[ScottMcNab]

I think we are all pretty much in agreement. My (poorly) implied question was whether to trade the ASX. I don’t think the system as such performs “worse” on the ASX but rather the aussie market has had a poor decade…to not use the same system on the ASX would imply that we knew or thought that it was going to be a dud for the next 10 years too….maybe it will be great and the US markets will go flat. So even though backtests on aus markets show that the rotational systems have significantly worse stats than the US, I feel it would be prudent to trade both….but I am interested to hear if others are doing this.

[ScottMcNab]

Rob Giles wrote:

I think the concept of recycling capital via a MR MOC strategy in the US time zone and then in the Aussie is really smart, assuming the ASX provides enough liquidity, which no doubt you’ve looked at. What about MR MOC in another market in the similar time zone as us, such as HK, Japan? Has anyone looked at that?

Yep…went down that route and bought data for Japan, HK, London and China..goal was to have 2 MOC pairs….eg US/AUS and LSE/HK..even placed a few trades on HK
exchange…ultimately I didn’t have confidence in the data though

[ScottMcNab]

Rob Giles wrote:

Interesting. So clearly a large bent towards the higher CAR MR strategies.
Does the leverage “scare” anyone? (don’t know why I asked that question, just felt I had to!).

Scares me a bit based on what may happen in flash crash situation, other exchange/technology based glitch and extreme news events…so try and spread it around to longer term momo systems too…

[ScottMcNab]

Said Bitar wrote:

Said Bitar wrote:

PFFFT
I found the mistake
I believe the code is correct but when testing the ASX 200 i forgot to pick the universe here are the correct results

now makes more sense

Interesting to do a backtest from 1995-2007 and then compare 2007-2017…incredible difference in my rotational asx system…hopefully 2018-28 will be somewhere in between ?

[ScottMcNab]

In the process of taking Momo live in next month or so but plan is:

50% mean reversion ( US/ASX MOC combo)
50% trend following (rotational momentum systema….1/3 NDX. 1/3 RUI and 1/3 ASX100)

[ScottMcNab]

Found this on a post today…would be interesting if could compare results of a basic MRV between Wealth Labs and Norgate to see if any difference….calling all coders out there

[ScottMcNab]

“Selection bias loosening”

A career in media relations beckons…

Are we having a brain fade here guys ? After working so hard and producing such great systems with low selection bias ! A plot of buysignals seems to indicate that much of this year has been a period of low volatility not particularly conducive to mean reversion….so loosening of selection bias would produce many more trades…..looking back through the years such periods can often be seen but don’t last forever….its almost like the market is tempting us to fall for that mistake….the Sirens call…..?

[ScottMcNab]

Len Zir wrote:

Scott interesting idea. I like the fact that you use your equity twice a day which basically increases the frequency of trades without increasing selection bias. I’ll look into it. Thanks

I was meaning to try the MRV system on the ASX Len rather than the MOC as it seemed a shame not to use a system with such good metrics. …. could also do a ASX/US MOC too but there is a limit to how much time each person can allocate for all of this.

[ScottMcNab]

What about the MR on the ASX perhaps Len ?

[ScottMcNab]

Maybe it would be worth using that formula (or even just low

[ScottMcNab]

I tried it slightly different by subtracting 1 tick for buylimit price ..had sig impact on asx…meaning many of my fills were at the very low of the day in the backtest…not much impact on US

[ScottMcNab]

Len Zir wrote:

I raised this question with Nick and I thought I would raise it in the forum
I am trading 2 MR systems both with very similar entries. One system has an MOC exit and the other system exits after one positive close. I am wonder whether it is worth trading the latter system. The advantages of the MOC are less volatility, less exposure, higher CAR and less drawdown. The correlation between the 2 systems is less than I would have thought 0.37 which favors trading the 2 systems . I am leaning towards trading only the MOC.
Interested in other peoples thoughts.

Another angle to consider…..I went MOC as I was able to use the same equity twice a day (US and ASX) rather than once a day…so two systems with low selection bias and 17-20% returns each would seem to combine to produce an outcome better than one great system at 25-30%. I don’t see others doing this however which is an ongoing source of concern. MOC was also less time intensive.

[ScottMcNab]

Said’s and Brent’s journals have many ideas listed too

[ScottMcNab]

Said Bitar wrote:

Julian Cohen wrote:

Scott McNab wrote:

Does the rotational system automatically account for this variation by just selecting the top stocks based on score until the equity is depleted ?

Yes that is correct. I just started running my system this month. I have 8 positions using the whole of the equity. One of them is 18%, one is 14%, one 12.7 etc etc…

Same for me I have 8 positions the max is 22.1% it was supposed to be 30% but cash ran out at 22.1%

I’ve been trying to understand more the success of this position sizing…my rotational systems are pretty average with fixed position sizes

It seems to do this by loading up the weighting (favoring) the more expensive stocks, especially those with lower atr.. implying that these stocks are more likely to continue their momentum than the cheaper stocks ? Makes me wonder if volume could somehow be useful too (OBV maybe)

[ScottMcNab]

For just a few seconds I got pretty excited when opened TWS today……

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