so to accomplish this is no easy task the problem all model builders have is they omit the "benchmark" which i learned from construction days is your god on the project. without a "benchmark" how can anyone build a model? it's all random if you don't have a "benchmark" you are forever lost and will never succeed. secondly compared to the first part the "benchmark" easy would be to find an edge. in the old days we got slippage like you would not believe so add the induced delay of the data feeds the exchange members were giving you and the time delay to call a broker you had a better chance to trade opposite of what your original order was you had a better chance. that made me a reversion to the mean dropping knife catcher type trader, it taught me to fade everything and when it didn't work out flip it quick. luckily now days you can as nimble as you want but you have to have everything in line to make it all work to the efficient level that is available to all traders now not just members.
i have traded everything and settled on es just because it will overshoot on good momentum and when trading reversion to the mean it increases your chance of positive slippage on the entries tremendously. plus i have many "benchmark's" using the nyse markets to tell me how much overshoot on average to expect and when to expect it. that chart is a range chart each bar is 5 ticks so 1.25 point bars. the trades i take off it probably average under 20 a day, though it runs 24hrs i only trade it 0859 to 1249 central time. because that is when the market best overshoots at both ends. it's also the best time to use market profile if your into that. thank you for your questions
Let's look at another reversion to the mean model on the same data, you can see how the fills get positive slippage. This is 100 days with one contract Now adding Fixed Ratio at 3k delta we get over the same 100 days other stats on 1 lot other stats on 7 lots and shows the power of adding contracts with no more total risk if you go slow.
i like the flexibility of using many different data feeds all on the same platform at the same time. a feature that i paid the owner of mc to do for me back in 2005 and it has since made it's way into the program permanently. sad i didnt get my 10k back but after much bitching the new version 14 is really better than anything on the market.
there is a ts compatible platform and a .net version which may work for you download a copy for free and try it.
Do you not use AutoTrading? If so, do you know the type of coding language it is? Do you know where I can find that platform? I just downloaded the 64bit platform from Multicharts.