Intraday (momentum trading) trade entries and exits alerts in a mechanical strategy

[JTrader]

Hi

So you have developed your ts2000i easy language mechanical intraday trading strategy that produces simple audio alerts for trade entry and exit signals. Backtesting and optimisation have shown that on paper it should be, and historically it has been - profitable.................

What I'm hoping to increase my awareness of is the process of trying to transfer these theoretical results to real-time trading. If you have experience of this, then what problems may/are likely to arise in real-time trading? and perhaps you had not considered the possibility of this problem previously?

How significant a problem were they?

and how did you/would you target/rectify these problems?

Thanks again

jtrader.

 

[Trader333]

James,

When I did this a few years ago the biggest issue was getting filled at the price in my theoretical model. What normally happened was that I was getting filled at a worse price for both entry and exit than my model had catered for and this took away a significant part of the theorectical profit.


Paul

 

[JTrader]

When I did this a few years ago the biggest issue was getting filled at the price in my theoretical model. What normally happened was that I was getting filled at a worse price for both entry and exit than my model had catered for and this took away a significant part of the theorectical profit.

Thanks Paul

is this something that you decided to just accept as part of the real-time mechanical strategy trading process - do you place the trades - as long as say the entry price available with your broker hasn't moved too far away (against you) from the theroretical charting price? How do you/did you manage this aspect?

Do you still trade this way (you wrote in the past tense) or did you stop? if so, did you stop because of the problem you mentioned?

Many thanks.

 

[Trader333]

James,

I did this around 4 years ago but found that it was not suited to how I wanted to trade and it was on futures. So after a lot of work I abandoned it completely and have not gone back to it since. The other issue you may find is that what worked in the past does not work in the future but you cannot know this until you attempt to trade it in realtime. Are you intending to trade intra-day or position ?


Paul

 

[JTrader]

Thanks Paul.

Up until now my trading has been on a 5 minute chart - not scalping, but intraday momentum trading (staying on the right side of a trend, and minimising entries during flat periods). I want to continue to trade on an intraday basis and not hold overnight. I also want to be more active than say using a system like the 7-10am (hourly) breakout system. Perhaps 10, 15, or 20 minute charts will also prove suitable for intraday trading - enabling positions to be opened and closed through entry and exit signals within the (intra)day period.

I suppose not getting filled at the price indicated on a chart has been an issue (when I was trading UK stocks with esignal charts - although I was not trading 100% mechanically), and is something I generally accepted - as long as the price association between my chart and the broker was within say 0.25 points........
I suppose when you are trading a product such as RJO O'Brien (tradestation securities)retail spot forex - with the RJO O'Brien datafeed in the charts for example, the difference between chart data and broker prices is not going to be significant. And when trading futures/exchange based instruments - the difference between the chart alert price and the price available with a broker - shouldn't really be an issue either - as there is only one data source - The futures exchange itself................But I would expect the difference between chart data prices and broker prices to become more of an issue if trading FXCM forex with the SP Comstock, or RJO O'Brien datafeed for example.

I did this around 4 years ago but found that it was not suited to how I wanted to trade and it was on futures. So after a lot of work I abandoned it completely and have not gone back to it since.

What timeframe were you trading on at the time? and do you think that once you move above a certain timeframe of charts - this price difference between your charts and broker became less of an issue - as you're expecting any resulting moves to be bigger?
Also, what timescale do you think you need to move above to minimise this problem? or does a lot depend on the daily movement range of the instrument in question - i.e. the bigger the moves, the less significant a 0.25 point difference (for example) between the chart price and the price available with your broker becomes?

Thanks again
.

 

[henry766]

you just got be very certain your idea is profitable , and highly profitable , do this and the rest will come , but most of us .... arn't!!