Hi, guys, have any of you had any success automating strategies for strategy runner? And if so, how many subscribers did you have before MF Global's collapse, and how many do you have now? I'm also curious if there are any traders here with good experiences to discuss regarding subscribing to those strategies? Basically, I'm looking for the forum's opinion on Strategy Runner and Strategy XChange. Do you use it? And if you can comment, please add some relevant details to your choice.
Assuming people only subscribe to profitable systems, I developed an OLS linear regression model in STATA that tells me I can charge a logarithm of 6.75. Source | SS df MS Number of obs = 220 -------------+------------------------------ F( 10, 209) = 40.75 Model | 163.502475 10 16.3502475 Prob > F = 0.0000 Residual | 83.8648841 209 .401267388 R-squared = 0.6610 -------------+------------------------------ Adj R-squared = 0.6447 Total | 247.36736 219 1.12953132 Root MSE = .63346 ------------------------------------------------------------------------------ logofcost | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- logofpl | .0691909 .0520407 1.33 0.185 -.0334011 .1717829 logofreqcap | .8169112 .0858627 9.51 0.000 .6476432 .9861792 ss | -.5248477 .222517 -2.36 0.019 -.9635132 -.0861823 weeksage | -.0021892 .0010165 -2.15 0.032 -.004193 -.0001854 trds | -1.60e-06 .0000413 -0.04 0.969 -.0000831 .0000799 avgtradepe~k | .003821 .0048454 0.79 0.431 -.0057311 .013373 plpct | .0015561 .000812 1.92 0.057 -.0000447 .0031569 annualpl | -.0008209 .0013889 -0.59 0.555 -.003559 .0019172 maxdd | -.0018314 .0005848 -3.13 0.002 -.0029844 -.0006785 riskreward | -.0501591 .0470115 -1.07 0.287 -.1428367 .0425185 _cons | -3.486347 .6580163 -5.30 0.000 -4.783547 -2.189147 ------------------------------------------------------------------------------ The antilogarithm e^6.75=$854 per unit per month if my minimum is $100,000 and some other things like riskreward and drawdown continue to hold true in the future for what's in my backtest and that's how I would tell all vendors to price themselves there.
Keep in mind that Strategy Runner does not carry any orders across the close. All strategies are deleted, and GTC's are not supported. You will have to either be there in-person to re-start any exit strategies upon the next market open, or get SR to write a custom strategy that will replace the exit orders/strategies for you. At the time that I last spoke with them (approx 1yr ago), they were not able to write the type of overnight-carry strategy I just described, but said they hoped to be able to offer it 'soon.' So it may be available now (for a fee).
Interesting. Since I'm planning a daytrading version, I don't think I'll have that problem. They told me I couldn't use constant volume bars, which really was disappointing. I think their model will allow you to trade a daytrading variant much more easily than the gtc/overnights you're describing.