London, UK
Experience: Beginner
Platform: TradeLink, OpenQuant, considering anything that works...
Trading: if it trades...
Posts: 94 since Oct 2010
Thanks Given: 24
Thanks Received: 39
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Could I please have some advice?
I’ve got a pretty simple strategy. It is performing amazing well in back test on 1 min OHLC Forex data. The profits are pretty volatile, but it looks completely tradable.
However, I’m a little concerned. It is a little too profitable if you know what I mean. I’ve got some posts in OpenQuant’s to determine the best way to get some order book data into the database so I test it with 1 min signals, but executing on tick or order book data thereby crossing the bid / ask every time it trades (see here: SmartQuant Discussion • View topic - Forex tick data into OQ). But I’m told that IQFeed doesn’t support order book data (historical) for Forex ( SmartQuant Discussion • View topic - New IQFeed plug-in).
I’ve started to live test it into a OpenQuant’s but I’ve had some issues with crashes and disconnects. I’ll continue to test it demo to validate somewhat.
I think I can chop the performance in half straight away if I look at slippage and bid / ask spread. Even with that we are still looking at very good returns, but again a little too good; for such a simple strategy I wouldn’t expect this level of performance.
I’d greatly appreciate if I could have I could have some other ideas on how to validate if I’m looking at a backtest artefact here or if I’m actually onto something.
Thanks and regards,
drolles
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