[ScottMcNab]

I have data from Metastock on an old laptop from 2000-2018 ..used it for a few months to trade other Asian markets (Hong Kong and Japan)..also has data for London and Europe…stopped for several reasons but large part of it what Omar mentioned..lack of confidence….(also issues with variable lot and tick sizes depending on exchange) ….Metastock used to offer a free month long trial I think

[ScottMcNab]

Jan 2021

MRV RUA 4.8%
MRV RUI 6.5%
MOC Long USA 1.6%

Live trading new MRV with small amount of equity
2 new MRV to start live testing in Feb

[ScottMcNab]

Intrigued how 28% swing came about Len…last few days Index went up and down 2-3% each way…are u trading still trading just stocks or also options on Multisystem ? Or was it just a couple of wild stocks (such as these so called meme stocks in the news) that induced the swing ?

[ScottMcNab]

Just went and checked ..my cut off is at 3.05pm…no idea why that specific time but same ball park

[ScottMcNab]

How does it go simply changing exit to MOC Nick ? Wondering if same system split 50:50 into a MOC (with potentially higher leverage) and MRV systems gives a smoother ride ?

[ScottMcNab]

Len Zir wrote:

Just an observation.
Have made a lot of money in the US markets since the March lows last year primarily because of long relative strength/momentum systems. Starting to get really nervous. Lots of speculation in low priced stocks. Nick’s hedge tool in TLT signals high risk. Now the market is starting to sell off at the end of the day.
I don’t really have a system that defines exits based on my intuition so will follow the rules of my systems. But nervously. Hopefully I will have the fortitude to follow my rules if we get a serious correction.

anything

Often when I feel that way it is my subconscious telling me I have too much on the table. In this case it is due to a great year which isn’t a bad problem to have …taking a bit off may help you feel more relaxed and more likely to follow the system

[ScottMcNab]

Heard a brexit related rumour that IBUK moving to Europe or Ireland ..anyone had any correspondence regarding this please ?

[ScottMcNab]

Nick Radge wrote:

Can only place MKT orders.

A $9 monthly fee allows you to place MKT and LMT orders.

I have started using SelfWealth for two of my concentrated ASX portfolios, namely the ETF and the new ASX Momentum. $9.50 flat fee makes sense on larger orders.

Happy with SelfWealth to date Nick ? If they added API facility in future the 9.50 fee would make it tempting to try ASX MRV again as boost in cagr prob offset any missed trades

[ScottMcNab]

Hi Glen,
Having Pad and Align on or off changes my back test slightly and I assume this is due to changes in the ranking scores (but may also be due to changes in indicators). I am wondering if this is a possible cause of the discrepancy. Is there any documentation or discussion in the forums describing how RT deals with this issue ? Perhaps toggle it on and off in AB and see if they agree.

[ScottMcNab]

Taranveer Singh wrote:

Seth Lingafeldt wrote:

There’s absolutely some rule that you could institute in the backtest that would give you stellar results, something like:
Exit every third Wednesday and reenter the following Monday at the Close.
I see this as no different to me picking the 18th and the 29th for rotation days, just because they look good.

That isn’t necessarily a system problem I feel. It’s the concept of monthly rotational. No matter the system, if you’re 100% invested and a downturn starts, you can’t do much. It’s just signal luck

Another idea you could experiment with and hopefully improve on is the idea of an intra-month kill switch or bailout if it hits the fan (again, it is questionable if gets activated enough times to have a good sample size though…in which case may just be curve fitting to dodge 1 or 2 large draw downs)

BailOut = !IndexPass;
AnyDayofWeek = DayOfWeek() != Ref(DayOfWeek(),-1);
TradeDay = (AnyDayofWeek AND Ref(BailOut,-1)) OR EOM;
PositionScore = IIf(Year()>=1955 AND TradeDay,score,scoreNoRotate);

May well work better if instead of having

BailOut = !IndexPass

having some other kill switch (eg Index drops 10% in 5 days or hits insane vola level) ?

eg

IndexKill = IndexVola>60 or IndexROC5<-10;
Bailout = IndexKill;

[ScottMcNab]

Taranveer Singh wrote:

While the system sustained on the 5th day, on the 10th trading day it went to 11% CAGR and 32% MDD (courtesy, 2020 March).

For those of you using rotation (especially in trenches), does your system sustain the performance through other days of rotation?

Since I don’t know what I don’t know, any unsolicited advice is most welcome!

I looked into this a bit in Jan 2019 (after my rotation systems got hit hard towards the end of 2018) and I there are some results posted in my journal regarding my findings. I found some systems were relatively stable regardless of the day selected for the rotation while others had quite large fluctuations in the cagr and maxdd…at the time I was wondering if this stability (or lack of) that could be used as a measure of robustness of the system….?

[ScottMcNab]

Terry Dunne wrote:

Hi Scott,

Thanks for taking the time to reply.

I was using ‘SHORT”, but Nick put me right!

We all learn by doing…Julian set me right on that one a few months back

[ScottMcNab]

Nick Radge wrote:

Quote:

2016…cant even remember

😆

The fog of war…

I’m more worried that it’s just old age :unsure:

[ScottMcNab]

Julian Cohen wrote:

Nice Results Scott….That’s with not a lot of leverage either I think?

Yeah..no leverage (damn it….another psychological hangup exposed)…just 10×10

[ScottMcNab]

Tim Strickland wrote:

Nice Scott! Any plans to diversify a little into a longer term type system in 2021?

I have been in and out with rotational systems over the years Tim but I have “issues” that no normal person has that I am working hard to overcome. For example, I get hung up on the small sample size regarding the number of times the index filter triggers but the massive impact it has…the choice of different index filters also has a significant effect on my backtests..the choice of index filter seems to introduce a larger element of “luck” than I am comfortable with (Nick has mentioned previously I think how the pros use Swarm Theory to overcome this but I am looking at other work arounds)..the low trade frequency for individual stocks also bothers me regarding sample size..I like to see over 1000 trades to feel confident based on the degrees of freedom involved…..so I have gone to designing weekly rotation systems even though the cagr drops…. I can “produce” rotn and WTT systems that do cagr over 30% but I now know (after repeated attempts) that I cannot stick with them. I feel I am close to overcoming these psychological hangups. My goal is to have 50:50 split between short term systems and longer term. Be great if that happens in 2021.

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