[ScottMcNab]

Haven’t looked through in detail yet but hopefully may transfer MOC systems to CFD’s rather than stocks ? 0.05/5 comms seems attractive at first glance

[ScottMcNab]

Would this not need access to the portfolio equity during the backtest ? I did not think this was possible.

[ScottMcNab]

Oct ’17

ASX MOC: 0.0%

SPX MOC: 0.3%
RUI LOO MOC: 0.3%

ASX Rotn: 7.6%

Taking US Rotn live tonight…as have changed allocation significantly the asx moc system funding is such that commissions have become too much and system will be suspended for time being

[ScottMcNab]

Congrats on the milestone Rob…always exciting to go live with a new system…all the best

[ScottMcNab]

Rob Giles wrote:

“Your order is configured to work during regular trading hour only. Our smart routing system does not consider a market to be open until the primary exchange posts their opening indication. When Nasdaq reports their executions to the consolidated tape prior to 09:30 est, each report is flagged as “pre market”. At 09:30:00 any Nasdaq trades that occur are reported to the consolidated tape without the pre market indicator. This causes 3rd party quote reporting (Bloomberg, ILX, Reuters, etc) to see the first of these prints as “opening” prints when, in reality, they are not. “
.

Just doing some housekeeping on a new MOC system that only trades at open ….of the last 20 trades over the last few days only 6 matched Ab opening price…

Overall has been in my favor over that small sample but it has been a bit of a scatter above and below…

[ScottMcNab]

Nick Radge wrote:

Can’t speak for but many of these US traders use the close to enter. There is a lot of data about the importance of holding o/night.

I’ll go one better – I’ll send Cesar and email and ask him!

Interesting regardless of whether Cesar referring to this…would need an API to monitor live prices and then at a set time (eg 1 min prior to the close) the API would check if the price satisfied a certain criteria (above/below a certain price or within a price range) …..the API would then work its way down the top x ranked stock to place MOC orders for those stocks ?

[ScottMcNab]

my MOC currently:
asx is 4x…10% of total acct
SPX is 4x….10% of total acct
RUI LOO is 2x…10% of total acct

[ScottMcNab]

http://alvarezquanttrading.com/blog/the-abcs-of-creating-a-mean-reversion-strategy-part1/

Part 2 is meant to include selection bias with some form of ranking…either not using buy limit entry or has another method other than positionscore ? ….R3000 is a lot of stocks

[ScottMcNab]

Yup…makes the win rate look good though ….profit factor up too ..in the end cagr not changed much….these rotational momo systems are pretty impressive in how robust they are…

in regards to that article above, maybe exiting the stock (in rotational system) with a loss of momentum rather than a significant drop in price is as important as the “momentum” factor itself

drops trades down to about 20-25 a year…might keep the ato happy in smsf

[ScottMcNab]

Fig 3 makes me want to try a rotational momo that rotates stocks every quarter rather than monthly….hmm

[ScottMcNab]

http://sanzprophet.com/2012/11/better-than-mean-reversion-adaptive/

Another vote for diversity in systems

[ScottMcNab]

My data seems ok Kerry

[ScottMcNab]

Maybe a different api for each group so can close each 1 min after they open would work

[ScottMcNab]

Trent Rothall wrote:

in the US do they stagger the open like on the ASX ie. open stocks starting with A-F first then G-… etc if so you would get filled in that order if you had a lot of trades on a certain day.

IB doesn’t support LOO for ASX Trent…could try and set API to close positions 1 min after open but not sure how complicated that would be for the different groups

[ScottMcNab]

Said Bitar wrote:

i have one suggestion why not to run backtest on all the systems over certain duration let’s say from 2000 until now and then write small code for buy and hold of all the resulting equity curves and in the position size you set your current configuration and see the results then you can play with the allocations till you find what is best for you in terms of exposure

Said..would it be any benefit to somehow exploit the “export to Microsoft Excel” function for the profit table in the backtest report ..or would it just give the same info ?

ie
for each backtest pick a time frame (eg 2000 to current) and export this to an excel file using a different sheet for each system

then have code that would extract the return month by month and average them….eg pull out the value for Jan 2000 for all the separate sheets/systems…and use these averages to construct a “portfolio summary sheet”….the returns for each month can then be used to calculate annual return…

could also add an input at the bottom of each sheet stating what weighting to give that system in the portfolio…eg if 60% for system A and 40% for system B …..then when calculating the value for that month in the portfolio summary it would multiply the monthly value for systemA*0.6 and systemB*0.4 etc…and sum them

this may help determining the impact different weighting to different systems would have ?

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