Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; Originally Posted by meanreversion Fair enough, I understand you've had technical issues. Nonetheless, the original thread title was "Deadline June". ...

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Old Sep 20, 2010, 12:46pm   #451
 
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Thumbs up Live again

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Quote:
Originally Posted by meanreversion View Post
Fair enough, I understand you've had technical issues. Nonetheless, the original thread title was "Deadline June". I've found it useful to set myself deadlines and to try to get there.. I'm not suggesting for a minute you aren't busting your gut, but when do you think you'll be properly up and running, October?
Put the Three Ducks system live.

Actually, I shouldn't call it the Three Ducks, because I've changed a lot of it. I think a more appropriate name for it would be the "Frankenducks".

Two and a half months overdue is not bad for an IT project, I'd like to point out.
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Old Sep 20, 2010, 1:01pm   #452
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Re: Live again

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Put the Three Ducks system live.

Actually, I shouldn't call it the Three Ducks, because I've changed a lot of it. I think a more appropriate name for it would be the "Frankenducks".

Two and a half months overdue is not bad for an IT project, I'd like to point out.
If you were working on an IT project for the previous government, you would have been given an MBE for only being 2.5 months late!

Hope everything works well Adam..
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Old Sep 20, 2010, 4:06pm   #453
 
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Past performance is no guarantee of future profits

Adamus started this thread Here's a couple of the equity curves of all the 11 forex pairs combined as an example of what to expect.

This first one is the backtest using IB data, mid-Sept to end June this year.
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Old Sep 21, 2010, 11:42am   #454
 
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Re: Past profits are no guarantee of future performance

Adamus started this thread I was interrupted. I just saw my parents off at the airport for a three month trip to South Africa, starting in Cape Town. It must be nice to be retired - if your body plays along, I guess.

I want to get the equity curves for the backtests ready. In normal circumstances I would have fed the results from NinjaTrader into a hand-rolled Java application I made, but unfortunately I have stuffed it so full of results that something is causing major performance issues and I can't find out what. My choice is either to fix the program and the DB, which I tried already but didn't want to invest more time in, or just to delete the old data and start with a fresh database. The data in there is definitely useful, but not so useful that I couldn't live without it. I'd have to fight against my natural hoarding instincts if I want to delete it.

This morning I'll get the following equity curves up here:

- backtest on 10 years of DTC data
- backtest on 5 years of FXCM data
- backtest on 9 months of IB data
- forward test on 3 months of IB data

So, those first two years in the DTC backtest were bad. Otherwise I guess it would have been too good.

For the record, these results do not include slippage & commission.
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Old Sep 22, 2010, 5:28pm   #455
 
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The Forward Test

Adamus started this thread Here's the equity curve of the forward test.

Again, this is without slippage and commission.
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Old Sep 22, 2010, 5:42pm   #456
 
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Some of the stats for the forward test

Adamus started this thread This is slight pain in the neck trying to format data to look well presented so this is all I can do. Slight, let me rephrase that: bloody pain in the neck.

I expect to take a hit of around 10 to 25% from this level in live trading, which leaves me with not much after slippage & commission, but still a profit.

Code:
Total Net Profit    $23657.72
Gross Profit        $174038.73
Gross Loss          $-150381.02
Commission          $0.00
Profit Factor       1.16
Cumulative Profit   $904.47
Max. Drawdown       $-6856.01
Sharpe Ratio        0.00

Start Date          26/05/2010
End Date            17/09/2010

Total # of Trades   428
Percent Profitable  28.04%
# of Winning Trades 120
# of Losing Trades  308

Average Trade       $55.28
Average Winning Trad$1450.32
Average Losing Trade$-488.25
Ratio avg. Win / avg2.97

Max. conseq. Winners1
Max. conseq. Losers 4
Largest Winning Trad$9685.87
Largest Losing Trade$-4960.00

# of Trades per Day 3.75
Avg. Time in Market 1.51 days
Avg. Bars in Trade  281.6
Profit per Month    $302.46
Max. Time to Recover56.09 days

Average MAE         $431.91
Average MFE         $1082.21
Average ETD         $1026.94
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Old Sep 30, 2010, 12:26pm   #457
 
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Snowed under

Adamus started this thread NinjaTrader 7 beta and IB together are just eating up my days. Ironic since I said I was satisfied with the software setup. I guess I'm still OK with it, I haven't got much of an alternative.

I haven't posted here in a while because of that and because I'm not sure it's serving a purpose anymore either.

My current trading status is live since 10 days. A week and a half.

One trading system, based on the 3 Ducks, rechristened the FrankenDucks system. I took the raw 3 Ducks system and coded it up according to Captain Currency's 3 60-period MAs on the 5 min, the 60 min and the 4hour time frame. I added in the turn-around indicator which shows the support and resistance on the 60min timeframe and added a couple more bolts and other body parts taken from the morgue and here we go.

Performance has been pretty good so far, up 13%, so good in fact that I just hope like hell that I don't suffer an equally strong but negative performance before I get some of the other systems up and running to buffer it. Just those backtesting equity curves out and see what happens after 13% rises.

I have to diversify more though, with my current basket of AUDUSD, EURCHF, EURGBP, EURJPY, EURUSD, GBPJPY, GBPUSD, NZDUSD, USDCAD, USDCHF, USDJPY, I have at time had positions on in all of them which puts me heavily at the mercy of the dollar. I need to scale back the position size and add a couple of cross-currencies, if they backtest OK. Easiest would be if IB offered AUX and silver and cash indices, futures would be more difficult with the contracts, and getting historical data would be another hurdle.
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Old Oct 2, 2010, 5:11pm   #458
 
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Re: Deadline June

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Originally Posted by meanreversion View Post
broker = IB
data = eSignal
software = Amibroker
IB and NinjaTrader combined is a continuing nightmare.

I've almost ditched IQFeed but I'm still keeping it for a while just in case.

I don't like the idea of trading with one broker off the price feed from another provider.

Zenfire have got a great name but don't do forex. Other than that, what else's on offer as far as combined broker + data feed?
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Old Oct 2, 2010, 5:50pm   #459
 
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live trading 2 weeks worth, prelim. check against backtest

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Originally Posted by travis View Post
Yeah, thanks for replying about the data, unlike disktrading, who, after almost 2 days, still has not replied anything. Maybe they're all on vacation.

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.

If you have a 75% correspondence and if that is the type of matching I said (75% correspondence in profit, or 75% of "same trades in same direction same day...": forget having identical execution prices), then I say be happy with what you got.
Now I've got two weeks of live trading results, simulated trading results and backtesting results to compare.

I guess I have to admit you were totally correct.

Several interesting points came out of the comparison - which I did by eye rather than crunching the numbers, which I might be able to do later if I have the time - or perhaps I'll wait til I've got a month's worth.

The live system occasionally stayed in positions that the simulated and backtested systems exited - and that meant that the latter two systems then went on to do trades which the live system didn't.

I haven't actually seen any opposing trades yet.

The analysis also changes depending on whether you're taking the trade entry date/time or the exit.

The live system had on average worse fills than in simulation on IB. The ones I noticed were generally either just one tick worse, or just disastrously worse e.g. 10 ticks. There may have been more at the 5th digit level, but on the whole the majority were the same, but the differences favoured the simulated system.

Fortunately all systems were more or less in the same area - nothing like the 75%, more like 95% similar.

I can see why the live system is different though. My stop orders were sometimes just not triggered. For instance I had a sell stop in GBPJPY and I watched the bid coming down and go below it, and then the ask went past, down 2 clear ticks, spent about 5 mins below it without filling me and then went back up.
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Thanks! The following members like this post: travis
Old Oct 5, 2010, 1:07pm   #460
 
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Re: Deadline June

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Code:
  
  Instrument    SpreadDisplay
    $AUDCAD          1.5
    $AUDCHF           2
    $AUDJPY           1
    $AUDNZD          1.5
    $AUDUSD           1
    $CADCHF          1.5
    $CADJPY           2
    $CHFJPY          1.5
    $EURAUD          1.5
    $EURCAD          3.5
    $EURCHF           2
    $EURGBP           1
    $EURJPY          1.5
    $EURNZD           5
    $EURSEK          14
    $EURUSD          0.5
    $GBPAUD           2
    $GBPCAD           2
    $GBPCHF           2
    $GBPJPY          2.5
    $GBPNZD           6
    $GBPUSD          1.5
    $NZDCHF           2
    $NZDJPY           2
    $NZDUSD           2
    $USDCAD          1.5
    $USDCHF           1
    $USDJPY          0.5
    $USDSEK          10



I need some more cross-currencies to keep me from being bludgeoned by the dollar and the yen.

These ticks above are the spreads on IB. The Aussie Dollar is no worse than the sterling. I could take AUDCAD and AUDCHF with those spreads.

The unseen risk is probably the amount of gaps and spikes that appear on those lower volume cross-currencies. But I've already felt that today in the GBP-USD to the tune of 17 pips slippage, which I never thought would happen. I wonder what the slippage on the future would have been.
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Last edited by Adamus; Oct 5, 2010 at 2:41pm.
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