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Tundi's ATS
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Created: by Tundi Attachments:20

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Tundi's ATS

  #31 (permalink)
Senior Member
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bluemele View Post
I am surprised wheat doesn't have slippage? That is strange... I would double check that.

It does slip one tick, which is okay.

No trading today. Stop back tomorrow.

 
  #32 (permalink)
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1-18-11

I inadvertently ran ZS instead of ZW today. A good performance for sure, but I'm still dropping it for ZW.

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  #33 (permalink)
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1-19-11


I was waiting for a day like this.

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  #34 (permalink)
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1-20-11

TF and 6E have been cut from the test.

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  #35 (permalink)
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Tundi View Post
TF and 6E have been cut from the test.

It seems like on the big mover days the strategy suffers?

 
  #36 (permalink)
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1-24-11

Although this is a small sample, I must say the results thus far have been disappointing. In particular, the amount of trades taken in chop is too high and the missed Limit orders have also negatively impacted the results. I want to make this test as honest as possible given the constraints of NT's simulator (which may be the best available). It's not clear to me at all if trades filled or unfilled on the simulator would come close to cash trading, and I'm not at the point where I want to risk capital to find out.

Over the weekend, in an effort to reduce chop trades, I increased the period on the prop indicator and recalibrated the DMA accordingly. As a result, the test will continue for at least two weeks into February.

Today's results reflect the new parameters.

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Last edited by Tundi; January 24th, 2011 at 10:06 PM.
 
  #37 (permalink)
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Tundi View Post
Although this is a small sample, I must say the results thus far have been disappointing. In particular, the amount of trades taken in chop is too high and the missed Limit orders have also negatively impacted the results. I want to make this test as honest as possible given the constraints of NT's simulator (which may be the best available). It's not clear to me at all if trades filled or unfilled on the simulator would come close to cash trading, and I'm not at the point where I want to risk capital to find out.

Over the weekend, in an effort to reduce chop trades, I increased the period on the prop indicator and recalibrated the DMA accordingly. As a result, the test will continue for at least two weeks into February.

Today's results reflect the new parameters.

EMD is almost identical to TF w/o the volume right?

 
  #38 (permalink)
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bluemele View Post
EMD is almost identical to TF w/o the volume right?

I don't know.

 
  #39 (permalink)
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Tundi View Post
I must say the results thus far have been disappointing

What were your expectations when you began? Seems like it was a good winning day. So what do you consider successful with this ATS?

 
  #40 (permalink)
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gulabv View Post
What were your expectations when you began? Seems like it was a good winning day. So what do you consider successful with this ATS?

Prior to today, my expectations exceeded the results. Granted, three weeks of testing isn't a large sample. Even considering the flaws in NT's backtester, I was overly optimistic. I'm hopeful the new tweaks will continue to produce results like today's which are decent (especially in FDAX which are incorrectly quoted by NT in USD rather than Euros and thus understated.)

My baseline for success is $2500/month/one contract/instrument after commission. Scaling to 5-10 contracts per instrument is the goal.


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