[TrentRothall]

Just curious to what sort of returns you guys have been getting in the US since 2014 with your MOC and MR systems?

[TrentRothall]

That is not a bad idea for testing sake, to see how it preforms

[TrentRothall]

Hey Zach look up alverez trading he tests different systems sometimes (Nick’s too), might trigger something anyway..

[TrentRothall]

For anyone interested i used the below code to print the Low in the backtest report then sorted in excel. One of my systems is running on 11% (where the Low is the buylimit) shows trades which might not be filled.

Interesting exercise if nothing else

Just enter this code a the bottom.

I haven’t been over it too thoroughly but it’s ok i think.

Code:

StaticVarSet(“Low” + Name(), Low); // In regular code

SetCustomBacktestProc( “” );

if ( Status( “action” ) == actionPortfolio )
{
bo = GetBacktesterObject();
// run default backtest procedure without generating the trade list
bo.Backtest( True );

// iterate through closed trades
for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
{
LowArray = StaticVarGet(“Low” + trade.Symbol);
LowAtEntry = Lookup(LowArray, trade.EntryDateTime);
trade.AddCustomMetric(“Low At Entry”, LowAtEntry);
}

// generate trade list
bo.ListTrades( );

}

[TrentRothall]

I just read this in a blog, it might be worth looking into if you’re concerned about fills at extremes.. I haven’t thought about how to investigate it yet, but you might be able to print the BuyLimit and Low of the day in a exploration and dump into excel to look into it? Just a thought. Not sure if OHLC prices an be printed in a backtest?

“One concern is that the average trade PL is rather small – $20, just over 1.5 ticks. Strategies that enter and exit with limit orders and have small average trade are generally highly dependent on the fill rate – i.e. the proportion of limit orders that are filled. If the fill rate is too low, the strategy will be left with too many missed trades on entry or exit, or both. This is likely to damage strategy performance, perhaps to a significant degree.

The fill rate is dependent on the number of limit orders posted at the extreme high or low of the bar, known as the extreme hit rate. In this case the strategy has been designed specifically to operate at an extreme hit rate of only around 10%, which means that, on average, only around one trade in ten occurs at the high or low of the bar. Consequently, the strategy is not highly fill-rate dependent.”

[TrentRothall]

Yeah all trading is done through IB

[TrentRothall]

I have the same Said.

On tuesday WEB went into a trading halt and in the ASX announcements it says it’s doing a capital raising or entitlement offer i think, i don’t really understand it.

I think you are entitled to those extra shares WEB.RTS

http://www.asx.com.au/asx/statistics/announcements.do?by=asxCode&asxCode=web&timeframe=D&period=W

Someone might be able to help

[TrentRothall]

July

ASX MR1 = -3.08%

MR2 = -0.9%

Total = -2%

Second losing month in a row also

[TrentRothall]

I wonder what their open P/L is and how many positions they have open that are in the red!

[TrentRothall]

June

ASX MR1 = 1.08
Tweaked some parameters on the 29th. Will see how it plays out

ASX MR2 = -1.8%

Total = -0.39%

*Figures don’t include fridays pounding

[TrentRothall]

Made some tweaks after looking at some recent data as Nick suggested. I realised i had only looked at my other system and not this one… See how it works out over the next 6 months

[TrentRothall]

Code:

for( i = 0; i < BarCount; i++ ) { if( IndexUp[ i ] ) { SetOption("MaxOpenPositions",10);// this part is executed when condition is met } else { SetOption("MaxOpenPositions",20);// this part is executed when condition is not met } }

I tried that but it crashed Ami…

[TrentRothall]

I believe because you are always taknig the top ranked stocks MCS aren’t as necessary. But probably good to know what would happen if the past was slightly different??

[TrentRothall]

Can someone help with this..

The following statement returns a ARRAY not a number because a array is used in the IIF function.

Maxpos = IIf(IndexUp,10,20);

Is there a easy way to get the result that i’m after? Am i missing something? I need a similar statement to return a number not a array to use in the SetOption(“MaxOpenPositions”,MaxPos);

Cheers

[TrentRothall]

Yes it was higher than expected, certainly doesn’t have a 100% CAGR (i wish). Yes i see what your saying too Scott.

Have been optimising some recent data, i thought i had – but i hadn’t. A few things to implement i think!

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