How do you decide when an automated strategy is good enough to take live? - Emini and Emicro Index Futures Trading | futures io social day trading
futures io futures trading


How do you decide when an automated strategy is good enough to take live?
Updated: Views / Replies:1,809 / 29
Created: by 303Trader Attachments:4

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors – all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you don’t need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 4  
 
Thread Tools Search this Thread
 

How do you decide when an automated strategy is good enough to take live?

  #1 (permalink)
Denver CO
 
 
Posts: 7 since Dec 2018
Thanks: 3 given, 7 received

How do you decide when an automated strategy is good enough to take live?

Hi all. I'm new here and this is my first post. I'm super excited to have found this community!

I've been working on building an automated ES trading strategy for the last several months. I've optimized and backtested and I believe this strategy to be profitable. My goal is to take this strategy live starting in January but I'm getting cold feet. I'd like to gain some confidence from more experienced traders that I'm not fooling myself and I'm making a well informed decision to take this strategy live.

I've optimized my strategy using data from 01/2011 - 12/18. Backtesting using the optimized parameters over the same period I get the results shown in the attached pictures. Even with these results I for some reason have a gut feeling of "this is too good to be true".

With all that in mind here are my two "big picture" questions:

-How do you decide when a strategy is good enough to take live, and what data do you use to determine this?
-Is this simple method of backtesting a reliable qualifier for a strategy? (I'm worried I've simply optimized my strategy for this data set and this won't be representative of how it performs live.)

Thanks for taking the time to read. Any advice is greatly appreciated!

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
The following user says Thank You to 303Trader for this post:
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Evans GA/USA
 
Trading Experience: Intermediate
Platform: NinjaTrader
Broker/Data: NinjaTrader Brokerage - Philip Capital
Favorite Futures: NQ,ES,6E,CL
 
TradingOgre's Avatar
 
Posts: 534 since Jul 2018
Thanks: 885 given, 1,551 received


Have you traded it with live data in a sim account yet?
How are you handling potential errors (i.e. loss of connection, loss of power etc)?

Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to TradingOgre for this post:
 
  #4 (permalink)
Denver CO
 
 
Posts: 7 since Dec 2018
Thanks: 3 given, 7 received


TradingOgre View Post
Have you traded it with live data in a sim account yet?
How are you handling potential errors (i.e. loss of connection, loss of power etc)?

I haven't traded it live/with a sim account yet. I had planned on doing this for a month or so to make sure I don't have any outstanding bugs and to make sure my trading platform and brokerage play nice together.

If I lose power/connection I'd either close all positions or continue to monitor any open trades manually from a separate connection. I haven't looked into how to account for this in backtesting.

Reply With Quote
The following user says Thank You to 303Trader for this post:
 
  #5 (permalink)
Evans GA/USA
 
Trading Experience: Intermediate
Platform: NinjaTrader
Broker/Data: NinjaTrader Brokerage - Philip Capital
Favorite Futures: NQ,ES,6E,CL
 
TradingOgre's Avatar
 
Posts: 534 since Jul 2018
Thanks: 885 given, 1,551 received

It seems silly at times but you need to do things like while you are running it on sim, disconnect the ethernet cable or whatever form of internet you are using. Then watch what the code does. In the early days of automated systems I saw one case where this happened on a live account, the software kept attempting to place an order but it wouldn't get confirmation so it just kept placing orders. As soon as the internet came back, all of those pending orders fired off. Wasn't pretty.

I don't think that would happen now but you should test for it to be sure.

Best of luck in automating your system.

Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to TradingOgre for this post:
 
  #6 (permalink)
Brisbane Queensland Australia
 
 
Posts: 191 since Aug 2017
Thanks: 128 given, 298 received

Not the sort of expectancy that i would be satisfied with in anyway . I would barely call that an edge . I wouldnt trade it
, thats a lot of trades for not a lot . I set bench marks for WR and expectancy , you dont even come close to them . I am a firm believer a 65% WR is the bar . Keep at it , lots of incremental improvements can make huge improvements over time .

Reply With Quote
The following 3 users say Thank You to Ozquant for this post:
 
  #7 (permalink)
Denver CO
 
 
Posts: 7 since Dec 2018
Thanks: 3 given, 7 received


Ozquant View Post
Not the sort of expectancy that i would be satisfied with in anyway . I would barely call that an edge . I wouldnt trade it
, thats a lot of trades for not a lot . I set bench marks for WR and expectancy , you dont even come close to them . I am a firm believer a 65% WR is the bar . Keep at it , lots of incremental improvements can make huge improvements over time .

This is exactly the kind of stuff I'm looking for. I have no frame of reference when trying to decide if a strategy is worth a damn. I see a positive equity line and get excited when I probably shouldn't be.

When backtesting do you put more weight on WR and expectancy than net profit?

Reply With Quote
The following user says Thank You to 303Trader for this post:
 
  #8 (permalink)
Brisbane Queensland Australia
 
 
Posts: 191 since Aug 2017
Thanks: 128 given, 298 received


303Trader View Post
This is exactly the kind of stuff I'm looking for. I have no frame of reference when trying to decide if a strategy is worth a damn. I see a positive equity line and get excited when I probably shouldn't be.

When backtesting do you put more weight on WR and expectancy than net profit?

WR and expectancy is net profit really , defines your edge . You havent really given enough detail , its fine to have an equity curve starting from zero but what is the initial capital , then Max DD becomes more relevant in a % sense , Your curve seems to have a lot of gaps in it where it doesnt trade and in times where it clearly is a good time to trade , are you curve fitting ? You havent stated the TF you are trading . Your stats are over 8 years total and trading Emini you starting capital need to be decent , you havent allowed for commision , have you allowed for spread ? Its quite possible buy and hold with divs included might be the same or better return as you strategy . Give more detail and better help will be forthcoming im sure . good luck

Reply With Quote
The following user says Thank You to Ozquant for this post:
 
  #9 (permalink)
charlotte nc
 
Trading Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 381 since Jan 2015
Thanks: 71 given, 937 received

A Couple questions

1. It looks like you have data going from 2011 to 2018. So does this imply that over the life of 8 years the system made roughly $15K after commissions? This would be evenly divided equal to roughly $2k per year. Is this what your results are showing or am I missing something? I think you can imagine the answer if the question, "Should I trade a system live that produces $2k per year in back testing." But maybe I am missing how your results are displayed.

2. It looks like you are almost always only taking long positions. Is this by design or is something in your code misfiring?

3. What exactly was your testing on? Strategy Analyzer, Market Replay, Live SIM, etc.? Each of these have levels of accuracy that can impact your results.

4. What is the latency sensitivity of your alpha signal? Some strategies test well, but in live trading speed crushes them. Some signals you can catch from home on a laptop over the internet (Market Orders with a long term trade), Some you would need a VPN / VPS with: Limit order / speed sensitive strategies. And some signals you can't reach in time with NinjaTrader no matter what you do.


In order to test a realistic live trading scenario with NT you should do the following.

Run your test with Market Replay, and put your code in the level 1 data event handler. (OnMarketData). The OnBarUpdate front runs the Level 1 and Level 2 feed and can give you a glimpse into the future if your alpha signals are derived from the level 1 feed. No that Market Replay assumes 0 latency. If you want to really simulate live trading types of latency, you can build in some latency in your code yourself before you release your order.

If you can get passed market replay, then move onto Live SIM. The simulate around 200 MS of latency and the live feed is the live feed. Here you can use the OnBarUpdate to get back some of the lag from your interenet + broker to exchange latency.

Also put in your commissions.... You might be okay based on what I saw, but once you have realistic latency to measure against, who knows.

If you can pass these benchmarks and have a positive expectancy you should be fine.

Ian

In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to iantg for this post:
 
  #10 (permalink)
Legendary Market Wizard
Münster Germany
 
Trading Experience: Intermediate
Platform: NinjaTrader, ProRealtime
Broker/Data: NinjaTrader Brokerage
Favorite Futures: FDXM, FDAX, ES, YM, 6B and 6E
 
OldGerman's Avatar
 
Posts: 530 since Mar 2015
Thanks: 638 given, 1,141 received


I always look at the following parameters:
avr trade, avr loosing trade, max cons. loosers, max drawdown and trades per year. ....
and then I calculate the time period in which the system eliminates a drawdown again. For my sense, a drawdown should be earned about 3 times a year. That's not what your system does. Sorry.

If I look at your equity, it looks like the trades will be held for a longer period of time. This requires a VPS. See Speedytradingservers.com in this forum or look at Google.

I wish you success.

The biggest risk you can ever take is not betting on yourself!
(Bill Williams +)
Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to OldGerman for this post:

Reply



futures io > > > > How do you decide when an automated strategy is good enough to take live?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

futures io is celebrating 10-years w/ over $18,000 in prizes!

Right now
 

$250 Amazon Gift Cards with our "Thanks Contest" challenge!

Right now
 

Show us your trading desks and win over $5,000 in prizes w/Jigsaw Trading

September
 

The Spirituality of Trading w/Dr Brett Steenbarger

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
During development, when do you decide to quit or keep coding a Strategy? See Equity Dvdkite Traders Hideout 9 October 4th, 2018 06:01 AM
Is OECTrader stable enough to replace MC for live trading EL strategy? murty Open E Cry 0 November 29th, 2014 08:03 PM
How do you decide WHEN you will trade? thomasblake Emini and Emicro Index Futures Trading 17 August 2nd, 2014 03:48 PM
Good Economy Not Good Enough for Investors: El-Erian Quick Summary News and Current Events 0 January 6th, 2012 02:30 PM
‘Enough’s Enough’ on China Currency: Obama kbit News and Current Events 0 November 14th, 2011 09:33 AM


All times are GMT -4. The time now is 10:32 AM. (this page content is cached, log in for real-time version)

Copyright © 2019 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts