[ScottMcNab]

in no particular order: ROC…(.eg ROC(C,3)<-2)....also price action on set up day (eg close in lower 20% of bar)....adx filter has been posted about previously and useful

[ScottMcNab]

I had half a dozen market or more orders that failed to execute too. I cancelled them and resubmitted as market and went through ok. I wonder what it is with their system or algos that doesn’t like a mkt order on the open ?

[ScottMcNab]

Feb 2018

LOO RUI 1.9%
MRV RUI -5.2%

NDX Rotn 0.7%
RUI Rotn -0.3%
SPX Rotn -0.8%
XTO Rotn 8.1%

[ScottMcNab]

My system in backtesting sticks with the same number of shares it purchased initially…whether the stock is held for 1 month or 12 months. Did anyone code rebalancing into their systems ?

[ScottMcNab]

Thanks Kerry..that will be what I’ve done

[ScottMcNab]

All back to normal tonight when launched TWS…TWS worked ok last night too after I cancelled the old orders …hopefully TWS just had a moment but I will continue to check are no remaining orders in TWS before load up each day

[ScottMcNab]

Opened TWS tonight and was surprised to see that all the unfilled entry orders from yesterdays MRV (TIF = DAY) were still active in the API tab…no API was running and TWS had done it’s daily shutdown at midnight (VPS time)
So I shut down TWS and restarted it (still no API running) and the entry orders were still there.
Not seen that before

[ScottMcNab]

using TF system but with
positionscore = ref(rank,-1) Said?

[ScottMcNab]

“Beginners cycle mistake x+1”

System envy
..may just be me but found myself spending (wasting) time going back and looking at why my system didn’t perform as well as other peoples when really all that matters is that live results are tracking backtest…if they are then the cagr long term should be fine and relative under-performance is likely to be temporary and to be a reflection of different systems suiting slightly different market conditions

[ScottMcNab]

Yeah..well I thought that meant you were not certain about LOO

[ScottMcNab]

I did the same for a while and also found it was swings and roundabouts..some helped and some didn’t…the post was regarding LOO orders which Daniel had been told would avoid missing a fill when open was below his buy limit.

[ScottMcNab]

Daniel Baeumler wrote:

Yesterday, I bought MCHP for 97.41 matching my Lmt price. However, Open was set to 96.86. In the past, I always got filled with the lower Open price is such cases.

When I look at the Order book, I see 2 line items at market opening: One item with the Open price 96.86 – 23.557 shares. The second line item at the same time with my order: Price 97.41, 92 shares. Quite annoying. The IB guy said that this could be avoided by setting a LOO or MOO order. Anybody experiencing similar issues?

Can confirm that LOO does not avoid this issue as happened a few times last night in US…fill were not at open price even though were trades on open on the primary exchange below my buy limit order in the time and sales

Checking IB’s definition of limit order, simply says that this will be the maximum will pay when buy stock…does not indicate an obligation to fill at a cheaper price…trying to get my head around stop limit

out of interest, went back and tested MOC and MRV swings systems and changed to
LEPrice = ref(buylimit,-1) instead of
LEPrice = Min(Open,Ref(buylimit,-1)) to try and get idea of potential impact..some ok, some not

[ScottMcNab]

Take some heart Daniel..I have been pulling my hair out trying to see if I can get my rotn momo systems to come even close to the returns others are posting and have come up empty…so 15% for the month by changing 1 parameter sounds a very positive discovery

[ScottMcNab]

Thanks Trent and Rob…I’m a bit uncertain ..if I have only allocated (eg) 10% to a highly leveraged (4x) MOC system then when I look back to the 2008 scenario, I can see that the MOC might do very well and the momo systems would do poorly…nothing new there….but over the years the composition of the porfolio of systems would start to drift away from what originally wanted….may well end up with more volatility in portfolio than wanted as the more volatile system may outperform the others….maybe that doesn’t matter unless becomes significant change..I have tried to read more on google since I posted and have seen some advocate a % change to trigger a rebalance ….but appreciate the point you have raised too…perhaps it is a matter of potentially sacrificing higher returns to keep the original allocations ?

[ScottMcNab]

I have never tried it but it would be interesting to see if any of the charts in markets/us economy could be overlaid as an entry/exit filter or for changes to position sizing in regard to those points Rob

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