I don't do this either. What I do is tell my broker to set risk limits really, really low (where the max drop is $40-$50 or whatever), then set the strategy on 100 lots, and keep running it until I see problems. I also hardcode the maximum number of orders/fills to prevent an explosion. It's hard to test certain systems because you can't know how it will work without real exchange interaction.
Interesting observation, as I had the same thought this morning with an entry error. The odds of entering a trade and going immediately positive or negative would seem to be about even, eh? But of course it seldom is the case. Go figure.
I agree that you got a very inexpensive lesson - if it sticks you will make that back exponentially. BTW, I have seen and heard about many similar instances when new systems were tried out in thin overnight and late afternoon markets.
Agreed. I have done it in the past ( overnights ) as a lone ranger but there were times I seriously regretted it. I am talking about simple Trading Technologies AutoTrader and AutoSpreader configurations - nothing sophisticated. I used to keep the fill alert chime volume turned way up so that I could hear it, but by the time I awoke to check it out usually it was a good fill but occasionally I wet myself prematurely. And stayed up getting out of the mess. Every desk or group that I know of staffs their desk 24/5 if they are autotrading.
My system is designed to be unattended. It runs 24 hours a day Mon-Sat and has been doing that for some months reliably. I had forward tested but this was an event which it had not come across before where I put it on standby, normally always engaged. It has in my opinion a high rate of return so the rewards outweigh the risks. These are teething problems and also due to lack of experience on my part. I sure am anticipating the day I can hand my notice in at work and trade full time thereby being closer to the control room but it doesn't alter the fact, the system runs 24 hours a day and I still need to sleep. Maybe I need to set up my trade alarms to contact my mobile phone.
A heads up on how I run the 'control room' Futures Trading. There are 4 laptops (8 monitors total) 1 = trading 1 = testing/system development 1 = Amibroker - all world market indices, years of EOD data history - 1973 1 = Internet There are 2 x modems running 1 x UPS Backup