Do people get same results with real trading as backtesting?

Discussion in 'Automated Trading' started by cunparis, Jun 14, 2008.

  1. QuantBot

    QuantBot

    Seems a bit arbitrary and random.
     
    #41     Jun 24, 2008
  2. edbar

    edbar

    Agreed. But if you're strategy is to scalp nichols, you have to consider it.
     
    #42     Jun 24, 2008
  3. whenwood

    whenwood

    LOL of course if you don't place the limit order but write it down instead you won't get stopped out. The position will also run past your stop and you will lose more than you bargained for.

    If you getting stopped out too quick it's a risk management problem not an order problem. Your position size is too big, causing you to set your stop too tight.

    Note that some scalping systems depend on limit orders. If you WAIT for the price to reach a certain level, THEN send your order you will miss the trade.
     
    #43     Jun 24, 2008
  4. Joab

    Joab


    When all the exact same people, who all have the exact same account size and who are all in the exact same mood are back again tomorrow as they were yesterday, then your back tested strategies should will work perfectly.

    That's not much to ask for is it?
     
    #44     Jun 24, 2008
  5. QuantBot

    QuantBot

    Yes, from the outside it looks easy; But it's not.

    Even if the backtest looks pretty you still have to test the strategy with live shares and then make adjustments. Sometimes they work, sometimes they don't. When you find something that works well for a period you ramp the size and hope your hard work and diligence pays off. They're are no shortcuts, only more efficient ways to test and implement.

    >8=]

    QB
     
    #45     Jun 24, 2008
  6. This test isn't reliable because you can't control how many others have their stops. At the same moment you put your stop for test 1, someone else could have put a stop for 5000 shares and he got stopped out (and you with him).
     
    #46     Jun 24, 2008
  7. "Wall street doesn't change because human nature doesn't change."

    Paraphrased from a quote from jesse livermore. :)
     
    #47     Jun 24, 2008
  8. newbunch

    newbunch

    "Nowhere does history indulge in repetitions so often or so uniformly as in Wall Street. When you read contemporary accounts of booms or panics the one thing that strikes you most forcibly is how little either stock speculation or stock speculators to-day differ from yesterday. The game does not change and neither does human nature." Reminiscences of a Stock Operator
     
    #48     Jun 24, 2008
  9. You're seriously suggesting market makers are going to move the market for your 100 shares?

    That is the most embarrassing analysis and conclusion I've seen in some time.

     
    #49     Apr 26, 2009