Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; Will you please comment on my long, thoughtful and detailed post? Particularly considering that I was answering your previous post....

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Old Aug 19, 2010, 3:07pm   #361
 
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Re: Deadline June

Will you please comment on my long, thoughtful and detailed post? Particularly considering that I was answering your previous post.
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Old Aug 19, 2010, 3:21pm   #362
 
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Re: Deadline June

Adamus started this thread
Quote:
Originally Posted by travis View Post
Regarding the discrepancy, I don't think it's big. But there is a discrepancy. If an order is triggered even just 2 seconds later, which is the case with my two servers probably, then (on my simple systems) you're going to have that kind of discrepancies: 20% of 1-tick discrepancies and 1% of orders not triggered or going in the opposite direction (long instead of short). So if that's a big discrepancy, which it isn't in my opinion, then you're never going to be happy with any comparison between 2 different sets of data, because when back-testing on 2 different sets of data you're definitely going to have more discrepancies than what you have between two identical servers/platoforms/systems 8000 kilometers away whose orders are triggered or received by IB at a distance of 2 seconds, due to either a different computer clock (which in turn causes different moving averages and prices), or different distance from IB.
Basically you saying "like it or lump it", correct me if I'm wrong?
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Old Aug 19, 2010, 4:07pm   #363
 
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Re: Deadline June

I wanted to know your opinion on my post, and my explanation that what you called "huge" differences on my servers (and your data sets, too, presumably) are not "huge" and are not avoidable. I showed in detail where they come from, what they are due to, and how small they are, even though they constantly happen, with that 20% frequency (and the more serious ones, in 1%). Also, you didn't tell me if and how big your differences are, and what type of differences you're having. Let's say you have 100 trades. On one data set you have 50 long trades and 50 short trades. On the other data set, what happens? Let's say you have an execution price difference. How many ticks on average?

Or feel free to ignore my posts, and next time I'll write something like:
Right on, bro. I'm sure everything will work out...
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Last edited by Yamato; Aug 19, 2010 at 6:00pm.
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Old Aug 19, 2010, 6:24pm   #364
 
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Re: Deadline June

Adamus started this thread The reason I don't quote all your post is because I only want to refer to part of it. Many of your posts touch on multiple subjects and often include youtube clips and images from wikimedia, therefore there is no point in quoting it 100%. Unless of course you happen to be in a dialogue with a paranoiac who thinks you are trying to misrepresent him. Despite my legendary status here on the T2W forum, it seems I haven't earned the right to be considered above misrepresenting what someone else said. Unless it was for humorous purposes of course.

I am actually desperately short of time since it turns out that day trading does in fact take all day or at least it does when you have my level of skill.

Plus everything is a mess round here and I've just lost a profitable system. I guess I just rewrote it and left the unprofitable code in there and forgot. Plus I have a problem with NinjaTrader and IB connecting to the IB data farms. NinjaTrader say it's IB's fault and IB says it's NinjaTrader's fault. So I'm constantly posting on their support boards trying to get a resolution, although I don't actually need it now since I subscribe to IQ-Feed.

So I wasn't ignoring what you said deliberately. What you wrote was interesting and I thought I thanked you for it and the reason why I haven't got any stats on the difference in trades between one dataset and the other is because I didn't think of doing it and it's going to take a bit of time, but thanks for suggesting it and I guess I should do it.
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Old Aug 19, 2010, 6:26pm   #365
 
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Re: Deadline June

Adamus started this thread Just got a reply from IQFeed about the way they compile their minute bars from the live feed (compare it to IB):

Quote:
Our data is true tick by tick.

So every single trade is used to make up the minute bars.
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Old Aug 19, 2010, 6:48pm   #366
 
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Re: Deadline June

Adamus started this thread And NinjaTrader is came back with info about their Historical Data Manager, which by their account does what any sentient being would expect it to, unless of course you are an IB programmer:

Quote:
Yes, it will save every tick that we receive from the connected connectivity provider.
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Old Aug 19, 2010, 9:49pm   #367
 
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Comparative Analysis of System Performance using different Intraday Data

Adamus started this thread The main reason for carrying out an analysis of system performance using different data is to provide an estimate of the extent of the degradation of PNL figures from backtesting to real-time trading, and an overview of the nature of the changes to be expected, e.g. what % of trades will be the same, what % nearly the same, what % will just not correspond to the other PNL at all.

I'll edit this intro more as I think of things tonight, and maybe even start it.

I have put together a list of all the systems I have that are profitable and noted what the backtest results and against which data I backtested them. I need to trade them live to get a representative sample of trades that provide a PNL result set that I can use in this analysis.

I shall put all the PNL into a spreadsheet and use an average of the PNL for all systems over each data. So I should have an average PNL for all systems for the following data:

(1) Disktrading tick data from 2000-2010
(2) FXCM 1min bar data from 2006-2010
(3) IB sampled 1 min bar data from Jan '10 to Aug '10
(4) Tenfore 1 min bar data from 2009-2010
(5) Live trading

While running the live trading I could also attempt to collect an unbroken history of live feed tick data from IB using the NinjaTrader Historical Data Manager, but that depends on being able to keep my hardware, sofware and internet connection going for that long. All my attempts so far have failed.
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Last edited by Adamus; Aug 19, 2010 at 10:07pm.
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Old Aug 19, 2010, 10:01pm   #368
 
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Re: Deadline June

Yeah, I understand that you're busy and can't reply to everything. But it was the second or third time you ignored my thoughtful posts, so I was almost getting offended by it (I later re-wrote my post to make it friendlier). Next time I'll try to write a little less so I won't get upset if you fail to appreciate... or rather "forget to show appreciation".

Until then, right on, bro. Cool thread.


I hate this crap, but at least now I am a regular user and I won't be paranoid about my valuable posts being ignored.
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Last edited by Yamato; Aug 19, 2010 at 10:10pm.
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