[TerryDunne]

Thanks for the replies gents.

Does the holidays list apply to the ‘Orders’ function or only to Order Clerk (which I’m not yet using)?

How is the list maintained, does it need to be manually updated?

[TerryDunne]

Hi Julian,

No, I didn’t really work out anything, although I got to the right result eventually.

I fiddled with the dates and used the actual date (i.e. 22/11) rather than ‘latest”, so I got the orders to generate.
Then I manually modified the .csv files myself to change the end time to 12.40pm.

This is my first experience of RT where I reckon it isn’t done very well. I’d have thought it would just use the most recent bar to generate the orders, but I guess if it was that easy it would already be fixed by now…

[TerryDunne]

No worries, problem solved.

[TerryDunne]

[TerryDunne]

October 2023

MOC 1000    0.61%
MOC 2000   (1.82%)
MOC Short  (0.42%)
MR 2000     (9.74%)
Closed          0.00%

Total           (1.33%)

Yet another losing month, although this one ‘feels’ better than the previous ones as the second half of the month was positive.

First couple of days of MOC shorts, on R1000 only, and only when I’m not taking signals for MOC R1000 long, so that I can double up on using the $$$.

[TerryDunne]

Well, you mentioned that we weren’t able to get 5% yields from government bonds over the last 20 years, but, now we can. So if they’re going to generate the same returns going forward, then buying Aussie government bonds would be a no brainer in comparison.

I’m not convinced by the focus on drawdowns right now. I know it’s on everybody’s mind at the moment, mine included (17.31% and counting). But a low drawdown isn’t why we were drawn to trading. We aren’t going to be able to use a low drawdown to buy the groceries/property/holidays etc. Of course, we need to generate returns for that.

By the way, nice mention (and fish) in today’s Herald Nick!

https://www.smh.com.au/money/investing/in-defence-of-day-traders-not-all-of-us-are-dumb-money-20231024-p5eeih.html

[TerryDunne]

Is there a reason to think that they will do better than they have in the past going forward?

[TerryDunne]

Hmmm…to (mis)quote a super model, I wouldn’t get out of bed for those returns.

Right now, I could buy 30 year government bonds and get over 5%. Where’s my risk premium?

[TerryDunne]

September 2023

MOC 1000 (2.22%)
MOC 2000 (2.86%)
MR 2000   (14.67%)
Closed         0.00%

Total          (3.48%)

Still black for the year (just)…it would be nice if this were to stop now.
 

[TerryDunne]

Hi Julian,

Can I take you up on your kind offer to let me have your code for testing different systems together.

Thanks again,

Terry

[TerryDunne]

Thanks for the information Julian, it’s really useful.

As I’m still a sceptic…can I ask whether the return live matches the back test return over the same period?

Thanks,

Terry

[TerryDunne]

Wow Nick, this is shocking to me – in a good way! Until now I believed that a crappy system plus another crappy system equals 2 crappy systems.

Thank you for the posts, there is a lot to think about.

My first thought is, do you allow the same stocks to be traded over the different systems at the same time or do you exclude duplicates?

Terry

[TerryDunne]

For example, one could take a system with a good CAR but an unacceptable MDD and put it with a system with a mediocre CAR but a very low MDD…do you think of those systems as being individually unacceptable or collectively tradeable?

[TerryDunne]

Nick, with the individual systems, would you trade them if they had 40% MDDs? Even if they rolled up into a collection of systems that worked?

[TerryDunne]

My experience was similar. All except one of my MR systems went down similar (%) amounts.

The problem for me is that if I was back testing those systems right now, but hadn’t yet traded them, they would never have gotten to the starting line.

I’m trying to salvage one of them right now…can I ask people how many conditions they typically have for their entries (apart from the index and liquidity type filters etc)?

Thanks in advance!

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