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Summary: First, let's look at the big picture. I like to do this every month or so, because at a glance I can tell if things are going as planned or not. From look at this first chart, a couple of things are clear:
1. Over the whole course of the system history (walkforward, incubation, live), the system performance hasn't changed much. I could draw a line from the start of walkforward to the start on incubation, and then another line from the start of incubation until the present time, and the slopes of those two lines would be about the same - with the slope from start of incubation to present being a little flatter. This gives me some reassurance that the system is behaving, subject to point 2 below.
2. It is easy to see that the live trading (green line) has been lagging long term performance. The performance these past 3 months has been down, and while it has not crashed and burned, it certainly has been a disappointment.
So, after 12 weeks of trading this system live, I am down about 10% from the start for the strategy calculated performance, and about 4.5% for the actual performance.
Am I surprised at this result? Yes. I had expected better, certainly close to breakeven by now - at the very worst.
Am I disappointed in the results so far? Very much so. The performance these past 12 weeks is way behind the long term average, so it is very disappointing.
Are results in line with expectations? Just barely. Results are around the lower 10% line, which means the system in real time is close to being a different system that walkforward and iuncubation. Not quite different yet, but getting close.
Are fills and trades live comparable to Tradestation strategy report? No, but it is a good thing! I am doing about $550 better live than the strategy predicts because of 1) less slippage than I had planned for and 2) a few trades where I was filled in real life when price just touched, but did not exceed, my limit price.
Do I see any reason to stop trading this system? No.
Do I see any reason to change my position sizing plan, i.e. reduce or increase my risk? No.
So, after 12 weeks, I will keep on trading per the plan, but this system is just kind of floundering. A couple of big winners, which is what the system is based on, are needed.
Have you considered any type of volatility comparison to go along with your strategies performance? And then to compare recent volatility (live) to historical periods to see if there is a pattern?
In other words, have these last 12 weeks been unusual or do they fit with prior data (like another segment with similar volatility and similar results)?
When I develop a system, I include a certain about for slippage. In this case, I am using 1.5 ticks ($17.50). Over a long period of time, this is a pretty decent estimate.
So, far there have been 2 trades that have benefited from the "limit price fill only if exceeded rule." In one case, on an entry my limit price was just hit, and I was filled. The strategy, though, expects the price to be exceeded before giving me a fill at my limit price. In the other case, I was filled for an exit at a limit touch.
When I add contracts, I expect this benefit of "touch" fills to only occur on 1 or 2 of the contracts I trade.
Day 12 - Not sure what happened here. Possibly a computer issue.
Day 21 - computer issue (discussed earlier in the thread)
Day 27 - limit order entry fill (discussed earlier in thread)
No I have not, but it is a good idea. I will try to do this in the next week. I have to think about how to analyze and present it. I do expect it to show high volatilty = higher probability of trading that day >>> more profits.
