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#25 (permalink)
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Trieste Italy
Posts: 146 since Feb 2018
Thanks: 128 given,
18
received
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Hello PK 1,
Thanks again for your reply. To BE CLEAR I'm saying THANKS TO EVERY REPLY HERE FROM EVERYONE, they're helping me a lot to understand what's the best practice before go real. You're right, I like to receive some opinion from experts in automated systems before go live with real money FOR THE FIRST TIME.
About the question "why is the algo perform like this": As I said above the system is simply doing what it's supposed to do, I'm not surprised about entries and exits as they are performed as they should around VAH and VAL and POC of the previous day.
What I'm actually doing with other strategies is to leave them live all the day on MC with IQFEED and save every late evening the entries and exits on an excel file and then I compare those live results with the backtest.
And of course I'll do it with this stategy as you suggested. I'm also convinced that a minimum of incubation period is needed to see in entry levels during live simulation match with backtests entries.
Another talk is the broker, latency, datafeed.
As datafeed actually for the EUREX I'm using IQ FEED. Almost all people around here and elsewhere said that their close to the best and as far as I can see that's true.
I actually I have an italian broker WEBANK (they also give for free with the trading account the datafeed but I think that maybe is best to use IQ FEED Anyway don't you think?) and I have NO IDEA about their latency during order transmissions and executions and this is something that I have to investigate. But only a real test can show me how fast they are.
Secondary thing I have to decide if charge my account on WEBANK for algo trading or go with another broker like IB or similar. All will depends from:
1) How fast the new broker will be compared to webank (and with the good reputation of IB I think it's not easy to beat them with whatever italian bank)
2) from the margin required for the big DAX that is very high even for intraday trading.
Anyway I think that a good and clever idea would be to test it first on the MINIDAX and take a risk (and the gain) 5 time smaller... if it will perform as it should I can simply add contract if it gain enough money to cover the risk.
Actually I don't have other data subscription than for the EUREX exchange so I can test it only on dax and on the euro BUND.
I would be curious to test it with the ES and I'll do it as far as I'll find some good data of the last 10 years...
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