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Comparing simulation fills vs expectation of real fills


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Comparing simulation fills vs expectation of real fills

  #1 (permalink)
 
Zwaen's Avatar
 Zwaen 
Netherlands, Blaricum
 
Experience: Intermediate
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I had 2 short questions:

[If important, I use different datafeed and simulation account; kinetick for datafeed and IB for execution ( sim).]

For the questions, I had trading futures in mind ( 6E) [ but it would also be interesting to hear it for futures on other instruments ]

1) In trading simulation, and using x ticks as target, sometimes price moves exactly x ticks ( and not x+1) and the simulation account sees this as a fill, and thus succesful trade. This happens about 20% of the trades which move exactly x ticks. Is this realistic?

2) When evaluating a historical backtest, what would be a wise/realistic number of movement to label a trade as succesful? For example, suppose you control your entry price by a lmt order, using a target of x ticks, would you include all trades as succesfull which move x+1 ticks, or x+2, or more? I can imagine this number would be increased trading more contracts and be different per market, what is realistic?

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  #3 (permalink)
 TimeTrade 
Erfurt Germany
 
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Zwaen View Post
I had 2 short questions:

[If important, I use different datafeed and simulation account; kinetick for datafeed and IB for execution ( sim).]

For the questions, I had trading futures in mind ( 6E) [ but it would also be interesting to hear it for futures on other instruments ]

1) In trading simulation, and using x ticks as target, sometimes price moves exactly x ticks ( and not x+1) and the simulation account sees this as a fill, and thus succesful trade. This happens about 20% of the trades which move exactly x ticks. Is this realistic?

2) When evaluating a historical backtest, what would be a wise/realistic number of movement to label a trade as succesful? For example, suppose you control your entry price by a lmt order, using a target of x ticks, would you include all trades as succesfull which move x+1 ticks, or x+2, or more? I can imagine this number would be increased trading more contracts and be different per market, what is realistic?

For more realistic (back)test results please use REPLAY of downloaded days as 3. test variant.
Without special and tricky use of fills based of additional 1 tick data series, you don't can secure use the standard backtests of NT7. Only with replay and NEVER realod your test results give a real picture of the strategy potential.

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  #4 (permalink)
 
Zwaen's Avatar
 Zwaen 
Netherlands, Blaricum
 
Experience: Intermediate
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Trading: Options
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TimeTrade View Post
For more realistic (back)test results please use REPLAY of downloaded days as 3. test variant.
Without special and tricky use of fills based of additional 1 tick data series, you don't can secure use the standard backtests of NT7. Only with replay and NEVER realod your test results give a real picture of the strategy potential.

Hi TimeTrade, thanks, the backtest is performed manually/visually in historical charts, not by using NT.
( btw my questions are more out of curiosity since it would offcourse be ridiculous to let a strategy depend on 1 tick more or less )

One of my worst enemies are my own false assumptions
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  #5 (permalink)
 TimeTrade 
Erfurt Germany
 
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Platform: rtMagic, NinjaTrader
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Zwaen View Post
Hi TimeTrade, thanks, the backtest is performed manually/visually in historical charts, not by using NT.
( btw my questions are more out of curiosity since it would offcourse be ridiculous to let a strategy depend on 1 tick more or less )

without 1tick data NT7 don't can right handle intrabar stops and fill's, while this work only with the right historical sequence of high and low

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Zwaen's Avatar
 Zwaen 
Netherlands, Blaricum
 
Experience: Intermediate
Platform: Excel, Python, R
Broker: IB
Trading: Options
Posts: 250 since Dec 2010
Thanks Given: 848
Thanks Received: 238

@TimeTrade, since I cannot press the thanks button, thanks for trying answering !

One of my worst enemies are my own false assumptions
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  #7 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
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Zwaen View Post
@TimeTrade, since I cannot press the thanks button, thanks for trying answering !

This is because you have not marked any post as Answered. The big blue banner is waiting for you. Once you mark it answered, you can thank the poster.

I will go ahead and do this for you now.



Mike

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