[ScottMcNab]

In which software Nick ?

[ScottMcNab]

From what I can gather, I think it was because there was a setup on the 2nd (which was not triggered on the 3rd because the low was not below the buylimit) and it therefore meant it was not eligible for the next setup on the 3rd and entry on 4th

[ScottMcNab]

Looking for help to determine why AB will not take a position in stock NNN on 3Mar2021 please
system has very simple rules:
C>MA(C,100)
RSI(2)<10
buylimit: L – 0.5*atr(10)
RealTest will take this test but AB will not even though both conditions are met
How can I determine what the error that I have made is please ?

[ScottMcNab]

Nic wrote:

So its been a little while since updates. I’ve finished going through the theory section and have been playing around with a mean reversion based system.

Essentially this one uses a z-score to find a value away from the mean. I think the results are not tooooo bad except for 2018 onwards. However I seem to be going around in circles ATM trying to figure a way to curb that level of drawdown.

If its not too much, maybe try adding one more parameter ?…such as
C>MA
IndexC>IndexMA
ROC(C)<-?
C 3 lower lows
variable PS (lower PS if C
variable stretch for buylimit

[ScottMcNab]

forgot to change

SetSortColumns(-30);

I did do that for the first 2 systems converted a few weeks ago and was fine…forgot to change it on the weekend when converted the other 4 systems over

[ScottMcNab]

[hide][/hide]I found out what it is but not sure how I’ve screwed it up
Changed all systems to new API over weekend and added 3 new lines into exploration to import into API via excel

here is the rank from old system before add those 3 lines in

and here is the ran when I add those three lines in…the ranking order no longer corresponds to the actual ranking scores

I’m a fkn idiot with this whole Amibroker thing…still

[ScottMcNab]

Anyone find difference between trades taken live and BT in last 24-48 hours ?…seems I’ve mucked something up with database…4 systems suddenly out of whack…2 been almost flawless for 12 months

[ScottMcNab]

I am “experienced” only in changing systems too often in the first few years. I think it is only natural initially as the learning curve is so steep that so many new ideas come along very rapidly and as test them on the original “robust” system it is not unusual that these new ideas improve the back test significantly. Nick posted a while back that one way around this is to wait until the end of the year and implement change(s) at that time if they still seems a good idea. I now do that. Sometimes the idea is enough to form a new system entirely rather than improve an old one which is nice when it happens.

[ScottMcNab]

Glen Peake wrote:

Gotcha….!! Index Filter kicked in, in March/April.

Gotcha ..doesn’t have an index filter

I just ran it on 2008 out of interest (slow day at work so far)

[ScottMcNab]

Glen Peake wrote:

Wow Scott…!!! +200% return for 2020, that’s huge…. be nice to go back in time to the start of 2020 and start trading this system!! ….. Looks like this system might be very handy for when the next Pandemic hits

This got me thinking Glen…it is designed to work for stocks near their highs..or at least well above their MA and in an uptrend (to try and reduce correlation with other MRV systems)….so I ran a test over 2020 alone…will prob only help me if in the next pandemic experiences the same unusual rebound..switched itself off during the drop

[ScottMcNab]

I have a futures acct with Tradestation…. another option in case IB application becomes too onerous.

[ScottMcNab]

oops…sorry about that Glen…2000 trades
is on USA stocks (> $1 and > 1 mill turnover)..will post RUA results below (not enough exposure unless “loosen it up” in which case prob similar exposure and maxDD to what you mentioned)
10×10
very lumpy returns but it is what it is I guess

on different note, first trade with new API last night so doesn’t look like I’ve mucked anything up which is a relief

also had an update on TWS which may have reset my shut down time…cant work out how else it would have changed…might be worth a look ?

[ScottMcNab]

Playing around with new MRV…looks to get into pullback of upward trending stocks..stats look good but yearly breakdown shows distortion from 2020…still…will prob add to the stable for some added diversity

[ScottMcNab]

Is it for a margin acct Trent ? I think they wanted me to do something similar when I inquired about changing from cash acct

[ScottMcNab]

And so my paranoia grows..

Short term systems performing even further above their long term average…will it be a gradual reversion to the average where I just suffer a few bruises or am I going to get my teeth kicked in ? I love the idea of this journal. I can look back over the months and see this has been bothering me but if I had reduced position size or stood aside (ie a discretionary system over ride) I would have lost the profits for the last several months

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