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Taking a Trading System Live


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Taking a Trading System Live

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  #271 (permalink)
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kevinkdog View Post
One would think this feeling ("the market is out to get me") would have disappeared after 20+ years of trading. But it hasn't, and I suspect it never will!

@kevindog,

I know they are watching me, that is why I need to get my machine learning system running. That is so they can't see anymore! (Paranoia, yes, somewhat accurate, probably)

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  #272 (permalink)
Legendary Market Wizard
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NJAMC View Post
@kevindog,

I know they are watching me, that is why I need to get my machine learning system running. That is so they can't see anymore! (Paranoia, yes, somewhat accurate, probably)

Won't they still be able to see your machine learning system too?

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  #273 (permalink)
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kevinkdog View Post
Won't they still be able to see your machine learning system too?

There is just no hope, I am going to drop trading and go back to Basket Weaving. If they watch me do that, maybe they can help me improve my technique.

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  #274 (permalink)
Legendary Market Wizard
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Kevin; Doesn't your system place a stop when you enter a trade?

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  #275 (permalink)
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deaddog View Post
Kevin; Doesn't your system place a stop when you enter a trade?

Yes it does, but only when the strategy thinks there is an open position. To explain this a bit, there are 2 pieces to this:

Strategy Position - this is the theoretical position, based on the strategy. This will calculate without needing a live account

Live Account Position - this is the position that is actually in your account. It should always match the Strategy Position, but sometimes (like this situation) it doesn't.


So what happened here is that the Strategy Position was flat the whole time. Therefore, the strategy never sent any kind of stop order to the live account.


One possible solution here is to setup a routine to monitor strategy position vs real world position, and notify me when there is a discrepancy. I am pursuing that for a longer term solution.

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  #276 (permalink)
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I take it the breakdown was in the strategy software. Would it be of benefit to set up your live account with an automatic attached order with your max stop.

This way the live account would have a stop order working with each position. I wouldn’t matter if the strategy software malfunctioned.

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  #277 (permalink)
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deaddog View Post
I take it the breakdown was in the strategy software. Would it be of benefit to set up your live account with an automatic attached order with your max stop.

This way the live account would have a stop order working with each position. I wouldn’t matter if the strategy software malfunctioned.

Unfortunately, the way I have it set up, that is not possible - they do not allow automated OCO orders, unless I do some major rewriting of the code to use order macros.

It is an option that I will consider. But I am not blaming the software for this situation. I should have caught the issue yesterday morning, shortly after it happened.

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  #278 (permalink)
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Might be something to consider re writing your codes for. If your orders go in with an attached stop then whatever disaster happens at your end the stop is with the broker.

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  #279 (permalink)
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What should have been a decent winning week turned out to be a losing week, due to the entry "glitch" described earlier. That cost me $550. I have taken some immediate steps to prevent it from happening again, and I think I am in the clear, at least for the time being. My actual performance now lags the perfect strategy performance, and the issue this past week is to blame for that.

The problem ultimately comes down to this: if I am depending on a computer to place, cancel, replace, etc. orders, unless someone is monitoring it at all times, there is always a possibility of something going haywire. The question is how much of my limited resources (it is just me, after all) do I devote to the effort to make the automation goof proof? Doing the usual amount of effort hasn't worked - since I just lost $550 - but at what point will I be confident those issues will not occur? Plus, it is usually not the issues you know about, but the issues you don;t know about. This case was one of them. After thousands of automated trades over the years, this particular issue had never come up before!

Enough about that issue for now. Performance is still lagging, and the day system has not had a trade in two weeks (I think I can blame lower volatility for that).

Regardless, I will "keep on keepin' on!"








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  #280 (permalink)
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I do not see the trade where you lost $550. Are you reporting by trade or by the day?

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