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Louis,
It is too complicated for me also. I try to simplify everything I can, because there are so many complicated things to deal with. So I went to Futures trading which simulates very close to actual executions if you build your trading algorithms carefully. Once you are aware of the potential problems, it is easier to avoid getting trapped by them. For a final test, I trade it live for a couple of days and compare results realtime from the backtest (which runs live in indicator mode on my system) and what my broker account is doing. I limit my backtesting to a couple of days when I am trading realtime to keep things running fast. I tweak my trading algorithms until my backtests perform a little worse than my real trading. That way I have a bit of a cushion for the inevitable failures due to data feed problems, computer system malfunctions, and human error.
BR, Dennis On Jun 23, 2008, at 2:56 PM, Louis Préfontaine wrote: OMG that seems very complicated. How do you do to do that? Louis 2008/6/23 Dennis Brown < see3d@xxxxxxxxxxx>: Something to consider is that stocks have a large number of bad tick data. Suppliers are trying to correct these as quickly as possible. Futures data has very few bad ticks. That is the main reason I switched to only trading e-mini futures instead of stocks for many trades per day, and why I limit my trading to just one future at a time.
To backtest a HF system, you actually need two tickers, the raw data ticker and the corrected data ticker. You generate trading signals from the raw data, and execute the order prices on the corrected data. And don't forget to take into account the time lag between the raw data showing up, and the time of execution on the corrected data.
BR, Dennis
On Jun 23, 2008, at 1:37 PM, Louis Préfontaine wrote: Hi Herman, I read this one http://www.amibroker.org/userkb/2007/12/24/high-frequency-automated-trading-hfat-part-2/ but it seemed to me like it was a bit complicated to get an uncorected database. I mean, having to manually check where backfill ends and raw begins, saving two different databases, etc. Seems like a lot of work... and doing it everyday! Isn't there any easier way? Do you think this is an issue for 1-minute intraday, or only for tick, or 5 seconds? Because it does not make sense to waste a lot of time on corrected 1-minute data only to see it fails miserabily with raw data! Thanks, Louis 2008/6/23 Herman < psytek@xxxxxxxx>:
I remember at least one case where I developed a HG system using historical 1-Minute bars that didn't work with real-time (uncorrected) data.
Any system that trades frequently intraday can easily be verified by running it for a few days with life data. Also, the 2nd article on the UKB tell you how to save uncorrected (raw) data for later comparison with backfilled data.
Of course different systems have different sensitivities to qualities. You can try and design so that your system is insensitive to the problems outlined on the UKB.
best regards, herman Monday, June 23, 2008, 10:04:25 AM, you wrote:
> | Hi,
Well, I'm not really sure but it seems that one-minute bars have so many trades (assuming your contract is at least somewhat liquid) that these errors should pretty much cancel out and stop being a problem.
----- Original Message ----- From: Louis Préfontaine To: amibroker@xxxxxxxxxxxxxxx Sent: Monday, June 23, 2008 9:40 AM Subject: Re: [amibroker] Re: Questions for people using automatic transactions with IB
Hi,
I wonder if the problems with HFAT can happen in « normal » trading. I mean: if I trade with 1-minute bars, I will build a system with data that has been revised at the end of the day. E.g. the data errors will not be there anymore. However, in real-time trading, those errors will be there.. So how can one deal with this, even without automatic trading?
Louis
2008/6/23 reinsley <reinsley@xxxxxxxx>:
thank you, I discovered the use of static var on that occasion and now this point is much better.
Too many things are missing in my formula, I can't ask help as it could seem that i'am asking for a ready-made solution. I have to keep my cards when I'll be trapped. I need to scambled for the archive first.
Regards
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