[ScottMcNab]

Even though it is only on 5-10 days a year, the times it has happened in the last twelve months it has had a pretty significant impact..if I can get a formula for position score then I can use it in designing systems with minimal impact of SB with some metrics to give me confidence in it

Maybe something as simple as this then….(not sure if ok to use buyprice this way…?)

PositionScore = IIf(Close

[ScottMcNab]

Trying to get a positionscore formula that would pick the worst trades possible…to see maximum impact of selection bias…

if system tended to have excess number of possible trades (ie selection bias) on days where the overall outcome was a market rebound then its not going to be the same issue as if the system was exhibiting selection bias on days the market tanked

kind of want to put the issue to bed (if possible)…I have been circling back to this issue periodically for twelve months.. i thought a positionscore that selected worse possible outcomes for the day might help….

anyone remember how positionscore deals with positive v’s negative values in long only system ? Can’t find an answer

[ScottMcNab]

PositionScore = IIf(Close

[ScottMcNab]

Nagging feeling I’ve forgotten something crucial about positionscore…does it only use abs value ?…so I would need to differentiate those days when closeopen to make sure get worst days ?

[ScottMcNab]

Moving selection bias back here rather than hijacking Trents progress journal..

What if we just used a slight variation of Said’s formula for MOC systems:

PositionScore = IIf(Open

[ScottMcNab]

What dates are the cagr/mdd/MC stats for Julian ? Are they for the same dates as the selection bias ? I can then throw up some stats for this period.

Its interesting comparing apples with apples….once selection bias is accounted for then the apparent advantage or attraction of the MRV/MOC over the rotational systems starts to fade

[ScottMcNab]

Julian Cohen wrote:

Scott McNab wrote:

I was listening to the recording from last night (can’t believe I forgot!) and am hoping someone can please clarify for me the bit about asx moc systems not being worth it (was raised when Nick was speaking with Said)…I may be missing something crucial…the bit about even though commissions are factored into the backtest it still may not be worth it due to drag ?

Basically we are not getting good fills on the ASX especially when our buy orders are the low of the day. I haven’t been monitoring the slippage but I am going to from now on to see what this is actually costing me compared to the backtest. But basically what Nick was saying was that if the brokerage and the profit end up being equal or worse for a system he would rather put his money elsewhere. At least that was my understanding.

I stopped my ASX MOC system for exactly that reason. Although the backtest accounts for brokerage, when the bad fills come into play as well you are running the system at about half what you expect. Might as well run it on a system with a better return.

Thanks Julian. The missed trades at the low of the day is a concern. Is the slippage with the MOC referring to those times when the open is below the buy limit order and the backtest is assuming a fill at the open (which is not happening) ? On the days when the open is above the buylimit then I can’t see how slippage would be an issue ?
Thanks again for the help

[ScottMcNab]

I was listening to the recording from last night (can’t believe I forgot!) and am hoping someone can please clarify for me the bit about asx moc systems not being worth it (was raised when Nick was speaking with Said)…I may be missing something crucial…the bit about even though commissions are factored into the backtest it still may not be worth it due to drag ?

[ScottMcNab]

All good now. Thanks for your help Nick.

[ScottMcNab]

Plot thickens…rotational system on RUI which has been code checked and stable for several months today shows a 935% return for 2011….better call Saul…um Craig..

[ScottMcNab]

Aussie only…not US mkts…weird…wonder what I have done

[ScottMcNab]

I got a few thousand CNU with LMT this morning at 4.11…..closed out at 3.97….not sure how I lucked out on the extra few cents in the closing auction…beautiful trade all round

[ScottMcNab]

The curve fitting aspect bothers me too…I am changing the code to reduce buysignals at the cost of worse statistics…CAGR drops about 20%…but it probably is a more realistic outcome…but may still be a form of curve fitting…

[ScottMcNab]

From the first graph it doesn’t look like it happens that often…once or twice a year impossible to avoid probably.

Looking at the second graph (case study of 1 admittedly) it could be a bit of profit taking ?…could try a filter that if (eg) SPX >ref(HHV,(SPX,50),-1) then tighten entry requirements slightly…. could add a small adjustment to which ever filter in system (adx/atr/size of stretch for buylimit/etc) works best…such as multiply adx by 1.2 or buylimit price by 0.995

[ScottMcNab]

I suspect our buy conditions differ significantly…if (for example) the buy condition was when the stock closed (crossed) below its MA(C,5) then I would try:

SetForeign(“$SPX”,true);
IndexTrigger = cross(MA(C,5),C);
restorepricearray();

as I would expect that on those days the stocks which are simply tracking the index would all look to trigger on that day…so the Index filter would need to be customized for everyone’s system I am guessing but the principle should work (maybe)

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