[ScottMcNab]

I think Julian contributed to the code…love to take the credit but I can’t fix my own.

I’d start the record again so it gives you an accurate record of the system…good for the psyche.

[ScottMcNab]

Another option to try perhaps is changing the system to see how it runs with a limit on open buy order
…so open has to be <= buylimit or order cancelled....if there are more buy signals than positions then distribution of returns for the day should be more random (or could maybe account for order that stocks open in within the backtest itself) I have found the drop in buysignals to be significant though would necessitate new API… but if happy with system may be worth it in long run

[ScottMcNab]

I think on those few days a year when buy signals greatly outnumber available positions then the results will (by the nature of the system design) have a very high chance of being almost as bad as it can be. In one of my rants…er posts in my journal a while ago I discussed the first time it happened. I was very disturbed. My results came in at 995/1000 (or similar) for the simulations I ran for that day. It resulted in a drop of 1% MORE than the “average” return for that day in the backtests. It has happened 3 additional times since then. For one the results were smack in the average and the other 2 were lower than average for the day but not as disastrous as that first time.

Further work on selection bias has been with the requirement and keep these days to a maximum of 4 times a year. I expect my real CAGR to be 1% lower for every one of those days that occur each year.

Maybe run a few tests on 3/21 (1000 runs each)…check what the “average” is and then what the worst possible and then reduce leverage until the additional loss is bearable and then see if the system metrics are still acceptable ? How often will these occur each year ?

I am now experimenting with combined MOC system (ASX day and SPX night) without any leverage (20 at 5%) as the combined results are looking acceptable with reduced risk….just a thought

[ScottMcNab]

I have been working on it solidly for the last six months or so. I stopped it in Dec and for Jan/Feb 2017 was trading the SPX only. Then in March I finally subscribed to live data feed with IB and that eliminated the issues I was having trying to be in front of the computer for the ASX closing auction….the MOC system has worked without a hitch to date using the live feed to closing the asx stocks calclating the limit price from the last traded price. March was spent using “token” position size but trading live nonetheless. The final piece of the puzzle was the filter I added to the SPX system to reduce selection bias. I also added this to the XAO system. I traded both systems with full position size in April.

I couldn’t let it go as it seemed the most effective way of adding 10 to 15% to the CAGR of the MOC system I was trading on SPX.

Today was certainly interesting with the banks with the news indeed having been priced in to yesterdays fall as you said this morning Nick. Was this something that the Treasurer had mentioned ahead of time to reduce the shock ? I tend to switch stations when politics is discussed and so had heard nothing of the impending bank tax.

[ScottMcNab]

System has selected 4 of the major aus banking stocks today….this may get ugly

[ScottMcNab]

In the end might be nice to have both MRV systems…one with index filter and one without…it surprises me how different the profile of returns can be by changing only one or two things in a system…eg remove index filter, add one more line in the buysetup (eg filter based on price action or ATR/PDI/MDI/ADX etc) and/or make exit different (eg moc verses close>ref(c,-1) )…if correlation low then have 2 for the price of 1…. use one on R1000 and other on SPX..or sytem with fewer trades on ASX and high frequency on US

[ScottMcNab]

Agree that looks very good. Win rate higher than I have been able to achieve unless I add a profit tgt.

How does it go without the Index Filter Luke ? One of the nice things about a MRV system is that they often can do well in an environment in which other systems (momentum/TF) don’t do so well in. You may find in the future if you trade multiple systems like Nick, Said or Julian that some tweaking to allow removal of the index filter beneficial to your portfolio of systems.

eg tighten the entry criteria to compensate for removal of index filter…something to maybe play around with in the future

when i tested 30 positions I used 6.65 as just couldnt bring myself to use 6.66… felt like I was asking for it !

[ScottMcNab]

Thanks Said. I am intrigued that you are exploring that area. The liquidity seems attractive but the potential for large moves following announcements from central banks appears equally frightening. Interestingly, again referring back to the podcasts, most of them seem to be scalping with a stop loss much larger than their profit target. If the trade goes against them they seem to open a hedge in the opposite direction to then wait for the trade to turn around.

[ScottMcNab]

How is the Fx going Said ? A few podcasts I have heard recently have been pushing mean reversion strategies with pullbacks in a longer term uptrend…any luck with the MRV strategies you posted on stocks (lowest close in 5 days etc) ? I imagine the time selected for start/end of day could have quite an impact ?

[ScottMcNab]

It would be great to understand why the index climbs towards 6000 and then retreats in the absence of a fundamental change…can’t imagine that pension funds would be selling in anticipation of resistance…maybe the short term traders just increase short selling and the pension funds or other large institutions stand aside so they can pick up their stock in the days or weeks to follow at a cheaper price ? Luckily, I don’t need to know in the end but it is an intriguing puzzle

[ScottMcNab]

TFI Friday….roller coaster of a week

6000 is only a number right ?

[ScottMcNab]

Is the implication Nick that the logins are deliberate in order to either crash your VPS and cause you financial loss(once the api no longer active) or even worse to get into your TWS somehow ? Very disturbing. Would it be worth asking them to allocate you a different VPS ? What are the chances of it happening randomly again ! Might be the simplest fix.

[ScottMcNab]

I have used my mobile as hotspot before Maurice but only to upload the csv onto the VPS…not to run API+TWS for the day…the combo of a VPS and the use of your mobile will probably be the easiest and “safest” fix and eliminate the need to chase wifi connections (assuming you can avoid the vps issues some people have experienced)

[ScottMcNab]

April results for MOC combo: +3.07% (ASX 1.8% and US 1.2%)

[ScottMcNab]

Yep..is AUD. My commission charge has always been a bit above 8 AUD which I thought was the equivanent of 6 USD…but its also the 0.08% amount of my position size by coincidence…. living up to the tread topic !

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