[ScottMcNab]

Nice night for US MRV…4 new positions ( CBL, EXC, FX and TIF) which dropped for entry and then took off

[ScottMcNab]

Haven’t added to this for a while but been busy…

started again and now have a new MRV system that I am paper trading…..also working through the steps to get reg-t account….so needed pty ltd……then discussions with accountant and lawyer to find out type of entity it falls under for US tax law (passive NFFE in this case)…is a good post on aussie stock forums with info about it if anyone else going down this route…then trips to bank for account setup for pty ltd…which then need to submit for IB appn

Long term: looking to try and trade 2 different systems that both enter with buy limit….have the afldone…..one is mrv (buy limit entry pretty standard) but the other is a momentum system (so sounds stupid but entry with buy limit works)….so next I have to find out if can run two Batchtrader (to control buy limit orders overnight) through same TWS or if need two TWS accounts…..

[ScottMcNab]

Ouch! Quite a list…but how will you know whether it harms the system a little or a lot otherwise ? Are US mkts a possibility or do they have the same restrictions on certain stocks ?

[ScottMcNab]

Are you able to obtain a listing of those so you can exclude those stocks …both for future trades and also in your backtest to find out how much it hurts ?

[ScottMcNab]

Nice stats…will try…Thanks Darryl..

[ScottMcNab]

Congratulations and best wishes

[ScottMcNab]

Thanks Nick and Said. I wasn’t understanding how CAGR could go up when reducing the number of trades by 25% but the higher value is, of course, in reference to the average CAGR returned for the test itself, not for the metrics for the system without the trade skipping….its a gift…the ability to create confusion in an otherwise straightforward situation :whistle:

[ScottMcNab]

Giving myself headache re selection bias…..as long as the trade skipping test (1000-2000 runs of maybe 20%) returns an acceptable variance then system passes ? Or is the fact that system only taking 40-50% of available trades (as determined by increasing max positionsize to 200) still a worry regardless of it passing the trade skipping test ? I imagine the impact of selection bias would be a lot more in some systems where big winners are needed to make up for multiple small losses rather than a system with 60/40 w/l ratio and size of win same as size of loss ?

[ScottMcNab]

Based on those rules Trent:

[ScottMcNab]

R1000…prob feel more comfortable in SPX ultimately but will see how goes when eventually get to trade live

[ScottMcNab]

Thanks Darryl. The mkt orders in a paper trading account are apparently not as accurate as live account. I was so freaked out by the slippage in my mkt orders that I went to a buy limit order for entry too. My slippage was about 0.2% from memory paper trading.

[ScottMcNab]

No leverage Nick. I think I over-complicated the exits. I have another MRV that I came up with last night that passed stress tests and I started paper trading overnight. 340 orders into API
3 fills
Amibroker backtest same as TWS trade record…so far so good…

[ScottMcNab]

I was going over my paper trades on the weekend and comparing them to trades Amibroker would have taken when I noticed there were more trades in Amibroker backtest…turns out that on days where exited on close the backtest was using that equity to allow purchase of additional entry positions on the same day to make up the required number of stocks for max open positions…type of postdictive error I guess. After I corrected this by adding settlement delay the system performance tanked. Another lesson for benefits of paper trading but now need to work out a new system….again… I like the limit buy order with MRV so will see if I can’t come up with a simpler type of exit…maybe just sell on open for all exits to avoid making the same mistake again.

[ScottMcNab]

Hi Maurice,

I don’t think the low number of fills obtained in relation to the number of limit orders placed is a sign of any problem or issue…probably the opposite in fact. If Darryl’s MRV is similar to Nick’s or mine then the price needs to drop a certain amount on the entry day for all of entry setup criteria of the system to be satisfied. The large number of limit orders relates to the prior day showing a possible entry setup but the price on the next (entry) day still has to drop a specified amount before the entry criteria are in fact met. On a large number of those says however the price movement is not sufficient to meet the entry criteria and so the limit price is not reached (hope that makes sense). The system would not have taken these trades in the backtest.

If the setup criteria for the system were all met the previous day and then the entry orders then were not filled the next day then it would mean there was an error with the backtest I guess.

[ScottMcNab]

Finally getting back to this journal after some time away. While away I have refined a MR strategy that seems to have a reasonable performance which I have been paper trading with IB for the last few weeks. Results seem to be confirming backtesting so far:

since 21/04:

total orders placed: 972
total orders filled: 66
total trades completed: 46
winning: 29
losing: 17
open orders: 20

Hi Darryl, Are you using limit orders or are there some buy or sell mkt orders in there ? I would be interested to compare your slippage in the 66 entry or 46 exit trades if any of them were mkt orders (if you get a spare few minutes some time).
Cheers
Scott

[Author]

Posts