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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)
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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)

  #181 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, CL, ZB, ZN, ZC, ZS, GC
 
rleplae's Avatar
 
Posts: 1,656 since Sep 2013
Thanks: 1,219 given, 2,499 received
Forum Reputation: Legendary

best order platform ?

Hi Kevin

I have a question :

What is in your opinion the best order platform, with that i mean, i have a stand-alone bot, it takes in data-feed, does all the calculations and generates and manages the trades.

I build this stand-alone, to have structured code, compared to many different indicators (this has a significant development price). But i control it from end-2-end, which is an advantage.

Today i inject orders into NinjaTrader, but the ATI api is kind of limited in my opinion, if you touch the orders in chart trader, through the API you are blind. I can work around going to the sdf database, but that is not officially supported. The hole setup is also not 'rock solid' as NinjaTrader has it's own character and crashes from time to time especially if the markets are busy and you 'poke' to frequent through the ATI. The nice thing is that i can connect to a big series of brokers without extra effort.

Now my question, is there a better solution for broker abstraction, that allows better control over the order life cycle ?

Thanks,
Ron

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  #182 (permalink)
Elite Member
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,212 since Jul 2012
Thanks: 1,010 given, 4,016 received


rleplae View Post
Hi Kevin

I have a question :

What is in your opinion the best order platform, with that i mean, i have a stand-alone bot, it takes in data-feed, does all the calculations and generates and manages the trades.

I build this stand-alone, to have structured code, compared to many different indicators (this has a significant development price). But i control it from end-2-end, which is an advantage.

Today i inject orders into NinjaTrader, but the ATI api is kind of limited in my opinion, if you touch the orders in chart trader, through the API you are blind. I can work around going to the sdf database, but that is not officially supported. The hole setup is also not 'rock solid' as NinjaTrader has it's own character and crashes from time to time especially if the markets are busy and you 'poke' to frequent through the ATI. The nice thing is that i can connect to a big series of brokers without extra effort.

Now my question, is there a better solution for broker abstraction, that allows better control over the order life cycle ?

Thanks,
Ron

Hi Ron -

The level of depth you seek is out of my league - way beyond my knowledge base. I have been running Tradestation automated for years, and never really searched for an alternative (I have not seen a pressing need to). I have a pretty solid backup plan in place if Tradestation brokerage and/or platform suddenly goes away, but it is nowhere near what you have done.

Sorry, I wish I had a better answer for you.

Kevin

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #183 (permalink)
Market Wizard
Houston TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 1,633 since Dec 2013
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@rleplae Have you looked at Trading Technologies XTAPI? I have no personal experience but I gather it's top notch. Not as cheap as NT or Tradestation though.

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  #184 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, CL, ZB, ZN, ZC, ZS, GC
 
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SMCJB View Post
@rleplae Have you looked at Trading Technologies XTAPI? I have no personal experience but I gather it's top notch. Not as cheap as NT or Tradestation though.

vaguely, any clue on the pricing ?

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  #185 (permalink)
Elite Member
Calgary
 
Futures Experience: None
Platform: TradeStation, MT4
Favorite Futures: ES, Stocks
 
Posts: 73 since Aug 2015
Thanks: 4 given, 10 received

Walk forward optimization

Futures Edge on FIO

Which products do you trade?

 
Kevin,

What is your take on Walk Forward Optimization? Are you for rolling forward testing or anchored WFO?

BTW, I have come across several PhDs who believes that WFO is curve fitting at its best.

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  #186 (permalink)
Elite Member
Cleveland Ohio/United States
 
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fiverr View Post
Kevin,

What is your take on Walk Forward Optimization? Are you for rolling forward testing or anchored WFO?

BTW, I have come across several PhDs who believes that WFO is curve fitting at its best.

I use walkforward optimization on almost all my strategies. I usually use rolling forward walkforward. For certain fitness functions, anchored WF is more appropriate.

Are the PhDs traders?

Walkforward can be curve fit, if you do it incorrectly.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #187 (permalink)
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Calgary
 
Futures Experience: None
Platform: TradeStation, MT4
Favorite Futures: ES, Stocks
 
Posts: 73 since Aug 2015
Thanks: 4 given, 10 received

Kevin,

I understand that you use Stratopt for WFO and WFP. Have you used Diamond Backtesting with Walk Forward Manager (BTWFMgr) by profsoftware? It will be interesting if you can create another video comparing Stratopt and BTWFMgr.

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  #188 (permalink)
Elite Member
Calgary
 
Futures Experience: None
Platform: TradeStation, MT4
Favorite Futures: ES, Stocks
 
Posts: 73 since Aug 2015
Thanks: 4 given, 10 received


kevinkdog View Post
For certain fitness functions, anchored WF is more appropriate. Walkforward can be curve fit, if you do it incorrectly.

Kevin,

Thanks for your prompt reply. Can you elaborate more on anchored WF and also how Walkforward can be curve fitted?

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  #189 (permalink)
Elite Member
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,212 since Jul 2012
Thanks: 1,010 given, 4,016 received


fiverr View Post
Kevin,

I understand that you use Stratopt for WFO and WFP. Have you used Diamond Backtesting with Walk Forward Manager (BTWFMgr) by profsoftware? It will be interesting if you can create another video comparing Stratopt and BTWFMgr.

Never used Diamond. No plans to use it at this point.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #190 (permalink)
Elite Member
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,212 since Jul 2012
Thanks: 1,010 given, 4,016 received



fiverr View Post
Kevin,

Thanks for your prompt reply. Can you elaborate more on anchored WF and also how Walkforward can be curve fitted?

Anchored vs. Unanchored

Unanchored wf might not be correct, if you use a fitness function like drawdown - depending how your walkforward software calculates it. It is hard to explain, since it depends on the particular software. Example why this MIGHT matter:

Date1: Jan 1, 2000 Net Profit = XXXNP, Max drawdown= XXXDD
Date2: Jan 1, 2010 Net Profit = YYYNP, Max drawdown= YYYDD

Net Profit, from Date1 to Date2 = YYYNP - XXXNP
Max Drawdown though is not YYYDD-XXXDD


Curve Fitting Walkforward

2 examples:

A. You run walkforward, get results and then think "I can improve that with a filter" and you do this say 4 or 5 times. Everything improves and you know you've made out of sample walkforward results better. Problem is your walkforward is not really out of sample anymore - it is some conglomeration of out of sample and curve fitted results.

B. You pick 10 combinations of IN/OUT to do your walkforward. You pick the best one to use going forward.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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