Search results

Yes, this is correct. @userque your previous post is spot on and I certainly believe if the data is not being trained upon then you do not require OOS and IS periods. However, if we were to change the example slightly and now assume we train filters A, B and C on the data - is it okay to check...

I understand that but my question is still what is the correct manner to use OOS. E.g. I have a basic system designed all based around a non optimised basic entry principle. So we have 1000s of trades as there are very few rules to this system. Now let's go add and test entry filters: A, B and...

Care to elaborate?

I use random out sample periods e.g testing from 1997 to 2018, this gives 30% random quarters as out of sample. Also, is it not wise to have as much test sample data as possible? This gives the systems more data to train and should improve predictive power. Do you ever have a market...

That is just silly and ridiculous advice.

When is it okay to use out of sample data again? If I have a basic non-optimised system with just entries tested and it works on the in sample and then I test on out of sample which it passes. If I add a secondary entry rule or filter which improves performance further, can I be justified in...

Well you can remain shocked all you want, i can bet you that my performance for 2016 was a lot better than yours, please show me any live redacted statement of your against mine and we see how shocked you will be. Always have that one ET know it all who pretends he is greater than everyone and...

Thanks. I am certainly looking at many different options right now and will contact Tradestation accordingly. The kill or fill sounds good as you are certainly right that our orders are a sitting duck.

This is something we all understand. However, the system generates a trade during a low volume period but it has a positive expectancy then onbviously i stil Like i mentioned before this is a serious thread - why try to ruin it with your insinuation that just because i am trading size i should...

I have the same strategies running with Tradestation and Multicharts. The Multicharts is connected to an Interactive Brokers accounts, OEC account and Dorman trading account. All the brokers used trade the same systems hosted locally in Chicago and this also helps me determine which broker...

No this is not the situation. The strategies are all fairly normal and definitely no shady stuff like spoofing. Clients are all non-professionals. Therefore, i presume in my situation providing automated trading systems requires no regulation and aided clients with software/technical support...

Don't know the correct sub board to place this thread. Looking for some advice regarding selling or leasing automated trading systems. Currently I have a black box system which I lease with a monthly lease to a few clients. I simply provide the systems code (encrypted) and they use 3rd party...

Well i got the article from a blog so i don't understand how that is an ad???

The odds for second day gaps to fill on the ES can be quite profitable but unfortunately you trade infrequently. Original source where i found this edge: http://www.quantsavvy.com/daytrading-strategy.html

Hi, i found the following articles useful on becoming an algorithmic trader: http://www.quantsavvy.com/learn-algo.html

I have posted my automation journey in a few other threads. I was a discretionary trader for years so i try to take some of those ideas and program them (sometimes this is very difficult to do). All my strats have to make sense and can't just be a random idea. Basically like any other types...

Trade all strats currently on: YM, ES, NQ, TF. Stopped trading the CL strat as it was too big % of portfolio. - if automated strats keep performing i will trade portfolio of stocks - system will probably scan 100-200 stocks and trade same strategies over multiple stocks (waiting for right...

It has been a long time since i updated on any of my systems. I have currently been trading my systems for nearly 8 months now and i thought i would update with some results and commentary. I started with more strats, but i have removed 4 due to either flat performance or due to being to...

I have some automated strategies which when traded live are not matching up with backtest data. Yesterday my auto strategy had a stop order waiting to be filled. My order was a short at : 1156.90 on the Russel. However, price never reached this point and i was filled at 1157.00. This does...

Thanks for advice. However, you are missing the point here. The simple conclusion i was trying to make was that a new strategy with 1 contract position size could have misleading drawdown. Its easy to position size as percentage of capital in Mulitcharts - these are standard features on...