[ScottMcNab]

April 2019

MRV RUI 1.3%
MRV XAO 0.2%

[ScottMcNab]

Does it happen when run optomization with other systems too or just the MOC on R1000? I have found when this is the case in the past Daniel that there may be another opt hiding in the code somewhere…prob not the case but worth a look ….

[ScottMcNab]

Hedging is probably a course all by itself …but one I would sign up for if you ever decided to run one Nick in the future(s) ( )…I would like to know more about hedging stock portfolio for both adverse currency and stock price moves and how to backtest it using futures data from Norgate…

[ScottMcNab]

March 2019

MRV systems were changed during the month..code was simplified a bit and now only trade RUI and XAO ….rotn systems still in limbo

MRV RUI -2.5%
MRV XAO -1.5%

[ScottMcNab]

Terry Dunne wrote:

Hi Julian,

I don’t even know what RAM I have…I did say I was not tech savvy .
.

Hi Terry,
Blind leading the blind here but if you (assuming windows) go into control panel and click on “System” it will show installed memory (ram)

[ScottMcNab]

Profit factor and payoff ratio excellent..I have not been able to achieve those sorts of numbers but would love to…sharpe above 0.5…like all those stats….seemed to handle meltdowns in 2018 with hardly a bump

better go and test dual ma too…

[ScottMcNab]

I used HV100 too Rob

[ScottMcNab]

More showers ?

Maybe something like:

HitD = IIf(ROC(C,1) < -1,True,False );
CounterD = Sum(HitD,200);

HitU = IIf(ROC(C,1) >1,True,False );
CounterU = Sum(HitU,200);

cond1 = CounterU>CounterD;

or some sort of ratio where up days2x> down
try different size and time periods for ROC
etc

[ScottMcNab]

Hi Rob, I can’t get my stats to look as good as HelixTrader indicating I am not doing the same thing but the key takeaway for me was using historical volatility …previously I had been trying to select stocks that were not volatile …

for momentum I just used ROC…

the system I posted above did not do so well in 2000/2001 (massive DD)….my current version has cagr/maxDD of approx 25/-26 for 2005-present on XAO using same price and volume filters…not sure how your AUS rotn systems going but for me embracing volatility has been a sig improvement

[ScottMcNab]

Thanks Craig.

[ScottMcNab]

Thanks Julian and Nick.

[ScottMcNab]

Went through some of the trades and read post in detail several times

Early days as only worked on the idea for an hour or so

Results are for filters set to price> $1, 500k min turnover and volume and with MA(volume,20)>500k

Looks promising. Thank you for posting Nick

[ScottMcNab]

Couple of things I noted.

The exposure at 56% caught my eye..and only 34 trades a year…lower than the rotational systems I have been trading (and allows up to 14 stocks)..win rate is good too…will explore this more as taken together indicating system is very selective in trades entering

No detail as to what actual liquidity filters are unfortunately…would have loved to see this (I might work through the trade list stock by stock when get time to try and gather more insight).
With system I am currently testing on XAO over these dates (previous live results been on XTO) then get (cagr/maxDD):
price $1 and turnover 100K: 24/-27
price $1 and turnover 200k: 22/-27
price $1 and turnover 300k: 21/-27
cagr drops further still for me (into high teens) if include MA(volume,20) filter

other stats for Helix Trader system (cagr/maxDD, profit factor and payoff ratio) all good….like really, really good

[ScottMcNab]

Good news Rob as long as are matching. I try (not always successfully) to not worry too much about relative performance with other systems ..my MRV doing ok this year but this snapshot doesn’t tell the whole picture…they are all coming off significant drawdowns from Oct so were due for a good run based on probabilities…the XAO MRV is still not out of the drawdown yet

[ScottMcNab]

Thanks Nick. I will go ahead with Tradestation then.

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