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Old 02-25-2011, 11:41 AM   #1

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Is This Too Good to Be True??

First of all I am a newbie on emini trading, but I have been learning, reading and programming my strategy. As I never scalped Emini on the10-tick chart before, I don't know if my strategy would work in reality, but it worked well on backtesting.

I use limit orders to buy and sell, and I also set a stoploss. So I can avoid most of the slippages. I understand that Stoploss is the only type of orders would have slippage among the three I use.

I backtested my strategy from 12/16/2010 -2/25/2011 on the 10-Tick chart. I got arond 80 to 200 trades a day. The profit factor was 3.7 and the percent profitable was above 80%.

I am doing fronttesting now and it's working well. I am going to add a max-loss-allow and if that number is hit, it will stop trading for the day. What else did I miss?

I am still afraid to go live yet. Some people said that you would get different numbers when you go live. Is that true? Thanks all.
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Old 02-25-2011, 01:01 PM   #2

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Re: Is This Too Good to Be True??

Quote:
Originally Posted by feng2088 »
First of all I am a newbie on emini trading, but I have been learning, reading and programming my strategy. As I never scalped Emini on the10-tick chart before, I don't know if my strategy would work in reality, but it worked well on backtesting.

I use limit orders to buy and sell, and I also set a stoploss. So I can avoid most of the slippages. I understand that Stoploss is the only type of orders would have slippage among the three I use.

I backtested my strategy from 12/16/2010 -2/25/2011 on the 10-Tick chart. I got arond 80 to 200 trades a day. The profit factor was 3.7 and the percent profitable was above 80%.

I am doing fronttesting now and it's working well. I am going to add a max-loss-allow and if that number is hit, it will stop trading for the day. What else did I miss?

I am still afraid to go live yet. Some people said that you would get different numbers when you go live. Is that true? Thanks all.
if it is too good to be true, it usually is.

what program are you using?

instead of jumping into autotrade,
I would suggest you to revise your code
to plot a green dot on the chart for every buy signal,
and a red dot for a sell signal.... and a black dot for exits.

you can then visually inspect the chart to see the plausibilities of such a strategy.

if everything looks ok, then go ahead to coding it in autotrade.
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Old 02-25-2011, 01:17 PM   #3

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Re: Is This Too Good to Be True??

Thanks Tams. I am using tradestation and I have the dots plotted. They look good.
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Old 02-25-2011, 01:25 PM   #4

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Re: Is This Too Good to Be True??

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Originally Posted by feng2088 »
Thanks Tams. I am using tradestation and I have the dots plotted. They look good.
excellent...

next step is to do forward testing.

Does tradestation have papertrading accounts?
It would make testing a lot easier.
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Old 02-25-2011, 01:31 PM   #5

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Re: Is This Too Good to Be True??

i have been testing it with the old data and the current market ticks..I am able to set the initial capital , commission cost .. etc. Basically I am doing backtesting and forward testing together.
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Old 02-25-2011, 02:00 PM   #6
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Re: Is This Too Good to Be True??

feng, good news and bad news
It is not too good to be true
AND
TS live results have a snow drop's chance in hell of being close to sim results.

Instead of drop dead going live, have you considered transitional going live? I've had good results in the past by first back testing to find if system has best times of day to trade and forward testing live for just those times and then gradually adding more live time, etc.
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Old 02-25-2011, 02:15 PM   #7

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Re: Is This Too Good to Be True??

Thanks zdo, is that always the case?? big difference between the live result and sim results....
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Old 02-25-2011, 02:57 PM   #8
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Re: Is This Too Good to Be True??

Can't say it is always the case for everyone. But in every system I have ever tried that has similar properties to yours (fast timeframe, active, limit orders,etc), the results are different. Not necessarily big differences but always enough to make me look at my code some more... and the reasons are always strange and quircky
Hint: Some of the best work on these discrepancies is now 7+ years old in the TS forums

Have a great weekend all.
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