Adventures in Automation

fan27 said:
Yes...I can easily backtest what I am trading live and compare stats.
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I'm thinking more like distributions you would keep an eye on. For example you'd compare backtest statistics (before you began trading) with live trading statistics:

- Time in trade
- Trade PnL
- Consecutive wins/losses

etc

So when you trade live, you can see if live trading begins to deviate from the backtests even if your actual returns don't. I'm just a nub though.
 
Long 1 NQ Contract at 7751.00 for 15 minute bar strategy

Stop order at 7651.25
Limit order at 8048.25
Exit after 130 bars
 
fan27 said:
Long 1 NQ Contract at 7742.50 for 15 minute bar strategy

Stop order at 7657.75
Limit order at 7809.25
Exit after 130 bars
More...
Exit 1 NQ contract at 7809.25
+$1330.9

This trade actually exposed a flaw in how I am calculating my limit orders. The limit order distance from price should have been much larger than the stop order distance from price. The issue is the ATR used to calculate the limit order price was using the ATR value one bar back vs the stop order using the most recent ATR. Never noticed until now as the ATR difference between those two values at the time of the trade was very large because of the massive gap down which was not included in the limit order calculation. Easy fix.
 
Long 1 NQ Contract at 7814.75 for 15 minute bar strategy

Stop order at 7754.50
Limit order at 7937.25
Exit after 130 bars
 
Long 1 NQ Contract at 7722.50 for 15 minute bar strategy

Stop order at 7668.25
Limit order at 7831.25
Exit after 130 bars
 
fan27 said:
Long 1 NQ Contract at 7751.00 for 15 minute bar strategy

Stop order at 7651.25
Limit order at 8048.25
Exit after 130 bars
More...
Exit 1 NQ Contract at 7651.25
-$1999.1

Currently flat and down about $8200 since late April. Still up over 30% YTD. Let's see what happens next.
 
Long 1 YM Contract at 25842 for 30 minute bar strategy

Stop order at 25451
Limit order at 26999
Exit after 8 bars
 
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