[ScottMcNab]

Just tried..I can’t log in either Trent

[ScottMcNab]

Assumption on my part…I assumed that the problems were arising even after these lines were removed as they are obviously looking forward into the future …they are in all my systems of course but if I wanted to use the code check and profile button I would deactivate those lines

[ScottMcNab]

Did you deactivate the following lines Maurice ?

//OnLastTwoBarsOfDelistedSecurity = BarIndex() >= (LastValue(BarIndex()) -1) AND !IsNull(GetFnData(“DelistingDate”));
//OnSecondLastBarOfDelistedSecurity = BarIndex() == (LastValue(BarIndex()) -1) AND !IsNull(GetFnData(“DelistingDate”));

LE = Ref(buysetup,-1) AND Low<=Ref(buylimit,-1);
// AND NOT OnLastTwoBarsOfDelistedSecurity) ;

If I do this I no longer get that message regardless of having the line
SetTradeDelays(0,0,0,0);

If I understand it Nick’s situation is a bit different in that the same system is fine on his computer but not on the client’s ..suspicious for a difference in Ab versions or backtester settings but I can’t think of what

[ScottMcNab]

I use “export displayed reports” and use the settings on the right (under more options) to select asx for exchange to limit to aus trades or to change the times if I want to pick a particular day from the last week…worth a try

[ScottMcNab]

Test it man…trend/momo systems for 6 months and MRV for 6 months…system seasonality ?

[ScottMcNab]

Nick Radge wrote:

Quote:

I was the lucky owner of VTG.au today

Are you not using a filter on the stock itself? Might be dangerous if not…whole sectors can collapse and you’ll just keeping digging in on the way down (speaking from a nasty experience myself…)

Yep..have filters on the stocks…just one of those days when didn’t turn around…it exits on the close so out now…1% loss for the day

[ScottMcNab]

Sharing is caring. I was the lucky owner of VTG.au today…. ! I was in the black when I checked account an hour or two into the day…..feeling pretty smug…..3 out of 4 winners but VTG.au gave me a kicking and brought me back to earth when checked close

[ScottMcNab]

I have found a combination of about 1.5 – 0.8 range produces a good balance…higher gives “better” metrics but can be too restrictive in my testing and can strangle the CAGR…balance determined for me ultimately by selection bias

[ScottMcNab]

Related info…..showing same

http://backtestwizard.com/testing-different-momentum-rules/

[ScottMcNab]

eg..varying stretch in different conditions:

conditionA = EMA(Index,5)>EMA(Index,20);

ATRMult = IIf (conditionA,1.0,0.5);

I feel this is walking on the dark side of curve fitting so I then take the same condition and (if testing on SPX) apply it to AUS, LSE and Hong Kong…if it doesn’t result in the same changes in performance/metrics across all markets it gets ditched….had to throw away some systems that looked fantastic

[ScottMcNab]

Apologies for the typo..NOT all meant to be Ref(GICS10Index,-1) …need to update GICS of course…

Me too Julian…so far have spent a “business” breakfast and a violin lesson constantly googling on my phone since I read this at about 5.30 am…let me know if you find a more elegant way or if this appears incorrect

[ScottMcNab]

Is this on the right track Said ?

GICS10Index = Foreign(“$SPXE”,”C”,True);
GICS15Index = Foreign(“$SPXM”,”C”,True);
GICS20Index = Foreign(“$SPXI”,”C”,True);
GICS25Index = Foreign(“$SPXD”,”C”,True);
GICS30Index = Foreign(“$SPXS”,”C”,True);
GICS35Index = Foreign(“$SPXA”,”C”,True);
GICS40Index = Foreign(“$SPXF”,”C”,True);
GICS45Index = Foreign(“$SPXT”,”C”,True);
GICS50Index = Foreign(“$SPXL”,”C”,True);
GICS55Index = Foreign(“$SPXU”,”C”,True);

pass1 =
(InGics(“10”) AND GICS10Index (InGics(“15”) AND GICS15Index (InGics(“20”) AND GICS20Index (InGics(“25”) AND GICS25Index (InGics(“30”) AND GICS30Index (InGics(“35”) AND GICS35Index (InGics(“40”)AND GICS40Index (InGics(“45”) AND GICS45Index (InGics(“50”) AND GICS50Index (InGics(“55”)AND GICS55Index ;

Cheers

[ScottMcNab]

Out of interest Brent, how much worse was 3/21 compared to the “average” return for that day ? If it is 1% and only happens 3 or 4 times a year then may be ok ?

[ScottMcNab]

Aus system looks nice…I have used oc>1 and turnover 500k but depends size of your account if this acceptable

US …how does it go on SPX with 20 at 10% ?

If use same equity to trade both US and AUS then can you not aim for a CAGR of 10 – 12% for each system to then combine them to meet your goals ?

For me the secret sauce was in varying the ATR stretch depending on different market conditions but not having a market filter…just make stretch bigger in certain conditions…systems does better in falling market but works in both

mine works lot better if select times of higher volatility..i just used atr

[ScottMcNab]

I was probably wrong (again)..was it Matt’s code you fixed JC

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