I don't understand

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BuySellSideTrader2020

I have made a strategy that is extremely profitable on the simulated side yielding upwards of 10%-25% after commissions with a sharpe ratio between 7.00-10.00... when I run backtests, its comes out profitable, on simulation its profitable, but on the live side its barely profitable. I have accounted for slippage but I am unsure if my ping has anything to do with it, I have looked into low latency servers but want to make sure this is profitable before I spend the monthly fee.
I use the same number of contracts per entry as I do on the live side and still don't understand why one is profitable and the other is barely.
What do you guys suggest?
 
Robert Morse said:
Is it an Arb of any kind?
Does it require low latency?
What asset class?
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Its very similar to HFT, it will place an average of 1 trade per minute, sometimes more, sometimes less. The asset class is ES 12-18, and yes it would require low latency.
 
BuySellSideTrader2020 said:
when I run backtests, its comes out profitable, on simulation its profitable, but on the live side its barely profitable.
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The value to backtesting is (1) to clearly reveal what does not work, and (2) to indicate what might work.

That which "appears to work" always has challenges in real time, real money.

Suggest you trade a minimal size real-money account for a while. You will learn things you did not expect.
 
Scataphagos said:
The only value to backtesting is to clearly reveal what does not work.

That which "appears to work" always has challenges in real time, real money.

Suggest you trade a minimal size real-money account for a while. You will learn things you did not expect.
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it runs great in real time on the simulation side, but not so much on the live side. Execution/order fill possibly?
 
BuySellSideTrader2020 said:
it runs great in real time on the simulation side, but not so much on the live side. Execution/order fill possibly?
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"Fill" shouldn't be the issue. If your results are significantly impacted by your fills, you're "fishin' in a dry hole" anyway.

At a minimum, you should be trying to "risk a few points with the reasonable expectation/hope of making a dozen or more".
 
BuySellSideTrader2020 said:
it runs great in real time on the simulation side, but not so much on the live side. Execution/order fill possibly?
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In simulation, do you buy on the bid/sell on the offer? What is the logic for an execution? Have you tried running the simulation side by side to live trading so you can review the differences in fills?
 
Robert Morse said:
In simulation, do you buy on the bid/sell on the offer? What is the logic for an execution? Have you tried running the simulation side by side to live trading so you can review the differences in fills?
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The strategy is primarily based on Bid/Ask but I'm going to experiment with MKT orders
 
Robert Morse said:
I was not suggesting that in live trading, but in simulation you can use limit orders to take offers and hit bids to simulate worst case. My best guess is that in sim, the logic is very liberal with fills.
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I am going to experiment with different order types on the sim side
 
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