[ScottMcNab]

Trent Rothall wrote:

Has anyone thought of running or does anyone run a small aggressive MR account? My thinking was a almost all in type scenario where you have only 2 or 3 positions depending on account size. For example on the asx you could have a 15k account with only 2 positions, then once the account grows another $7500 add another position (anything under $7500 commissions start to hurt). Obviously it would be volatile but i ran some MCS on only 2 positions and it’s nothing over the top when you consider the $$ as part of a larger portfolio.

Trent, I have been doing something similar with a MRV system on the ETF universe…2 positions at 50%….have found can simply buy the etf on the next open instead of a buylimit order requiring a further drop…which in turns allows use of positionscore and elimination of selection bias…use universe of ETFs with volume filter (eg MA(20)>400000 to weed out the ones with poor liquidity)

[ScottMcNab]

Thanks Nick…I thought (for some bizarre reason) when I read the IB website that I had to calculate the number of stocks used to form the ETF to determine the total commission

[ScottMcNab]

Very grateful if anyone could please let me know commission values to use for ETF backtests…can’t get my head around IB info

[ScottMcNab]

At the risk of sounding like a broken record….for such a system could maybe try an entry when open gaps below your buy limit….selection bias would not be as significant as the stock selected (on US when all open together) would be random….would also reduce the number of potential entries further reducing impact of selection bias

[ScottMcNab]

Perhaps by definition it could only improve performance. ?…the low is staying the same so the buylim still triggers on the same days at the same price (so if open price is higher it has no impact) but on those days where open is made lower than buylim by the randomisation then getting a better entry fill

[ScottMcNab]

Amibroker will allow you to install on 2 computers Daniel…when I was playing around with other data sources I left my norgate computer untouched and loaded Ab onto a second laptop and fiddled with database settings and watchlists…seemed safest way at the time

[ScottMcNab]

I think we had most of them

[ScottMcNab]

http://www.finra.org/investors/tick-size-pilot-program

excel file in link below

http://www.finra.org/industry/tick-size-pilot-program-implementation-plan

[ScottMcNab]

Happened to me quite a few times in the last few weeks….luckily my default computer problem resolution worked…i restarted it and did a new backtest and it worked…done this half a dozen times I’m guessing over that time

[ScottMcNab]

Import into a new watchlist and then use

cond1= InWatchListName( ”name” )

…maybe…. (hopefully stronger coders will jump in here)

[ScottMcNab]

My decision to add cash to the systems was not related to current market conditions or any predictions Rob. I am not looking to time the cash increase in any way.

[ScottMcNab]

ROC/atr worked well with momo…suspect you have tried that too…

[ScottMcNab]

LOO is acronym for limit on opening…the time if force for the buy limit is OPG….this is the only one I suspect I may have to change in next 12 months depending on variations in the opening price compared with Ab opening price ….but so far the variations for and against have pretty much evened out
% are trading portfolio
US Momo has NDX, SPX and RUI systems each slightly different…each has 15% …

[ScottMcNab]

Thanks Kerry and Said. It did fix it Said.
Cheers

[ScottMcNab]

Something new….I have a stock for which google/STT has not picked up the current price…best left alone to see if it corrects over the next few days/weeks (monthly rotation system) or should I use the missing security function to manually change ? Anyone had experience with this ?
Cheers

[Author]

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