[ScottMcNab]

I know I shouldn’t have but I checked anyway…

previous MOC would have made $450 last night
new MOC lost $100….

[ScottMcNab]

Yeah there are so many potential pitfalls…makes me realise that the probability of success (not financial ruin) if had tried to work it all out myself was zero

[ScottMcNab]

Launched updated (“selection bias” version) MOC tonight for US…volatility returned it seems so the tighter parameters may be timely

[ScottMcNab]

Launched updated (“selection bias” version) MOC tonight for US…volatility returned it seems so the tighter parameters may be timely

[ScottMcNab]

While I am in the zone for making gross generalisations and trying to pass them off as facts I have noticed one other thing recently….how often that when I make these allowances or when I actually change the code of the system itself to reduce the bias, the end result is nearly always between 18 and 23% CAR…..not quite as close to retiring as I thought !

[ScottMcNab]

Trent Rothall wrote:

I am no expert obviously, but i tend to agree. The only thing is the minimum MCS in the first run was higher than the Top of the second..

Interesting….I have thought the same thing Trent. One really rough rule of thumb I have found is that when I tested those days where possible buys far exceeded available positions, the live results have consistently (in all of the half dozen times…hah) been about 1% worse than the backtest result for that day….so if were 12 instances in the year when this occurred, then I subtract 12% from the CAR…if it occurred twice a month then thats a deduction of 24% !!

last night was a good example….lost 1.5%…turns out when I tested it a few minutes ago there were 70 possible buy signals …when ran backtest over the day 1000 times (with positionscore set to random) the possible outcomes ranged between -0.11% up to -1.6%…with an average about -0.6%

not sure if that helps Trent but I have used that rough rule to help me (grudgingly) face the reality that I don’t really want to confront (ie my beloved system is really a dog)

[ScottMcNab]

Systems or anecdotes ?
Or both ?

[ScottMcNab]

Here goes

https://s22.postimg.org/471ac3owh/buysignals2015.jpg

[ScottMcNab]

What little hair I had is rapidly disappearing..

Anyone else finding a similar pattern in backtesting as show below ? .this for 2015…buysignals stay below positions available for almost entire year but then for 3 days in August it all blows up… should I just live with this ?

[ScottMcNab]

I tried it both as a filter for changing the size of the stretch for the buylimit and also as an extra condition in the buysetup… I was trying to test it to change positionsize too (ie switch to 40 positions at times of high volatility and drop to 20 in low volatility) but the coding was beyond me

[ScottMcNab]

May still be beneficial on remaining days though Len ? ie scaling in with 1/3 position size rather than 3x ? Be interesting to test

[ScottMcNab]

I found some similar results with VIX Julian if you want to play with that too

[ScottMcNab]

Thanks Nick..I might go and look into MIT more. I will also speak to accountant again as I think that he said last time I asked that the SMSF is allowed to run a business now as long as it satisfies the “sole purpose” rule (not sure if that correct terminology)…will look into further
Cheers

[ScottMcNab]

Thanks for the info and thoughts Len….much appreciated

[ScottMcNab]

Thanks Len. I wasn’t very clear in my question I’m sorry. It wasn’t the CAR (%) I was interested in but what % of days were all signals taken and what % of total trades…going from original position sizing to Nick’s adaptive position sizing…eg from 80% to 90%. I share your interest in selection bias and am thinking I should look to implement an adaptive method perhaps ?

Out of interest, while we talk about this mainly in reference to the MOC systems, would it not equally apply with any system not using a ranking system to select stocks (ie a MRV / swing system using a buylimit or buystop order) ?

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