TS Strategy Promotion

[ratrader 10]

Thia is really a related multi-point post.

 

I would like to know what issues and solution Trade Station, strategy, traders have run into (and the resolutions) when moving from the simulated environment to the live environment.

 

For those that have traded using Think or Swim and TS can you please respond as well (please make note of the platform).

 

Background, I developed a strategy that I was happy with (at least as a initial Live version). So I started it up in TS and the orders were not being executed as they should have according to the strategy (19 bars dif... on a 5 minute chart). I'm still as at loss as to why it would perform differently in the simulated env (in using real time data versus Live env with real time data). But I am working through it with.

 

Thanks to all.

[swansjr 10]

Thia is really a related multi-point post.

 

I would like to know what issues and solution Trade Station, strategy, traders have run into (and the resolutions) when moving from the simulated environment to the live environment.

 

For those that have traded using Think or Swim and TS can you please respond as well (please make note of the platform).

 

Background, I developed a strategy that I was happy with (at least as a initial Live version). So I started it up in TS and the orders were not being executed as they should have according to the strategy (19 bars dif... on a 5 minute chart). I'm still as at loss as to why it would perform differently in the simulated env (in using real time data versus Live env with real time data). But I am working through it with.

 

Thanks to all.

 

I can't say I use the simulated mode for testing my automated systems. If I want to test my systems I simply load them on a chart and let them "trade" as the live data unfolds throughout the trading day. I'm doing this right now to test an ES system on a 5-minute chart. This seems to work well in testing the overall concept. There is no slippage when trading this way so keep that in mind.

[ratrader 10]

I have found a post on the TS site that covers a systematic approach for testing (I am a former Object Oriented Software Eng.) so I like a process. The URL is https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=84601.

 

Side bar: I looked at you're results (on the ES) and if you are interested I'll send you my results. Send me and email to ranglos@gmail.com or I usually post the results on Twitter (ratrader).

 

I will also be writing up my version of the 'Strategy development test and promotion plan' that I'll make available.

[bakrob99 11]

I would like to know what issues and solution Trade Station, strategy, traders have run into (and the resolutions) when moving from the simulated environment to the live environment.

 

The majority of issues I experienced over a 3 - 4 month period were mostly about small bugs that existed in my code which I never realized until seeing it trade... watching certain events... expecting one thing and getting something different.

 

Case in point: Getting stopped out on the entry bar with a reentry immeiately upon the bar close.

 

This happened becuase my test for being in a position used Marketposition which of course was =0 when the bar close so it never got a chance to set the value to my variable (MP) tracking it.

 

That type of thing.

 

In each case there is a way around these problems that just require a little more programming effort.

 

Another potential problem: Fills (or lack of them) when you enter using LIMIT orders. If you do not have the market trade through your price, your are going to get filled in the simulator but maybe only 25-50% of the time when live. This can be especially problematic whenb the move results in a big gain which never happend in real trading.

 

My worst day I was trading and got hit twice with both trade going to a full 10ES point gain (40 ticks) but NOT getting the actual fill. That was hard to take.

 

Trading the Simulator is a good test for your strategy - but not 100% accurate.

[ratrader 10]

Thanks For the feedback,

 

I feel you're pain, I've gone through my fair share... in both discretionary trading and strategy trading.

 

I knew of both these conditions. I've also heard tell of is bad order execution through TS see TS forum post https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=89320&PAGE=1񬰡.

 

If you have any other code issues please add them as I would like to create a composite list (I'm still going through the TS site to see if one already exist) up the more insight the better.

 

Thanks Again

[zdo 20]

After going round and round with the same kinds of issues, I finally landed at running strategies on a one tick chart, getting triggers off other time frames via ADE, and doing ALL entry and exit executions with market orders - would never go back to any other way now! hth