One week is short to conclude that it doesn't work. What was your longest flat-period during your backtesting and sim? Could it be that you have an overfitted model? It's a bit odd that it's working in sim but not in real trading, even if your sim period is relatively short. And like gaussian said, a Sharpe Ratio of 7-10 seems fishy at first glance!!
Do you know how NT8 sim environment is working? Does it place your orders on top of the queue, or at the end of it (BIG difference here...)?
This is not correct. "High" frequency strategies can have much higher sharpe ratios than longer period strategies have. Having numerous high probability entries, as hft does, has the effect of driving volatility of returns down. Its far more likely your back-test is not appropriately modeling fills with high enough fidelity for a strategy that trades this frequently. What happens if you take the period of time you have LIVE trading results for, and run it back through the sim? If these results don't match within reasonable margin of error... you have a sim issue.
I recorded my screen and slowed it down and figured out what is going... when the algo is placing a bid it gets filled immediately, even though the offer is not at that specific offer. So it's an order that wouldn't occur in the live environment. I'm working on fixing the issues as we speak.
%% You have an advantage; you're a student, so learning is easier+ you found part of the problem{slowed it down solution}. Something else you need to figure, besides real trading/investing; even if you don't believe sim was invented by by brokers, not traders/investors.Get rich quick could work thru a will; seldom works in markets. Slowing down does help with commissions a lot..........................................................................................................
just joined and intrigued by this thread. I am also running an Algo System. It is a high Sharpe Ratio I agree. Really getting into Algo Trading and appreciate all the input I am reading
Does anyone have technology that records what is shown to you by brokers accurately because currently in any bilateral agreement they are under no obligation to stick to any price their synthetic order book shows and there is no way of you showing this. My concern is very slow brokers who make money in derivatives market making whilst talking about latency. Market making on nasdaq would be very easy if you didn't have to stick to the prices you show.