[RobGiles]

Hi Roberto

Welcome

[RobGiles]

Just checking something here…..I am trading the ASX Growth Portfolio Blue Signals. I want to add diversification to my overall investments. Would i be achieving that aim by trading a momentum system on the All Ords (i.e. would you expect a lot of duplication of positions here)?

[RobGiles]

I had about 5 tabs open at the bottom of TWS and it was the options screen that was consuming 95% of the CPU capacity, with 85% Memory usage at the same time. Turning this off helped.

My internet speed is appalling.

[RobGiles]

Thanks Said. Mine is taking “more than a few seconds” i.e. it is still frozen after 1 – 2 minutes. It seems to worse half an hour before opening. I’ll try placing my orders way earlier to see if that makes a difference.

[RobGiles]

According to my accountant,

” a SMSF must run on Capital account and can not run on Revenue account (which makes sense when I think about it as a super fund is not meant to run a business).

Therefore, it doesn’t matter how many trades are done with this answer.” but of course you should check with your accountant to make sure they agree

[RobGiles]

I’ve had an issue with my API sending orders to TWS in the last 4 trading sessions. The API states that it is connected to TWS, but once I hit the “Send Orders” button, it freezes and I get a “Not Responding” message in the header bar of the API. I have to force close the API 2 – 3 times before it will behave itself. Any ideas why this is happening?

[RobGiles]

Julian Cohen wrote:

If you reckon you would be able to trade through that period of underperformance then no problem with the system. I know myself and I wouldn’t so I need my systems to show me they are working to keep my confidence level in them high.

You make a good point here, and to be honest I would probably feel the same way. Not sure if you’re willing to share your momentum measuring method, but mine was ROC in this case.

[RobGiles]

forgot to add, I had no liquidity filters in my ASX100 system (assumed top 100 Co’s would be fine). Assume you’d need them if testing on the whole ASX ($XAO)?

Weird…my results were opposite to yours. When I test the system (with no liquidity filters) on the All Ords I get:
1998 – 2007: 36% and -29% inc. resources
1998 – 2007: 24% and -19% excl. resources

2007 – 2018: 10% and -30% inc. resources

So back to the original question….should one re-optimize on the most recent 5 – 10 years? Anyone got a view on this?

[RobGiles]

Thanks Julian….it helped make me very envious of your metrics ….no seriously it gives me a good benchmark to aim for.

Assume that the values for your system variables were left unchanged for each backtest in each period? Also, is the max DD about as much as you can stand psychologically?

[RobGiles]

Great to see you joined Thibaut.

[RobGiles]

Just as a heads up, if you’re a Commsecone client, you can get 30% off the annual subscription to Stock Doctor

[RobGiles]

Nick Radge wrote:

Just check the ranking decimals. You may have had two stocks with the same rank. You placed one and the backtester picked up the other.

If its only using two decimals, increase to 6.

Spot on Nick thank you…that was it. I am using 2 decimals & had 3 stocks with a ranking score of 101.45.

[RobGiles]

Hi Guys

Last night I ran my CBT exploration, ranked by ROC, and took the top 40 orders and placed them as usual. Today when I ran my backtest to compare actual with B-test fills, I was missing a fill (I got 5 the b-tester got 6 fills). The missing fill however was the 41st ranked stock on the exploration. I thought my b-testing code should only take the top 40 orders into the market but clearly it hasn’t in this case. Would be very appreciative if someone could shed some light on why this would occur.

[RobGiles]

why trade so many positions? Easier to sell a “well diversified portfolio” perhaps?

[RobGiles]

Current Mix:
ASX Dividend Portfolio (20% Stop) 12.0%
ASX Long Fundamental with Technical Overlay (20% Stop) 25.0%
International Equities Fundamental (20% Stop) 22.0%
ASX Mid Cap Growth (Trend Following) 22.0%
US MOC System 1.5%
USMOM1 System 5.0%
Discretionary Trading 12.0%

Total 100%

[Author]

Posts