[ScottMcNab]

The result I mentioned (same CAR but reduced maxDD) was using same leverage as when system was exiting next day.(35 at 5.5% for both)

[ScottMcNab]

Hmm. I suspect your correct..I used

if (LBIT[j]==1 AND Close[j])
{
Sell[j] = True;
SellPrice[j] = close[j];
PriceAtBuy = 0;
}

[ScottMcNab]

I just tested it on my MRV…CAR stayed about the same but maxDD dropped…a lot. Fantastic outcome…will go and test further. Thanks again for sharing Said.

[ScottMcNab]

Are you using Batch Trader API to manage the entries for your MRV Said? I am wondering if you would need a new API to be able to exit on the same day as entry ?
Thanks
Scott

[ScottMcNab]

Much better

[ScottMcNab]

Hmm…was not meant to be a face there sorry

ATRMult = IIF(EMA(Index,5) ;

[ScottMcNab]

I do this by relaxing the amount the price needs to drop to allow entry ..

eg

ATRMult = IIF(EMA(Index,5);

[ScottMcNab]

Ok…..will not waste any more time on it.
Thanks Nick

[ScottMcNab]

Julian Cohen wrote:

Scott McNab wrote:

However it may, in fact, be the opposite and these days may be quite profitable for MRV systems rather than something to be avoided ?

Did you have a look to see what happened to your system in 2008 during the TARP announcements when the S&P went up and down 10% in a day?…I haven’t but thinking about it the Index Filter would have kept my system out of it…but it might be interesting to see.

I haven’t looked at individual days but I think I might go back and do that.I do know that 2008 was the best year for the system over its 20 year backtest. It does not have an index filter so it probably was in interesting day for the system.

[ScottMcNab]

Only 18 new positions rather than 35….makes me think about adding an extra condition to buysetup to backtest….something that may try turning off the system if UK market opens down >3% or similar (targeting catastrophic events)…or using sp500 futures etc. However it may, in fact, be the opposite and these days may be quite profitable for MRV systems rather than something to be avoided ?

[ScottMcNab]

Yeah…just placed API orders for MRV…got the feeling that will wake up to 35 new positions if the market tanks on open…easy to be relaxed about it when paper trading though

[ScottMcNab]

Was just going over trades from last night and Amibroker and TWS trade log didn’t match…not even close…panic stations…I found that as I was rushing order entry through late last night before market open last night I must have clicked on the excel file from a previous day. Seriously, if its not complicated enough without coming up with new ways to screw it up. I now will (and probably should have always been) run a cross-check with TWS API order page with the amibroker exploration.

[ScottMcNab]

Is that the CAR Trent ? I would trade a system that did 22% CAR over last 5 years I think if I could get maxDD under 12 (but max DD metric would need to be over last 20 years I guess…so included 2008 etc)

[ScottMcNab]

Playing around trying to get a medium/longer term system to work….enter on making new high and trailing stop…can’t get CAR/.maxDD ratio above 1.5….anyone else trying these ?

[ScottMcNab]

Trent Rothall wrote:

Or even test the opposite ramping up positions to get out of DD quicker, I know one guy who does this but its a discretionary call i think – don’t really know how it works out for him either. :S

Is that tending towards a Martingale type strategy ?

[Author]

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