Search results

Thanks to all for your suggestions & comments. - My backtesting engine requires price to go through LMT orders to provide a fill. It also assumes 1-tick systematic slippage on STP orders. - The live performance on last 5 months vs backtested performance on the same 5 months is pretty much...

Winston: yes, live money - I do monitor the difference between live result & "official" result (essentially stop slippage, although occasionally a lucky fill), that difference is insignificant. gariki: good suggestion ... I will definitely do that ... thanks

I have developed an ATS using 18months of data, then did some blind testing of it on the prior 18month which showed similar performance, and I have been using it live for about 5months. It is a relatively low frequency intraday trading system, the total 36month backtesting has about 430 trades...

To detect strong trends, I would use 2 distinct EMAs (say 20 & 50 for example), and check both are going up (or down), the shorter one above the longer one for uptrend (reverse for downtrend) AND the 2 are somewhat parallel (distance between the 2 at last bar ~ same as 5, 10, 15 & 20 bars ago)...