[ScottMcNab]

Hi Julian. Thanks for taking time to update. Interesting stuff particularly in light of the number of years you have been trading and coding. Are you able to share more regarding the aspect of dailies not living up to backtests ? Were you able to determine if this was missed entries on longs or inability to borrow stocks to short or something else entirely (I think you were using a slightly more involved system that selected or weighted sub systems on some sort of correlation matrix ??) Or was this a minor component in the switch into the longer time frame ?

[ScottMcNab]

Nov 2024

MRV1  1.2%
MRV2  1.0%
MRV3  2.8%
MRV4  1.0%
MRV5  1.5%
MRV6  1.3%

[ScottMcNab]

Although not directly applicable, my MRV shows a similar pattern…RUI equity curve smoother (but shallower) rise while USA shows sig dip in 2022 and flat 2023 (as does RUA but to a lesser extent). The shape of the curve with USA varies so much however depending on how I filter liquidity (volume/price/shares under 1% of total volume) and limit extra setting selected (starting to use 0.05 when using total USA now). It would be too good to be true I guess if simply dividing each MOC system into 2 subsystems that defined the liquidity selection criteria differently combined to produce a smoother curve without having to change anything else

[ScottMcNab]

Just had a flash back to 2016 (?) election when was news sites started reporting that Donald Trump was likely to win election and markets were tanking. I was at work at the time when I heard so I must have been trading ASX back then for it to be an issue I guess. I remember exiting the market with my laptop from work and then watching it rebound after I closed all my positions. Lucky I will be asleep for most of the time US markets open (and not trading ASX at moment) this time. I imagine it will still be an interesting ride until the uncertainty is resolved. 

[ScottMcNab]

For all you jet setting adventurers out there looking to download something for the plane or airport lounge “Slow Horses” is worth a look….British drama / dark humour done well..on apple tv but could also be elsewhere 

[ScottMcNab]

Oct 2024

MRV1  3.5%
MRV2  4.1%
MRV3  1.9%
MRV4  1.4%
MRV5  -3.2%
MRV6  -1.4%

[ScottMcNab]

Sep 2024

MRV1 -1.3%
MRV2  2.9%
MRV3  4.2%
MRV4  3%
MRV5  6.2%
MRV6  0.1%

[ScottMcNab]

Aug 2024

MRV1  -0.5%
MRV2  -4.1%
MRV3  -5.6%
MRV4   0%
MRV5   -1,7%
MRV6   -5.7%

system on RUI (#1) faired relatively better than same system USAexRUI (#6) this time around…swings and roundabouts

[ScottMcNab]

Hi Ben,

Just looking at R1000 that is a lot of trades to play with over that time period (but then I am not sure how many positions system allows). It may be possible to increase the expectancy and reduce maxDD without harming cagr too much by being more selective with entry. I am guessing that your entry is buylimit which is already using some sort of volatility/atr stretch ? Maybe you could just make the buylimit more stringent (eg use L- atr rather than C-atr stretch) or perhaps increase the stretch further when your index and/or stock filter indicates increased risk ?

[ScottMcNab]

received a spanking this morning …. jmia

 

[ScottMcNab]

MRV1  1.4%
MRV2  1.3%
MRV3  4.6%
MRV4  3.4%
MRV5  3.3%
MRV6  7.3%

As may have mentioned before, systems 1 and 6 are exactly the same but just on different universes…interesting how much better MRV6 (USA ex RUI) was this month compared with MRV1 (RUI)…from a quick look at trade list seems to be a combination of picking up a few large moves as well as side stepping the tech tantrum in the later part of the month

[ScottMcNab]

I received the following warning when loading orders tonight and was hoping others might share their action when seeing such a message from IB.

For context, TER closed last night at approx 143 with an earnings release after 5pm…..my buylimit order was placed at about 140 but I can see some after hours trading has the last trade currently at about 133 so it seems some people are unhappy with the news.
Any recommendations on whether:
a. cancel trade
b. move buylimit to price cap of 137.93 

All responsibility on me, of course, for the choice but wondering if others more knowledge than I (ie everyone in forum) have a plan for these situations?
 

[ScottMcNab]

I didn’t pay enough attention to tax at this stage of the course (not to say you’re not of course) when considering system design. Where I live taxes on short term systems can be very high…meaning I need a cagr of over 20% to beat what a long term / low turnover etf or stock system in a low tax retirement structure can achieve with relatively low volatility. May be relevant…or not

[ScottMcNab]

June 2024

MRV1  2.5%
MRV2  0.8%
MRV3  0.4%
MRV4  8.8%
MRV5  2.1%
MRV6  0.8%

[ScottMcNab]

May 2024

 

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