About to go live with my Auto Trader what can I expect?

[olingerc]

Ok here's the rundown. I've developed a automatic trading system for the emini ES. It back tests $9,300 return per contract traded before commissions with 479 trades since Jan 1st 2011. So with my commissions (1.91) its about $7,500 per contract return. Does this number sound un realistic? I look at the graph and its for the most part linear through every single week and every single month. I even can calculate a slippage of .25 points into the simulator and it still returns $6,000 in the same time period. Lately I been running the trading program on a simulation account and just been doing the trades mutually on my live account when they fire off. My entry and exit points are for the most part the same as the simulated program. I think I only get slippage because I was maybe a few seconds behind with the mouse click.

Would it be more beneficial If I just run my live account with the automated trader to decrease slippage? .25 points is 12.5 dollars. 12.5 dollars margin of error on every single trade in the long term is huge. Granted I can always get slippage in the direction of my favor also.

Is a $9,300 return from Jan 1st to present enough to say that if I just do this trading system I will always be profitable? Can anyone else chime in as to what their back testing yields vs live account would yield. To me I think both simulation and live account should be relatively equal. I can't see my entry or exit points being to far off from what the simulator would spit out.

Thanks

[Shanghai]

Its perhaps not the best place to post this as it is more of trading strategy question as opposed to an automated trading question. Its not clear from your post how much trading experience you have but I would take things slowly.

Is a $9,300 return from Jan 1st to present enough to say that if I just do this trading system I will always be profitable?

Its unlikely to be enough backtesting, particularly if you want to "always be profitable". And what do you mean by that anyway, profitable every day, profitable every month? And what about drawdowns? These are one of the most important parts of a trading system. What drawdown would you be prepared to accept? 10%, 20%, 60%? What does your backtesting indicate? How much risk are you taking on each trade? If a single trade goes wrong how much could you lose?

I suggest that you backtest more, in a variety of market conditions and that you follow that by forward testing if you haven't already done so. Then when you take the system live trade small amounts at first that won't hurt if you lose them. There is plenty of time to make big bucks if you system is as good as you hope.

With regards to the difference between trading manually and automated then there may not be too much difference. You may get cleaner entries when you automate it.

[naxo79]

The market has been just going up the whole time.

Probably a good idea to test maybe back to 2008?


Or maybe you have done it?

[olingerc]

Have done it. Even though the market has been going up the past year. Half of my trades are short trades. And the net from long to short are about the same. Its a intraday system so long term trends really do not play that much of a role. Max drawdown is 1.47% I do not know if that is "good" or if that is bad. I actually tied it into my live account already. I am seeing how it performs at the moment.

After around 2 years of testing and trying so many different things It is the best I could come up with at the moment.

[naxo79]

Ok, hope it goes well. Similar situation here.

[freewind]

The next step for you is to run it on paper money(forward testing) this will check if you over optimized your systems.

[Muddy Farmer]

olingerc,

Just wondering how your live ATS has gone? I'm just about to launch live via NinjaTrader my ATS after considerable backtesting. Any tips you can share from your experience? Anyone else have any advice?

Cheers.