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Tundi's ATS
Updated February 16, 2011
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Tundi
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#31 (permalink
Fullerton, CA
Posts: 201 since Dec 2010
Thanks: 33 given,
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bluemele
I am surprised wheat doesn't have
slippage ? That is strange... I would double check that.
Can you help answer these questions
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#32 (permalink
Fullerton, CA
Posts: 201 since Dec 2010
Thanks: 33 given,
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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
Fullerton, CA
Posts: 201 since Dec 2010
Thanks: 33 given,
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I was waiting for a day like this.
The following user says Thank You to Tundi for this post:
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#34 (permalink
Fullerton, CA
Posts: 201 since Dec 2010
Thanks: 33 given,
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TF and 6E have been cut from the test.
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#35 (permalink
Honolulu, Hawaii
Experience: Intermediate
Platform: NinjaTrader
Broker: ATC/TT, AMP/Zen-Fire, AMP/CQG
Trading: TF
Posts: 2,547 since Jun 2010
Thanks: 3,803 given,
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Tundi
TF and 6E have been cut from the test.
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#36 (permalink
Fullerton, CA
Posts: 201 since Dec 2010
Thanks: 33 given,
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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.
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#37 (permalink
Honolulu, Hawaii
Experience: Intermediate
Platform: NinjaTrader
Broker: ATC/TT, AMP/Zen-Fire, AMP/CQG
Trading: TF
Posts: 2,547 since Jun 2010
Thanks: 3,803 given,
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Tundi
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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#38 (permalink
Fullerton, CA
Posts: 201 since Dec 2010
Thanks: 33 given,
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bluemele
EMD is almost identical to TF w/o the volume right?
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#39 (permalink
Dallas, TX
Experience: Beginner
Platform: Ninjatrader
Broker: Zen-Fire
Trading: ZN, 6E
Posts: 286 since May 2010
Thanks: 161 given,
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Tundi
I must say the results thus far have been disappointing
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#40 (permalink
Fullerton, CA
Posts: 201 since Dec 2010
Thanks: 33 given,
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gulabv
What were your expectations when you began? Seems like it was a good winning day. So what do you consider successful with this ATS?
contract /instrument after commission. Scaling to 5-10 contracts per instrument is the goal.
Last Updated on February 16, 2011
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