After Hours algo trading

[sysdevel99]

Why not learn where it's hardest, then liquid is easy. I don't mean that in as a way of torturing yourself, but rather that there are fewer trades, less motion, etc, so if you can get your algorithm to trade that then it's a great exercise.

I like your thinking - however keep in mind that the learning curve may be much steeper and quote availability for backtesting is very limited.
Let's say you find an algo that on average loses 20 cents per trade. On top of that you have 2 cents for the spread plus commissions. You reverse the algo and all of a sudden you've a winning strategy that makes 18 cents minus commissions.

Now you take that approach into after hours land where the spread is 50 cents or higher, you'll end up with two losing strategies.

But back to your point - it may hone your skills enough so you can actually find more profitable setups. Start out there if you want and if there's little success you can always move it to regular trading hours - that's the beauty of algo trading - Good luck and let us know how it goes

 

[Joebone]

thanks guys!!! Your help is very much appreciated! i have no illusions. I have been trading for several years now and paid my tuition.. Obviously i hope my algo does well in after hours but I'm not jumping in with both feet off the bat..

My quesiton was more about "Is the only problems trading in after hours the ones I can see."

IE is liquidity THE problem? are there some hidden things?

how do you guys measure slippage on a back test?
Im using median(bid/ask spread) for the last 100 bars?

 

[sysdevel99]

how do you guys measure slippage on a back test?
Im using median(bid/ask spread) for the last 100 bars?

What I trade is usually liquid. My backtests assume I buy the ask and sell the bid (most stocks I trade have a penny wide spread). Then I overlay the IB commission structure on top.
The way my algos execute is when they submit the order they assume they get filled, if they don't they cancel the order between 30 and 60 seconds and submit it again at the adjusted price (there is some logic that if the stock moved a lot between when I submitted the initial order and the current price it will not take the trade).