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Forums>AlgoWizard / EA Wizard>General Discussion>100% automated and 100% accurate SQ workflow test case

  • #257620 |
    Customer
    569 Posts

    but in TS platform you can trade only 1 EA per instrument, am i right?

    and with rollover you need to change the instrument?

    You want to be a profitable algotrader? Sharing of final strategies with real traders just started. Fill in this FORM. 1500+ final SQ3 and SQX strategies for members running on demo accounts DEMO ACCS. We provide also strategies for indices - DAX and DOW JONES, because we have realtick data from brokers.

    #257624
    Customer
    98 Posts

    No, you can trade many EA on the same instrument in TS…but I think going short and long at the same time on the same instrument is not allowed (hedging).

    The other issue is, it is difficult to distinguish results from different EA’s trading on the same symbol, but there are some ‘tricks’ that make this possible.

    Moreover, trading many EA’s = high margin requirements.

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    #257654
    Customer
    569 Posts

    open positions will be netted, so how the strategies are trading?

    You want to be a profitable algotrader? Sharing of final strategies with real traders just started. Fill in this FORM. 1500+ final SQ3 and SQX strategies for members running on demo accounts DEMO ACCS. We provide also strategies for indices - DAX and DOW JONES, because we have realtick data from brokers.

    #257658
    Customer
    98 Posts

    maybe this will help: https://easylanguagemastery.com/trading-multiple-strategies-with-the-same-instrument-part-1/

     

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    #257659
    Customer
    98 Posts

    But…. back to the main topic…..

    Few months ago, I’ve claimed to have developed a 100% accurate workflow;) After more than 6months of trading I can provide some feedback on that: “it works” in SQX ;)

    HOWEVER! There is a big HOWEVER: it is VERY possible to design a portfolio using SQX, that shows very similar ‘profitable’ behavior in the extended forward data set (your life testing period) as in all previous backtested years that are used for the portfolio design. BUT: This is only true when your data set (=the source of the dataset + trading conditions) are THE SAME, or very similar to the conditions as used during portfolio design. If not, then your live results will be VERY different than what you would expect according to your SQX results.

    So conclusion: if your live forex broker data feed is very different from your historical data set (and the same is true for all other trading conditions like spread and slippages), then your results will be also very different. Thus ALWAYS make sure you first check the correlation between your historical dataset and your live data feed. This is nothing new, and already widely known by many experienced traders, but just in case…. it can save you some time and money.

    In my case the live results are totally destroyed by SLIPPAGES (and I’m not using very low slippage settings using SQX backtests). There is very low correlation between LIVE trades and SQX backtested trades even on the Dukascopy broker. So far I was not able to synchronize SQX to live 1-to-1, I wonder what correlation other traders get, also other brokers etc..

    See the attached figure for a real live test case example (real-ticks real spreads):

    SQX backtest

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    #257669
    Customer
    257 Posts

    Thank you for your sharing, coensio.

    It ’s worth reviewing everything you said in this post.

    Although I don’t have enough proof, I guess an effective way to reduce the impact of slippage on performance is to use a HT, like 4H, Daily bar.

     

     

    #257679
    Customer
    569 Posts

    i dont think so, that slippages has something to do with a trading timeframe – if we are trading stop strategies, we are waiting for a bigger move to hop to the trade – when the bigger move most offen happen?

    after news, unexpected events, when something happen and volatility raise

    and these times we can get slippage on open trade and this is not timeframe sensitive matter

    from my research of my real accounts the slippage is with us, but this is not major issue, mostly the avg. slippage is holding between 1-2 pips for currencies

    overtrading could be a problem, because your costs yre raising with every open trade – higher TFs mostly means that number of trades are lower…this is the only difference, not the timeframe itself

    You want to be a profitable algotrader? Sharing of final strategies with real traders just started. Fill in this FORM. 1500+ final SQ3 and SQX strategies for members running on demo accounts DEMO ACCS. We provide also strategies for indices - DAX and DOW JONES, because we have realtick data from brokers.

    #257680
    Customer
    569 Posts

    also the real tick and real spread is not the best choice…you will get only better backtest, nothing more

    You want to be a profitable algotrader? Sharing of final strategies with real traders just started. Fill in this FORM. 1500+ final SQ3 and SQX strategies for members running on demo accounts DEMO ACCS. We provide also strategies for indices - DAX and DOW JONES, because we have realtick data from brokers.

    #257775
    Customer
    98 Posts

    Thanks hankeys for your input, but SLIPPAGE or better said the “trade execution” at broker side is the only thing I can think off, to explain those differences…the reason why I’m thinking this is the results of the following LIVE experiment:

    1. Make a portfolio in SQX

    2. Run it in forward test for few months on DEMO account and also on a LIVE account (the same VPS).

    3. Retest portfolio in SQX during the forward period (I still think real-tick real spread is the best option here, at least from what I have seen.)

    4. Compare the SQX “forward” backtest to DEMO and LIVE results:

    SQX vs DEMO vs LIVE

    As you can see the results on portfolio level from live trading on DEMO account, more or less correspond to SQX backtested results (= good correlation), however live trading on LIVE account not so much. The main difference between DEMO and LIVE accounts on a MT4 broker is: DEMO accounts are configured by the brokers to have a PERFECT trade execution (perfect timing no slippage), just in order to “push” people to open more live accounts…that is what the brokers do. This particular account made some money in the end but I’m looking for a good correlation between LIVE account and SQX backtest..so far have not been able to reach that goal on a MT4 broker, I see some correlation but I want to see a very good correlation.

     

     

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    #257785
    Customer
    106 Posts

    Hi,

    I’ve experienced same issues than Coensio. I guess slippage is one of the reasons but not 100% sure the only one, I’m suspicious that some indicators could be behind that anomalous behaviour too. Only way I found out to get rid of those strats who behave bad in real is to delete them manually.

    However you can’t get rid of slippage, doesn’t matter if your strats are Breakout, the execution time can’t be zero because of the liquidity provider. Not something to blame to the broker. On demo accounts Slippage equals zero because liquidity is infinitum so all the orders can be executed instantaniouslly. Also, slippage will increase with your order volume (big volumes). BUt that’s something will occur doesn’t matter what market/broker you choose. Of course, if you have a shitty broker this problem is worst

    #257786
    Customer
    98 Posts

    Only way I found out to get rid of those strats who behave bad in real is to delete them manually

    Exactly, this means generating and testing hundreds of strats testing them for a very long time on LIVE and deleting those “bad ones”….and hoping that after this incubation period the strategies will not “expire” very soon…so from a pool of tens I have only few left that correlate to SQX test and show the results “as expected”.

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    #257790
    Customer
    106 Posts

    Yes. I see we’ve come to the same conclusion and the number of hours dedicated to control this issue is insane, but as said; don’t see any other option.

    However the majority of strats behave acceptable. None of them matches exactly to the backtest, for sure. But most of them have similar trades, what do you think 70% maybe?

    #257797
    Customer
    11 Posts

    Coensio, what is the approximate expected pips/trade value on your strategies?

    We trade a relatively big PAMM and we can expect a value of 3 pips for the slippage. I would suggest adding a higher spread value on your data.

    "To be or not to be? That is the qu3stinn" - Monkey on the typewriter

    #257802
    Customer
    98 Posts

    In most cases my expected trade is much larger than 10 Pips over 17000 trades.

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    #257804
    Customer
    569 Posts

    your strategies or used markets or broker, whatever could be a problem

    if i compare my bactests and my real account(s) i am not getting any major differences

    slippage is only problem with STOP and MARKET orders – with LIMIT strats not, for limit orders you are getting slippage to your favor

    this is comparation of backtest (black) on dukascopy data and RED (real account)

     

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    You want to be a profitable algotrader? Sharing of final strategies with real traders just started. Fill in this FORM. 1500+ final SQ3 and SQX strategies for members running on demo accounts DEMO ACCS. We provide also strategies for indices - DAX and DOW JONES, because we have realtick data from brokers.

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