When you let your auto trading strategy to trade on real money? - futures io
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When you let your auto trading strategy to trade on real money?


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When you let your auto trading strategy to trade on real money?

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  #1 (permalink)
MasterYan
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Posts: 29 since Jul 2016
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How do you determine that an automated strategy should be launched to trade real money?

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  #2 (permalink)
 Massive l 
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are we talking fully automated or discretionary?

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 bobwest 
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MasterYan View Post
How do you determine that an automated strategy should be launched to trade real money?


Massive l View Post
are we talking fully automated or discretionary?

@Massive l, good question. The intent was automated strategy, but it was not clear from the original title, which did not refer to an automated strategy.

I've changed the thread title from "When you let your trading strategy to trade on real money?" (which is a perfectly good title, but is not clearly about automated strategies) to say "auto trading strategy."

Bob.

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 Massive l 
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I don't know...that's something I don't trust. I had 2 sim swing strategies running over the last year. After 8 months metrics remained steady. Then all of the sudden it fell off. It's since stabilized with 25% less profit.
My edges on tick charts can fall off after just one week.

So what kind of strategy? What did backtesting produce? What forwarding testing have you done and for how long? Need more info.

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 BA 21 
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MasterYan View Post
How do you determine that an automated strategy should be launched to trade real money?

When you have worked out most of the kinks (e.g., bad logic that results in significant loss), and when you've reached an acceptable win/loss ratio in SIM trading.

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  #6 (permalink)
MasterYan
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Massive l View Post
are we talking fully automated or discretionary?

Automated

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MasterYan
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Posts: 29 since Jul 2016
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Massive l View Post
I don't know...that's something I don't trust. I had 2 sim swing strategies running over the last year. After 8 months metrics remained steady. Then all of the sudden it fell off. It's since stabilized with 25% less profit.
My edges on tick charts can fall off after just one week.

So what kind of strategy? What did backtesting produce? What forwarding testing have you done and for how long? Need more info.

So right now I'm using this algorithm:
1. Develop a new strategy with a good-looking equity curve.
2. Analyze when my new strategy is losing money and when should I turn it off manually.
3. Do a walk-forward optimization 3 times (usually a 12-month optimization & 1 month out of sample)
4. If everything is OK then I start to rade with 1 contract or one share on REAL money. (A year ago I did a lot of automated trading on a virtual account)
5. If everything is OK then I increase the percentage of my money to the new strategy. But never more than 25%.


Any ideas on how to improve this algorithm?

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