Frosty's trading bot goes live part 2

BigBubba,

I do not have a "specific" amount of time that the system has to forward test on. The following are the steps I take:

#1 I only "backtest" on 2/3's of my data. This means if I am going to make a modification to the strategy those modifications are only tested on this data.

#2 If the results from step 1 are to my liking, I then test on the last 1/3 of my previously untested data. You have to be careful not to move to step 2 often, because if you do then in effect you are still "testing" on this data which makes it less valuable. So as a general rule, I will only test on this data if I am very confident that I want to eventually move live with this strategy.

#3 Assuming the results are still looking good, I will move it live to a sim account. Here I will leave it for at least a few weeks. There are a few things I look for in this stage. Everyday it runs live on the sim account, the data is stored for future historical testing. So, the number one thing I look for is after the day ends, if I backtest on the data it stored the results must MATCH or exceed what the backtesting engine said it should be. The reason this is important is because occasionally something tweaks the backtesting engine for a certain strategy that produces abnormal results. So if I am going to go live with a strategy I need to verify that this is not the case. A few weeks of testing can easily verify this. The only other thing I look for in this stage is that the strategy results remain in the ballpark of what they should be. Such as equity curve not taking any sudden dives....

If all of these things line up, then that strategy is promoted to a potential live account strategy. Then I just chose the one I like the best.
 
Shut down for the day. Shortly after entering a trade my internet connection died. Took about half an hour before my timeout ocured alerting me to the outage. I then closed the position at a loss for -$374.... not the kind of day I wanted, but these internet outages do occur. So following my rules the system has been turned off for the day. Will resume tomorrow.

Today -$374.80
Week to Date: -$244.4
Since going live: -$244.4
 
I think hosting a trading program on your own desktop computer with retail internet connection is really not an option when you're trading with real money. The connections are just too unreliable.

One, or even two remote servers (one backing up the other) could have been had for a monthly price equalling your losses today.

Other than that, I'm following your journal with great interest!
 
Quote from Davdse:

I think hosting a trading program on your own desktop computer with retail internet connection is really not an option when you're trading with real money. The connections are just too unreliable.
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I disagree. It all depends on where you live and how reliable your service is. Retail cable and retail DSL (for backup) is all I use and although I've had to switch on a moment's notice, I've never had crippling problems.
 
frostengine,

You're wasting a lot of time and money to learn things the hard way (again). Learn how to trade successfully first by your own hand. Teaching the computer how to be successful at trading comes much later in the process.

Just about every ATS'er out there thinks that the frailties of human emotion are the primary source of their inability to consistently extract profits from the markets. They're as wrong as wrong can be.

You need to find a way to get some real-time, up-front and personal interaction with the ER2 during regular trading hours. Get a sim account somewhere and take trades while your're watching the price action and whatever indicators you wish to use (hint: do this without oscillators or anything which attempts to normalize price. e.g., this means no macd, cci, rsi, stochastic, etc. etc.). Spend time blowing out sim accounts until you learn what it's really all about (you'll find out, but only if you watch the markets live).
 
Quote from sprstpd:

I disagree. It all depends on where you live and how reliable your service is. Retail cable and retail DSL (for backup) is all I use and although I've had to switch on a moment's notice, I've never had crippling problems.
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Backing up with DSL sounds like a good idea, if you can quickly and smoothly switch.

I think your internet access provider combined with the equipment you have at home can never equal reliability of a remote server in a premium datacenter though. Of course, it all depends on what you expect from your ATS. Personally, I want it to be able to run unsupervised, and my home internet connection is very unreliable.
 
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