[ScottMcNab]

Said Bitar wrote:

Said Bitar wrote:

anyhow still it is an idea

Your generosity in sharing ideas is greatly appreciated Said….Don’t tell anyone but I suspect I may even tinker a little tonight

[ScottMcNab]

Massive improvement… Is this the MOC still Said ?

[ScottMcNab]

Yeah…I don’t fancy my chances either.

[ScottMcNab]

New MRV and MOC systems started with changes directed towards minimizing leverage and selection bias rather than maximizing cagr/maxDD ratio

both trade 2x leverage….
MRV has 40 positions at 5%
MOC has 20 at 10%

selection bias…since 2000:
MRV has 17 days when issue
MOC has 11 days

now …time to leave alone and find another hobby

[ScottMcNab]

Said Bitar wrote:

i totally know what you are talking about. I used to modify the systems all the time then i reached one stage that i can not know if the system is working or not or the improvements are adding any value.

Exactly….Hit nail on the head….I need leave them alone…I know I wont stop tinkering so maybe a rule where changes introduced once a year ?

[ScottMcNab]

I guess the support level has a lot of buy limit orders sitting nearby ? Or perhaps buy stops are placed just above it once price approaches support ? I did spend a good month (unsuccessfully) trying to work out how to code a support level I could trade off

[ScottMcNab]

Will use a plot

I am trying to go down the route of using positionscore that selects the worst outcome rather than using percentages…which may be incorrect…still mucking around with mrv

[ScottMcNab]

All my moc/mrv are pretty similar…based off price patterns similar to Nick’s second income…then added vola filter (trades in higher vola) …and other filter to keep selection bias down …uses adx and atr for this…doesn’t have index filter..close>ref(c,-1)….exits on 7th day if hasn’t closed higher…..interestingly in the BST podcast on mrv many were based on indicators (rsi etc) but not yet achieved success with those yet but will keep exploring

[ScottMcNab]

Said Bitar wrote:

The only problem with moc 4:1 if the stocks dropped 25% intraday then we are zero i think even if they recovered at the close i am not sure it will help due to automatic liquidation i know it is a risk and it may happen but honestly i dont think about it much
But good excersise will be checking stoploss at 10% from the entry i know this will kill the system but if it will make you sleep better then be it knowing in the worst case you will lose 40% of the account

(Notwithstanding Len’s point and whether we could actually get a fill at SL 10% below entry ) did you find it made a big difference to your MOC systems Said (or anyone else that has tested this) ?…I tried it just then after reading your post and CAGR dropped 1-2% but still seems viable…guess not many days in backtest when individual stocks drops 10%….

I could imagine myself doing this and getting out of the bottom of the flash crash before it rebounded to normal..so perhaps sell half of position at 10% SL ?

out of theoretical interest,next issue would be if was possible in IB without changes to API ? …

[ScottMcNab]

Think it comes back to the point in Nick’s post….if we have limited (eg 10% of) funds in leveraged MOC… even if goes to zero following 25% intra-day drop still have rest of funds (which have probably also been savaged of course !)

other option is to just ditch the leveraged MOC systems

[ScottMcNab]

Just spent time over the weekend doing that too Rob…now have a MRV that holds for a max of 7 days and does not use margin….CAGR in the low 20’s for period (2000-present) but drops high teens for (2010-current)…tried on RUA as suggested in BST podcast but didn’t work for me… I also plan to keep the 4:1 MOC but will allocate a lower amount …maybe 10% for it and perhaps 20 % for MRV.

[ScottMcNab]

Julian Cohen wrote:

Is there any reason the position score code will not work on an MR system too? I can’t see why not but just checking

PositionScore = IIf(BuyPrice

[ScottMcNab]

Len Zir wrote:

Scott,
It sounded like if he had more signals then positions he ranked in some cases by historical volatility. So if he had a max of 20 positions and had 40 signals for example he would rank all 40 and only put orders in on the top 20 ranked by volatility. At least that was my understanding.

Yep….is he using this ranking on the assumption that high historical volatility means they will therefore show the highest volatility on the entry day and therefore be the first to hit the buy limit after the open ?

[ScottMcNab]

Did anyone understand Cesar’s response to the question regarding the use of ranking when using buy limit entry orders ?

[ScottMcNab]

Len Zir wrote:

Scott,
I agree with you. I am trading my MOC with 4:1 leverage and sometimes I think I am hiding my head in the sand when it comes to thinking about potential catastrophic losses.

For the aussies on the forum I guess…..been thinking more about moc systems…have I really been comparing apples with apples ?….they can achieve nice CAGR compared with other strategies but can only be traded outside of a smsf ¹ …..the after tax returns are pretty similar to those of the monthly (or even quarterly) rotational system with no leverage which seem to be able to be traded in a smsf ¹ …makes me wonder if the 4x leverage is worth the risk….

real benefit of short term mrv would appear not to be cagr so much as diversification for the 2008 type years …..but this based on the assumption that the mrv type system will continue to perform well in the next market event in a way not correlated with momo or TF systems

…the other benefit I guess is it helps give me my trading fix each day..

be interested to hear how other Australian mentorees are thinking about this…also be interested to hear how it works in other parts of the world…(on the basis we all ok with this being some general thoughts thrown across the bbq table by non-professionals on a sunday afternoon )

1: I am not an accountant/financial adviser and anyone who even thinks about making a decision regarding tax based on my thoughts has rocks in their head etc etc

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