[ScottMcNab]

amazing stats on MR (again)

[ScottMcNab]

+1 on the awesome MR

[ScottMcNab]

Yep..moc are new….10 positions each…cash accts (same as all my systems)

[ScottMcNab]

Sep 2020

Rotn all off (these systems are just not up to scratch…back in research…going in circles [instagram]:unsure: [/instagram])

MRV RUA 4.0%
MRV RUI 3.2%
MOC Long USA 7.0%
MOC Short USA 3.8%

[ScottMcNab]

Does the one account share the equity between those systems Nick or does it have sub accounts and the 145% represent the average of the sub accounts ? Amazing either way.

[ScottMcNab]

Many thanks guys..much appreciated

[ScottMcNab]

Aug 2020

XTO Rotn off
XAO Rotn -3.6%

MRV RUA 3.9%
MRV RUI 0.3%

[ScottMcNab]

Very quick response from folks at Norgate
1. False positive
2. Bug in my version of Windows Defender
3. Recommended excluding Amibroker database folders from scanning in future (to save time)

[ScottMcNab]

Thanks Nick. I will send it through to them then. I have never had a virus in the 3 years I’ve had the laptop as quite careful as trade with it so I was surprised when it appeared.

[ScottMcNab]

Matthew O’Keefe wrote:

Also because of human impatience combined with expectancy of large numbers. If you can only expect to see statistics/expectancy of any type of accuracy play out only after 1000 trades or more, if you are only doing 300 trades a year in total it is going to take you three years to work out if you are satisfied that the system is moving in the right direction for you.

Hi Matthew. I also like 1000 trades, if possible, to have necessary confidence but for me this is in the back test …once live, I just want to see the live results agree with the back test and for the metrics to remain similar (ie the fluctuations from year to year remain within extremes seen in back test).

[ScottMcNab]

Hi Terry,

My limited experience has also been that the stretch and the rank are critical components in these type of mean reversion systems…the further the prices has moved from the mean in the short term then the higher the probability it will revert. From here, however, the design of systems seem to vary widely as seen by the variation of returns members obtain in different months….when some do great, others lose and then this is reversed the next month.

My systems also tend to lean towards doing fewer trades and looking for specific situations when the mean reversion is more likely to occur. My mean reversion systems have only done <300 trades combined for the entire year but have a profit factor of 1.7 and win/loss of 1.1. If I was able to come up with a different type of system that did lots of trades I would add it for diversity.

IMHO if your system has passed all the tests then feel good about it. Over the years, as you come up with different ideas, add them to the mix. I still have RSI as a condition in some of my systems but don’t tell anyone.

[ScottMcNab]

Yup..idea being not to turn over stocks more often if can avoid it but just makes system pass its “health check” each weekend

[ScottMcNab]

Great to see you doing well Mike…interested if you’ve tested doing a “weekend rotation trader” kind of thing with your rotation system? Preliminary testing for me produces similar sorts of cagr with lower dd as long as you bump your “worst held rank” up a bit…psychologically easier in that has potential to exit every week rather than having to hold on for the month. Perhaps a second system could operate this way on a market in a different country for some diversity?
Shame you’re back in green rather than back in black but can’t have everything

[ScottMcNab]

July 2020

XTO Rotn off
XAO Rotn 2.2%

MRV RUA -0.8%
MRV RUI 1.3%

[ScottMcNab]

Hi Seth
Variable lot sizes and tick sizes and market data were the 3 main issues..all a bit hazy but there is probably some mention in my journal from back then…(tried to document issues for this reason)…some markets made it quite difficult to determine lot size and tick size for each stock and I was having to look them up every night in an Excel file downloaded from the exchange (HK I think this was)….and then because data from metastock doesn’t include historical constituents then the results from the backtest were constantly changing as stocks entered and exited the index. While this doesn’t sound like a big deal I like to see the live performance tracking with backtest and it bothered me that I could not do this. A solution may be to use all stocks from the entire exchange (would reduce impact but not eliminate it obviously)
Metastock has EOD for two main Indian exchanges but there may be (or used to be) an issue regarding foreigners trading them…?

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