[TrentRothall]

yeah got it, even though i knew before the question. lol

[TrentRothall]

Does anyone skip trades because of earnings?

one of my MR systems has done about 3 trades this month the last 2 have been 10% losses lol

[TrentRothall]

It’s that season again where we all or at least me start to be on the wrong end of earnings releases and start to think it’s a good idea to filter out the trades with up and coming releases.

Currently in PRY.au

Does anyone do this?

Next 1000 …. you know the drill..

[TrentRothall]

My thoughts…

Along the lines of Julian and Scott, a MOC system relies on high frequency of trades to create an edge because of the low profit potential of each trade ( it can only go so far in one session). So in theory the more trades the better. The problem is in the testing you have no idea which trades would trigger first in real time or if the trades that trigger first are even profitable… Maybe a way to help in testing could be to set all commissions to 0 and have max 500+ positions to capture all trades and then sort in excel or whatever to review the expectancy of the trades and make sure the average is the same or very close as a single run with normal operating number of positions i.e 20? thoughts..

At least when you know you are capturing +95% of the trades and the system is profitable, it is more obvious that the bulk of signals should result in a +ve outcome in the long term, and you aren’t just capturing ‘noise’ like Nick says

[TrentRothall]

Kerry,

You probably have already tried but have you looked into either tightening your parameters up or moving your entry level further away from the signal bar? it might help your % gain per trade too

[TrentRothall]

Yeah, that’s the same as ‘syncing’ data base in PDU

[TrentRothall]

Yeah sorry restart.

you should have a list of watchlists in the drop down ‘Watchlists” menu Maurice..

[TrentRothall]

+1

[TrentRothall]

Maybe uninstall and try again? Somethings not right there. It’s a pain though

[TrentRothall]

Scott McNab wrote:

My watchlists are unpopulated. Is there a link saying how to access pre-configured watchlists in NDU please ?

That happened to me too. I just reset my comp, ran an ndu update and maintenance and they populated.

Start there maybe

[TrentRothall]

Said Bitar wrote:

This would be nice to have couple of exchanges for verifying the strategies and to diversify, one question the data that they will provide is historical so it means no daily updates ?

I imagine it would be like testing on the NDU watchlist “Current and Past” without having the correct code for historical constituents. it wouldn’t be a reliable test because of survivor-ship bias etc?

But could be handy

[TrentRothall]

What exchanges have you been testing Scott? Is the data easy enough to handle?

[TrentRothall]

I just think the 5% of volume would get the next available price no matter where the limit is set? Might need to ask Nick about the auction, i could be miles off!!

[TrentRothall]

Scott McNab wrote:

Trent Rothall wrote:

Have you tried setting it at say 50% for a day? Just exit on the open if needed, shouldn’t be too bad?

Should work…I’m not sure what effect selling 5% of daily volume at the close 50% below would be…. I need to look to find some stats on what average % of daily volume transacted in closing auction…if it was 20% and 1/4 of that was 50% lower it would impact system adversely I imagine?

Not sure i quite follow? Aren’t you just putting the order in 50% below the entry price so that you are participating in the closing auction? If it’s 5,10, 20 or 50% it shouldn’t make a difference should it… (as long as IB allow it of course!)

[TrentRothall]

Have you tried setting it at say 50% for a day? Just exit on the open if needed, shouldn’t be too bad?

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