[RobGiles]

Tone was fine and it was a helpful reply, so no stress Scott, but thanks all the same:)

[RobGiles]

Hi Len,

Thanks for raising this as I am intending to have 2 different MR systems as well, one being a MOC system which I’m going live with tonight. For what its worth, when I finish coding up the 2nd system, if it has a correlation as low as 0.37, then that would achieve my aim of having two MR systems that are essentially not correlated, hence I would trade both.

[RobGiles]

sounds good. cheers

[RobGiles]

Cheers Julian,

So for a US based MR system on the Russell 1000, would you use all 3 exclude lists?

Please excuse my ignorance, but Re Island exchange (called INET now I believe?), is that NASDAQ stocks only?

[RobGiles]

Julian, does this code need to be added to a MOC MR system that trades the Russell 1000?

[RobGiles]

thanks for listing these stocks. For good order’s sake, is this the current list?
NWS
DISCK
BF.B
CMW.AU
NWSA
USW-200006
FOXA
CSCO
FGX.AU
INTC
FCE.A
MSFT
LNG.AU
BRK.B
FIVE
WCC
OIS
FRGI
IIVI
SGMS
NTCT
AMAG
WCIC-201702
TIVO
LITE
IDCC
LPLA
KEX

[RobGiles]

OK, this is confirming what I was thinking. Ongoing guidance for system 2,3 4 etc once an initial system is completed sounds like a plan.

[RobGiles]

thanks Scott,

Yes I can see that an investment in getting the wrinkles ironed out of new systems by Nick & Craig in the future is money well spent.

[RobGiles]

As I’m about to go live with my MR system, I’m now spending as much time as possible building simple test systems, so that I can get the hang of coding whilst I still have mentors.

I’m still finding the coding of different systems fairly challenging. I’d be interested how many systems did others code themselves before they got a level of confidence that they could do it without Craig checking the code is all OK.

[RobGiles]

OK, I’ll look at Speedytradingservers….

Would Chicago be a better option than NJ?

[RobGiles]

Trent
are all your ASX positions held on IB?

[RobGiles]

For what its worth, the ETF’s I’m looking at are:
DIA
EEM
EFA
EPP
EWA
EWJ
ILF
IWM
IYR
MDY
QQQ
SPY
TLT

[RobGiles]

Hi Stephen,

I’m based in Perth also. Happy to catch up at some stage.

[RobGiles]

I’ve got my MR system to the stage where I have a good understanding of the selction bias issues and dealt with them to a level I am comfortable, I have optimised one of the filters that has given a material improvement to the results of the back test, and I have run a MCS over 10 years using a 10% seed which has produced results that are encouraging. I am now ready to look at random trades to see if they are the same as back test results and then I guess its time to set up my trading IT infrastructure (VPS and API) and hopefully let the rubber hit the road.

[RobGiles]

Doesn’t make you a bad person

[Author]

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