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All system development MUST include a test phase using real-time data and real money. In stocks you can simply trade 1 or 10 shares for a few days or weeks. Commission cost are known and negligible, trading full positions your risks are unlimited. Commissions are simply the cost of developing a system - never expect to make money right of the bat.
If you jump in with maximum position sizes you are asking to go broke.
best regards,
herman
For tips on developing Real-Time Auto-Trading systems visit:
http://www.amibroker.org/userkb/
Monday, June 23, 2008, 4:00:57 PM, you wrote:
> I am also currently developing an Intraday system based on 1-minute
> bars, but for FOREX.
> Will I encounter the same problems as outlined below? Or is the
> 1-minute IB datafeed for FOREX more accurate than for stock tick data?
> I would hate to see my system do well on backtested data, only to see
> it fail because of "impure" live data!
> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>> 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@xxx>:
>> > 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@xxx>:
>> >>
>> >> 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
>> >>
>> >>
>> >>
>> >> For tips on developing Real-Time Auto-Trading systems visit:
>> >>
>> >> http://www.amibroker.org/userkb/
>> >>
>> >>
>> >>
>> >> 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@xxx>:
>> >>
>> >>
>> >>
>> >> 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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