[ScottMcNab]

Travis Wood wrote:

Daniel,

I have played with the code in Amibroker and I couldn’t get it to replicate either. I have seen research and backtests from Meb Faber, Ned Davis, and several others that confirm the ETF replay results are more accurate. I’ve found my actual performance is very similar to the ETFreplay, so I’m happy to stick with that for the ETF systems.

Came across this link in case useful ?

https://forum.amibroker.com/t/gtaa-timing-model-rotational-strategy/4090

[ScottMcNab]

Never seen rotational system with PF or Sharpe like this..or win rate…in a different league to mine…back to the drawing board for me..inspirational Glen

[ScottMcNab]

Other options to try ?
using index filters/conditions to change stretch for buy limit
using index filter/conditions to change position size (perhaps reduce by 50% when index filter kicks in rather than turning system off)

[ScottMcNab]

An interesting exercise Michael is to try designing some systems with no margin…10×10….makes you work a bit harder…then when margin them up they can look pretty amazing

[ScottMcNab]

Feb 2020

XTO Rotn -11.2
MRV RUA -3.4
MRV RUI -0.4

[ScottMcNab]

Watched it last night…even though I was allowing a 2% leeway in calculating amount to enter into DDE, my account equity was even lower than this after the open (maybe some FX effect in there too?) than I had estimated when constructed orders a few hours earlier…so IB cancelled order for last stock to be sent to TWS as insufficient funds and no longer margin account…happened again last night in both RUI and RUA systems…might try taking 5% off equity

[ScottMcNab]

Hmm…error in a trade last night but looks like lucky break
order to buy NTNX went thru to TWS from API

I’m not sure why didn’t get a fill ? Not complaining obviously (unless bounces tomorrow in which case will transition instantaneously to furious and righteous indignation) but interested

[ScottMcNab]

I know what the face looks like..:ohmy:

More than a bit nervous what is going to happen tonight as some decide they don’t want to hold over weekend while news floods us with info on covid-19… could be a blood bath…glad I’m not trying to make considered decisions at time like this :S

[ScottMcNab]

Yep…the “bam” has happened to us a few times now over last year or two now which helps put it in perspective

[ScottMcNab]

Wow…some open on ASX..I’m out for March too it looks like. I too have given back the gains for 2020

[ScottMcNab]

1987 prob only time can think

I am praying my index filters kick in but so far I’m looking at another month of pain for Rotn system

[ScottMcNab]

Left home to drop kids to sport at 6am…portfolio of US mrv systems positive …home bit after 7am by which time US closed…bam…must have been a nasty close

[ScottMcNab]

Ouch!

[ScottMcNab]

Best of luck with the launch

[ScottMcNab]

I used a video of his a year or two ago to work out how to set up Amibroker with metastock downloader back when I was trading Tokyo SE…he might have updated but in the FAQ on the bottom of that page he still recommends metastock

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