[ScottMcNab]

SEP 2018

Rotation

NDX 1.2%
RUI 1.2%
XTO 5.2%

MRV

RUI 1.3%
RUT 3.2%
XAO 0.5%
TSE 1.3%

[ScottMcNab]

Fantastic…thanks Nick

[ScottMcNab]

50% momentum
50% MRV

[ScottMcNab]

FYI Rob I use the same system on all markets (for both Rotn and MRV) but I have no credibility with regards to an opinion as to whether this is a better way to go or not (ie I only have 2 systems)

[ScottMcNab]

All good q’s Rob …whether the system should be optimised to each market or work across all markets is one that I have seen different views on…best to ask Nick (my memory from when I did course was to use optimisation sparingly…only for a single key variable once ot twice a year)…and it also relates to your question on backtesting…if you are going to optimise or have a different system for each market then I think maybe you have to keep more OOS data (maybe test on 2005-2013)…if you are in the camp where the same system should work across each market then the other markets can help serve as OOS data ?

[ScottMcNab]

Rotational systems need more time to give a feel for performance…5 year windows can vary much more dramatically than MRV or MOC as only getting a few data points each month…is the USMOM system you trade any good on ASX Rob ?

[ScottMcNab]

Daniel Baeumler wrote:

Said,
you seemed to have found the holy grail of US MOC systems. + 7.96% in August and + 15.7% in July. Unbelievable. Congratulations.

I look at it slightly differently Daniel. I think he has been rewarded for his persistence. Said has been generously plotting his results for a few years and is finally seeing the rewards for sticking with the systems without “fiddling” when in a drawdown.

[ScottMcNab]

TSE trading smoothly…did almost 3% for the part of the month traded it for Aug …so far so good

[ScottMcNab]

Getting greedy now but I wonder if the response IB sends to the API query would include all contract info such that lot size would be checked as well as tick size ?

Edit: only SEHK has that issue now that think about it so may not be worth hassle

[ScottMcNab]

Fantastic news Nick.

[ScottMcNab]

http://www.hkex.com.hk/Services/Trading/Securities/Infrastructure/Overview?sc_lang=en

link is on left side under heading SECURITIES LISTS

[ScottMcNab]

Julian Cohen wrote:

You’re going to run on SEHK? How did you overcome the lot size issues?

I have been trialing it for the last week or so. I found an excel file (not sure if sent it to you but can of course…dont think SEHK has MOC though?) on SEHK website that has every stock listed with its lot size. I do it the old fashion way …once I export the buy setups from DDE into excel, I manually check the lot size. The MRV for SEHK only has max of 10 positions so most nights it only takes 60 sec to adjust.

[ScottMcNab]

Not sure if possible but would be great if the API could, by default, query every order before it was placed ? That way if new stock goes into Tick pilot program in US or want to trade another market the API would perform a check (and modify/reduce/increase buy limit price) to correct before order sent to TWS

Maybe something developer could consider for new versions ?

[ScottMcNab]

AUG 2018

Rotation

NDX 1.1%
RUI 9.9%
XTO 0.0%

MRV

RUI 4.7%
XAO 7.3%
TSE 2.8%

MRV on RUT and SEHK to start on Monday

[ScottMcNab]

LSE (and it seems other European exchanges) seem to have a tick rule the varies not only with the price of the stock but also with the liquidity (number of times a day on average that it trades) ….so at this stage have to cross them off the list too…not many left

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