Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; Back on the networking issues with the IB / NinjaTrader / internet issue still not put to bed. I have ...

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Old Nov 30, 2010, 4:47pm   #581
 
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Networking unknown unknowns

Adamus started this thread Back on the networking issues with the IB / NinjaTrader / internet issue still not put to bed.

I have to connect the trading Windows 7 workstation to talk to IB directly via the DSL modem (not router) and cut out my LAN entirely.

On the modem after saving my existing config, I'll do a full factory reset and then just set up the basics to get online, without any firewalls or DOS filtering or any other trickery the modem offers. I want to end up with just me, the modem then the Internet with no firewalls or "intelligence" in the way.

Then I'll be back to basics and I can test NinjaTrader and IB again and see if it works. I don't think it will. If it does though, then one step at a time, I add things back in - modem config, then test again, then the gateway machine and LAN and test again, then iptables firewall, and so on.

My guess is that NinjaTrader won't work even when connected direct to the modem.

The latest theory from a networking mailing list I'm on is that BT is throttling my broadband connection.

So if this doesn't work, the next step is to try the workstation from someone else's LAN. If that works, then it depends who their ISP is, although hopefully whatever I'll be closer to an answer. If it still doesn't work, then I need to try IB and NinjaTrader from someone else's computer if possible and see if that works.

If all of that fails, then it must be NinjaTrader. What a slow, painful process - but it looks like the only way to go. Probably less work than switching ISP.
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Old Nov 30, 2010, 4:50pm   #582
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Re: More backtesting hell and damnation

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Originally Posted by Adamus View Post
This time it's stop orders.

I thought for a long time that I was incapable of writing a system whose exit strategy was based on trailing stops. There would always be a few instruments in the portfolio which just lost money wholesale. So badly that I just dropped it automatically.
Trend systems use trailing stops, and no profit targets. Are you saying you weren't able to code it, or that when you did you didn't get good results?
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Old Nov 30, 2010, 5:01pm   #583
 
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re: More backtesting hell and damnation

Adamus started this thread I coded it and got rubbish results. I didn't research far enough to get any decent results. I just had a trailing stop with 2 parameters - initial stop and delta.

I figured my entries were just rubbish, although an "exit-neutral" strategy of equidistant targets and stops showed a good 55% hit rate. So I mean, rubbish entries for a trailing stop - even if good entries for a profit target.

So I tweaked that and went with it. I figured that the 3 Ducks wasn't a full blown LTTF system anyway and I could get good intermediate results with a profit target.

Tell you the truth, my notes going back to that period are not good - in fact they are non-existant so I'm probably not giving myself the credit I should be for researching it properly. But then maybe I am. It was quite a stressful period.

In the meantime, I dont just look at % hit rate on entries, I have a look at "Max favourable excursion" too, but the jury's still out on that one.
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Last edited by Adamus; Nov 30, 2010 at 8:37pm.
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Old Nov 30, 2010, 8:44pm   #584
 
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Dukascopy

Adamus started this thread Interesting Swiss broker http://www.dukascopy.com/.

Spreads look similar to MBT.

Strange name though. Sounds like a photocopier.
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Old Dec 1, 2010, 3:58pm   #585
 
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Red face Muppetry in Motion

Adamus started this thread I need to sack myself again.

I don't know how long I was testing out different algorithms with this error, but I had copied the long entry if () clause and edited it to specify the opposite for short entries, but had left a key condition completely unaltered, i.e. completely messing up the short side results for the last dozen backtests or so. Several million computer CPU cycles down the toilet, but at least it explains why I couldn't find anything that build on the promising stuff I was looking at earlier.

While on the subject of errors and ****-ups, Windows 7 and Internet Explorer almost killed my trading workstation last night as I used it to log on to the NHS Direct website which isn't compatible with Firefox (that's the browser I always use on my linux machine).

NinjaTrader was quite happy before that but then it switched into 'unresponsive' mode, not fun with 6 trades on. After managing to shut down Internet Explorer without a Blue Screen of Death or any further errors, I just left it for a while and NnjaTrader came back to life, but all my order had disappeared. At least from NinjaTrader. Since it was 1 in the morning and I was pretty stressed out anyway with a kid with a high fever I forgot to check in Interactive Brokers what had happened to the trades.

Instead of rebooting which would have been the smart move, I just restarted the NinjaTrader strategies and it issued new orders for all the positions. In the morning though I thought I'd developed double-vision overnight. All the orders that had disappeared in NinjaTrader were back again. Fortunately though only one of them had been hit and so I'd reversed, not just closed out due to the new orders that issued last night. Fortunately it was a big spike on GBP/AUD which hit target and then dropped back down again, so the Error Account is up another 10 pips from the time between the overfill and my reaction.
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Old Dec 2, 2010, 3:29pm   #586
 
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Post Into drawdown in the error account

Adamus started this thread More damage from late night operations.

BT killed my connection for an hour or so at about half past midnight and when it came back and I had restarted my strategies, I missed a reversal on AUD/CAD.

I'd been long AUD/CAD for 2 days from .9842 with it going nowhere and my system reversed in theory while the internet connection was down, at .9821'5 so I would have taken 20.5 pips hit and gone short, but I didn't.

When checking my system I missed the same error which I've missed before, I should know to look for this. I checked the system on AUD/CAD, saw the position and the two orders but didn't clock that the orders were buys on a long position.

I didn't see anything until 12:20 by which time it was almost too late to do anything, and I dithered and lost the chance of regaining a few pips.

I cancelled the buys but the market was down to .9787 by the time I killed the long position - dithering thinking I'd catch a retrace. So I lost an extra 34.5 pips on the position after the original 20.5 my system would have taken.

Plus of course I completely missed the reverse trade because I thought it would retrace and I'd get in short higher. Instead of climbing higher, the market carried on dropped way past the exit on the missed trade at .9778'5, so I missed out on 43 pips there.

So my error account is down 77.5 pips @125000. Practically a thousand bucks, or half my skiing holiday! Verdammte Scheisse!

Edit: just in case anyone reading thinks, hell NinjaTrader is a pile of crap, it's actually my fault not NinjaTrader. I can't let NinjaTrader adjust the position when I start up each system, so I have to make sure that it's all OK myself. Each system is only aware of itself, so if I have 2 systems on GBP/USD and one is long and one is short, I can't let the system tell NinjaTrader to fix its position in the market - the least problem with that is a waste of commissions and at worst I hate to think - plus it wouldn't save me any time checking up on the positions and orders either.

What I need is an overview system which doesn't trade but just check the other systems and their positions and orders. This can apparently be done in NinjaTrader but they dont support it. i.e. I have to code against an undocumented API to get the Account info, and then the position and orders info from the Account, and then do a sanity check.
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Last edited by Adamus; Dec 2, 2010 at 3:39pm.
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Old Dec 2, 2010, 6:10pm   #587
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Re: Into drawdown in the error account

Quote:
Originally Posted by Adamus View Post
More damage from late night operations.

BT killed my connection for an hour or so at about half past midnight and when it came back and I had restarted my strategies, I missed a reversal on AUD/CAD.

I'd been long AUD/CAD for 2 days from .9842 with it going nowhere and my system reversed in theory while the internet connection was down, at .9821'5 so I would have taken 20.5 pips hit and gone short, but I didn't.

When checking my system I missed the same error which I've missed before, I should know to look for this. I checked the system on AUD/CAD, saw the position and the two orders but didn't clock that the orders were buys on a long position.

I didn't see anything until 12:20 by which time it was almost too late to do anything, and I dithered and lost the chance of regaining a few pips.

I cancelled the buys but the market was down to .9787 by the time I killed the long position - dithering thinking I'd catch a retrace. So I lost an extra 34.5 pips on the position after the original 20.5 my system would have taken.

Plus of course I completely missed the reverse trade because I thought it would retrace and I'd get in short higher. Instead of climbing higher, the market carried on dropped way past the exit on the missed trade at .9778'5, so I missed out on 43 pips there.

So my error account is down 77.5 pips @125000. Practically a thousand bucks, or half my skiing holiday! Verdammte Scheisse!

Edit: just in case anyone reading thinks, hell NinjaTrader is a pile of crap, it's actually my fault not NinjaTrader. I can't let NinjaTrader adjust the position when I start up each system, so I have to make sure that it's all OK myself. Each system is only aware of itself, so if I have 2 systems on GBP/USD and one is long and one is short, I can't let the system tell NinjaTrader to fix its position in the market - the least problem with that is a waste of commissions and at worst I hate to think - plus it wouldn't save me any time checking up on the positions and orders either.

What I need is an overview system which doesn't trade but just check the other systems and their positions and orders. This can apparently be done in NinjaTrader but they dont support it. i.e. I have to code against an undocumented API to get the Account info, and then the position and orders info from the Account, and then do a sanity check.
It might be a good idea to get a server hosted elsewhere to run it. Run the same system on a demo account on your own pc, and check the positions match up regularly.
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Old Dec 2, 2010, 8:52pm   #588
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Re: Deadline June

Yikes. Adam, either you've been very unlucky or your system is too complex, whether requiring too many resources or using too many variables (or perhaps dealing too frequently)?
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Old Dec 2, 2010, 11:49pm   #589
 
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Re: Deadline June

Adamus started this thread very unlucky? possibly. time will tell on that one.

system too complex? no, not at all. it's quite simple really. OK it's not a plain vanilla MA cross-over but it's not that far from it. I think I'd give it 7 out of 10 for simplicity.

too many resources? no, just BT Broadband is the resource I'm over-reliant on.

using too many variables? no, also. There's an algorithm for identifying turning points, and 2 MAs. And that's it, pretty much.

dealing too frequently? haven't tried deliberately to reduce the frequency because it all seems to work which is rare enough.

The problem is that the checking is 100% manual. Or rather, visual. I check all the markets, one by one looking for the NinjaTrader bugs in the data and verifying that any positions have a protecting stop and a target. I should check long positions have a the stop below and for short, above, but it's a fine detail and on 20 markets it's easy to forget to check. Losing a $ grand makes it more likely I'll check better next time
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Old Dec 4, 2010, 12:33am   #590
 
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Re: Networking unknown unknowns

Adamus started this thread
Quote:
Originally Posted by Adamus View Post
Back on the networking issues with the IB / NinjaTrader / internet issue still not put to bed.

I have to connect the trading Windows 7 workstation to talk to IB directly via the DSL modem (not router) and cut out my LAN entirely.

On the modem after saving my existing config, I'll do a full factory reset and then just set up the basics to get online, without any firewalls or DOS filtering or any other trickery the modem offers. I want to end up with just me, the modem then the Internet with no firewalls or "intelligence" in the way.

Then I'll be back to basics and I can test NinjaTrader and IB again and see if it works. I don't think it will. If it does though, then one step at a time, I add things back in - modem config, then test again, then the gateway machine and LAN and test again, then iptables firewall, and so on.

My guess is that NinjaTrader won't work even when connected direct to the modem.

Didn't work. Same error messages. Just wondering who will let me use their LAN - it's not a laptop so I won't be able to walk into an internet cafe with it, or at least I'd need a power socket and room my PC & screen on the coffee table.
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