[ScottMcNab]

Yeah…thats an interesting and I suspect very valid point Said that I hadn’t given enough thought to…having more positions may help prevent panic from taking hold and over-riding the system

[ScottMcNab]

hmmm…thats looks like a mess with reformatting…apologies for the jumble of numbers…was originally in 3 columns

[ScottMcNab]

Thanks Said…I will ask mr google

Reading Trent’s blog made me go back and look at my fills…so far this week there were 10 entries on monday and 7 exits on tues

monday entries (buy) at market (placed before markets opened):
STOCK my fill price amibroker open price
ARMK 33.84 33.89
CBL 11.81 11.79
COTY 29.67 29.23 (hurts)
GE 30.83 30.81
IM 35.10 34.99 (hmm)
NLY 10.24 10.23
ORCL 40.74 40.59 (ouch again)
TAHO 12.60 12.61
TJX 76.56 76.43

Tues sell LOC orders:
STOCK my fill price amibroker close price
TJX 77.15 77.16
NWL 44.38 44.39
TAHO 12.98 12.99
GE 30.90 30.90
IM 33.35 33.33
CBL 11.90 11.91
ARMK 33.93 33.93

SO…LOC orders are getting me pretty close but on the open I need to change from MKT DAY to MKT OPG….7 orders going in tonight to buy on open in a few hours so it will be an interesting (but not statistically sound) comparison

Am enjoying bulk uploads with STT…while I was working out the above values I was thinking it may be quite simple for the developers of STT to add another column to the buy and sell pages called SLIPPAGE in which the user enters the “target price” (for want of a better word)…a drop down menu where the selection could be “open|close|manual entry|formula|etc…” The software already searches out prices online so it should be able to compare the fill price against the recorded open (or close etc) reasonably easily?? This would enable slippage to then appear on the dashboard along with commissions and help with assessment of the performance of portfolios…weekly v daily etc…..

I will post the results of buy on open with MKT OPG tomorrow night if I can (working late)

[ScottMcNab]

Thanks Nick. My interest was sparked when I was re-reading the profit maximization module….was thinking another approach may be to have one of the systems with the position size ramped up…increased risk but increase return through exposure…but used as one of a number of systems

[ScottMcNab]

My explorations keep bringing GMCR up but it seems to have been acquired by another company in March. Is there a lag period before stocks are removed from an index ?

[ScottMcNab]

Or is it more a practical issue of liquidity with a large portfolio ?

[ScottMcNab]

Reducing the number of positions to 10 would, I imagine, improve exposure but 10 positions at 10% is asking for trouble perhaps ?

[ScottMcNab]

So for straight up buy or sell orders on open best to use mkt with time in force set to OPG to try and mirror open price used in the Amibroker backtest ? :S

[ScottMcNab]

I had an interesting experience recently modifying a system I have had for a while and was paper trading…thought I would go back and add a profit tgt and found out that changing the order of the exits in the looping has a significant impact on the system…luckily the results were too good and when I used the charting function I noted that the exit system was no longer functioning correctly in about 1 in every 10-20 trades (should have been exiting on open but was exiting on close only on those bars when close was higher than open). I got lazy but learnt something new…always check the chart for every modification even when its a system have used for a long time.

[ScottMcNab]

relstrength (strongest/weakest)
LinRegSlope…..I enter trend after a pullback and found using Ref(LinRegSlope(C,20),-5) or similar tests were interesting

[ScottMcNab]

Slowly progressing

Paper trading 2 systems using DDE for entry orders now
MRV daily: 19 entries
weekly momentum: 20 entries

Uploaded 40 positions into Share Trade Tracker into the 2 different portfolios….copied the report from TWS trade log(trade tab…not summary) using “collapse all” and copy to clipboard….then pasted into blank excel spreadsheet….then copied columns into Share Trade Tracker using bulk uploaded page…cut and past symbol, buy price, quantity, commission and then manually selected portfolio and added date etc….seemed ok but time will tell as any errors become apparent

[ScottMcNab]

Do you have different IB accounts for US and AUS markets Nick ? I am trying to get my head around the possibility of needing to account for currency conversion. It would seem a lot simpler for position sizing to keep an IB account for the US markets set to US currency and have a different IB account for AUS markets with currency set to aussie…or does Share Trade Tracker handle this ?
Thanks

[ScottMcNab]

Are you using Share Trade Tracker to keep track of your paper trading as well as your live trading Trent ? Paper trading multiple systems from the same IB account would necessitate keeping track of the portfolio equity for each of the systems to enable accurate position sizing (based on unrealized P/L and commission costs) as look to open new positions ??

[ScottMcNab]

I found this site quite useful…actually discussing MRV system of Nick’s but forms a good basis to experiment from

http://alvarezquanttrading.com/2014/08/11/simple-ideas-for-a-mean-reversion-strategy-with-good-results/

[ScottMcNab]

I have a few hours spare today so I might try it using different exits for different conditions (rather than scaleout which I suspect is be beyond me)…interesting that it seems to work better for momentum verses MRV. Thanks for replies.

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