[SteveWallbrink]

Hey Tim,
Your recent returns are much higher than mine – thanks for that, I will look at that in more detail my NDX system – makes sense to put more weight on recent years.

[SteveWallbrink]

OK thanks Nick – that makes sense given the universe.
When I try the same monthly rotational system on the XAO, the XAO seems very liquidity/volume/price sensitive.
Would you recommend min 500,000 turnover daily for the XAO?
Back testing on the XAO would you recommend excluding any outlier high performer stocks to avoid skewing parameters?

[SteveWallbrink]

I have had a crack at a monthly rotational momentum system on the ASX 100.
I really like the simplicity of the rotational system and the inherent solution to selection bias.
The system will also complement my weekly trend system on the ASX All Ords.
My settings are:
Price: >$1, <$100
Turnover: > 500,000
Volume: > 500,000
Index Filter: I am using an XTO close above a keltner band lower band.
MA Filter: C above MA (xx)
Momentum: weighted momentum
Position size: max 5
WRH: 5

Backtest: XTO 2005 to 2021
CAR = 25.28%
Max DD = -28.59%
CAD / MD = 0.88
# winners = 55.2%

[SteveWallbrink]

My MOC system is running well now.

I initially had issues with the API – crashing when importing orders, not recording fills.
I solved the issues by removing the API and re-installing and I have had a week of perfect fills – down about 1.5% at the moment.

[SteveWallbrink]

Hi Kate,
Good luck with IB / TWS and API!
I found it all a big learning curve too and IB generally to be a clunky beast rolling out my MOC system.
I too have a procedure sheet to get into a routine to implement the orders into the API.
I havent completed a full month of MOC trading yet – but it feels pretty easy to implement – human error has been my downfall this week – bringing the wrong laptop with me when travelling.
Steve

[SteveWallbrink]

I am also going to start looking at a monthly rotation system – for my Super fund.
The forum has been a great resource.
I have found Glens summary page very useful – thanks Glen
https://edu.thechartist.com.au/kunena/progress-journal/413-glen-s-journal.html?start=125#9033

Nick’s video in the above link was great.

Also Mikes, Trents and Taranveers Journals.

[SteveWallbrink]

Well, for my MOC system this week I stuffed up.
I have been out in the field and took the wrong laptop – the one without Amibroker.
So I couldn’t run explore to send to the VPS.
I also started with the small Speedy Trading Servers VPS – but i am getting locked out of the server due to RAM overload (protocol error), so I will need to move to the large VPS with 2.25 GB of RAM.
To make the VPS costs work I will obviously need my MOC systems to work hard.
Maybe after getting through a month of MOC on the Russell 1000, try a second system on teh Russell 1000?

[SteveWallbrink]

I have a weekly system which I have converted from Metastock to see how it back tests in Amibroker.
I have traded this system for about 10 years now.
It uses weekly charts and is a trend / absolute momentum system trading the XAO constituents.
It uses min Volume and turnover > 8 EMA 2000000.
And a trailing stop of 25% of Close that tightens to 5% of close when the XAO closes below MA 50.
I have used a static volume and turnover and i probably need to look at using CPI adjusted V / TO.
Also probably need to introduce a price filter.

Backtesting XAO, 2010 to 2021, 5% of equity:
Winners 241 (45.64 %)
Annual Return % 31.49%
Max. system % drawdown -25.59%
CAR/MaxDD 1.23
Trades Per Annum 45

[SteveWallbrink]

Well, after having to delay system development due to COVID business fallout – I have finally placed my first few MOC trades.
As above, the system is a ROC MOC system trading the Russell 1000.
I found the VPS set up really straight forward and having a few issue with the API at the moment which I hopefully work out over the next few days.
I am live trading a small account.
Great to have Nick help with the TWS and API set up – thanks Nick for your help.

[SteveWallbrink]

Hi Daniel,
Enjoy the process of system development – i am at about the same stage with an MR MOC system on the Russell 1000.

[SteveWallbrink]

Thanks Glen,
Yep – that is good to know and I will keep that in mind, with the option to flip over to multi day MR.

So into some optimisation and stress testing.
It is a MOC system using ROC lookback>xx, ROC<(-)xx, L10 and min Volume MA50 > 500,000
Backtesting on Russell 1000, 2005 to present day, the back test stats pre – optimisation are:
CAR 18.53
Win% 54.03
Max System % Drawdown -16.75
Payoff Ratio (Win/Loss) 1.12
CAR/MaxDD (MAR) 1.11
Profit Factor 1.31
StandardError 110007.07
Exposure % 32.69
Total Entry Orders Placed 38482
Fill Rate 35%

After talking to Nick, going forward I will change the system to C>20 and C<500 and Volume MA50 > 300,000
No some optimisation and stress testing.
Results to follow!

[SteveWallbrink]

Thanks guys,
I will start my journal this week to kick of my system development!

[Author]

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