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Old 02-26-2011, 12:03 PM   #17

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Re: Is This Too Good to Be True??

Thanks both. To be safe, I might just change to a 1-min time frame. The theoretical return on other way is not as promising as I got from the 10-tick frame, but it's more realistic. The volume is pretty high on the 1 min chart. I am thinking instead of using a limit order to sell my position, can I set a profit target?? What is a chance of getting a slippage on that? Have you tried?
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Old 02-26-2011, 12:19 PM   #18

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Re: Is This Too Good to Be True??

Quote:
Originally Posted by feng2088 »
Thanks both. To be safe, I might just change to a 1-min time frame. The theoretical return on other way is not as promising as I got from the 10-tick frame, but it's more realistic. The volume is pretty high on the 1 min chart. I am thinking instead of using a limit order to sell my position, can I set a profit target?? What is a chance of getting a slippage on that? Have you tried?
The only way I know to semi-reliably test a system in tradestation without using real money is to automate it with market entry and exit orders, write the stops so that they are conditional and when the condition is met a market order is placed and then run it in the simulator in real time.

The main weakness here is when a single transaction is much bigger than the bar size.


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Old 02-26-2011, 10:02 PM   #19

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Re: Is This Too Good to Be True??

When I first looked at a Zig-Zag study, I thought I was seeing a miracle. When looking at historical data, the Zig-Zag study was showing perfect peaks and bottoms. Then I found out that the Zig-Zag is delayed. It is possible to write a trading script that shows perfect entry and exit points if you are delaying the output. This is typically done with indexes that theoretically use price bars that are "in the future". But it is impossible to see into the future, so effectively what happens, is the plot is delayed.

It is possible to find leading indicators that tell you the price is about to turn. But it's always a matter of how probable it is.

Working with historical data is very different than trading live. The typical situation I like to point out is a bar or candle at a peak or bottom with a long tail on it. If you watch live trading, those long tails often happen so fast, that you have no opportunity to catch them unless you have an order in ahead of time. So the price did go to those price levels, but it happened in a matter of a second or two, and that is literally all the time you would have had to get a fill. So for practical purposes, it's very improbable that you could react fast enough. Again, if you had an order in ahead of time, and get lucky, then it works.

So, if your setups are not delayed, . . if they truly are leading indicators, and if there was enough time, and enough price movement to get a fill, those are the thing that make it actually trade-able.
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Old 02-27-2011, 10:49 AM   #20
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Re: Is This Too Good to Be True??

Time stamp precision is not needed in all systems. There are also ways (via ELC or other objects) to increase the time stamp precision if necessary.
And even with the one minute restriction, on a one tick chart the data flow is serial ie the tick that just printed three ticks ago is not actually before the tick that printed four ticks ago - if that really matters.
UB, With the systems you run, I understand your need for a higher level of precision (and have wondered why you're still with TS... )
Long ago I commited myself to accept less accuracy and honesty in the data stream - a tick and any aggregate of ticks is still only a symbolic representation of the actual 'auctions' occurring...
I work to prepare to thrive in even more 'chaos' than we have now and in several orders lower of data completeness... I think I could be up and running in a day or so if I were dropped into any exchange traded market on the planet... large or small

...hey guys, in the TS forums this archeological dig has already been taken down to the level where you can just brush off the top dust to find the goodies ... still time consuming but better than waiting here in TL for it to show up piecemeal...hth
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Old 02-28-2011, 03:42 PM   #21

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Re: Is This Too Good to Be True??

TS backtesting only has price data and doesn't consider how many bids/asks there were at that point in time. I tried autotrading in TS and made money 90% of the time in Sim Mode. Lost money in real trading. I think a slower system looking for big moves where you wouldn't mind a couple of ticks of slippage might work though. 80 trades/day won't work in real trading.
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Old 03-01-2011, 10:58 AM   #22
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Re: Is This Too Good to Be True??

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Originally Posted by jtrader88 »
I think a slower system looking for big moves where you wouldn't mind a couple of ticks of slippage might work though. 80 trades/day won't work in real trading.
jtrader88 Welcome... hate to give you such a hard ass reply to your first post on TL ...
but
Wouldn't it be more accurate to say something like 'Most 80 trades a day systems won't work in real trading' ?
Maybe you gave up too quickly. If that is the op's nature then a "slower system looking for big moves" would ultimately Not work at all for him - even if it's profitable.
If nothing else will do, the op can find a way...
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Old 03-01-2011, 11:26 AM   #23

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Re: Is This Too Good to Be True??

Quote:
Originally Posted by jtrader88 »
TS backtesting only has price data and doesn't consider how many bids/asks there were at that point in time. I tried autotrading in TS and made money 90% of the time in Sim Mode. Lost money in real trading. I think a slower system looking for big moves where you wouldn't mind a couple of ticks of slippage might work though. 80 trades/day won't work in real trading.
While most systems of any kind don't work in real-money, real-time trading, certainly there are systems that make hundreds or even thousands of transactions per session that do work and make a lot of money for the operators. It is called HFT.

These systems not only work they do well over half of the trade in almost every liquid stock/future.
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Old 03-03-2011, 02:01 PM   #24

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Re: Is This Too Good to Be True??

One issue I could see is that by back testing or using a paper account you are often able to buy at the bid and sell at the ask. This is not always the case on a live account because in order to get a fill you'd need the mark to be on your bid or below to get a fill (slightly confusing), that being said I have a strategy that has an 85.7% first target hit rate. i.e. I sell half my position at this first target and it gets there 85.7% of the time. I also have a colleague who runs a hedge fund and had only 5 down days in 2010 (no they didn't wipe out his whole year, he was still +5M on years end) so it is possible.
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