[ChrisThong]

MR#1 entered KLAC and DCT on last saturday (US Friday trading session), whereas my backtest shows otherwise. Again, checked on the “Time & Sales” reports in TWS shows that they are odd lot fills, being quantity transacted less than 100, hence the price where my orders were filled were not recorded as low of the day.

Well, MKT order has been placed for these two tickers to exit tonight.

Shit happens hey!

Also on another note, GO PENRITH PANTHERS!! not that I follow NRL, but hey it is my city!

On the rotational front, I made a mistake in September 2021, when I ran the exploration, as I had “Pad & Align” ticked and signals generated with that, including BSL.au. The worst part is that I did not do a backtest after I bought all the positions to ensure everything goes as plan. I found out this in October 2021 where BSL.au moved from above 100MA to below it. Position exited in October 2021.

Another shit happens!!

[ChrisThong]

September 2021

AU Market

ASX100 Rotational -6.76%

US Market

MR#1 +0.31% (Started in mid Aug 2021 YTD +2.07%)

MR#2 -1.09% (Started on 27/9/2021 – paper trading result for now)

ASX100 rotational strategy sold two positions and replaced two.

Currently looking to build either a trend following system or another rotational. For trend following, I have been testing WTT for All Ord and I have the following results:

[ChrisThong]

I learn something new today. It was all because of one trade with MR#1 and the symbol was FSLR. I set a profit target at $95.85 and my order was partially filled. When I checked the high of the day for the symbol and it was $95.81.

As such, I checked on the trades by using “time & sales” function in TWS and found that there were a number of trades filled at $95.85.

Then I called IB and asked why the high of the day was $95.81 and not $95.85 consider there were trades filled at the latter price. The response from IB is that for a price to be recognised as a high, in this instance, the transacted quantities must be over 100. As in this case, the transacted quantities were less than 100, hence it was not recognised as the high of the day.

[ChrisThong]

MR#1 is fully invested and holding 10 positions. Placed 7 orders last night and all filled. It looks like the US market is getting volatile.

On the other hand, ASX100 rotational is in drawdown at the moment, and the drawdown percentage is within the tested level. Gotta roll with the punches.

This remind me of my first day training of Muay Thai in that the first punch or kick is always painful and hard to take it.

[ChrisThong]

Hi Kate, have you studied the mind of those that perform meditation? If so, please share your experience and research. I meditate, on and off, for five years now. Although, I must admit I fall asleep more than I meditate.

[ChrisThong]

Section 355.25 of the Income Tax Assessment Act 1997 provides:

Core R&D activities are experimental activities:

(a) whose outcome cannot be known or determined in advance on the basis of current knowledge, information or experience, but can only be determined by applying a systematic progression of work that:

(i) is based on principles of established science; and

(ii) proceeds from hypothesis to experiment, observation and evaluation, and leads to logical conclusions; and

(b) that are conducted for the purpose of generating new knowledge (including new knowledge in the form of new or improved materials, products, devices, processes or services).”

As I understand it and for an activity to be eligible, it must satisfy subclause (a)(i) and (ii), and (b), and not belonged to activities in subclause (2).

Subclause (a)(i) requires the activity to be based on principle of established science, hence onus is on one to show the ATO that what we are doing is an established science.

Subclause (a)(ii), for me, is the easy to satisfy based on what we do here in that we proceed from a hypothesis to experiment (testing and live trading), observation and evaluation (trade management), and leads to logical conclusion (profitable live trading).

Subclause (b) appears to be difficult to satisfy, at least for me, in that it requires an activity that are conducted for the purpose of generating new knowledge. The keyword is new knowledge. Unless, one created a new indicator or processes, it will be difficult to comply.

Just my two cents, and best is to speak with a lawyer with extensive experience and/or knowledge in tax law (I do not think tax accountant would be able to help as this relates to interpreting law and search for precedents) or search for ATO rulings relating to what we do here. Another way of going about it is to put your case to ATO and have them assess it and come out with a ruling, which may cost you abit.

[ChrisThong]

Hi Trent,

I ran the backtests with fixed $$ position size, so no compounding included.

[ChrisThong]

Following on the discussion in Glen’s journal, and also, not to hijack Glen’s Journal, I have a detailed look at the trades of both MR#1 (trading in R1000) and MR#2 (Planning to trade in S&P500), both using the same ranking but different entry rules (after testing different ranking methods, thank you Nick for giving me some further ranking methods to try, I find using ROC for ranking gives better results and metrics so far). Test period is 1/1/2005 to 30/7/2021 for both strategies.

My findings are as follows:

1. Of total trades both strategies entered in the period, there were 1610 trades (16%) where the strategies would buy the same stock;
2. 41% of 1610 were losing trades with losses totalling $354,184.89;
3. 59% of 1610 were winning trades profit totalling $534,706.11;
4. The net effect is $180,521.22.

How I get the above numbers, I hear you ask?

Well, I run backtest for both strategies separately, and copy the trades into Excel. From there, I look for trades entered by both strategies (trades that have the same symbol and entry date). For the purposes of calculating the profit, I just summed up all the trades with profit more than zero. For losses, i summed up the trades with profit less than zero.

I hope that I am doing it in the right way. Please, let me have your thoughts on this if you do come across my journal. Thank you all and have a great day.

[ChrisThong]

A message for my future self.

Firstly, MR#1 and ASX100 rotational are in drawdown. Treat it like part of doing business in the stocks market and move on! As Nick says “Next 1000 trades”.

Secondly, I am in the progress of developing a second MR strategy and my first ever MOC.

In respect of the second MR, I hit a hurdle in the last few days and this is due to the chances (1610 or 16% for period 1/1/2005 to 30/7/2021) of the second MR system buying the same symbol as MR#1 (which is trading R1000). For this, I have tested a large number of ranking methods (thanks to the contribution from Said and Glen for sharing the codes in the forum). Until now, nothing is fruitful. From hereon, I will strip bare the second MR and test it again in the following fashion:

1. Adding price filter or any index filter to assess the win%;
2. Adding ranking method to assess the win%, CAR/MDD and Payoff;
3. Adding entry rules to have higher CAR/MDD and Payoff then metric achieved at item 2, above.

In respect of MOC, my first test achieved approx 32% CAR and 15% MDD, and I was like “woohoo I can trade this” then I realised that the account margin was set to 25, instead of 100 (no margin). Once, I removed margin from it the metrics dropped to mediocre level.

[ChrisThong]

Hi Glen,

As you are trading more than one MR strategies, can I ask how do you deal with the situation where you would be buying the same symbol for two different strategies? I ask this is because, I am currently developing a second MR strategy to trade the S&P500 and from 1/1/2005 to 30/7/2021, I have 1610 (or 16%) instances where the potential S&P500 and currently trading R1000 strategies traded the same symbol.

[ChrisThong]

Make sure you change your TWS from “latest” to “stable”, the problem would be resolved this way.

[ChrisThong]

Hi Kate,

I sent an email to Neil as given by Nick above, and I was told to contact IB customer service. I spoke to IB customer service and was told to open a “Link Account”. Further, I was told that the “Link Account” has a separate account number, however it is part of the main account that I have. I hope this make sense to you.

[ChrisThong]

August 2021

US Market

MR#1 +1.75%

The above strategy started on 9 August 2021.

Also, today my ASX100 rotational strategy gone live, and I am trading this strategy with my superfund.

[ChrisThong]

Had a chat with IB today and found out that the lastest update that they made has omitted the column “Symbol” in the trade log. Hence, please check your TWS version by clicking “more option” at the point of login. If it is version “Latest”, please change it to version “Stable”. Further, I have been told that they will look into the new upgrade to find out what is wrong with the columns in trade log.

[ChrisThong]

Hi Howard,

This is interesting as the heading “Symbol” is not available in the column settings in my TWS.

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