[ScottMcNab]

Thanks Nick. I opened a Tradestation account a while back but haven’t funded it yet. I was trying to do some more homework on them before I did but the reviews of different brokers on the web are so conflicted with all the mud slinging its hard to put much credit in any of it. I was wanting to move some of my longer term systems over to another broker so I don’t need margin….just access to US stocks without paying excessive costs. Choices seem to be:
Tradestation (generally ok reviews)
Saxo CM (quite negative reviews)
Charles Schwab Australia (also not great)
Have your interactions with Tradestation been favorable on the whole Nick ? Or have any US residents on the forum used them?

[ScottMcNab]

I have unsuccessfully been trying to implement a variable lookback period to a breakout system since listening to it…maybe it works better on futures than stocks…. (better than the alternative !)

[ScottMcNab]

I suspect you have copied one of my earlier metastock codes from a decade ago

[ScottMcNab]

Boom….11%

[ScottMcNab]

Yep…just excel…I’m hoping it will give me a better overview than the numbers alone do over the years

rotn system on ASX would have done 9% for the month …gotta laugh……..amazing how it (trading) can mess with my head in ways I never imagined…I find myself repeating the mantra about the next 1000 trades at least every week…all goes back into perspective

[ScottMcNab]

Feb 2019

All rotation systems offline for changes..

[ScottMcNab]

Len Zir wrote:

Glen,
Ran my MR strategy from 2007 to present on R1000 using the ADX filter. CAR went from 34.97% with 25.4% drawdown with SPX index filter to 48.58% but with a 39.7% drawdown. I don’t think I could stomach a 40% drawdown.
Will play around with some different entry criteria.

Another possible solution to try Len is to vary PS
eg
remove IndexPass from buy conditions and change (assuming 20@10%):

SetPositionSize(IIf(Ref(IndexPass,-1),10,5),spsPercentOfEquity);

[ScottMcNab]

What market Glen ? If it is R1000 or SPX then might be worth testing on R2000 as well? I run MRV systems on RUI and RUT separately (same code) as a way of dealing with the different liquidity between the stocks in each index..have 2/3 of US MRV funds allocated to RUI and 1/3 to RUT …..but RUT is still trading same amount as my ASX MRV and has had fewer partial fills than ASX system (although has been minimal in both really)

[ScottMcNab]

Would love to have a MRV on short side but no success so far…better go back and have another look

[ScottMcNab]

Fingers crossed US and Chinese delegations play nice over the weekend

[ScottMcNab]

mid to high 20’s Rob.

[ScottMcNab]

Tim Strickland wrote:

I am nearly done with my Mean Reversion system. It seems to be extremely robust. I would like to get more profit out of it .

Is this the SPX system you have been paper trading in the previous post Tim ? If so, the RUI may give you that boost..no worries with SB any more thanks to JC…ok…etc

[ScottMcNab]

When I went to introduce a rotational system a year or so after my course had finished I paid the couple of hundred bucks (cant even remember how much now) to get Nick and Craig to go over the new system…paid for itself in the first few months..If I ever come up with an idea for entirely new system in the future I am sure I will so that again

[ScottMcNab]

Rob Giles wrote:

Hi Michael

Despite testing various momentum approaches, when I applied liquidity filters so that I could realistically enter and exit at the tested prices without material slippage, the Max DD just didn’t provide a big enough payoff for the CAR I could get. There’s much more enlightened systems coders in here than me, who I’m sure can get better numbers, but I’m not that smart.

I do think that a lot of the systems we test in here, especially on the ASX, don’t really take into account the slippage at execution if you are trading in any size. I am already experiencing slippage in the ASX Growth portfolio Blue signals when I go to execute, so my performance is unlikely to be as good as that published on the theoretical portfolio. So i am going to focus my efforts on US systems from here on.

Hope that helps.

Hi Rob and Mike,
I can “produce” numbers in the low to mid 20’s for CAGR but when start adding some equity and volume and making some realistic assumptions the returns drop down into the 15-18 range for CAGR …doesn’t look as good as the US systems for sure but I still like having some allocated for diversity and CHESS sponsorship… but suspect Growth system gives you that already ?

[ScottMcNab]

Thanks Said….I will just do end of month calculations so that over the coming years I have a very basic chart that quickly shows me the different systems and the overall portfolio performance…it needs to be simple enough for me to use so I will keep mucking around with Excel

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