Arbitrage system forward test

[SimpleMeLike]

My sole opinion, when it come to Algo, I almost all the time use tick. OHLC give time frame delayed in accordance to time bar, ie. volume and impulse was spent. Furthermore, OHLC is more into indicator based which time frame of the model is varying all the time in real market (unless you optimize it with certain TF), so no accurate enough in my opinion.

Thanks for your comments.

I agree, with you.

Ninja does have options for a set of secondary bar series to be used as the price data to fill your orders, this allows to bring in more granular data. For instance, strategy running on a 5 min bars, but order fills occurring from a 1 min bars.

I have never bought tick data before.

1. How much does historical tick data cost? 10 years worth of data.

Thanks,

 

[Znail]

Thanks for your comments.

I agree, with you.

Ninja does have options for a set of secondary bar series to be used as the price data to fill your orders, this allows to bring in more granular data. For instance, strategy running on a 5 min bars, but order fills occurring from a 1 min bars.

I have never bought tick data before.

1. How much does historical tick data cost? 10 years worth of data.

Thanks,

try Tickstory and trueFX

 

[SimpleMeLike]

try Tickstory and trueFX

Thank you Znail,

Thanks for the recommendation

It makes good sense to back test with as accurate data as possible cause once I click start on the strategy, I want the odds of winning to match the back test results. I am serious about finding a trading systems that proves reliable in back test.

Thanks,

 

[SimpleMeLike]

Dear all,
After many researches, everyone insisted that Arbitrage is impossible. So I would like to open a topic to run Arbitrage system forward test and see if the result will keep on the growth (and see how long it will keep rolling) ?
So a permission to share my live account results;

day: 6
starting deposit: 995$


P.S. this is not an advertise thread, I will not give out the name of system or broker or account information. I only want to prove if Arbitrage is do-able these days.

Hello Znail,

Can you please explain the benefit and why a forward testing of strategy is needed?

How long do you plan to forward test and what results are you seeking as the outcome of forward testing?

 

[Znail]

Hello Znail,

Can you please explain the benefit and why a forward testing of strategy is needed?

How long do you plan to forward test and what results are you seeking as the outcome of forward testing?

Hi Simplelikeme,
I think we are getting off and off the original thread topic, please create a thread related to the topic of your interest and tag me in or PM, I will be happy to reply all I can, I do not want to flood my thread with off-topic.

However, if your specifically ask why do I forward test my ARB strategy here, here is my answer;
1. Nowday, all over many forum talked about ARB as impossible, and they give up looking for one that works (as you can see in many replies in my thread).
2. To give new hope and vision to ARB using new way to implement it.
3. I plan to forward test until I feel that I can change people's vision how they see ARB nowday.

 

[SimpleMeLike]

Hi Simplelikeme,
I think we are getting off and off the original thread topic, please create a thread related to the topic of your interest and tag me in or PM, I will be happy to reply all I can, I do not want to flood my thread with off-topic.

However, if your specifically ask why do I forward test my ARB strategy here, here is my answer;
1. Nowday, all over many forum talked about ARB as impossible, and they give up looking for one that works (as you can see in many replies in my thread).
2. To give new hope and vision to ARB using new way to implement it.
3. I plan to forward test until I feel that I can change people's vision how they see ARB nowday.

Thank you Znail.

I will keep my eyes on your thread.

When is your next update to the thread?

 

[Znail]

Thank you Znail.

I will keep my eyes on your thread.

When is your next update to the thread?

Hi SML, I will keep it posted when there is significant movement in account (profit up, down, deposit, withdrawl, etc.) to avoid flooding my post with pictures.

 

[bone]

From my own experience, forward or back testing any type of legitimate arbitrage is pointless.

The most important consideration - execution efficiency, simply cannot be gleaned from tic data or time & sales data. You cannot make a reasonable assumption with respect to execution fills using data vendors. When it comes to legit pure arbitrage live trading is your only recourse as to the feasibility of your strategy - the rest of this is just masturbation.

For example, I've seen guys trading ICE WTI versus Nymex WTI have their razor thin trade permanently evaporate in a very short timeframe. These speed games are very tenuous and fleeting, as there are bigger players willing to spend large sums for ECN infrastructure.

Just my 2 cents, YMMV. Good luck with things and I hope it trades well for you in reality while it lasts.

 

[Znail]

From my own experience, forward or back testing any type of legitimate arbitrage is pointless.

The most important consideration - execution efficiency, simply cannot be gleaned from tic data or time & sales data. You cannot make a reasonable assumption with respect to execution fills using data vendors. When it comes to legit pure arbitrage live trading is your only recourse as to the feasibility of your strategy - the rest of this is just masturbation.

For example, I've seen guys trading ICE WTI versus Nymex WTI have their razor thin trade permanently evaporate in a very short timeframe. These speed games are very tenuous and fleeting, as there are bigger players willing to spend large sums for ECN infrastructure.

Just my 2 cents, YMMV. Good luck with things and I hope it trades well for you in reality while it lasts.

Hi Bone, thanks for sharing your experience. Luckily, we did not do 2 latency arb . I will keep it posted good or bad.

 

[Znail]

profit decreased today