Backtesting Vs Live Trades - Traders Hideout | futures io social day trading
futures io futures trading


Backtesting Vs Live Trades
Updated: Views / Replies:4,876 / 40
Created: by Lysakat Attachments:0

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 90,000 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 Ė 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 donít 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
 
Thread Tools Search this Thread
 

Backtesting Vs Live Trades

  #31 (permalink)
Elite Member
seoul, Korea
 
Futures Experience: Intermediate
Platform: Multicharts
Broker/Data: CQG, DTN IQfeed
Favorite Futures: YM 6E
 
treydog999's Avatar
 
Posts: 894 since Jul 2012
Thanks: 291 given, 1,006 received


vitrader View Post
Wow! And you still had 15% execution errors?! Trying to get into this space as a retail trader is such a ridiculous hurdle. I am trying to look at 1 min, 5 min, 15 min. charts.

First of all getting into trading and being successful is a ridiculous hurdle, for anyone. Being retail just makes it less linear, not less difficult. The only reason I say that is because if you are at an institution they will be focusing on specific products, and strategies. You will be learning about those first hand and whatever internal education or trading they give you will be geared to that. Retailers end up splashing around a lot instead of focusing on one area and getting good at it, lots of jumping. Using the time less efficiently.

Yes 15% execution errors, its part of understanding your tools. I understood that MC/Ninja/TS etc have limitations, so I designed strategies that used their strength and accessibility. Specifically I was using MC.

Are doing faster frequencies possible on these platforms? Maybe but I was not willing to put in the work to make it so. When I know that there are other better platforms (see more expensive) that were specifically geared to that type of activity. Putting me at a larger and larger competitive disadvantage as I worked at higher frequencies.

You have 2 choices, either get the right tools to design, test, and implement your 1 minute strategies, or design strategies that make the most of the tools you got. Both are inside your control. But if you are just getting started, lower frequencies (higher time frames) strategies are easier to work with and make something "viable" . takes probably 3-5x as much time to design something for the 1 minute as it does for the 1 day. IMHO

Reply With Quote
 
  #32 (permalink)
Elite Member
New York, New York, United States
 
Futures Experience: Beginner
Platform: TOS
Favorite Futures: Options
 
vitrader's Avatar
 
Posts: 53 since Jul 2015
Thanks: 13 given, 6 received


treydog999 View Post
First of all getting into trading and being successful is a ridiculous hurdle, for anyone. Being retail just makes it less linear, not less difficult. The only reason I say that is because if you are at an institution they will be focusing on specific products, and strategies. You will be learning about those first hand and whatever internal education or trading they give you will be geared to that. Retailers end up splashing around a lot instead of focusing on one area and getting good at it, lots of jumping. Using the time less efficiently.

Yes 15% execution errors, its part of understanding your tools. I understood that MC/Ninja/TS etc have limitations, so I designed strategies that used their strength and accessibility. Specifically I was using MC.

Are doing faster frequencies possible on these platforms? Maybe but I was not willing to put in the work to make it so. When I know that there are other better platforms (see more expensive) that were specifically geared to that type of activity. Putting me at a larger and larger competitive disadvantage as I worked at higher frequencies.

You have 2 choices, either get the right tools to design, test, and implement your 1 minute strategies, or design strategies that make the most of the tools you got. Both are inside your control. But if you are just getting started, lower frequencies (higher time frames) strategies are easier to work with and make something "viable" . takes probably 3-5x as much time to design something for the 1 minute as it does for the 1 day. IMHO

With the data I want to buy, it's only for 1 instrument. I want to test longer term timeframes along with shorter term timeframes. The thing with getting the right tools is that I have searched the Internet high and low and cannot find much of anything. Any idea?

Reply With Quote
 
  #33 (permalink)
Trading Apprentice
Oxford, UK
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: FDAX, Cocoa
 
Bollinez's Avatar
 
Posts: 5 since Dec 2015
Thanks: 3 given, 1 received

Trading Hours Real Life and Backtest


Well, I hope it is okay continuing this quite old discussion, as I haven't found any newer one that fits my question. I am backtesting very actively for two years now and of course noticed real-life differences. My algorithm itself performs the way it has to, but what makes me desperate real-life is primarily the rule on trading hours and days. I know it is not uncommon to exclude volatile hours like noon or to exclude very unprofitable weekdays, but I am wondering a lot whether it is a quite lazy method to exclude time periods that superficial. I tried a volatility-based exclusion, which improved my statistics, but I am asking you...

...whether you exclude time periods in backtests at all and

...did you also ask yourself whether real-life trading would require a different way to handle such periods?

Thanks,
Bollinez

Reply With Quote
 
  #34 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
 
rleplae's Avatar
 
Posts: 2,506 since Sep 2013
Thanks: 1,708 given, 3,720 received
Forum Reputation: Legendary


Bollinez View Post
Well, I hope it is okay continuing this quite old discussion, as I haven't found any newer one that fits my question. I am backtesting very actively for two years now and of course noticed real-life differences. My algorithm itself performs the way it has to, but what makes me desperate real-life is primarily the rule on trading hours and days. I know it is not uncommon to exclude volatile hours like noon or to exclude very unprofitable weekdays, but I am wondering a lot whether it is a quite lazy method to exclude time periods that superficial. I tried a volatility-based exclusion, which improved my statistics, but I am asking you...

...whether you exclude time periods in backtests at all and

...did you also ask yourself whether real-life trading would require a different way to handle such periods?

Thanks,
Bollinez

It is not uncommon to have a 'controller' above an automated trading bot, that triggers the bot only under certain market conditions... If you can quantify the conditions to which the bot is best performing then that is a valuable approach.

Conditions can be (non exhaustive) :
- volatility
- news release
- ...

Reply With Quote
The following user says Thank You to rleplae for this post:
 
  #35 (permalink)
Trading Apprentice
Oxford, UK
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: FDAX, Cocoa
 
Bollinez's Avatar
 
Posts: 5 since Dec 2015
Thanks: 3 given, 1 received

News releases


rleplae View Post
It is not uncommon to have a 'controller' above an automated trading bot, that triggers the bot only under certain market conditions... If you can quantify the conditions to which the bot is best performing then that is a valuable approach.

Conditions can be (non exhaustive) :
- volatility
- news release
- ...

Okay and thanks for your early reply. Unfortunately I have no possibility to identify news releases in NinjaTrader and I guess this needs the connection to a news feed tool in NinjaTrader right?

So do you stuck to your time-related conditions 100% in real-life? Or do you handle it on your own when there is e.g. a press conference with Draghi? I never entered or closed a position that did not follow my algorithm conditions, but I have doubts regarding time rules.

For example: For Cocoa I excluded 14:30-15:00 (GMT+1), but should I exclude it when there are no news on that day? On average it was beneficial for my backtest results, but would it be better if I could distinguish between days with and without news (on my own and not based on quantifiable conditions)?

Thank you

Reply With Quote
 
  #36 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
 
rleplae's Avatar
 
Posts: 2,506 since Sep 2013
Thanks: 1,708 given, 3,720 received
Forum Reputation: Legendary


Bollinez View Post
Okay and thanks for your early reply. Unfortunately I have no possibility to identify news releases in NinjaTrader and I guess this needs the connection to a news feed tool in NinjaTrader right?

So do you stuck to your time-related conditions 100% in real-life? Or do you handle it on your own when there is e.g. a press conference with Draghi? I never entered or closed a position that did not follow my algorithm conditions, but I have doubts regarding time rules.

For example: For Cocoa I excluded 14:30-15:00 (GMT+1), but should I exclude it when there are no news on that day? On average it was beneficial for my backtest results, but would it be better if I could distinguish between days with and without news (on my own and not based on quantifiable conditions)?

Thank you

There is an indicator that is doing that for you.
You can take a look at it and even tweak the code a bit...

it's something like jteconnews ...

it will take information from public website, agenda ...
those news releases are published way ahead

Reply With Quote
The following 2 users say Thank You to rleplae for this post:
 
  #37 (permalink)
Trading Apprentice
Oxford, UK
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: FDAX, Cocoa
 
Bollinez's Avatar
 
Posts: 5 since Dec 2015
Thanks: 3 given, 1 received


rleplae View Post
There is an indicator that is doing that for you.
You can take a look at it and even tweak the code a bit...

it's something like jteconnews ...

it will take information from public website, agenda ...
those news releases are published way ahead

Cool, didn't know that. I'll have a look at it. Thanks!

Reply With Quote
 
  #38 (permalink)
Market Wizard
Switzerland
 
Futures Experience: Intermediate
Platform: Investor/RT
Broker/Data: IB / DTN
Favorite Futures: Futures
 
Posts: 4,131 since Feb 2012
Thanks: 3,792 given, 7,665 received
Forum Reputation: Legendary

Hi @Bollinez

Backtesting is very helpful to see occurences (at least how many) came into favor with your system.
The real work begins after the backtests.

First check for the bigger drawdowns and the "why" these happened.
Then best is to program your system to do not interfere with a "hot" finger :-)
Then take out the bad days (as discussed above).
Then omit longer phases of uncertainty in direction. I use Ichimoku cloud for this within appropriate period.
Define your system with rules and stop loss settings. SL need to be optimized!

Having all done try your system under real conditions.
Forward tests are not really saying much.

Hope this helps
GFIs1

Reply With Quote
 
  #39 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,388 since Jul 2012
Thanks: 1,139 given, 4,387 received
Forum Reputation: Legendary


Bollinez View Post
Well, I hope it is okay continuing this quite old discussion, as I haven't found any newer one that fits my question. I am backtesting very actively for two years now and of course noticed real-life differences. My algorithm itself performs the way it has to, but what makes me desperate real-life is primarily the rule on trading hours and days. I know it is not uncommon to exclude volatile hours like noon or to exclude very unprofitable weekdays, but I am wondering a lot whether it is a quite lazy method to exclude time periods that superficial. I tried a volatility-based exclusion, which improved my statistics, but I am asking you...

...whether you exclude time periods in backtests at all and

...did you also ask yourself whether real-life trading would require a different way to handle such periods?

Thanks,
Bollinez

Trade exactly what you test. Excluding days/time periods can be a valid approach. Volatility based exclusions can be valid too. Either can work or not work.

The worst thing you can do - in my opinion - is test an approach, and then trade live differently. In that case, why even bother testing?

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following 2 users say Thank You to kevinkdog for this post:
 
  #40 (permalink)
Trading Apprentice
Oxford, UK
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: FDAX, Cocoa
 
Bollinez's Avatar
 
Posts: 5 since Dec 2015
Thanks: 3 given, 1 received

Update


Hello everybody,

sorry for the delay, but I had exams and also some problems with my NinjaTrader. I noticed an unusual change in performance of our algorithm and searched for the error and finally found it. We have some problems with the data feed:

We wrote down some extraordinary candles for multiple years and compared these candles with our NT data files and there was an offset of one hour for 2012 and two hours for 2006 and so on. We finally noticed that our data provider sent us London Time Data. I exported the data and imported it with another time zone but the data update includes some issues concerning GMT/UTC/BST.

I don't want to ask my data provider for solutions, reasons, updates because I would need to search for other errors and I am pretty sure the error occurred due to BST because the time offsets appear after this British Summer Time changes. I just want to understand it and how to fix such errors by my own.

Do you maybe know how to fix it? I saw that NT 7 exports it UTC, but does this export consider BST? Can I import it in order to adjust it for German GMT + 1 or is it not that easy? Because the offset keeps coming back. Do you manage this somehow or do you never noticed this BST problem?

Well, we also decided to start anew and begin with focusing on market trends and not with entries/exits. And I would like to avoid any mistakes concerning time zones and feel these live-differences in my depot :sos:

Thank you very much for your help.

Reply With Quote

Reply



futures io > > > Backtesting Vs Live Trades

Thread Tools Search this Thread
Search this Thread:

Advanced Search



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

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Strategy not taking trades in live bur trades in Back test forexcasted NinjaTrader Programming 8 November 17th, 2014 02:17 PM
Reasons that backtesting works but live/walking forward does not. Price Addict Elite Automated NinjaTrader Trading 16 October 10th, 2013 02:27 AM
Slippage in Backtesting, Coding For Live Trading benharrell Elite EasyLanguage Automated Trading 5 June 18th, 2012 09:22 PM
Ninjatrader spying on live trades MetalTrade NinjaTrader 68 January 11th, 2012 12:23 AM
Fearful of Initiating Live Trades sidney7g Psychology and Money Management 19 June 24th, 2011 12:31 PM


All times are GMT -4. The time now is 11:05 AM.

Copyright © 2017 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
Page generated 2017-12-18 in 0.16 seconds with 19 queries on phoenix via your IP 54.226.113.250