Search results

osorico, That is basically what I am trying to do. Previously when I developed strategies I always focused on both long and short at the same time, entry and exit at the same time.... I think trying to fit it all together at once was the wrong way to go.. This time, I am focusing only on...

Well I have about right at 1 year of data captured from IB in a format where I can put it into any type of bar I want. However, that 1 year of data I now have serious doubts if it is enough. Also the majority of that data was captured on the sim account, which I now know to be very error prone...

Well concerning volume bars, i'm under the impression that the volume data you get is not accurate.. I could be wrong, but i'm pretty sure I read a thread about this a while back here on ET. EDIT Also, I do not know of any good places to purchase the data needed to build these volume or...

In order to know how well a strategy performs compared to random, I made it randomly decide to enter and then hold for x bars before selling. This is on about 2 years of 1 minute ES data. Currently testing LONG only trades. All trades are with slippage and commissions. Hold Period 5 bars...

I like the idea of using a time stop to judge entry quality. So, I will be trying to find a strategy that when using a 10 bar time exit, it is profitiable over 1000 trades taking into account slippage and commision

Many of you may have followed my previous 2 real money auto trading journals. For those of you who haven't, the end result both times was my bot experiencing a huge draw down over the course of a month of two which forced me to shut it down. Before going live again, I want to work on...

Since the bot is currently offline and new strategies being tested/developed. I figure we can possibly open this up to some of those issues... Specifically exits... As stated before through this thread arbitrary stops and profit targets I have always found to severly hamper a strategy. So...

yup, it was a monster on the sim account ;) Perhaps this is IB's way of getting people to feel comfortable with their system and switching over to the live account ;)

BigBubba, I believe you are right.. there seems to be some differences in the data between the two that may actually be playing a VERY big role in my live failures.... the data differences may not be huge, but when trading on a small time frame such as the case with my bot.. its possible for...

Nasdaq, Sim mode shows a loss of -$10 today

BTW, just wanted to throw in a word about walk forward testing. A lot of posters seem to believe I just threw this thing live. That is far from the case, it has been running live on ib's sim account for a LONG time... and through all of this walk forward testing it was VERY profitable... the...

I have a few changes. #1 I am going to optimize for lower draw down instead of max PL. Also, the next strategy to go through will NOT be a direct decendent of my previous strategies. I am going for a fresh strategy this time.

btw just noticed today and yesterday were glitches, didn't check the backtest either day until now.. and the results DID Not match.... backtest shows complety different entry/exit areas.... so somethign is amiss in the software.... this is the only times i've seen this since being live so doesnt...

Well today has reached my threshold, the point where I had mentally decided if the loss reached I would pull the plug. So... looks like its time to pull out... Good news is I have entered the forward testing period with several new strategies..... so one of them will be going live in a few...

Today -$119.60 Week to Date: -$983.60 Since going live: -$3868.6 Total days: 19 Avg per day: -$203.61 Up Days: 9 Down Days: 10

I would like to point out the issue is NOT slippage. As I have stated before everyday I verify my actual results with what the backtesting engine said it SHOULD be for that day. Those results are well within reason. Therefore the slippage is not causing the issue. In fact more times than not I...

BigBubba, I believe you may be correct about the data in sim account and live accounts are different. Not sure how different, but I been running the bot simultaneously on both sim and real money accounts, and the results sometimes are slightly different... and in 2 days VERY different... so I...

Yes typo, sorry about that

Nothing going as plan.. this is after being up 400 today.... Discouraging to say the least Today -$864 Week to Date: +$864 Since going live: -$3749 Total days: 18 Avg per day: -$208.27 Up Days: 9 Down Days: 9

My second positive week in a row. Still way down, but hey at least its positive weeks. I don't mind a slow grind back up as long as its heading upward.... Today +$215.20 Week to Date: +$28.2 Since going live: -$2885 Total days: 17 Avg per day: -$169.70 Up Days: 9 Down Days: 8