I would like to ask your for your experiance. I wrote several strategies in managed approach, all worked fine in backtest but realtime in sim was full of overfilling and problems with canceling Stoploss. So i decided to rewrite it to Unmanaged approach. I use SumbitOrder() and CancelOrder() but sometimes i have problems when position reveresing, i close old position and open new position in new direction but sometimes CancelOder() for my Stoploss does not work.
Do you have same experience? How do you fixed it? IS possible to write profitable intraday strategy only in Managed code? (without overfilling)
I would think that if you can get your strat to behave as it should in the Managed approach (not at all meaning profitable), then you can think about going to the Unmanaged approach (never coded to Unmanaged, however).
Profitablity should not depend on what approach you use for your strategy, but on the stategy itself. I doubt that an unprofitable strategy coded using the Managed approach can be made profitable by using the Unmanaged (but I'm just guessing).
A profitable stat in backtest might be unprofitable in real-time (in fact it appears to be common, not unusual, etc), due to issues such as curve fitting, etc (as well as those in the Ninja page above). A good question is, can an unprofitable stat in backtest be made profitable in real time ?
Last edited by kandlekid; October 20th, 2011 at 04:53 AM.
I have different experiance and problem is not in "business logic" in strategy. In back test my strategy behave Ok without overfilling (it makes sennse :-)) and no filled stoplosses after refular exit (i mean that some order are dulicated) and sometimes i would like to close position but after close and execute of SL i am in oposite positions :-(
Do you understand me?
But i spent crutial time in development phase and now i can say that i managed almost all of my problems in Managed approach, this weekend i will try it against Market replay. Solution of my problem was that after revers position or regular exit i have to avoid of SL execution (created more contitions in my code)