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Fair price for ATS


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Fair price for ATS

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  #61 (permalink)
United States of America
 
Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009


MWinfrey View Post
Zoe,

I'm curious. Do you write your own code for your ATSs? If so, then you understand what it takes to write the rules and I would appreciate some help writing more effective rules specifically for the JMA method that I'm using.

Mike Winfrey

Mike, I only develop, not code, systems.

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  #62 (permalink)
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Zoethecus View Post
Mike, I only develop, not code, systems.

Does that mean you have someone else write the code for your ATSs?

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  #63 (permalink)
United States of America
 
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MWinfrey View Post
Does that mean you have someone else write the code for your ATSs?

Yes.

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  #64 (permalink)
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Zoethecus View Post
Yes.

ok then you must understand what it takes to write the rules. this is off-topic but it seems you've finished this thread for the reason it was started so I'm asking if you are willing to help me develop the rules necessary to automate. I'll do the coding. I want to understand how the rules can be constructed to stand the test of time without curvefitting.

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  #65 (permalink)
Taipei Taiwan
 
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@Zoethecus

To answer your original question , there is not enough information to definite answer but here are some thoughts.

The system needs ~60% win rate to break even, and your backtest is about 75%. It uses parameters since your changes resulted in a $1,500 change in profit from the vendors so I do suspect some curve fitting. But a 15% drop in win rate is certainly possible moving from backtesting to walk forward testing to actual trading, which would take this from a profitable system to an unprofitable one.

Does it use limit orders or market orders to enter/exit the market ? How long has someone traded the system with live money in the market? How closely do real trading results compare with the theoretical profits?

I would not pay anything for it. I have multiple reason that I will not go into, except to say caveat emptor.

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October 21, 2010


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