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Taking a Trading System Live


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Taking a Trading System Live

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  #281 (permalink)
Legendary Market Wizard
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deaddog View Post
I do not see the trade where you lost $550. Are you reporting by trade or by the day?

It occurred on 10/16. Later in the day I had a profitable trade, so the net for the day was only about -$350. Note the difference that day between "perfect" strategy performance and actual real money performance.

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  #282 (permalink)
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The situation that you describe with the limit order that didn't get cancelled is what I call an orphaned order/position. There are several reasons why this can happen and it really doesn't matter what the reason is. Bottom line is that it would be nice if NT would allow the account orders/positions to be managed the same way that you can manage strategy orders/positions. I mention this here because I have worked on this for a while and haven't found a solution mainly because NT does not support it. Let's say for example that for whatever reason you have an orphaned order/position and want your strategy to adopt that order/position so it can be managed by the strategy. Currently, any attempt to manage that account position will close your strategy and I can't find any way around this. So, if you find a solution, please post it here.

i am asking NT to support this.

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  #283 (permalink)
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Week 10 is in the books, and it was a profitable week. Still looking for a big trade from my day strategy, just haven;t gotten it yet. Still hovering around breakeven. Nothing to be proud of, but not losing significantly either.







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  #284 (permalink)
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kevinkdog View Post
Week 10 is in the books, and it was a profitable week. Still looking for a big trade from my day strategy, just haven;t gotten it yet. Still hovering around breakeven. Nothing to be proud of, but not losing significantly either.

Interesting. Could you adopt a simple fixed MAE e.g. $-100/-200 or whatever?, as your losses seems less frequent than winners but much larger when they occur. I know sweet f.a. about automation as yet but planning for next year so am taking a greater interest.

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  #285 (permalink)
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ratfink View Post
Interesting. Could you adopt a simple fixed MAE e.g. $-100/-200 or whatever?, as your losses seems less frequent than winners but much larger when they occur. I know sweet f.a. about automation as yet but planning for next year so am taking a greater interest.


MAE isn't something I normally do walkforward optimization with, but yes - I could have used that as my optimization criteria. It might have made things better, but maybe not. With the night system, losses are bigger than the winners, but a lot less frequent. With the day system, winners are a lot bigger than losers, but win percentage is below 50%

At this point, though, it is too late to go back and try to improve the system. I'd probably easily find something that backtested better, but it would not mean it would work any better going forward. If I really did not like the performance, I'd be better off just starting from scratch with something else.

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  #286 (permalink)
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kevinkdog View Post
Week 10 is in the books, and it was a profitable week.

For the record, and for the "drama" or whatever --- if this were my strategy and what not, I would quit right now -- under the grounds that the strategy is not performing as intended // as it did under tested scenarios.

We can see how that turns out for me later if you decide to continue

Mike

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  #287 (permalink)
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Big Mike View Post
For the record, and for the "drama" or whatever --- if this were my strategy and what not, I would quit right now -- under the grounds that the strategy is not performing as intended // as it did under tested scenarios.

We can see how that turns out for me later if you decide to continue

Mike


I can certainly understand that point of view. In my case, I plan on sticking to the original plan.

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  #288 (permalink)
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kevinkdog View Post
I can certainly understand that point of view. In my case, I plan on sticking to the original plan.

At what point do you give up?
Isnt this a bit like staying with a bad trade? You can see it's not doing what you thought it would but some thing keeps you in the trade.

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  #289 (permalink)
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Guys,

1) Kevin defined his quit point at the optimal time: before he turned on the system. So his stop is already in place. It is outside of his system's noise, and the amount of his total capital at risk on this system is clearly well within his risk tolerance.

2) Forget about fancy math. Look back at the equity curve from this post:



Are the past 10 weeks that out of character?

3) We also know that the system relies on occasional big winners. It's possible that this is a major problem with the system, but Kevin knew this before he turned it on. He was comfortable with that weakness then - he should be now.

4) None of us know what is going to happen next in the markets, or with our systems. Kevin could have turned his system on just before the system disintegrates. But his process is clear, his quit point is well defined, and he's following his plan.

Based on his posts so far on this forum I'm pretty confident that he will, as he should, soldier on. It's to his credit that he can do so publicly.

I probably couldn't.

-RK

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  #290 (permalink)
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deaddog View Post
At what point do you give up?
Isnt this a bit like staying with a bad trade? You can see it's not doing what you thought it would but some thing keeps you in the trade.

@rk142 describes the situation well (with my quitting point, etc.), in the post just above this one.

Is this really a "bad trade" at this point? I don't see the performance as good, by any stretch of the imagination, but I don't see it as being bad, either. It is just kind of "blah." But my perception may be different from other people.

Looking at the overall walkforward and live equity curve ( ), I see probably 7 or so similar periods of performance in the past (flat to slight down for an extended period.


I think the real key is that I have a well defined quitting/stopping point in place, and it hasn't hit that yet. If and when it does, I'll quit as planned.

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