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Profitable sim/market replay = profitable live?


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Profitable sim/market replay = profitable live?

  #1 (permalink)
New Zealand
 
 
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Profitable sim/market replay = profitable live?

Hi guys,

I am specifically talking about automated strategies here.

I am sure many of you have had an automated strategy that looked really good on Market Replay or Live Simulation with Ninjatrader, but then you test it in the live dynamic crazy market and it fails to achieve the same results.

If this has happened to you at some stage, can you please share why the strategy ended up not working when you went live with real money?

Was it worse fills?

Did you interfere with your strategy and let your emotions get the best of you?

Would be good to hear and learn from others experiences.

Thanks.

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  #2 (permalink)
Denver CO
 
 
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nourozi View Post
Hi guys,

I am specifically talking about automated strategies here.

I am sure many of you have had an automated strategy that looked really good on Market Replay or Live Simulation with Ninjatrader, but then you test it in the live dynamic crazy market and it fails to achieve the same results.

If this has happened to you at some stage, can you please share why the strategy ended up not working when you went live with real money?

Was it worse fills?

Did you interfere with your strategy and let your emotions get the best of you?

Would be good to hear and learn from others experiences.

Thanks.

For me, when I shifted to live trading with real risk of loss, I started hesitating a bit when it came time to take the entry. When it's the SIM, who cares, right? Even if you're trying to be disciplined in the sim, you'll take trades easier then when real money is at stake, so your fills are gonna suck.

There's also the case of the sim fills things faster and better than real time so that's going to be a part of it too. Doesn't mean your system won't work, but it might mean you might need to adjust your entry criteria. If you're never getting filled in real life but you always are on the sim, you're being too strict for what the real market can offer.


Last edited by steve0617; January 16th, 2014 at 01:08 PM.
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  #3 (permalink)
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@steve0617


nourozi View Post
I am specifically talking about automated strategies here.


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  #4 (permalink)
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your post makes no sense. how can your emotions interfere with an automated strategy. IT is Automated.

also, past performance is no guarantee for future results.

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  #5 (permalink)
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tflanner View Post
your post makes no sense. how can your emotions interfere with an automated strategy. IT is Automated.

also, past performance is no guarantee for future results.

Hmm.

Well one way is whether or not you interfere with the system. If you ever override it, or ever close a trade early, or stay in a trade due to an error and not get out on time, or if you choose not to run it one day or any number of other things can all be considered emotional interference of some sort.

Other examples are making emotional decisions based on the performance of the strategy, such as changing the strategy's internals, "tweaking" it, "optimizing" it, "adding a filter", or any number of other discretionary things are all going to effect an automated system.

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  #6 (permalink)
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Big Mike you are a lot smarter than me....

I am an ex floor trader and have been trading on the screen for over 10 years. I trade discretionary. I thought if you have an automated strategy that you do not allow your emotions to interfere with your decisions. If you do, then it is not automated strategy. If you interfere with your strategy during market hours.....whatever.

waste of my time.....going to bed


Last edited by tflanner; January 17th, 2014 at 07:38 AM.
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  #7 (permalink)
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tflanner View Post
Iig Mike you are a lot smarter than me....

I am an ex floor trader and have been trading on the screen for over 10 years. I trade discretionary. I thought if you have an automated strategy that you do not allow your emotions to interfere with your decisions. If you do, then it is not automated strategy. If you interfere with your strategy during market hours.....whatever.

waste of my time.....going to bed

I have no inclination one way or the other and am not trying to defend one side of the argument vs the other.

But no system is 100% automated. It took discretion to create, it likely takes discretion to manage. Where there is discretion there will be the inclination for emotion.

You can go review the journals on futures.io (formerly BMT) for proof. Looking only at automated journals, you can still see errors being made, decisions to override the system, "tweaks", "optimizations", "filters" being added... all of these could be said to be discretionary and or emotional decisions.

Mike

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  #8 (permalink)
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mr. whipple

Investopedia explains 'Automated Trading'


In an automated trading system, the trader must teach the software what signals to look for and how to interpret them. It is thought that automated trading takes human psychology out of trading.

Used to be a commercial with Charmin and Mr. Wipple.....Mr. Wipple used to say don't squeeze the Charmin....If Mr. Whipple were a trader he would say don't touch your automated system during mkt hours....

here is a link...squeezing the charmin=your emotions interfering......

https://www.youtube.com/watch?v=WQurmhwP3ag

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