[RobGiles]

I had orders rejected last night presumably because the “Modify Limit Price Based on tick sizes” was unticked. When will this be fixed?

I’ll send logs in the morning

[RobGiles]

Dustin Johnson wrote:

And another question that I would be happy to receive thoughts on is how much weight you give to pre-2004 returns when evaluating systems, specifically mean reversion systems. I was listening to the Cesar Alverez interview on BST and it does seem logical that the market has changed so much in terms of quant involvement and market structure that anything before the mid-2000s seems somewhat irrelevant for high-turnover systems like MOC and short term mean reversion.

I am specifically thinking about it because I have been retesting one of the systems that I am trading and, rather than optimizing for a historical period, I optimized for the last 3 years. To test the system robustness, I then extended the OOS period backward. Performance is clearly much better in recent periods (even much better going back to 2010), but as you would expect bigger drawdowns are introduced. However, the big drawdowns are really in 2001-2004 and for no apparent reason (i.e. no market crash etc) and the system does just find during 2008, the 2011 volatility and the 2016 selloff. I am really tempted to trade the more recent parameters given that the system weakness was so long ago.

I would add that I kept the Oct/Nov data as OOS data for testing post-optimization and the drawdown for the updated parameters was 18% vs 14% for the old parameters. So perhaps there is more risk with the new parameters but the returns in recent years seem to more than offset the added risk.

The returns and drawdown tables are attached. The one with large drawdowns in 2004 is the one with parameters updated form the most recent 3 years.

Hi Dustin…where did you end up with the backtesting period for the MR and MOC systems? Did you do as Said suggested and use mid values where robustness was evident?

[RobGiles]

Scott McNab wrote:

Rob Giles wrote:

Hi Michael

Despite testing various momentum approaches, when I applied liquidity filters so that I could realistically enter and exit at the tested prices without material slippage, the Max DD just didn’t provide a big enough payoff for the CAR I could get. There’s much more enlightened systems coders in here than me, who I’m sure can get better numbers, but I’m not that smart.

I do think that a lot of the systems we test in here, especially on the ASX, don’t really take into account the slippage at execution if you are trading in any size. I am already experiencing slippage in the ASX Growth portfolio Blue signals when I go to execute, so my performance is unlikely to be as good as that published on the theoretical portfolio. So i am going to focus my efforts on US systems from here on.

Hope that helps.

Hi Rob and Mike,
I can “produce” numbers in the low to mid 20’s for CAGR but when start adding some equity and volume and making some realistic assumptions the returns drop down into the 15-18 range for CAGR …doesn’t look as good as the US systems for sure but I still like having some allocated for diversity and CHESS sponsorship… but suspect Growth system gives you that already ?

Hi Scott,
15 – 18% in real time is good. What maxDD are you getting with that?

[RobGiles]

I guess I’m referring to the fills I’m getting vs the “Last” quote when the signal is generated. There’s been times where in order to get the position away, when you look at the bids / offers racking up pre-opening, I need to place orders greater than 3% in order to get filled.

I’m finding it an issue in my discretionary trading as well, especially running stops intra-day.

[RobGiles]

It would be helpful if you could post the rounding code snippet in here so we can just copy and paste

[RobGiles]

Unticking “modify limit based on tick size” allowed my API to successfully executre trades last night.

My only question is we originally ticked that box for a reason, is there likely to be an issue going forward now that it’s un-ticked?

[RobGiles]

Mine is not working either

[RobGiles]

US MOM1: 100% cash
US MOC: -0.3% for Jan’19
ASX Growth: +1.5% for Jan’19

Across all financial markets I’m still 48% cash. Watching US markets closely this month to see if I will add to discretionary positions.

[RobGiles]

Hi Michael

Despite testing various momentum approaches, when I applied liquidity filters so that I could realistically enter and exit at the tested prices without material slippage, the Max DD just didn’t provide a big enough payoff for the CAR I could get. There’s much more enlightened systems coders in here than me, who I’m sure can get better numbers, but I’m not that smart.

I do think that a lot of the systems we test in here, especially on the ASX, don’t really take into account the slippage at execution if you are trading in any size. I am already experiencing slippage in the ASX Growth portfolio Blue signals when I go to execute, so my performance is unlikely to be as good as that published on the theoretical portfolio. So i am going to focus my efforts on US systems from here on.

Hope that helps.

[RobGiles]

ahh that’s no good. Sorry to hear that

[RobGiles]

Nick was the recent voicing of your displeasure with IB on Twitter relating to the margin issue for non ‘sophisticated’ accounts or was it another issue?

[RobGiles]

Happy New Year

USMOM1 still 100% cash – down 10.7% since inception

USMOC1 +0.43% for the month, down 20.3% since inception.

ASX Growth Portfolio – 0.24% for Dec..
up 29.2% since inception

Couldn’t build an ASX momentum system that inspired me to trade it, so moving on to other research.

[RobGiles]

I am experimenting with a MR system that holds positions up to 7 bars. To eliminate SB I am using the MR_CBT_template. I want to rank all the buy signals by a short period RSI and buy the lowest 20 RSI reading stocks.

Do I simply replace the existing code:

Rank = 100 – ROC(C,3);

with something like:

Rank = RSI(C, Period); ?

How do I get it to rank from the lowest reading to the highest (i.e. so that the weakest stocks are at the top of the list)?

[RobGiles]

You might find this an interesting read Dustin

[img ]https://enjoytherideworld.odoo.com/slides/slide/the-etr-comfort-ratio-a-better-way-to-measure-return-to-risk-21[/img]

[RobGiles]

Thanks Craig

So given you could use either approach, what is the best one to use for a trend following system do you think?

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