[TaranveerSingh]

Glen Peake wrote:

I get around this issue by using the API to BUY new positions after my existing SELL orders are filled…. more details in the following thread(s) here

Thanks a bunch Glen. Once IB approves that I could do it by physically placing orders (which seems to be the issue), an API would really help.

Could you please point me to a relevant thread to know how API works in conjunction with IB? I’m an absolute muggle here.

[TaranveerSingh]

Nick Radge wrote:

You could exit positions on open then place the new buys using a Good After Time (GAT) order. Set that for a few minutes after open.

https://www1.interactivebrokers.com/en/index.php?f=587

This should help if it’s permitted. So that’d be an MOO order to close positions and GAT to initiate?

[TaranveerSingh]

Julian Cohen wrote:

My guess is that if you place sell orders and also buy orders to replace the stocks you are selling at the same time, they won’t allow it, as they will incorrectly read you as trying to use leverage.

If you physically sell the existing positions on the open and then place buy orders at market, then you will probably be OK. As they will see the position as closed and then a new order coming in. You will get some slippage, but in the long run it will all be negligable.

Thanks for specifying the scenarios. I had described (correctly I hope) the second scenario to the IB rep. I’ll be placing the orders physically and only after closing the current positions. Let’s see what they say. As Glen said, my tax residency could be a factor.

[TaranveerSingh]

Glen Peake wrote:

there have been a few occasions where I’ve sold 90-100% of my MRV holdings at market OPEN and placed the necessary new BUY orders for the next round of MRV trades shortly after and I’ve not had issues (this could’ve/would’ve triggered any T+2 settlement issues….. at least I think it would)….

Ya I’d assume one would face a problem here itself if it were to happen.

Glen Peake wrote:

I’ll keep an eye on it in the future and report back if I experience anything related…. but so far all OK. (I also have a little bit of spare cash maybe 1% or 2% in the account as a buffer/overflow, which might be having a positive effect around the T+2 scenario).

I’ll keep that in mind.

Glen Peake wrote:

additionally how your residency might/might not affect T+2 etc

Yes that could be the case. I’ll just check again with them. Might just be this.

[TaranveerSingh]

Thanks a lot Len. I’ll be trading the US market and been developing a system using Norgate. MDD has basically halved. Appreciate this word of caution. Cheers.

[TaranveerSingh]

Hey Bernard. Everyone’s already contributed to the honest encouragement. Please trust the templates you get at the end. Often I used them multiple times and THEN understood them. While it’s a whole new world of unknows after you finish theory, the code gets sorted with help. Good luck

[TaranveerSingh]

Thanks Scott! That should do.

[TaranveerSingh]

Hey Michael! (Loved how elaborate your journal has been man! Read it a while back)
Thank you for the sincere response.
I’m sure words can’t do justice to the intensity of a 40% DD.
If it helps, almost all my rotational tests have had a maxDD of 40% (in 2008) and 35ish in the choppy 18-19. It *sort of* puts me at ease knowing that it ain’t life threatening while also not being too good to be true. Moreover, all the systems recovered from those DDs and still managed to show a good CAGR. My personal opinion is that if your system is designed in a way that it “can’t” miss the rally, it’ll give decent returns.
I hope the psychological botheration is only by the March DD and not due to your comfort level with how you trade now?
(again, sharing just in case this can help any of the fellow members).
I’ve obviously traded some systems that (atleast for me) didn’t have significant edge. I’d think I was troubled by the past drawdowns but in reality it was a fear of the same repeating. I say this only in hindsight as I noticed that my past drawdowns stopped bothering me when I developed systems that didn’t have the same risk.

(In case you want to test for this)
Here’s a bi-weekly rotational code for whosoever needs it.

//Rotate only on first trading days, every 2nd week

Mon = DayOfWeek() countMon = Cum( Mon ); // count all first days
DofW = Mon AND (countMon % 2 == 0 ); //checks if the sum is an even number. takes a trade only then

Hope to see you at ATHs again soon enough!

[TaranveerSingh]

All the best Bernard. Always great to see people moving towards systematic trading.

[TaranveerSingh]

Seth Lingafeldt wrote:

Hey Taranveer – first off, thanks for that snippet on “every other Monday”, I will have to do some testing there and add that into my code snippet section. Have you thought about how to tell the backtester to use a Tuesday if Monday is a holiday? We have a few of those in the states yearly that may fudge the numbers.

Hey Seth. Thanks for such an elaborate response. My bad on calling the variable “Monday”. It’s basically the first trading day of the week. So whether it’s Monday or Tuesday, we’re good. What I personally noticed in a few tests was that it was close to the weekly rotational in performance but with less trades. However, monthly does noticably better.

Seth Lingafeldt wrote:

I briefly looked at trading my MOC system on the NSE – only as far as realizing that I can’t do it because I’m not allowed! Hah!

Ya? Do you trade any market other than Australian/American?

Seth Lingafeldt wrote:

Have you tried butchering the ROC and making some calculations of your own? Like taking a long time frame ROC and adding it to a short time frame ROC and ranking on your total? With this method you can also apply some weight to the longer or shorter period if you think one is more important.

Some of the podcasts that I have listened to have traders mentioning that with momentum the most recent month is mean reverting, so they omit that month from the calculation. On my momentum system that did not yield positive results, but it may for your market.

Yes I had this discussion with Nick. Theoretically it does make sense but I haven’t tunneled into it to confidently accept/reject it just yet. I will however. This served as a good reminder, Thanks!

Seth Lingafeldt wrote:

The other thing to try is adding a WorstRankHeld in your system. Say you have MaxOpenPositions = 5 and WorstRankHeld = 6, if one of your 5 stocks go to place #6, it will not exit. Some food for thought. I’m not at my workstation so I’ll link to the AFL reference (it is near the top): https://www.amibroker.com/guide/afl/setoption.html
s!
Cheer

So currently I’m at 20 open positions and worst rank at 35. I tested at multiple worst rank held parrameters and it didn’t budge much so I’m comfortable about where I am there.

Next on my agenda is this –
I’ve coded multiple permutations of 2 stock filters together and testing that with ranking being ROC. I think I’ll take this weekend to see how it differs if I keep a varied/weighted ROC as the ranking.

Thanks once again.

[TaranveerSingh]

Scott McNab wrote:

We take one holiday a year..been going to Whistler for 3-4 weeks either side of Christmas for last 4 or 5 years …

I’ve always been in India so really keen to see western Christmas.
Sounds like a great tradition.

Scott McNab wrote:

they used to skate along river to work in winter !.

Haha! just in Canada.

Scott McNab wrote:

I think she said it was quite important to also be able to speak French in that part of Canada for business

Yes, this changes from region to region and also depends on profession. From the conversations with people I’ve talked to, I should be good. Thanks for the heads up though. Cheers

[TaranveerSingh]

Scott McNab wrote:

I have tried trading monthly rotational systems for several years but have stopped (again). I can see the advantages of a monthly system in the backtest (as I can, for example, in using margin in my MRV and MOC systems) but it just does not sit well with me either and so I have finally conceded that I will be unable to stick with it long term. I feel like I am strapped into a plane seat as the plane plummets and the flight attendant tells me to relax as the plane nearly always regains altitude. I am now re-working my rotational systems to weekly too. To be honest, I will probably need a year or so of live trading with that before I know psychologically if I am ok with it.

What you say is absolutely understandable. If you’re interested in the middle ground and need to test for Bi-weekly rotation, you can try this –

//Rotate only on Monday, every 2nd one
Mon = DayOfWeek() countMon = Cum( Mon ); // count all first days
DofW = Mon AND (countMon % 2 == 0 ); //checks if the sum is an even number. takes a trade only then

I hope you came to this realization before a major drawdown? Either way it’s great that you are moving towards your comfort.

Scott McNab wrote:

On a more important topic Taranveer, are you going to be moving close to a ski slope ? Love BC but there are so many ski fields it’s probably not that far regardless where you live

Got a couple of acquaintances and relatives (not much difference haha) in BC but I have the nomination of Ontario.
So I’d most likely be moving to Brampton. Do you visit Canada frequently?

[TaranveerSingh]

Thanks Scott. The diversification across various markets definitely makes sense. I have easy and cheap access to Indian markets, and a viable one to American markets too. Hopefully within a year I’ll move to Canada so I’ve thought of having that too if Norgate provides that data.

I was also looking to have bi-weekly systems on rotational so the weekly would hopefully take me out of a falling market soon and the bi-weekly wouldn’t hurt me in a choppy market. (Don’t have the stomach for monthly.) Would love to know your opinion.

About the previous suggestion, I am rather comfortable mentally with the 100% or 0% involvement.

[TaranveerSingh]

Welcome Kim. From what you said, the vision/aim is spot on. Hope you achieve that and more. Cheers

[TaranveerSingh]

Thanks a ton Seth. Really enjoying my journey so far.
Wishing the same return/drawdown ratio for you heh.

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