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.