[ScottMcNab]

I hope new code for MRV systems doesn’t affect SettlementDelay ?:unsure:

[ScottMcNab]

Glen Peake wrote:

Nick Radge wrote:

I’ll make some suggestions on another thread on how to handle any MOC or leveraged systems if you do not meet the Wholesale or Professional Investor requirements.

Look forward to reading your thoughts on the MOC/Leverage alternatives/suggestions Nick.

When I remove the leverage from my MOC and adjust position sizing then backtest etc, the returns are mediocre compared to the levered backtested results. I’ve started to convert/test my system into a multi day MR (non-leveraged) to assess the results there etc.

I’ve found (after added in settlement delay) acceptable MRV results for RUA (turnover >1.5)..not so much XAO or even RUI…

[ScottMcNab]

Zach Swann wrote:

I am in the same boat I am trying to think of a way around it.
Current options for are-
Trade in my wifes name as she is Thai and has a Thai Address
I did have a conversation with IB about changing company principal address to outside of Australia but I haven’t had a chat with Accountant to see if this is possible.

The other option maybe is bin my MOC, trade a trend strategy with options and the leftover cash use for leverage on my MR system

Worth exploring other brokers ? Is Tradestation a possibility ? Getting the api to work for Tradestation platform rather than TWS may be worth it if we are all forced to migrate (assuming they don’t turn around and do the same thing)

[ScottMcNab]

OCT 2018

Rotation

NDX -2.3
RUI -17.6 (switched itself off for Nov)
XTO -4.1

MRV

RUI -6.7
RUT -9.1
XAO -6.4
TSE -4.3

Increased allocation to MRV systems 300% on 23 Oct
Suspended TSE due to issues with 100 lot causing significant divergence from backtest
Since increased allocation to XAO have noticed some slippage (already) that was not there previously which will require monitoring
Goal of allocating 40% to markets outside of US (no sound premise other than made me feel more comfortable investing more capital) looking less achievable for the moment

[ScottMcNab]

Doubt I would have remained calm if it happened in my first month Tim. Probably not a bad way to start in some ways.

[ScottMcNab]

I think that is the nice thing about having some different systems Rob. The rotational system may go offline but the MRV will keep on trucking. So while the end result over the long term may be no better than trading a single system, it sometimes makes it easier in the short term to cope with the human traits (in this case FOMO) that try and over-ride our more rational thoughts.

[ScottMcNab]

Hands up if you at least “thought” about testing a new index filter

[ScottMcNab]

RUI Rotation system showing biggest single loss for month since 1995 backtest begun .. profits for the year reclaimed in a month… brutal

[ScottMcNab]

Thanks Len. I will test those filters. I was thinking of still only doing the rotation once a month…so would only exit on that one day if index filter turned the system off. I tested on days 5,10 and 15 (taken from the first day of the new month). There seemed to be a definite “end of month” effect in that the systems on the first day of the month had a cagr a few % higher

[ScottMcNab]

Rob Giles wrote:

THanks Scott

Does this code look OK?

//

---

//ROC Momentum Entry Rules
//

---

ROCLB = Param(“ROC Lookback”,110,10,500,1);
ROCStock = ROC(Close,ROCLB);

SetForeign(“$XAO”,True);
ROCIndex = ROC(C,ROCLB);
RestorePriceArrays();

RelROC = ROCStock/ROCIndex;

Using this, along with a few other bits & pieces I got the following metrics testing from 1/6/99 to 1/6/09:
CAR 19.06%
MaxDD -10.47%
MAR 1.86
Profit Factor 2.56

however when I ran the system with unchanged variable values from 1/6/09 to 1/6/18 it returned a negative CAR and a maxDD of over -30%.

Very, very frustrating. I have no idea how a system can test so well, through a period that includes a massive market drop like the GFC and then it falls apart in a bull market. If anyone offer some guidance / insight as to why that would be appreciated.

see if using
SetForeign(“$XAO.au”,True)
rather than
SetForeign(“$XAO”,True)
helps ? I thought the symbol needed the .au for it to work but defer to the people here who can code

I like the

Setforeign
restorpricearrays()

setup Rob as it then becomes very easy to test a whole lot of other index filters like atr, HV, index support/resistance levels etc without changing code too much

[ScottMcNab]

Scott McNab wrote:

Was listening to a podcast talking about a way to (contribute to) downside risk in long equity portfolio using tranches

eg For our monthly rotation systems, they would divide equity it into (eg 4) parts and trade 4 different systems…still monthly signals but each one trades on a different week ..eg Monday of week 1,2,3 and 4..idea being that if large drop occurs removing impact of bad luck occuring if downturn begins the day after performed rotation

Not the application intended in their discussion but I wonder if such an approach could be applied 2 other ways

backtesting…more confidence in a monthly system by generating 4x number of signals (although not really independent)

liquidity…in market where liquidity filters killing the results it may be possible to break equity into 4 equal portions and trade on the first day of the month as well as days 6,11,16

[ScottMcNab]

Was listening to a podcast talking about a way to (contribute to) downside risk in long equity portfolio using tranches

eg For our monthly rotation systems, they would divide equity it into (eg 4) parts and trade 4 different systems…still monthly signals but each one trades on a different week ..eg Monday of week 1,2,3 and 4..idea being that if large drop occurs removing impact of bad luck occuring if downturn begins the day after performed rotation

[ScottMcNab]

I use SetForeign Rob.

SetForeign(“$RUI”,True);
ROCIndex = ROC(C,120);
RestorePriceArrays();

ROCStock = ROC(C,120);
RelROC = ROCStock/ROCIndex;

[ScottMcNab]

Prob depends on the system Rob..seen figure of max 1% mentioned for MRV…so for MOC could interpret that as 0.5% each way.?..for longer term systems I suspect there are ways around it (e.g buy 1/2 at open and 1/2 at close)…thought I read some time ago about an IB algo that was meant to give you the average price over the day or something similar..the “trades” setting in backtester has an option for using average price instead of open or close to see if it impacts your results.

[ScottMcNab]

Rob Giles wrote:

forgot to add, I had no liquidity filters in my ASX100 system (assumed top 100 Co’s would be fine). Assume you’d need them if testing on the whole ASX ($XAO)?

I think it is worth adding some liquidity filters in there Rob..makes a difference even with XTO (for my systems anyway)

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