What's the catch?

Originally posted by o_2_b_sean


I don't agree with this at all. Anything with parameters is curve fitting, which isn't particularly bad. You can't expect a curve fit system to run on multiple time frames, markets, etc. ..
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You are entitled to your opinion :) Yes I believe it is POSSIBLE to curve fit a system and then constantly monitor it and reoptimize when necessary.


Re:zooming. If you don't use a short time frame how do you expect to get in on the fast, quick moves. On the NQ I commonly see moves of 10-15 points in just a few minutes. Anything greater than tick and 1min bars are going to miss those moves.
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Just because you develop a system on a longer timeframe DOES NOT mean you have to enter / exit on a closing basis. In fact if your backtest program does not take that into account I would move elsewhere.
 
True, TradeStation does have many limitations. Do you use Wealth Lab, liquidtox? I am trying the demo now. I find it very nice, except it seems to run a bit slow with a lot of data. I am using over 1 year of 1 min NQ data and that is bogging it down some.
 
Originally posted by o_2_b_sean
True, TradeStation does have many limitations. Do you use Wealth Lab, liquidtox? I am trying the demo now. I find it very nice, except it seems to run a bit slow with a lot of data. I am using over 1 year of 1 min NQ data and that is bogging it down some.
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WealthLab looks promising and from what I've heard they're very responsive to customer needs. No I don't use any commercial packages as none of them do exactly what I want.
 
jboydston,

Would you care to share the details of your system with us. If you do not wish to reveal the code, could you at least give us an overview of the basic rules incorporated in the system.

Cheers,

Runningbear
 
As another poster already pointed out, the big question on your system is slippage. Do you have a slippage amount built into your results? If not, then you would never achieve the results TS is giving you. A measly 1 tick of slippage on entry and exit, plus $5 commish, gives you an average trade profit of $2, and cuts your total profit to basically zero.

Your system may use limit orders to enter and/or exit. This eliminates slippage, but brings up the issue of missed trades. TradeStation will happily fill your limit sell order at the top tick of the day. Things dont always happen so nicely on Globex.

You mentioned that you are trying to get TS to replicate your trades. Do the trades as performed by the system match what you would have done? You may find the hardest part of the process is quantifying your setups and exits in a way that TS can understand.
 
Those of you familiar with Tradestation, what is the proper about to include for slippage? $12.50 per tick? Or does this calculation assume the 12.50 I I need only enter 1 for one tick 2 for two ticks etc.
 
TS just slaps the "slippage+commish" amount onto each completed trade, not each side of the trade. If you put $50, it will simply subtract $50 per contract from each trade's profit/loss.

The next question is then, "How much slippage is appropriate?"

It varies greatly by market and method, of course. And it varies by how conservative you want to be. ES slippage of 1 tick going in and another on exit is reasonable, imo. $25 per trade. Sometimes it will be worse. Often you may have 0 slippage. The point is to pick a number that does not give you a false sense of reality.
 
Originally posted by inandlong
One rule that cannot be broken is... you must be in to win
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You follow all your posts with this and now I must contest. If you are "in" and on the long side of the market, while I am flat, then the market tanks.....well you were "in" while I was not.....but I win. So I disagree with your slogan and just wanted to let you know.
 
Originally posted by Steve72


You follow all your posts with this and now I must contest. If you are "in" and on the long side of the market, while I am flat, then the market tanks.....well you were "in" while I was not.....but I win. So I disagree with your slogan and just wanted to let you know.
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Where does it say that he is in AND long?

nitro
 
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