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I think that has to do with fills. If price does not move past your bid or ask price, it will be somewhat random if you get filled. It seems to me that during replay, NT is too generous on those fills, vs when running live or live sim.
Can you help answer these questions from other members on NexusFi?
Eastly August update...I still plan to run this in Market Replay, just haven't gotten around to it yet, need to get more familiar with it and download some replay data from the downloads section.
I actually looked at this "accidental discovery" a little more and realized it was doing something much simpler. I have since re-coded it in a more simplified manner (it can be easily coded with the Strategy Wizard) and am getting similar results. I turned it on live with one contract but it would occasionally lose the connection to Zen and the strategy would stop running. So I'm working on moving it off of running on the desktop in my house and over to a server at my co-location site, hopefully reducing disconnection problems. Also, I'll need to separate my auto-trading acct with my discretionary trading acct so I can have 2 instances of NT connected to Zen at the same time so the automated strategy can run on one account without my discretionary trading interrupting it.
Does anybody know how to make your strategies recover from a disconnect? I know NT has something like a OnDisconnect() event you can implement but I'm not sure what to do to re-connect. I'll have to look into NT's forums I guess.
Well, I finally went live with my first automated strategy today, made 2 winning trades on 6E, +22 ticks each. So far so good! More details are in my journal.
I've had it running for 1 month now. It's called BOT1. I log its trades in my trading journal. Success rate in reality is lower, but still profitable overall.
I use market orders on bar close. I recently started backtesting with 2 ticks of slippage in an effort to try to simulate real market scenarios and try to compensate for poor fills.
is the market really moving this quickly on you (two ticks each way)? seems like a lot. ninja allows for using the bid and ask in strategies you might try that instead of market.
"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain
It's not so much about market velocity, more about wide spreads, especially with forex futures (6E). I usually get worse market order fills on 6E than I do with more liquid instruments like ES. Spot forex often has even wider spreads, though I wouldn't know for sure. One person I was talking to was used to entering a FX trade 4 pips down (!) At any rate I want to handicap my strategies a bit to prevent too overly-optimistic backtesting results.
