[SladeChisholm]

JUL 2022

US MR MOC (Combined R1, R2)   +2.38%
All Ords Monthly Rot 0.00% (cash)

Surprised to be slightly up, its good news.

[SladeChisholm]

It was 1 Jan 2005 to current day, same as Glen I think.
Cheers

[SladeChisholm]

Thanks for posting this Glen, I am working on my second MOC system so your timing is great.

I tried it out and have a solid improvement.  I followed your lead and reduced the stretch where the Index PDI was above Index MDI which gives the below:

 

Sample AB Code below for info:

    // Generate PDI/MDI for $SPX.
    SetForeign( “$SPX” );
    IndexPDI = PDI(5);
    IndexMDI = MDI(5);
    RestorePriceArrays();

    // Calc Stretch based on Index PDI/MDI.
    StretchMulti = IIf(IndexPDI > IndexMDI, PDIUpMulti, MDIUpMulti);
    EntryStretch = ATR(ATRRange) * StretchMulti; 

I also messed around with the PDI/MDI at the stock level but found it a bit inconsistent.

Plenty for me to play with here.

Cheers

[SladeChisholm]

My MR MOC daily returns are similar to Julian’s, although I started in Apr so missed the first 3 months of the year.

To me it seems the up days since April haven’t had a dip intraday to satisfy the stretch so I’ve sat on the side lines.

The drawdown on 27 Oct 97 was -9.1% followed by a 16.9% gain next day.

Current DD is still ahead of B&H…….happy to carry on.

[SladeChisholm]

JUN 2022

US MR MOC (Combined R1, R2)   -12.65%
ASX100 Week Rot -8.25 (now in cash)

A challenging month in terms of returns.
A positive month in terms of experience gained.

Cheers

[SladeChisholm]

Thanks for the feedback, its good to know I’m on the right track. Cheers

[SladeChisholm]

It’s been an interesting week trading, I was away for most of it but still managed to place my orders and returned home to yesterday’s mess.  My thoughts below:

MOC System
-6.5% for the day on Monday.
66 fills from 80 orders on the R1000/R2000.

Post Mortem
Indexes were down ~4.5% for the day.
It was a down day that closed near the low, not good for MOC systems.
25% margin I’m using multiplies the losses.
Stretch in the system reduces losses.

Given the 25% margin and the -4.5% index drop my loss could have been much higher so -6.5% is actually an ok result on the day (although it doesn’t feel that way).  
The system worked well, I expect the stretch absorbed most of the potential losses.

ASX 100 Weekly Rotational
This system went live in June
The index filter allowed entry on 3 Jun (the only day this month it was green).
The index filter was red the following week so we exited with a 10% loss.
I placed exit orders with a -5% limit and 3 trades had a large gap down yesterday and did not exit, I adjusted the limit intraday to exit (I will revisit this).

Post Mortem
I ran backtests to confirm the live results and found one stock entered was different in the backtest.
I re-ran the exploration for 3 Jun and it was different to the original exploration due to ranking….a red flag.
I reviewed the Norgate logs thinking it was a timing issue with the data then Nick highlighted that one exploration included dividends and one didn’t so we can put it down to user error on the re-run.
The system worked as expected.

This loss is probably more uncomfortable, losing 10% on the first round of trades for new system puts some doubt in my mind but I’m happy with the testing and these results are in line with that.  I’m happy to put it down to normal trading (and maybe being a little unlucky on the timing).  Having said that, a fresh backtest indicates the system is now very close to its Max DD so I will investigate this further.

Overall, an interesting couple of days with plenty of experience gained which should make it easier next time.
These are my thoughts after 10 weeks of live trading so I’m kind of making it up as I go along, hope it makes sense.

Cheers

Slade

[SladeChisholm]

+1 for the classic car

Nobody takes better care of your money than you do!
 

[SladeChisholm]

MAY 2022

US MR MOC (Combined R1, R2)   +0.6%

Cheers

[SladeChisholm]

Its my first month of trading and apart from a few teething issues things have gone pretty well.

Results are below:

1. US MR MOC (Combined R1, R2) -4.1%

Given I’m using leverage and the poor market performance I think this is a good result. I was expecting a bigger loss.

We did have a power failure this week so I was glad to be on a VPS.

Now I’m working on my next strategy which is a Rotational Momentum system on the ASX 100.

Cheers

[SladeChisholm]

My 2 cents.

TWS has a large RAM footprint which slows down my VPS.

To mitigate this I do the below:
Keep open applications on my VPS to a minimum. Closing AB, Norgate, Excel etc when not running explorations.
Close TWS screens when not in use eg Trade Log, Account screen etc.
Minimise TWS when idle so it doesn’t need to render any graphics.
Review RAM usage for each application in Windows Task Manager before I disconnect.

You can configure the amount of RAM used by TWS in the TWS config screen under Configure -> General -> Memory Allocation in MB (the default seems to be 768mb). I would be reluctant to reduce this.

I would think 4gb should be enough to run our processes with reasonable performance. If not, you could try a reboot of the VPS which helps with most problems.

Cheers

[SladeChisholm]

Cheers Paul.

I’ve been doing this full time since Jan which makes things much easier……I should probably start looking for a job soon

[SladeChisholm]

Hi Everyone,

I created a VPS using AWS Lightsail and so far so good. I have used AWS in the past and found their products to be solid.

I documented the build process which is attached in case you go down a similar road and are interested in what I did.

My background is in software so I’m no expert in server setup but I have a reasonable idea.

If you have any questions I’m happy to try and help.

If you have any tips they will be gratefully received.

Cheers

Slade

Edit: I have since upgraded the RAM from 2gb to 4gb which has provided a huge boost in performance across the board, it has knocked 30-40% of the time it takes to place my daily MOC orders as I can now multitask.

[SladeChisholm]

Welcome and all the best.
Cheers
Slade

[SladeChisholm]

Hi Alex,
Not sure about the messages.
My email is [email protected] and is the quickest way to contact me.
Cheers
Slade

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