[ScottMcNab]

For some reason my returns on ASX200 sig worse than for XTO or XAO…always been that way for all rotational systems I have tried on AUS markets…not sure why….

[ScottMcNab]

If maxDD really bothering you and don’t want to run the risk of curve fitting the system to each market then could increase from 5 to 8 (or even 10) positions ?

[ScottMcNab]

If you are splitting the cash between US and ASX systems your portfolio drawdown should (in theory) be less. I would question whether the drawdown is at a level where any additional complexity needed but personal decision of course

[ScottMcNab]

MRV systems reduced from 2x to 1.5x
May was an enlightening month

[ScottMcNab]

Very interesting…2 initial thoughts..
1. tempting to try and use
PercentRank((close-low),100) or something similar in a positionsizing formula (increase bet size when favorable) ?
2. wonder if similar patterns for Aussie ?

[ScottMcNab]

Might go and test going long at close (practicalities notwithstanding) for the entry…seen it in a few places now…

[ScottMcNab]

May 2019

MRV RUI -10.6%
MRV XAO 1.2%

[ScottMcNab]

My MRV had one of worst months for me (so far) too Tim. I found it a tough month ….found myself questioning if system was somehow flawed or something had changed such that the MRV system no longer worked etc etc…. all those cliched things I should know to ignore suddenly seemed possible or even likely when real money was flying out the door day after day. I found some comfort in the fact that the exact same system was doing ok on XAO even while was tanking on RUI so unlikely that system itself was broken…clung to that thought to be honest…just a nasty month for some of us

[ScottMcNab]

It was just basic stock data (and Indices) subscription through Datalink.

[ScottMcNab]

Hi Matt,
I was only using price data for individual stocks with no attempt to use any news or fundamental type data. I traded a few markets live (Tokyo and Hong Kong) but they each had idiosyncrasies which complicated the process enough for me to give it away. The stock download has no historical constituent lists (no de-listed stock database for backtesting) but was otherwise ok. I just ran a quick comparison of my MRV system on Norgate and Metastock over the last six months and they came within a few hundred dollars (had 2 trades different). So not much help with what you’re planning sorry.

[ScottMcNab]

I used to use price>1, vol and ave vol>500k and turnover >1.5m
Occasional (once a month maybe) partial fill but all depends on size of each position of course

[ScottMcNab]

Was in a textbook on easylanguage. Just thought it was interesting to try out.

[ScottMcNab]

10:10 (AEST) for ASX ?

[ScottMcNab]

Moving potential systems over to test on SPX so can test back to 1986 is worth doing too I think….1987 has made me reconsider things on quite a few systems.

[ScottMcNab]

Surprisingly I found it only happened once or twice a month over the time I traded the R3000 but I am sure it all comes down to size of the order. I was only using 2x for MRV and not 4x …had each position set at 10k and worked ok if that is of any use as a starting point Daniel
caveat
Only traded if for six months so not huge sample size…was couple of hundred trades only

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