screengrabs for some strategies i have developed.

Discussion in 'Automated Trading' started by rtw, Feb 27, 2018.

  1. I recommend that you (and anyone else) don't attempt to trade any of your strategies with real money. When I began writing code for automated strategies, I soon discovered several ways to produce equity curves like the ones you show. None of these perfect-looking systems can be traded for real. 'Nuf said.
     
    #21     Mar 3, 2018
    comagnum likes this.
  2. Absolutism <> Trading.
     
    #22     Mar 3, 2018
  3. comagnum

    comagnum

    It is obvious your backtesting profits are coming from getting fills not possible in live trading, your not taking into account slippage and the effect of the trades on the market which will works against you. Only a big HFT operator like Citadel can win the bid-ask spread every time.

    TradeStation recommends inputting the estimated slippage (general/position slippage). Even if you were to input the slippage keep in mind pros that have been doing systematic trading for decades put little weighting on any system until it has performed well in a live market over at few quarters or more.
     
    Last edited: Mar 3, 2018
    #23     Mar 3, 2018
    Van_der_Voort_4 likes this.
  4. rtw

    rtw


    well, i made sure to include a lot of information on my post so that it would be helpful to others trying to create automated strategies. i explained the issues i have run into, the unreliable historic data and how the problems have been mainly caused by stop orders.

    you should go into more detail with the strategies you mention, and where their historical backtests deviated from reality for your comment to be more assistive.
     
    #24     Mar 5, 2018
    lovethetrade likes this.
  5. rtw

    rtw


    nah.


    all orders are market orders. all fills are realistic. high frequency trading is completely impossible even to initially code in a stone age, retail platform like tradestation.


    and my strategies have been evaluated with an average slippage of 3 ticks against which is quite credible and even excessive.
     
    #25     Mar 5, 2018
    lovethetrade and comagnum like this.
  6. Like I said LIBB is not used so it is horseshit.

    Market orders, 50 something percent profitable 45 percent degree equity line. Come on use your head people.
     
    #26     Mar 5, 2018
    Van_der_Voort_4 likes this.
  7. rtw

    rtw


    we all know what they say, that one should never feed the trolls on the internet. i will do it just this one time.

    [​IMG]

    ibg and libb do not work for advanced bar charts. what is horseshit is to have trolls demanding that methods be used which are impossible on a platform as rudimentary as tradestation.

    and my strategies are legitimate and real. here are some screengrabs i sent to the people at tradestation to demand clarification about what was going wrong. same instrument, same chart, same strategy, same everything, the only difference is that the first chart has been drawn entirely from historical data, the second one was built on real time live data for the period highlighted by the white arc. as is evident, entries and stop loss orders work just fine but trailing and breakeven stops are triggered prematurely all the time on live data. if tradestation sold credible historical data these discrepancies could be easily resolved.

    [​IMG]

    [​IMG]
     
    #27     Mar 5, 2018
  8. This has been discussed for the last 25 years. Get a clue


    When I see a chart that looks like that , I know its BS
     
    #28     Mar 5, 2018
  9. Duh LIBB doesn't work on advanced bars ... so let's keep saying I have a winning strategy on advanced bars even though I can't test it for real.

    But its all TradeStation's fault. I think they also ate my homework years ago too.

    I said my piece, enough times for others to understand, but the real troll OP can carry on pretending alone as far as I am concerned.
     
    #29     Mar 5, 2018