats on the milestone Rob…always exciting to go live with a new system…all the best

Cheers Scott. Now have to decide how much capital to allocate to it….proving to be a harder decision than anticipated!

[RobGiles]

US MRMOC
-0.5% since inception (16th Aug 17)
up 2.1% for the month
132 trades
Win/Loss Ratio 1.09

ASX Growth Portfolio
+9.11% since inception (1st Mar 17)
up 5.1% for the month
Win/Loss Ratio 1.48

Have done more work on the Momentum Rotational system and got it to where I’m happy. Have looked at the 20, 15, 10 & 5 year backtested performance. Tuned it for the past 5 years. Believe its a very robust system with few degrees of freedom, based on Clenow’s approach.
– S&P500
– Monthly rebalancing

Looking to invest at the beginning of the month, so after tonight’s session. Hopefully this doesn’t mark the end of this current bull market!

[RobGiles]

I notice that you can only go back 7 days in Trade Log to download trades. Would like to know is it possible to download trades beyond 7 days in a format that is the same as the download you get through Trade Log. I know you can create a custom report in account management, but the formatting is a pain in the arse.

[RobGiles]

yep

[RobGiles]

FYI, I’m still having issues with the Trade Log generating historical trade reports for anything further back than 2 sessions. It’s supposed to give you trades back 7 sessions….can anyone share how they download trades further back than 7 sessions in a format that’s up loadable into STT?

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