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Looking for feedback on a futures signal service I am considering starting

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Market Wizard
Gits (Hooglede) Belgium
Trading Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
rleplae's Avatar
Posts: 2,966 since Sep 2013
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thankswillie View Post
I have been trading the system live since about last September. It has been generating an average of about seven trades per month, with some months having several more than that and other months having many fewer. So, I am definitely far short of the 18 months you mentioned there.

I did go back with about two years of data to see how it would have done and it had similar results, but we all know that doesn't count for much because trader psychology changes when live money is on the line.

8 * 7 = 56 trades, this seems from a pure statistical point of view a very "limited" sample
8 months as a testing period is also a very "limited" window of time

the good news is that you are able to make profit, and you don't need to "sell" the service
you can simply exploit it for yourself and try to leverage it to the max

in my opinion, you can do several things:
- see if the same method works on any other instruments (in order to have a higher number of trades)
- just continue and if it keeps working, you will build your track record over time

Is the method 100% algorithmic or is there a discretionary component ?
in the later case, do you have an idea how to handle issues like:
- liquidity (during NY sessions, this may be a no brainer on ES, in overnight, this might be something different
- do you only publish the entry signal ? or also the exit ? how will you handle filled / not filled ?
- do you have a idea of what is the liquidity on which the model works and where it breaks ? (simple statement, if you fire many zombie/slave orders, there will be smart people who will go after the liquidity of the stops in case of less liquid market conditions)

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