[TrentRothall]

Haha hate to admit it but i was secretly hoping i could beat you Glen! How did you go in the firs 6 months? The bulk of my returns came in the current FY.

Well done to yourself! i need to put my head down and actually finish the wtt system i started!

[TrentRothall]

December

ASX MR = -3.00%

2019 = 34.23%

The first negative month for a while but overall was a great 2019. Just starting to catch sight of one of the wonders of the world too – Compounding!

Interesting too that Glen and myself had very similar returns while trading very different systems

Hopefully 2020 will be just as kind to everyone as 2019 has been to myself.

[TrentRothall]

I have thought about this Julian, but as far as I’m aware Market orders have the same pattern of not executing in the auction so I would need to place limit orders which isn’t an issue.

Sorry for polluting your thread Scott!!

[TrentRothall]

I will add my bit from trading the All Ordinaries with my mean reversion system since March 2016. I don’t have the exact stats like Scott does, but just from experience partial fills are not so much of an issue as compared with missed trades when the low is equal to the limit order. It also seems be more of an issue in the Australian market when compared to the US, I’m guessing just due to liquidity. I would say if you didn’t have a very good buffer in terms of a high CAR missed trades would kill a mean reversion system on the ASX. Also the lack of margin for non-corporate accounts is a big issue now, I’m still assessing whether I’ll have to move towards a trend following approach if i want to stay in the aussie market.

In case the issue of missed trades was due to people seeing my orders before it was hit i changed the order type to “limit if touched – LIT ” this way interactive brokers holds the order until the price is met and then sends it to the exchange believe. This is good in theory but because LIT orders require price to trade at a set strike price before it’s sent you can miss fills at the very start of the day in the premarket auction. If the opening price is on or just below your limit order and then quickly shoot higher you can miss the trade, these trades also up being big most of the time.

[TrentRothall]

Hi Glen in regards to your WTT does the system only buy after the initial breakout of the previous high (if all other conditions are met) or can it buy in the following weeks if initially the conditions are not met but they are after the price keeps rising? If that makes sense…

[TrentRothall]

Scott one thing that did work for me was using LIT orders instead of regular limit orders. I found out didn’t have to have as much cash in reserve to place LIT orders when compared to limit orders. I think it is because IB don’t send LIT orders to the exchange straight away until the aux price is touched then the limit order is sent.

[TrentRothall]

How are you going to do position sizing in your back testing Julian? Are you just going to compare P/L percentages i’m assuming?

[TrentRothall]

Scott McNab wrote:

was also confused about T+2 settlement delay …the testing I did with settlement delay showed it wasn’t as easy as just using the SetOption when using CBT… I think you said not using CBT so dodged that issue I guess

I haven’t actually had this problem yet either?? I never actually thought about this, mainly because it hasn’t been a problem and i totally forgot about it.… I wonder if was some reason the T +2 isn’t affecting my account… Because you are right, that will cause a problem. I will let you know if I come across it.

Nick, very cheap rates haha. Just need $2 million to open a professional investor account lol

[TrentRothall]

Cheers guys, yes Michael that is a key, sticking with the plan! I stuck to it over about 12 to 18 months of low to no returns and now I feel like I’m getting some rewards. I’m also not chasing perfection, I’m not really sure if this is the right attitude or not but I wasn’t too concerned with missing a few trades here and there or getting partial fills. I feel like I would be forever chasing my tail if I was looking for a way of getting every single order filled or having my back test match my real-time results perfectly. I guess time will tell if this is right attitude or not…

Scott, i haven’t come across this problem yet, i really only went 10 by 10 mid month. But from what i can see that is the only option.

[TrentRothall]

November

ASX MR = +4.02%

38.38% YTD

My reporting has changed slightly because of the migration to IB Australia. I was initially doing 20 positions at 10%, I then changed to 15 positions at 13% to try and use my funds more efficiently. I timed is pretty well right when the system started to crank up, you get lucky sometimes!
Once I migrated to IB Australia I moved funds from one account into my main mean reversion account, this obviously increase my account size so IB reports are a little bit different. I have since just started using my whole account to do position sizing with 10 positions at 10% which works out about the same as 13% of the original account anyway.
Hoping to crack the 40% return for the year! I poked above it during the month but then went back below with a few days to go….Bugger.

My account also tipped over the 100% return figure since I started trading over the last few months! That is going off of IB’s cumulative return calculation (however that works) it is a bit messy to work out on a pure monetary figure because I have moved funds in an out a few times over the years.

[TrentRothall]

October

Still ticking along despite IB non margin issue.

Did anyone else’s IB reports/portfolio analyst show strange/incorrect figures after IB Aust migration?

ASX MR = +2.58%

[TrentRothall]

Opening range 18.4%!! nice work!

[TrentRothall]

surely it can’t be that easy can it? Seems to be too good to just start a company in Singapore. A nice tax friendly country would do wonders for compounding..

[TrentRothall]

Thanks Matthew, i might have to look onto it. i imagine it would be painful as you said!

[TrentRothall]

Well i seem to be a ‘Lucky’ one who managed to hold onto my IB US acc untill now. Now IB with their no Margin Have screwed my ASX MR system pretty much ffs, I guess ill trade 10 positions for now. I also have a second account with a cash balance in it that ill transfer across to hopefully provide me a buffer to place orders.

I’m guessing no one has come up with a solution to the IB issues?

[Author]

Posts