[ScottMcNab]

Uses Metastock so curves also include survivorship bias

[ScottMcNab]

Update

was a partial fix…at least allows placement of buy and sell orders but Account section not showing record of any trades from yesterday so not sure how will affect calculations re trading in next session..IB thinks orders will go thru ok

actual holdings on LHS…account sections on RHS

[ScottMcNab]

NDX Profit Factor and Payoff ratio exceptional as is avg profit/loss %…very nice

[ScottMcNab]

yup….just found this in small print…

[ScottMcNab]

I was looking at this link yesterday Trent…seems margin may be ok again for Aus customers trading US shares (click Australia/US/shares) ?

https://www.interactivebrokers.com.au/en/index.php?f=37725

[ScottMcNab]

Matthew O’Keefe wrote:

Something like previous close at 10, limit set for 8.65, backtester will only pass a successful fill through to the trade list if Low of the day hits 8.50, yet it passes the trade through to the trade list at a fill of 8.65, not at a fill of 8.50. If the low of the day only gets to say, 8.58, then it assumes you did not get the fill and trade would not make it through to the trade list.

Hi Matthew…would this work (without having to touch the CBT code)

Tick = iif(inwatchlistname(“IB five cents”),0.05,0.01);
BuyLimVal = round(BuyLimP/Tick);
BuyLimit2 = (BuyLimVal * Tick);
buylimit = buylimit2 – tick; //(or 3*tick etc)

LE = Ref(BuySetup,-1) ;
LEPrice = Min(Open,Ref(BuyLimit2,-1));

Apologies if it’s rubbish and wasted your time

[ScottMcNab]

Great result for MOC…

[ScottMcNab]

Jan 2020

roller coaster month…launched new MRV on RUA

XTO Rotn 5.4%
RUA MRV 3.7%
RUI MRV -0.5%

[ScottMcNab]

Not showing up even after data download now…no doubt I’ve done something silly…only good news is it popped 5% overnight

[ScottMcNab]

Scott McNab wrote:

Matthew O’Keefe wrote:

Do you have “position size shrinking” enabled in backtest settings? In a backtest of 10 position system you may be just a few dollars short of taking the full 10th position (given yesterday’s market values), but definitely have enough funds left if just backtesting on one single ticker alone.

Thanks for the suggestion Matthew..it is enabled. I think the system has actually “taken” the trade…otherwise there would be 10 positions but with a different stock occupying the 10th position (if that makes sense?)
I check the positions each night against TWS holdings and write in manually in a diary…..yesterday it all checked out fine…DOW was showing in backtest

[ScottMcNab]

.

[ScottMcNab]

Everyone else selling the farm tomorrow on open too or just me (cue mini crash#2)? May need to diversify my exits…

Funny thing on backtest tonight I have not seen before…stock (DOW) has disappeared from backtest…it is a stock I currently hold…if I run the backtest on the individual stock it takes the trade….my backtest is showing it only has 9 stocks instead of 10 it should have …and when I run the exploration and DDE then DOW is in there showing “2 bars in trade”…just not showing in backtest results…if I go back and run the DDE on weekend (bought it on Mon 27) the stocks it brings up matches the buy limit orders I placed in the API and includes DOW…

[ScottMcNab]

Hi Dustin..I have a metastock subscription too..has survivorship bias as it is current constituents…i was using it initally to trade Hong Kong and Tokyo but then started using it for backtesting in the desire to find an “unseen” data set…not perfect but is still OHLC and volume…would not use it for system design but just an extra hurdle system has to clear to go live
The pre 1990 data also obviously has issues …but if a system works essentially the same on the metastock data and the pre 1990 data then I see that as a positive….raised here to illustrate how I determine if an underperforming system should be turned off…just the way I answer that question…keen to find a more objective way but no luck yet

[ScottMcNab]

…

[ScottMcNab]

My “powers of paranoia” were directed to the ASX…cant take credit for NYSE…..didn’t enjoy checking US MRV systems this morning…gains for Jan gone in the last week.

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