[ScottMcNab]

1 Dec 2017

clean slate…so many changes over last 6 months due to wrapping my head around selection bias as well as introducing new systems…goal is no changes for next 12 months …sig capital injection also

systems

RUI LOO MOC (2x) 15%
RUI MRV (2x) 25%
US Momo combo (1x) 45%
Aus Momo (1x) 15%

[ScottMcNab]

M2M

[ScottMcNab]

Thanks Julian and Said…I tested both but didn’t seem to make any difference…I have always had this nagging feeling that it would somehow be better to get in a day early but seems not

I think Nick mentioned that only re-balance if things go way out of whack…maybe once or twice a year

[ScottMcNab]

Are most people doing their US monthly rotations on the last day of the month rather than the first ?

[ScottMcNab]

Hi Rob,
I remember Nick discussing this in the group call a couple of months back as I asked him a similar question. I went and tested that night (hard to believe with my tendency to tinkering but until then I had not optimized) and it didn’t seem to have much impact on the MOC MRV I was using. For my rotn momo systems I use a slightly different approach and have several versions with different parameters for each (US market). Its an extra 10-15 minutes work each month but seemed to smooth out those bumpy periods a bit in backtesting.

[ScottMcNab]

By chance, I have also added significantly to my momo systems for the new month Len. Fingers crossed everyone keeps taking their happy pills leading into the end of the year holidays.

[ScottMcNab]

Conflicted about whether worth it at all…when one of the best in the world (Winton) returns 11%….understand diversification is desirable but how many of us here have designed and are trading systems with a 8-12% returns ?

Aus market gives some diversification but come 2008 type events correlation is highest when don’t want it.

If only could get those commodity etf’s to look better..

short index futures ?….options out as no data from norgate…

[ScottMcNab]

Ok…thanks Nick…funds it is

[ScottMcNab]

PS…i have used google but remain confused….Winton does seem to allow for “qualified” investors…not sure if drawbacks or benefits to going down either path

[ScottMcNab]

Julian Cohen wrote:

Equinox run three CTA mutual funds. They have chosen three legends of the CTA universe, Parker, Campbell and Crabel.

https://equinoxfunds.com/strategies/single-strategy-mutual-funds/equinox-chesapeake-strategy-fund

https://equinoxfunds.com/strategies/single-strategy-mutual-funds/equinox-campbell-strategy-fund

https://equinoxfunds.com/strategies/single-strategy-mutual-funds/equinox-crabel-strategy-fund

Campbell and Chesapeake (Jerry Parker) are Trend Followers and Crabel is a mean reversion strategy. I am thinking of just holding a combination of the three. I would do it as Buy and Hold. You could probably set up a watchlist and actually trade them according to your own recipe if you wanted to but either way you have a relatively easy access to three of the best CTAs. I looked on IB and you can buy them through the fund section of the order ticket which you have to enable in permissions.

One other one to look at. HTUS which is a stock ticker. This is Hull Trading and his S&P stock fund. He is another Market Wizard legend.

I just thought this might be a great way to add these CTAs into your portfolio without the hassle of trading futures and all this entails: watching for the contract rolls, watching for when they change the tic values, paying high execution fees, diversifying across a number of markets and currencies etc etc…

Pardon my ignorance but is it possible to invest in the funds like these and Winton directly or are they not available to retail investors ?

[ScottMcNab]

One little threat of nuclear holocaust and bam !…there goes the month…paying the price for being heavy NDX

[ScottMcNab]

Is everything ok Maurice ? You have been generous with code and help over the time and it seems out of character ?

[ScottMcNab]

Yep….MOC use time in force as OPG…..MRV still uses normal buylimit entry…don’t want to hijack Said’s journal…I think I posted a bit in mine about how OPG orders are going in relation to Ab backtest

[ScottMcNab]

Yep

[ScottMcNab]

Said Bitar wrote:

Said Bitar wrote:

regarding the universe if i will trade R1000 the selection bias high the system will be capturing around 80% of the trades but with the S&P500 it will be in the range on 90%

On the R1000 Said try changing the entry requirement to:

LE = Ref(buysetup,-1) AND (open<=Ref(buylimit,-1) AND NOT OnLastTwoBarsOfDelistedSecurity) ;
LEPrice = open;

May be crap but may be surprised

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