[ScottMcNab]

Not seen stock change symbol before.

Bought RTN on 1 Apr
Log on tonight…holdings of RTN is 0 and now have RTX…which cant even find anywhere on NYSE?

Not sure if TWS playing up again like did a few months ago or a corporate action of some kind..

[ScottMcNab]

Thanks Trent…will head to link now

[ScottMcNab]

Although the MRV on RUI ended up doing well by the end of the month, it was a trial. I find for the MRV it is almost always this way…system loads up as index drops, “pain” increases further each day (almost as if trying to force me out!)….and then bounces when have just about given up… I would not have traded through this month if was on margin…would have been too much

[ScottMcNab]

Nice MOC result Said…did it stay leveraged through March to achieve that ?

[ScottMcNab]

Been thinking about conversation between Trent and Nick last night…Nick recommended Trent add emergency exit of one sort or another to MRV in addition to stale exit…think I should too…this was I’ve got so far..I want to exit if close 20% below buy price…..seems to work ok in testing so far but…….

Buy = 0;
Sell = 0;
LBIT = 0;
PriceAtBuy = 0;
FlagExit = 0;
StopPrice = 0;
//

---

for (j = 1; j < BarCount; j++) {
if (PriceAtBuy==0 AND LE[j])
{
Buy[j] = True;
PriceAtBuy = LEPrice[j];
BuyPrice[j] = LEPrice[j];
StopPrice = PriceAtBuy*0.8;
LBIT[j] = 1;
}
else

if (PriceAtBuy > 0)
{
LBIT[j] = LBIT[j-1]+1;

if (LBIT[j] > 1 AND Exit[j])
{
Sell[j] = True;
SellPrice[j] = Open[j];
PriceAtBuy = 0;

}

if (LBIT[j] == ExitBars[j])
{
FlagExit[j] = True;
}

if (LBIT[j] > ExitBars[j])
{
Sell[j] = True;
SellPrice[j] = Open[j];
Exit[j] = True;
PriceAtBuy = 0;
}

if (LBIT[j] > 1 AND Close[j-1]
{
Sell[j] = True;
SellPrice[j] = Open[j];
Exit[j] = True;
PriceAtBuy = 0;
}

}
}

[ScottMcNab]

March 2020

XTO Rotn: Index filter switched off for March
MRV RUA: 3.2%
MRV RUI: 10.1%

Rotn still out for April

[ScottMcNab]

Hi Glen

Craig has mentioned previously to me a better way for getting around the fact the Monday is often a public holiday is :

FirstDayofWeek = DayOfWeek()

[ScottMcNab]

Be interested to hear results from others (slow day at work here as work continues to dry up)….my coding always suspect (used barssince in code which may be issue) but when I divide into the 4 tranches and rotate on 1st day of week (for each of the 4 weeks) I don’t see any improvement (reduction in maxDD) compared with the single EOM rotation (tested SPX 1960 – current)

Edit: realised I need to look closer…max DD may be same over test period but if occur at different times then overall maxDD will be improved of course

[ScottMcNab]

Risky = Sum(Indexfail,5)>0 ?

[ScottMcNab]

Bit of code might be interested in playing with Mike..idea is to check the rotation system over the weekend…when it hits the fan the rotation system then switches down to a weekly rotation..the idea being a chance to exit the market sooner if no longer passes filters for index or individual stock….then back up to monthly when market calms down. It is nearly always in EOM mode in backtests so sample size is pretty dubious. I am not currently using this in my system as it knocked a couple of % off cagr (in fact it made almost every metric look slightly worse) but I am revisiting it as a potential “necessary evil” to keep me in the game long term…..was pure luck I think that my index filter activated on the last day in Feb…surely room for improvement of this idea/code too.

IndexFail = NOT IndexPass or IndexVolaHigh;
Risky = BarsSince(IndexFail)<5;
FirstDayofWeek = DayOfWeek() TradeDay = (FirstDayofWeek AND Risky) OR EOM;
PositionScore = IIf(Year()>=1955 AND TradeDay,score,scoreNoRotate);

[ScottMcNab]

Just my 2 MRV….one of RUI and other on RUA..dont think can hold over weekend tho
Am I the only idiot still trading ?

[ScottMcNab]

Thinking may over-ride systems and exit on close on Friday so flat for the weekend…hmm

[ScottMcNab]

I also did some testing Trent and found MOC helps too ….in case that works for yours too

[ScottMcNab]

Aussie trying to hold 60…if doesn’t then next stop ??

[ScottMcNab]

Some part of my consciousness is screaming at me while I place the orders for tonight
limit down for US futures again…going to be a bloodbath…dont do it!
arggh

[Author]

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