[ScottMcNab]

The rotn EOM system I have that prefences HV stocks was even worse for 60-70s…anyone else got diamond sub?

[ScottMcNab]

Thanks Trent.

[ScottMcNab]

Nice 1

[ScottMcNab]

Thanks Nick. I imagine trading costs were higher too. I used the current IB values but maybe I should do a few runs with commission at 0.12-0.15 to be more realistic…would hurt the MRV most.

[ScottMcNab]

Is this in regards to the momo rotn Zac ? System 1 does indeed try and avoid volatile stocks …I did have a system I was playing with a few months back that sought out volatile stocks using HV>x ..I will dig that out and give it a run.

With regard to ranks, the idea here is to have a minimum hurdle for the rank ?

[ScottMcNab]

Any other patterns in there or take away messages anyone can see? I’m not looking at actual figures (as none of systems trade on SPX) but rather the patterns. First area of debate may be whether it’s worth looking at data that far back at all?

[ScottMcNab]

[ScottMcNab]

[ScottMcNab]

Have you been using the API to place the delayed buy limit orders at 10.10 on ASX Trent ?

[ScottMcNab]

Aug 2019

RUI MRV -2.2%
XTO Rotn -1.3%

[ScottMcNab]

very slow..half a dozen new positions in Aug

[ScottMcNab]

Hi Mike,
Why not try testing a weekly mean reversion rotation system as you have plenty of experience with rotational systems
PositionScore = IIf(DayOfWeek() == 1,Score, scoreNoRotate); (can do on the weekend)
Perhaps rank = ROC(C,100) – ROC(C,5) or something similar ? Maybe add a multiplier to the recent 5 day pullback to give it some more weight

[ScottMcNab]

Worked it out…not getting quicker in my old age
2 mistakes …placed order on asx at 5.55am local…5 min before US market closed so order was rejected at that time
..more importantly I did not consider rapid drop in AUD….if they had calculated the size of unfilled US buy limit orders using over 0.68 would have been fine but found out from IB they did the calculations using 0.67…so it theoretically deducted more from cash reserves…and I missed out on having enough for PET.au order by 1k

[ScottMcNab]

IB response was that they still counted the unfilled buy limit orders on the US stocks (even though market closed) from the previous night…even though configured not to trade after hours ??
Live and learn.

[ScottMcNab]

Yep….probably double that amount as the US MRV system operates from same account and only half positions are open…rest in cash..certainly confusing

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