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Regarding C2....that is a no risk platform for Matthew. The people taking the risk are those paying fees to host systems - because you will pay your $100 (or whatever it current is), and then YOU take the risk that it will work - no one else. I would guess that 99% of systems posted there...

I papertraded my CL system for 3 years prior to going live with real money. That's how long it took to work out all the glitches and remove every trace of curve fitting. Just looking at a chart is curve fitting! In order to have a profitable system you need to work harder and be smarter than...

For me, whenever I see a chart like that, it looks like curve fitting. And not sure how you can tell if a market is neutral or not until after the fact. Turning an automated system on/off depending on market conditions can result in missing the most profitable trades.

I would recommend testing over a multi-year period, rather than 2 months. You will also need a strategy for handing roll-overs, since this will happen once a month.

Hi. Thanks for posting the charts - interesting results. Is this paper trading or real money (I only ask because I've got some great looking paper trading profit charts - but some of the the "blips" would have wiped me out, so when I went live I went with a much more conservative approach -...

Shouldn't C be doubled (since you are being stopped out of 2 contracts)?

A million dollars is not a lot of money and certainly doesn't classify you as "rich". There are far easier (and low risk) ways than auto-trading to make a million dollars (read Rich Dad Poor Dad). And I think you are seriously, /seriously/ under-estimating the resources and capability of the...

I think consistently make 55% in 45'ish day is an unrealistic expectation. What makes you think you can achieve that sort of result when the big boys can't do it. Auto-trading is really all about risk-reward. The higher the return, the bigger the draw-downs you need to expect. If you are...

Thanks Nassau - that's handy to know. FWIW I upgraded to 893.5 and it's been running ok for 12 hours, so it "appears" to be more stable, but only time will tell.

It is occurring for me on TWS 891.5. Which version did they same to go back to?

I can also confirm that adding the 300ms delay between orders fixes the problem. Thanks to everyone for their help.

I did a bit of analysis on this a month or so back. You can take the prev day high, low, close as S/R. Also, today's open seemed valid. Use a zigzag indicator to get the other peaks. Unfortunately the in backtesting, using SR was not as profitable as other systems - too many times the price...

Isn't this exposing you to additional risk? What if your program crashes, power goes out, internet drops, TWS doesn't report the fill, etc between placing the original order and placing the OCA orders? By placing the entry order and the profit limit and the stop loss order all together you get...

Anything which stops you entering trades is actually reducing your sample-size in back-testing, which will lead to curve-fitting. So to test if filters are working, use walk-forward testing.

I have experienced the same problem. Some details.... 1) I used OCA orders (with a profit and stop order) without issue on the ES. Then I started trading the TF and hit the problem you are having every 3rd or 4th (TF) order. 2) The Profit limit order was being transmitted, but not the...

I found the best solution for me was to store the results of each strategy each day in a database - then load the database results into an Excel pivot table - where you can more easily see what works and what doesn't.

To determine if you have been fully filled, simply compare the execution.m_cumQty (if you are using Java) from the execution message of execDetails with the amount that you originally ordered. You should keep getting getting execDetails message each time you get an additional fill until you are...

IMO, for someone with coding experience, writing the ordering and price database in VB, C++, Java, etc yourself is the easy part of the project (so using AMIBroker etc is only saving you from the easy coding). By far the most difficult (and time consuming) part is developing the trading...

I've had similar issues in the past. I found it to be a basic coding error. Also, make sure you are not using indicators which get "repainted" like Zigzag - they will backtest differently to how they trade live. Also, IMO backtesting results are pretty much worthless - the markets are in a...

Backtesting is of limited value anyway. Because something has been profitable in the past, pretty much ensures it will make a loss in the future. Instead, you need to be forward testing - do a search here for details.