Always-in automated system

Quote from dom993:

2008 is part of my backtest results, but I don't pay too much attention to it.
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In other words he is asking you how must 2008 is skewing your results. Maybe he thinks like I do that without 2008, your profit factor will be barely close to 1.

However, your work sounds interesting. What is the data timeframe? I think I missed it.
 
Quote from dom993:


"Always-in" challenges:

2) Must be able to stop then restart the strategy and/or the platform with a trade on (there's always a trade on) without losing track of that open trade


Thanks in advance [/B]
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very interesting thread ,thanks for posting
my question is:which platform are you using to accomplish task above?
TIA
 
I am on NinjaTrader, with accounts at IB & Dorman, my primary datafeed is IQfeed.

The main challenge was to reload historical data after a loss of connectivity - there's no supported API for that (!), and the Ninja folks would not help me at all beyond suggesting using SendKeys() to trigger the manual command (Ctrl+Shift+R). But SendKeys() requires an active (remote) desktop session. It took me a week to figure out the undocumented API.
 
Quote from goodgoing:

In other words he is asking you how must 2008 is skewing your results. Maybe he thinks like I do that without 2008, your profit factor will be barely close to 1.

However, your work sounds interesting. What is the data timeframe? I think I missed it.
More...

The primary TF is 100-vol. Backtesting fill-engine on 1-sec. TF.

2009..2012: (for 1 contract)
- P&L : +207,450
- max.DD : -18,390
- P/F 1.30
- # trades: 2238
- Avg/trade: $92
- Win% 50.8% ; avgW/avgL 1.26

The worst year is 2010:
- P&L : +25,030
- max.DD : -12,630
- P/F 1.17
- # trades: 504
- Avg/trade: $49
- Win% 51.0% ; avgW/avgL 1.12
 
Quote from dom993:

I am on NinjaTrader, with accounts at IB & Dorman, my primary datafeed is IQfeed.

The main challenge was to reload historical data after a loss of connectivity - there's no supported API for that (!), and the Ninja folks would not help me at all beyond suggesting using SendKeys() to trigger the manual command (Ctrl+Shift+R). But SendKeys() requires an active (remote) desktop session. It took me a week to figure out the undocumented API.
More...
That is a fatal shortcoming of NT IMHO. And then there actually was an API function they were not aware of ?
Unbelieveable. That crew is looking like the one that supports IB's API.
 
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