Frosty's trading bot goes live part 2

From a thread I read it appears ER2 will be moving over to ICE in the next few months. This has me wondering if perhaps I should switch my strategy over to trading ES instead of ER2, since its hard to predict how ER2 will trade after the move.

Anyone have any thoughts on this?
 
OUCH -$539.20..... another bad day. Not sure what is going on, but this feels all too familiar. Just like last time. Not sure what the deal is but having some bad days....

Could the ER2 market be undergoing a fundamental change causing it to not trade the way the bot is used to? Or just plain bad luck. Have had internet issues 2 out of the 7 days I have ran it. So that doesn't help things.

Today -$539.20
Week to Date: -$388.4
Since going live: -$1711.2
Total days: 7
Avg per day: -$244
 
Quote from frostengine:

OUCH -$539.20..... another bad day. Not sure what is going on, but this feels all too familiar. Just like last time. Not sure what the deal is but having some bad days....
More...

If you haven't already, please be sure to backtest/papertrade your system on the data for the past week. Assuming that the paper trading shows the same performance as actual (and your backtesting methods were valid), then you would appear to just be having a run of bad luck. However, if paper trading showing better performance, then you should investigate why, and adjust your assumed backtesting slippage values, etc, to ensure that your adjusted backtesting performance still warrants activation of the system.

Best of luck.
 
it's hard for me to subscribe to the premise that "market conditions have changed" , hence .. the strat becomes ineffective. of course, ima n00b.. :) but after all, it's just price.. it goes up, it goes down. i have thought that maybe the ATS i've built might have an inherent long bias built in, due to the limited data i have.

bb
 
Frostengine,

You might want to look at volatility. I am seeing an increase in volatility lately, evident by the vix and the increased in daily ATR. Now a 2 handle move in the SnP could happen in 30 seconds which was a 1% outlyer a few months before. Now it seems that we are getting a 20 handles range everyday and a 2 handle move in a blink of an eye. If you still use the stop like a few months ago, i think you could get stopped out easily.

Also, the market has also become more whacky than before. Up and down up and down, take out the high then take out the low only to take out the high again, which didnt happen a few months ago. Few months ago, the advance was very orderly, not the case now.

I guess u might want to look at your system with vix as one of your variables.
 
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