[TrentRothall]

Yeah exactly Nick, I spent yesterday looking at various periods of under performance over the last 15 yrs. Sit tight and see what happens

[TrentRothall]

How does that sit with you? Is it better to reduce SB or just accept tthat you will miss a lot of signals but still have a higher CAR. That is the main issue with selection bias in my eyes in those results.

[TrentRothall]

How has everyone’s ASX Mean reversion systems been going the last month or so?

One has been steadily rising (although still in decent DD) and another has been flat for me.

[TrentRothall]

Julian Cohen wrote:

I’m hoping it doesn’t affect the MCS variance too much.

Shouldn’t the variance be tighter now though because you are catching a higher % of trades?

[TrentRothall]

Does the spread between Min & Max MCS tighten very much once you have reduced the selection bias that much Julian?

I guess that is the desired result??

[TrentRothall]

If anyone’s AB stops displaying data be sure to follow the links in the “known issues” section of the NDU display.

Easily fixed

[TrentRothall]

Nick Radge wrote:

Must say I’m a little peeved at having to fork out another CHF700 for an upgrade to an already existing program.

That’s what i thought also..

I’m assuming you haven’t upgraded yet and the issues are with the old one?

[TrentRothall]

Interesting guys.

One issue with buy stop orders is slippage, they are basically a market order once the price is hit. At least with LMT orders the only slippage you really get are partially filled orders.

[TrentRothall]

Said Bitar wrote:

1.5.0
wooo i am so much behind but what are the changes from 1.2.0 to 1.5.0

haha i’m running v1.0.2…… Stuck in the dark ages

[TrentRothall]

The same thing happened to me a few months ago. Set the orders at 5pm for the next open, checked in the morning before it opened and it said i had random fills like yours…

Hasn’t happened since though.

[TrentRothall]

Feb 2017

MRV 1 = 5.32%

Taking the returns from STT VAMI since april 2016

total = 11%

====================================

MRV 2 = -1.37%

from December
Total = 2.7%

[TrentRothall]

Mine has been reset twice in the last month. When i open it nothing is open and the clock is reset too

[TrentRothall]

Said Bitar wrote:

wow it is not allowing me to attach the file it is only 3M and zipped

still it is saying that the size is huge

anyhow here is the link to download it

https://www.dropbox.com/s/7byni28fxm202od/MCs%201.0.0.zip?dl=0

Hi Said,

When i click on the link it just goes to a blank page? any idea what’s happening…

[TrentRothall]

I think the idea Maurice is just to set it high enough to capture ALL POSSIBLE trades regardless of position sizing. I believe you do the position sizing in the spreadsheet.

[TrentRothall]

I guess if i get stuck with negative outcomes over the long term, then it would mean it’s more likely that price drops in the days prior (to produce a signal) to a negative release. Otherwise i wouldn’t have a position.

Be interesting though..

[Author]

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