[ScottMcNab]

I managed to do the manual upload for a month before giving up…now I just compare Ami backtest each day with the results from the previous day on TWS (before calculate new orders for next trading day)…any discrepancy (one every few weeks) I record in a diary (old school paper one) along with the amount it cost me or made me

[ScottMcNab]

Since the change, I can only post results since start

[ScottMcNab]

Incredible !

[ScottMcNab]

Remember hearing “someone” on a podcast recommending optimizing short term systems every weekend (using last 3-4 weeks of data I think) to stay in sync !! Ever tested that Glen ?

[ScottMcNab]

Doh.. :whistle: 😳
One system (RUA) only done a single trade for NOV
The other (RUI) done 5 or 6 and up about 4% for month

[ScottMcNab]

Glen Peake wrote:

Nice work Scott!! 442 Trades, is that both of your MRV system stats combined? That’s over what period of time? (For me I’m about 210 trades for my 2 MRV systems combined in the last 6 months….. that’s using 5 positions @ 20%).

How’s your MRV performance for NOV looking thus far? …. (Mine’s performed….. solidily…couple of sample trades here: https://twitter.com/LeTourTrader

Thats for 2 MRV for year…both are 10×10
is NOV a typo for MOC (beside each other on keyboard)? Or ticker for stock?

[ScottMcNab]

MRV systems performing above long term averages so expecting a draw down soon…. Fri 13th ? Too obvious surely

[ScottMcNab]

I haven’t done this Trent but should look into it I guess..be interested to read what others do.

I wonder too if the small positions used for testing resulting in odd lots also contributing ?…IB chat told me one time that odd lots are in a different “order book” and do not receive same entitlements as orders that are over 100 shares

[ScottMcNab]

Hi Trent,

I thought I had saved some info on this from IB but cant find it sorry. Here goes the explanation…others will correct if necessary

The “open” price for Norgate (and most other data providers like Yahoo) are different than IB for US markets…for IB, the “open” does not happen until the first trade/cross (whatever) occurs on the primary exchange…so multiple trades may occur between 0.9:30.00 and 0.9:30.15 but if the first trade on the NYSE occurs at 0.9:30.16 then this is the “open” as far as they (IB) are concerned. Their advice to me, if I wanted to get the open that included all the other ECN (and agree with Norgate backtest), was to enable TWS to allow it to trade pre-market BUT to also set a time limit of no earlier than 0.9.30.00.

I have found that in cases where the open price does not agree in the backtest, if I check “Time and Sales” that the opening cross on the primary exchange did not occur at 9.30.00

[ScottMcNab]

Yeah…it seems to happen so often…kick in the teeth in last week of the month..surely some sort of confirmation bias or other effect distorting my recollection but in the end got to laugh

[ScottMcNab]

Oct 2020

MRV RUA 2.9%
MRV RUI 0.5%
MOC Long USA -0.6%
MOC Short USA 0.7%

Was looking a lot better a few days ago..lol

[ScottMcNab]

Thanks Taranveer. I will look into the bi-weekly.

We take one holiday a year..been going to Whistler for 3-4 weeks either side of Christmas for last 4 or 5 years ..approx 1/2 way between Australia and UK (where my brother lives) so meet in middle… not really seen a lot of Canada apart from that small region…sister in law used to live in Ottawa for quite a few years..they used to skate along river to work in winter !. I think she said it was quite important to also be able to speak French in that part of Canada for business

[ScottMcNab]

I have tried trading monthly rotational systems for several years but have stopped (again). I can see the advantages of a monthly system in the backtest (as I can, for example, in using margin in my MRV and MOC systems) but it just does not sit well with me either and so I have finally conceded that I will be unable to stick with it long term. I feel like I am strapped into a plane seat as the plane plummets and the flight attendant tells me to relax as the plane nearly always regains altitude. I am now re-working my rotational systems to weekly too. To be honest, I will probably need a year or so of live trading with that before I know psychologically if I am ok with it.

On a more important topic Taranveer, are you going to be moving close to a ski slope ? Love BC but there are so many ski fields it’s probably not that far regardless where you live.

[ScottMcNab]

Another option, and one I am looking to employ in New Year is to take the same system and just trade it across 3 or 4 markets….eg divide equity into 4 and add US, Aussie and Canadian markets to the Indian market…trade all 4 using the same weekly rotational system (maybe 5 positions on each for a total of 20)…my testing has found this to be another effective in reducing maxDD without impacting cagr too badly

[ScottMcNab]

You could experiment with position sizing…instead of being all in or all out (with the index filter or stock filters) there are (volatile) situations where decreasing position size may be beneficial in reducing maxDD without harming cagr toooooo much

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