Profitable or Unprofitable

[nourozi 10]

Hi guys,

 

I have created my first automated strategy and I am wondering what I should expect from it going live, judging from the results in market replay testing with NinjaTrader.

 

It uses limit orders on the ES. The thing is, it is profitable when I use liberal fills (filled when limit orders touched). It loses just as much when using conservative fills (filled when price penetrates the limit price).

 

Let's say it loses 5K on average per week when using conservative fills, and it profits 5K when using liberal fills. The point is it seems to have a total inverse result when using these different fill settings.

 

The problem is with conservative fills, it touches the limit order and then reverses, leaving me unfilled and causes me to miss a trade.

 

The question is, what can I expect from it going live? Even if I am filled on half of the touched limit orders, I should break even.

 

The limit orders are typically placed about 5 mins before it is touched. But ranges from 1min to 15min.

 

Thanks!

[tradingwizzard 10]

hi there,

 

what I would do is to try to have an average, let's say on a monthly basis how many fills are conservative and how many are not.........and try to go back in history as much as possible

[windsurfer 10]

Use the conservative.

 

Sorry, but the HFTs will always be ahead of you on the ES. That's one reason why they pay their millions to the exchanges.

[CrazyCzarina 17]

Many retail traders turn to the forex market in search of fast profits. Statistics show that most aspiring forex traders fail, and some even lose large amounts of money. Leverage is a double-edged sword, as it can lead to outsized profits but also substantial losses.

[CrazyCzarina 17]

On 7/2/2013 at 2:41 PM, nourozi said:

Hi guys,

 

I have created my first automated strategy and I am wondering what I should expect from it going live, judging from the results in market replay testing with NinjaTrader.

 

It uses limit orders on the ES. The thing is, it is profitable when I use liberal fills (filled when limit orders touched). It loses just as much when using conservative fills (filled when price penetrates the limit price).

 

Let's say it loses 5K on average per week when using conservative fills, and it profits 5K when using liberal fills. The point is it seems to have a total inverse result when using these different fill settings.

 

The problem is with conservative fills, it touches the limit order and then reverses, leaving me unfilled and causes me to miss a trade.

 

The question is, what can I expect from it going live? Even if I am filled on half of the touched limit orders, I should break even.

 

The limit orders are typically placed about 5 mins before it is touched. But ranges from 1min to 15min.

 

Thanks!

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