[TerryDunne]

So, I’ve completed my first month, although as I mentioned funds are not fully allocated. Having seen the spectacular results many have had this month, I sort of wish I’d gone all in right from the start – FOMO – but then I remind myself that I will have plenty of opportunity to make money over the next 25 years.

The other side of that is that it’s very nice to start at a good time…

Anyway, because percentages are a bit meaningless for me at the moment,here are some trade stats

MOC 66% wins and W/L ratio of 2.3:1
MR 60% wins and W/L ratio of 4.2:1

Just trying to iron out a couple of process issues over the weekend and hopefully I’ll be good to go fully invested from Monday.

Best wishes,

Terry

[TerryDunne]

Maybe not a rabbit hole I need to go down right now…sounds like the fruit will be lower hanging elsewhere.

Thanks guys – and sorry to hijack your journal Scott!

[TerryDunne]

I haven’t seen anyone who has made MOC on the ASX work, so I’m putting this is the junk pile.

[TerryDunne]

Hi Seth,

Thanks for the information and sorry to hear about today mate.

[TerryDunne]

Fair enough Matthew, everything you say makes sense. Annoying though.

In terms of the technical issue, according to Nicks API – and a quick look on the internet – you can’t do MOC orders on the ASX through IB. The way you have to do it as Scott described, and as specified in the API – it’s the last of the MOC options on the list under ‘Preferences’.

I think that just exacerbates the problem as you described it as there is a fair chance that the low offer might move the close if volume is that low?

[TerryDunne]

Hi Julian and Scott,

I’d like to explore your thoughts about MOC on the ASX a bit further if I could…I’m keen to do it as my MOC money is sitting idle between the US close and next open. My thoughts were that even if the slippage was so bad as to turn a back tested 20% CAGR into, say, an actual 10% CAGR it would still be worth it as it is more than zero, so adds to the quantum.

I think what you guys are saying is that the slippage is so bad that it wouldn’t make any profit at all? Is that the case even on the ASX 100/200 (which is what I was hoping to trade)?

I’d appreciate your views as I’ve got plenty to do without wasting my time on this if it’s a complete dud.

[TerryDunne]

I don’t think the ASX accepts MOC orders?

[TerryDunne]

Well, that provides a bit of comfort, thanks!

[TerryDunne]

No need to reply – IB had not set up my account correctly.

[TerryDunne]

Hi everyone,

I’d appreciate any information you have on where this currently sits – I have provided the documentation from my accountant that I’m a Sophisticated Investor (which is a joke, I could be a hip hop performer or a male model but qualify as long as I have $2.5m of assets) but I’m being advised that I can’t operate Reg T leverage. Is that correct?

Assuming that is the case, how are people operating and what leverage are you able to use? With no leverage, is there any point to MOC systems?

Thanks in advance,

Terry

[TerryDunne]

Hi Mike,

I use exactly the same ranking on my MOC. I seem to get a higher fill rate than using other rankings.

My recollection was that Nick thought this was not very common when I discussed it with him…

Best wishes,

Terry

[TerryDunne]

Thanks anyway Julian

[TerryDunne]

Hi Julian,

Sorry for the lack of information.

I’m based in Australia and want to use a company structure for tax minimisation purposes. I guess my concern was the risk that I in some way limit my access to IB functions/facilities.

I should probably say that this is not anything to so with a SMSF.

[TerryDunne]

Hi Guys,

Been away on holiday – no electronics – so late to this discussion.

I share Daniel’s concerns (although I haven’t traded only back tested). My version of MRV has the following rules:

1. Russello 3000 (with all of the historical components etc) and average liquidity > $1m;
2. RSI(2) < 20;
3. 3 consecutive days of new lows;
4. Intra-day trigger being 1 ATR lower than yesterday’s low;
5. Sell at the close on the following day.

I back tested from 1995 and broke my testing into 3 sections. While I don’t have my results in front of me, they were roughly:

1995-2004
Win % 60
Win/Loss ratio 1.2
CAGR 30+%(!!!)
Max drawdown <15%

2005-2015
Win % 55
Win/Loss ratio 1.1
CAGR 20%;
Max drawdown 20%

2016-2019
losses (albeit small) each year

Now I didn’t for a moment expect to generate returns in the 30% region. However, the system doesn’t appear (to me?) to be curve fitted and the drop off in performance has been ‘spectacular’. Imagine you started trading this system sometime around 2010. Are you still trading the system today? And if you are, what would cause you to stop?

As you can imagine, I’m reluctant to start trading this system, partly because of broader psychological issues, but really the results suggest at least the possibility that the market has ‘changed’ in some way…one thought I had was pricing and execution through brokers may have made it difficult to cash in on the MRV opportunities back in the 90s/00s?

I was encouraged by the results Nick posted for his MRV systems – it’s nice to know that mean reversion is still ‘working’. So is using short RSI the problem? That seems to conflict with the idea that authors often have that it won’t harm their system to disclose their rules?

It would be great to hear people’s experiences/war stories…

Regards,

Terry

[TerryDunne]

Hi Scott,

Thanks for doing this, it’s really helpful to me as I go through the ‘…what can go wrong…’ phase of my system preparation.

the results are also very encouraging so far!

Regards,

Terry

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