i think sim data vs live data played a factor. based on what i see on my on setup..it coulda been crucial. prolly sounds crazy, but for example.. my sim ats was long yesterday til close. (NQ) - same ats on live data entered short position yesterday afternoon, hence missing the big uptrend. sure..it's just 1 instance, but from what i gather from frostys posts, he may not have been prepared for the subtle changes seen moving to live data from sim..
I once had a 'misplaced' line of code cost me tens of thousands of dollars. I never noticed it until later, when I was testing a different parameter set and realized that the results were coming out TOO GOOD.
BigBubba, I believe you are right.. there seems to be some differences in the data between the two that may actually be playing a VERY big role in my live failures.... the data differences may not be huge, but when trading on a small time frame such as the case with my bot.. its possible for the sim account to be one direction and the live account to not be in a trade at all or even the opposite direction... I have been looking closely at this the past several hours and I really think its a HUGE piece of the puzzle.. glad to see it isn't just my ATS that is noticing the issue. I am starting to think that forward testing results on the sim account cannot truly be trusted due to different trade decisions could be triggered from slightly different data. I think it may be more beneficial for me to run the system on the live account and just record all the data it has and have my backtesting engine tell me what i "should" have made... like this I still get an accurate picture of the amount it should have made that day.. and my data wont experience the small differences between the accounts.
it's a silly oversight, 1 that i made as well. i'm now rebuilding my ats on live data. not a biggie.. but a lil set back i suppose. only solution i see.. unless your willing to setup on sim data .. trade the signals from there to your live account. sounds a bit complicated. sad part is, i have an ats that is killing the sim data (i guess you did too)
yup, it was a monster on the sim account Perhaps this is IB's way of getting people to feel comfortable with their system and switching over to the live account
For $50-60 a month you can get DTNIQ data. I'm running with filtered data from Tradestation currently, it will be interesting to see how sim results compare to real results with the data held stable.
You don't need to spend millions. Traders in firms run a bunch of small systems. Seems to me, people assume that 1 player = 1 system. That's not the case.
Is backtesting the only "TEST" you run? Is Monte-Carlo the only non-backtesting "TEST" you run? There's "TEST" environment vs. "PRODUCTION" (live) environment. =================== Another food for thought: 1. Let's say your broker uses some algo. to execute bulk orders (They exist, like MB Trading) Would you test the performance against these algos. to see if your trading model fits it? 2. Let's say your trading Forex. You are using multiple brokers and you can clearly see that each broker's Bid/Ask quotes different. What kind of datafeed would you use to develop your models? How would you execute your trades? 3. Programming and computer skills are one thing. But there's also Risk Management (Math) stuff you need to learn. Risk Management is by far... the most important for any kind of trader regardless of their trading style. If you can come in and say, "This particular model has xx% chance of working for next xx months." You've passed the sucker level of systematic trading. (You a bit more than Monte Carlo VaR. So the first step is to understand Value At Risk.) RISK IS KING. RISK RULES THE MARKET.
As a discretionary (intraday) index futures trader myself, "optimizing" for PnL vs loss containment is not the sign of a professional, skilled trader. It's good to see you've recognized this. All the best Osorico For the automation gurus here: Assuming apples to apples strategy and trade style, discretionary vs bot... Is bot money/risk management "different" than discretionary? Are discretionary money/risk management practices worthless in bot construction?
Sometimes people get mystified by the notion of the machine making trading decisons and managing the risk. In reality, it's not much different from multiplying 345 by 789 by hand versus using a calculator do do the same. If you are a discretional trader and use certain indicators and rules for entries/exits and controlling the risk, there is not much science in automating these rules. The main difference is that the bot would execute them in a predicable and systematic fashion. Are bot money/risk management "different" than discretionary? Yes, if you want them to be different. Are discretionary money/risk management practices worthless in bot construction? Some of them may be. For example, as a number of ATSers noted, in most cases, adding stop losses to a "stopless" strategy neither reduces the max DD nor improves the P&L. The value of "stops" may as well be a myth propagated by the discretional traders. "Cutting your losses short" sounds sensible, but it just doesn't hold water in systematic tests.