[ScottMcNab]

Thanks Mike…run it and see if it looks “less ugly” on US ? Last decade post GFC has not been quite as amazing just about anywhere as it has been in USA

[ScottMcNab]

Do you feel data before 2002 not applicable any more Mike ? What are your thoughts re the dates for the backtest ? 90’s were amazing so can inflate the stats but nice to see how it comes thru the dot.com

[ScottMcNab]

MRV equity finally back to where it was at the start of the year…got to celebrate the small victories….2019 started with a bang ….then brought back to earth in May…then lost margin in July…and had to claw back to break even without leverage…no doubt will be smooth sailing from here :blink: :S

now if only that damn rotation system would do something

[ScottMcNab]

Matthew O’Keefe wrote:

Ever since I traded much smaller lots the problem happens much less frequently and when it does I don’t care as much because I am losing a potential gain on a much smaller lot and I won’t live with the fear that “this is the one trade that is going make or break my month”. So it is a practical as well as a psychological helper.

Thanks for taking the time to share this Matthew. Much appreciated

[ScottMcNab]

Matthew O’Keefe wrote:

I see trading a larger universe and having a larger number of positions as a good way to combat this by helping to not have a system that depends on profits from ‘long tail’ trades (especially if these large quantity orders to be filled in a short amount of time at the open are the long tails)..

Can you dumb this down a bit for me Matthew..if the trades are missed because they are off market or occurring due to trades on ECN prior to the primary exchange wont the relative frequency of these events be the same (eg 1%) regardless if doing 10 trades a week or 100? Or is the impact directed solely to having smaller order size so less likely to get a partial fill? Apologies if missing the obvious.

[ScottMcNab]

Hi Terry

I have a separate afl I use now when both testing and monitoring my mrv systems to try and estimate the impact of these missed trades (ie miss getting a fill either because off market trade or because trade happened at one of the exchanges other than the primary exchange prior to first trade on primary exchange or just wasn’t liquidity at the low such that only got a partial fill…etc)

…was idea of Said’s I think from a while ago..its not exact but it has given me a reasonably accurate live result so far…I change the code so that the low of the day needs to be a tick lower than my actual buylimit to get a fill….doesn’t replicate what going on exactly of course

This change results in worse backtest metrics but as long as:
1. these results are still acceptable when doing system design/testing and
2. the live results are as good or better than results of this modified afl
then I feel comfortable

Edit: just saw Said posted same thing in May…apologies

[ScottMcNab]

Going crap
Must be broken

[ScottMcNab]

Oct 2019

RUI MRV 1.4%
XTO Rotn -3.2%

[ScottMcNab]

Hi Trent
I think I remember reading that you dont use the CBT code as it didn’t give you the exposure you wanted..was that right ? Have you tried it on the RUA with the CBT code…may find that 10×10 gives good results and can avoid the headache altogether….or even 5×20 if filter out the small fry

[ScottMcNab]

Craig Fisher wrote:

Not too sure Scott. I find it odd that Australian residents are even offered after IB set up here.

It might have to be USD account as the brokerage for AUD denominated is 0.12% trade value Min $7.50, unless that is to trade the ASX – its not clear.

You could contact them with all the relevant questions and see what comes back.

I’m not actually after a margin acct…just found the link in a forum and thought I would post it here in case was of any use to others..

[ScottMcNab]

Lot of work. Is it worth trying Tradestation Global Craig? It seems they’re a means of getting access to a margin account using TWS (through IB UK) so don’t have to change anything except broker…things are rarely that simple tho

[ScottMcNab]

Prob too good to be true but could this be solution for margin for Oz traders ?

https://www.tradestation-international.com/global/

Says in fine print not open to residents of US or Japan (no mention of Aussies)

In the FAQ, is a software section that states can use Tradestation platform or TWS…be nice for the API to keep TWS

[ScottMcNab]

Sep2019

RUI MRV 1.3%
XTO Rotn -3.5%

[ScottMcNab]

Rotn results were due to sloppiness in backtest…if reduce backtest eq to level should be for 60’s and/or use % for commission(0.2%) rather than cents/share then all fine…

[ScottMcNab]

I am the proud owner of ZS at the moment …check that chart out for a laugh

[Author]

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