[ScottMcNab]

Maybe just try boosting volume requirement up to 1 mill for the day…and/or MA(volume,10)>1mil etc…extra liquidity when go to sell must be nice….

Just checking…sell is on next open following a higher close ? (or was it on the close itself?)

[ScottMcNab]

Many thanks for posting the system Said….generous as always….

[ScottMcNab]

I had a stop loss when I was using this type of exit….more to allow me to trade it psychologically than perhaps any statistical benefit

[ScottMcNab]

I’ve spend the day thinking about it too but haven’t been able to work it out either

[ScottMcNab]

ok..thanks Nick…I will cross it off the list

[ScottMcNab]

Looking over paper trading for week2
34 entries
14 trades completed – 8 winners and 6 losers
20 trades remain open…13 in the black and 7 in the red….hope its a strong open on Monday

3 trades taken by Amibroker not filled in paper acct; 2 of them (HBAN and VOYA) hit the lows before 10am open and were above buy limit at 10am) but the third I’m not sure about…..BRK.B had a buy limit order on 3Jun for 140.37 and was sitting at 140.14 at 10.30am and 140.16 at 11.30am but did not trigger…

in total 34 buy signals of which 3 occurred in Amibroker but not in paper….backtest works fine ok with 25% trade skip so should be ok with 1 in 10

[ScottMcNab]

Yeah…could be waiting on the sidelines for quite a while and just as easily miss some good profits I guess ?

[ScottMcNab]

Been thinking a bit about this with regard to change from paper to real acct too….is it perhaps worth switching when the system is at (or approaching) its maxDD ?

[ScottMcNab]

Said’s post has some great info on the impact of different exits with MRVs

[ScottMcNab]

Found (gross generalisation) that increasing size of pullback needed for buy limit order up to 0.8 to 1.2*atr reduces maxxDD (as well as trade frequency unfortunately)

I also found exits based on next open or close>ref(c,-1) (or similar variations) seemed to work better for me than those based on indicators suchs as RSI/PDI/MDI etc

[ScottMcNab]

Scott McNab
[email protected],au
Brisbane (go the Maroons)

[ScottMcNab]

Only 1 entry TEX overnight….gapped down on open and then rallied 4% during the day

1st week down with new MRV system

13 trades…9 winners and 4 losers

so far so good

[ScottMcNab]

77 buy limit orders placed…..4 entries overnight….

[ScottMcNab]

Thanks Nick, that seems to have been the case…nasdaq.com has the lowest price after open at 61.91…higher than Amibroker’s price of 61.69….61.69 is also the open price for GIS on nasdaq.com historical OHLC for the day…so learnt something new for day….thought OHLC was for regular trading hours

Also makes me wonder how many (most ?) of the open prices in Amibroker therefore reflect trades of outside regular hours and how this impacts backtest…. Should I consider changing TWS settings to allow trades outside of regular hours so that the Amibroker prices used for the backtest are same as ones obtain in paper/live trading ? Not much point having a backtest based on prices cant actually get ?? :unsure:

[ScottMcNab]

Review of trades taken to date verses backtest shows 1 difference so far;

GIS
buy limit order placed for 24 May for 61.83 with Batchtrader
open 61.69
low 61.60
not filled/entered for some reason….all criteria in MC afl seem to have been met….may have just been one of those days where paper trading acct misses

Will continue to monitor

[Author]

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