You are correct. OandA doesn't work with NT. Sorry for that suggestion. Also, I agree with your assertion that there are "fundamental problems with backtesting". Having said that, there is no way you can test a strategy and can have confidence in it if the historical data used to develop the strategy is different from the live trading data (in the sense that live data for today is different from the data if you query it tomorrow from the historical server of MB Trading. This difference between historical and live data (because they come from different servers) is the bigger problem here. This is easily solvable if you ditch your currrent broker and rather move to a broker whose historical and real time data are similarly generated. Do you see what I mean? IB and CME futures are the obvious choices that will work with NT.
Trades: 26 P/L: -$8.26 Pips: -82 Account: $507.34 Not a good day. However, its to be expected, can't win everyday.
Trades: 20 P/L: +$7.14 Pips: +71 Account: $514.48 Good rebound day for the strategy. Down slightly for the week, but not by much.
Frost, would you mind also putting your total cumulative Pips gained/lost since starting this strategy along with the other stats?
Since starting this journal: Trades: 91 Pips: +188 Its worth noting almost ALL of the profit has come from the EUR/USD pair. Which makes sense as the strategy up to this point has been trained against that pair. over the next few days, I will be introducing strategies specific to the other pairs as well.
Hi, Good journal, i like to follow However, do you have a demo account running side by side with your live trading experiment? Also, you have said you are expecting big DD around the corner, what is your measures to avoid/deal with that? Could you include some more stat for your automated strategy? Just to enrich your experiment for further development Good luck
I am making a fairly substantial change to the system starting tonight. I have created a second $500 live account. I will have a 4 range bar strategy running on account #1 and a 10 min bar strategy running on account #2. The goal is to produce a smoother equity curve, by having two unrelated strategies running independent of one another, I should see a smoothing affect in the overall account equity. At start the strategy breakup will be as follows: Account #1 EUR/USD Range 4 Strategy Account #2 EUR/USD 10 min GBP/USD 10 min NZD/USD 10 min AUD/USD 10 min For account #2, all 4 strategies were trained specifically for the given currency pair. Development efforts will now switch to designing strategies for the other 3 currency pairs on account #1. Any thoughts or comments about this approach?
"Trained" - Are you using Neural networks? Have you found them useful in terms of consistent out of sample performance on unseen data in trading?
You can think of it in terms of neural networks, its actually slightly different. Its really a way of data mining for patterns. Little different than a traditional neural net. Yes, it appears to perform very well out of sample. However, this live experiment will be the true test