[RobGiles]

Thanks for your insightful feedback guys, I appreciate it. Would it be too hard a line to take to say that backtesting for systems that have > 2% SB is of limited value then? If all it takes is a couple of days to “tank” your system as in Scott’s case, then how can you even place a remote degree of confidence in the results? The only way to fix it as I think Julian is trying to do is get to a place where you have close to bugger all SB? Just thoughts for debate.

[RobGiles]

Hi Scott, Trent, Said, Julian, anyone else interested in MOC systems….

As you know I’ve only been trading mine for about 10 days and am yet to experience a situation where there are more possible fills than capital. Reading through the various posts on the forum on MOC systems and the issues around SB, am I right to assume that the MCS analysis and backtest results I did for my system are unlikely to be realised?  It seems that most people are getting significantly poorer performance than anticipated.  If so are we in the wrong market type to be trading such a system? Has anyone traded such a system for greater than 12 months and happy with it?

[RobGiles]

Thanks for that Julian. Why is the ASX a market that you guys have been targeting to trade a MR system? Is it so that you can keep capital working around the clock? If so, would any of the Asian markets be any good?

BTW, is there anywhere in the forum where MR & MRMOC systems actual annual performance figures have been recorded for the US market?

[RobGiles]

Said,
Is the gut feeling here that a MRMOC system is not as suited to the ASX as, lets say, the Russell1000. Would a MR system that held positions for more than 1 bar work better, or is the low of the day issue going to persist regardless? Or have I completely missed the point here?

[RobGiles]

got it…thanks

[RobGiles]

I’m not sure I understand what you are asking here Julian. I just run the 1 recent day backtest to see what fills the system should have got and compare it to IB fills to check system accuracy (i.e. I’ve been doing it daily…..for a whole week…the extent of my fully systemised trading career!). Is that what you are doing here?

[RobGiles]

Julian Cohen wrote:

Rob Giles wrote:

I’m a bit over a week into trading my US MR MOC system. Had a couple of teething problems with the API, but seems to be working fine now.

One thing that came up today, my system generated 5 fills for Thursday’s session, but IB only gave us 3. The other 2 were not filled because the orders were unfilled at cancellation time (i.e. 20mins before the close) but my limit levels were reached during the last 20mins of trade, hence the backtest shows 2 extra trades. Has anyone had this happen to them on their MOC systems?

I’ve not had that before. Were they losing trades? My thinking is that if a stock has gone through my buy point in the last 20 mins of trading the chance of it going up again before the close is not worth the risk of entry

I tend to agree. If one could be arsed, it would be interesting to see if the intraday data supported that view.

[RobGiles]

yeah they were both losing trades so was in my favour. My question is how out of whack is the backtest vs reality?

[RobGiles]

I’m a bit over a week into trading my US MR MOC system. Had a couple of teething problems with the API, but seems to be working fine now.

One thing that came up today, my system generated 5 fills for Thursday’s session, but IB only gave us 3. The other 2 were not filled because the orders were unfilled at cancellation time (i.e. 20mins before the close) but my limit levels were reached during the last 20mins of trade, hence the backtest shows 2 extra trades. Has anyone had this happen to them on their MOC systems?

[RobGiles]

Thanks for posting these…Dumb question for the month…How do you generate those MaxDD graphs and the monthly tables as its not out of STT?
cheers
Rob

[RobGiles]

Thanks Zach. How did that work for you?

[RobGiles]

I think the concept of recycling capital via a MR MOC strategy in the US time zone and then in the Aussie is really smart, assuming the ASX provides enough liquidity, which no doubt you’ve looked at. What about MR MOC in another market in the similar time zone as us, such as HK, Japan? Has anyone looked at that?

[RobGiles]

Interesting. So clearly a large bent towards the higher CAR MR strategies.
Does the leverage “scare” anyone? (don’t know why I asked that question, just felt I had to!).

Has anyone done any work on over / under weighting certain systems when market conditions change? ( I know this is not so easy, I guess it would involve some kind of MA index filter).

[RobGiles]

Cheers Cuzzy Bro….have I earned that invite on your yacht yet?

[RobGiles]

I’m live with my MR MOC system. Got my 1st fill last night (yes just 1 fill!). API worked fine on the VPS, all unfilled orders cancelled at correct time. It even made a profit. Trading with small size real money for the next week to ensure I get the hang f it then will ramp it up to production level position sizing when I feel comfortable.

Thanks to all those that provided feedback / guidance / encouragement through the development phase.

[Author]

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