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[amibroker] backtesting vs live trading



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I have a number of systems that I trade. The transition between backtesting and live trading is always a bit haphazard. Most of the time is spent of backtesting and development, but not a lot is spending in migrating from backtesting to live trading, and extracting data to feedback the development process.
 
by and large, after the system testing is completed, I would write up explorations and scans with alertif function to give me signals to tell me which stock, how many and at what price, even with positionscore.
 
The problem comes when there are a number of competing signals, and some of the signals would be a little late, ie., slippage. at this point I would usually use my discretion to select which stock to enter,  balancing between choosing stock with high positionscore versus stock with low slippage. I have use stop orders with mixed success, sometime the system makes it impractical to have stop orders.  this is particularly bad on days with a lot of signals, and those, from my experience, are the best days to get it right.
 
The end result is that my portfolio is no longer the same in backtesting. Since I am not a purist, that doesnt worry me that much really. Except that I would like a way to feedback the real life trading results into tweaking/refining the system.
 
I would be interested in hearing others sharing their experience in these kind of situation, and how you have structured to migrate from backtesting to life trading, and how you feedback your results in refining your systems
 
Cheers
Paul.
 
 


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