[ScottMcNab]

Are you using “SELL” or “SHORT” in the API?

[ScottMcNab]

Happy New Year to all

Dec 2020

MRV RUA 13.7%
MRV RUI 0.8%
MOC Long USA 6.8%

May seem a silly milestone for some but seems a big deal to me for some strange reason….2020 is first year any system has survived unchanged (2019 lost margin with IB and had to tweak, 2018 changed to CBT I think, 2017 had issues with too much selection bias…2016…cant even remember)

Anyway, for the 2 systems that survived 2020 results were:
MRV RUA 48.3%
MRV RUI 33.5%

[ScottMcNab]

Amazing MRV results Glen.. congratulations

[ScottMcNab]

I use close for one MRV system and low for the other for a bit of diversity too as both on US…close works better on days that close is less than open

[ScottMcNab]

Happy holidays to all !! Hope the man in the big red coat finds your house ok if thats your thing

[ScottMcNab]

When I asked Scott about it in Sep his recommendation was to contact IB to determine if there was some identifier in the trade log to enable STT to determine if initiating short trade. At the time I thought it was a strange response considering it was his product after all but it is clear now why he was not interested in pursuing it further.

[ScottMcNab]

HI Glen..can I just check that it is only the initial margin ($3738) that is paid ? I think the maintenance margin is the level at which you have to add more funds if the position moves against you (so don’t have to add the maintenance to the initial to make it as high as 6728)…been long time since looked at this…can someone confirm or correct this please

[ScottMcNab]

price filter >20 dropped cagr to 15%…back to the drawing board

[ScottMcNab]

I’m not sure Trent

change to price filter worth a try
currently I have price>5 and turnover>20M

I am unsure whether to continue it as I have other systems waiting that have sig higher cagr… I like the diversity of having a short system in the mix but ultimately I am here for the money…only 3 months in but actual returns are only 50% of the backtest due to missed trades …will backtest higher price filter as see how it goes

on another note the MRV systems continue to do their thing and I remain on edge about a pullback in their stats. I find myself wondering if the stats from the combined portfolio of systems would follow a normal distribution (such that could use something like profit factor > 2 SD above mean as a means of reducing position sizing) or have fat tails like individual stock returns ?…in the absence of a formal system, I will continue to just watch the profit factor and wait for the reversion to the mean to occur as an interested spectator

[ScottMcNab]

Hmm…missed 3 out of 4 (CAAS, RIOT and MARA) short trades last night
cost of almost 10k profits
placed trades at close of ASX
may be better use of capital

[ScottMcNab]

I dont do every year…

MinSP = IIf(Year()>1959 AND Year()<1995,0.5, IIf(Year()>=1995 AND Year()<2000,0.6, IIf(Year()>=2000 AND Year()<2010,0.75,1.0)));

etc for volume/turnover

[ScottMcNab]

Nov 2020

MRV RUA 1.6%
MRV RUI 4.1%
MOC Long USA 0.0%
MOC Short USA 1.6%

[ScottMcNab]

Nice work with the long/short MOC too…would take that every month of the year

[ScottMcNab]

When I asked “do you need it” I was thinking along the lines of “so many rabbit holes and so little time”. My concern when have little faith in a system is that will turn it off at the bottom of the drawdown and it could potentially cost you $$.

[ScottMcNab]

Julian Cohen wrote:

I came across this post in another forum I am a member of. Some of you here might have seen it too. It made me think.

So here’s the thing….If you are backtesting a system and the results for 2000-2003 are poor with a big drawdown, but since then the system is really good. Would you trade it?

I’d appreciate your thoughts.

Do you need the system ? (ie sufficiently low correlation to existing systems or other systems reached capacity)

Do you have enough confidence in the robustness of the system going forward that when it hits hard times and hits its largest drawdown that you will keep trading it….or will there be an element of doubt ?

[Author]

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