[ChrisThong]

Thanks Glen.

[ChrisThong]

Hi Glen,

May I know what does the inception CAGR mean?

[ChrisThong]

Exactly Julian. I checked 1min chart for MIDD and found that it opened at 173 and plunged to 172.28. My logic is that my limit price will get hit first before it gets to 172.28.

I have tried my best to understand what IB have said. At this stage, I would treat it as cost of trading and move on.

[ChrisThong]

The explanation I got from IB is this:

“Two counterparties to buy the same symbol and it was decided that my order was part of the exempted trades”

My interpretation of that is that they belonged to off-market trades.

[ChrisThong]

Have my first missing fill today and it is MIDD. My order was $173.27 and the low of the day was $172.28. My order was not filled. I called IB and was told that my order was part of the exempt trades, hence it was not filled. I have been assured by IB that it was nothing wrong with my account nor my order.

[ChrisThong]

Thanks Nick for clarifying it.

A quick update, I have finished coding and testing a monthly rotational strategy for ASX100. Had a chat with Nick about it this week and will give it a go. At this stage, I will be trading it with my super account.

[ChrisThong]

My first and second attempts of the second part of the course learned that there are two ways of doing backtest.

Firstly, it is divide the period to three parts, and use one of the part as In Sample and build the strategy from there. Once a strategy has been built, one would test it using the Out Of Sample data.

Secondly, build the strategy using the data, say, 1/1/2005 to 5/7/2021. If the strategy is profitable, then test it with data variance, signal variance, and parameter optimisation test (to test the stability of the parameters). In other words, no walkfoward test.

Am I understanding it correctly?

[ChrisThong]

Thanks Glen. Overnight, I have 3 fills and altogether I am holding 5 positions.

[ChrisThong]

Thanks Glen.

I printed the trade logs of both backtests and cross checked the trades. I did not check all trades as there were 5092 trades. Comparison of the return tables (both old and new) found that in 2018 the old backtest shows a MDD of 17.6 whereas the new backtest shows a MDD of 19. Hence, I focus on the trades for 2018, which was 10 pages of trades, and the culprits are BBWI (was known as LB last Monday), HCA and EXEL.

These trades were entered in the new backtest, and not in the old backtest. Thanks to Nick, I included them in a custom watchlist and excluded them in a backtest that I ran minutes ago, and the MDD was 17.5. This suggests that Norgate Data has from 5/7/2021 to present made some changes to historical prices.

[ChrisThong]

MR Strategy that trades in R1000 has gone live today with 2 positions filled being AN and TT. Another milestone has started. I must admit that I could not have made it without the assistance of Nick and Craig. Hence, thank you very much!!

[ChrisThong]

In respect of the issue that I written above, I found the cause and it is related to the tickers of BBWI (was known as LB until last Monday), HCA and EXEL. These tickers were not entered in the initial backtest and was entered in the subsequent backtest. Hence, it suggests that Norgate Data has made some changes to the Historical prices. If I exclude these tickers in my backtest, I am able to get the results back to approximately what I have had on 5/7/2021.

[ChrisThong]

Return was initiated!!

[ChrisThong]

Was looking at Rotational strategy and bought the book namely “Stock on the move” by Clenow from Amazon. It got delivered quite fast and surprisingly, as this is first time for me, that I got a book with the right cover but the contents are entirely something else. The contents are from a writer namely something Johnson, and they are relating to learning python!

[ChrisThong]

A slight issue came up togay with my MR code. On 5/7/2021, I tested the code from 1/1/2005 to 5/7/2021 and the CAR was 21.02, MDD 17.64 and MAR of 1.19. Today, I ran a backtest for the same period and the CAR was down to 20.64, MDD went up to 19.08. Hence MAR is 1.08. Sent the AFL to Nick and he did a backtest, and results are about the same as what I have, above. Still trying to find out why. I sent an email to Norgate Data and was told the followings:

“Whilst it’s possible that a historical correction was made that may have affected the outcome of a trade (causing a cascading “butterfly” effect), it’s more likely to be a settings change in our experience.”

I went on Skype with Nick and he checked the settings in my AB and found no issues.

[ChrisThong]

Hi Terry,

I am keen to have a get together, of course not now, but when the lock down is over.

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