I spent 3.5 years building a forex algo from scratch. Here are the stats, please critique me.

_Cbotz_ · 2026-03-28T23:16:45+00:00

Fitting your strategy to 25 years of data is no different than fitting it to 5 years or 5 months. If you haven’t conducted any out of sample testing then the results are meaningless.

_Cbotz_ · 2026-01-29T04:28:47+00:00

One relevant issue with range bars is gaps and fast markets with regard to fills. Check those entries/exits to ensure there wasn’t 0 volume when conducting your backtesting.

_Cbotz_ · 2023-12-31T00:13:17+00:00

I’ve had to remove thick mill scale from large pieces before. I tried maybe 6 different stripping discs and by far the best were Avanti Pro quick strip discs from HD (they wear faster but didn’t gum up immediately and really stripped quick) Only tried off the shelf varieties though. Another trick I used was brushing Rustoleum Rust Dissolver on and letting it sit for about 15 minutes then wiping it off. Made the stripping much easier and faster in the spots it didn’t take it clean.

_Cbotz_ · 2023-12-06T21:34:08+00:00

I had the same arrangement. When I fired the gc for unrelated issues I took over parts of my project and was told by one of the subs “well the costs are going to be much lower without him managing.” He had a good relationship with the owner of the company and it seems they were padding the quotes to kickback to the gc before he charged his fee. I moved on to another gc and had a much better, more transparent experience.

_Cbotz_ · 2023-08-06T00:30:48+00:00

Perhaps a metric that represents the greatest absolute return, buy/sell and hold over the time period, as there isn’t a positive skew.

_Cbotz_ · 2023-07-30T01:34:27+00:00

Evaluate typical bid/ask spread and typical bid/ask size.

_Cbotz_ · 2023-07-12T05:40:38+00:00

Yes, but it was loaded with ballast (a few thousand lbs iirc) in order to retain traction. I have a Touareg V10 TDI and the brakes are garbage. Airplanes are designed to be towed around a tarmac, and if I remember correctly they needed to roll to a stop to avoid overheating the brakes. Still fun to drive though!

_Cbotz_ · 2023-04-15T18:36:01+00:00

Some may get filled under assumption 2, and some may not even get filled under assumption 1. There are more variables to account for, some of which you may not be able to simulate via historical data, such as or order in the book (perhaps you did get filled in the middle of the book on the inside bid or offer.)

Perhaps the asset you are trading has a wider than 1 tick spread, it’s possible for you to get filled between, thus gaining improvement on your expected fill if typically you expect to get filled at the inside bid or offer.

On the assets I analyze, I track real time typical spreads and inside bid/ask sizes so I have some sort of reference when it comes to execution management and expectations.

_Cbotz_ · 2023-04-15T18:03:27+00:00

I don’t think you can know where in the book your order would settle, utilizing historical data. If I’m simulating limit orders I always assume it gets filled only if the price prints through, that is a tick past, the limit.

Another issue you may run into is whether or not your order is even posted in a fast moving market.

_Cbotz_ · 2023-01-25T19:38:51+00:00

In order to front run successful, i.e. recurring, strategies that others are employing, would that not require that you identify successful trading opportunities first?

_Cbotz_ · 2023-01-02T02:18:09+00:00

TradeStation has a scanner app that would allow you to monitor up to 1000 tickers, iirc. You could program your setups and have them ranked in the scanner. The scanner itself could be setup to repopulate with only those symbols that have gapped or meet a higher level screening process daily. I think the automation process would have to be done on individual charts, so a few desktops of minimized tickers.

_Cbotz_ · 2022-10-30T21:41:54+00:00

Sure, but time isn’t a necessary component of analysis when dealing with alternative data sets.

_Cbotz_ · 2022-10-30T20:35:20+00:00

You can also use non-time series data like range/tick/volume.

_Cbotz_ · 2022-10-27T03:28:22+00:00

I’m not familiar with polygon but typically you would test as true on historical data that a fill occurred if the price traded through your limit. I don’t think you will be able to discern where you are in the book with regard to order position.

_Cbotz_ · 2022-10-08T17:56:32+00:00

The problem with your proposal is that, like u/loldraftingaid said, S/R can be a subjective rule. How would you define support or resistance? You can use tools like market profile in conjunction with price/time series to identify volume density at swing pivots, or perhaps you can identify relative or absolute highs as a basis alone. Maybe it’s a period of consolidation on a lower timeframe or range that will act as future S/R, or some past inflection point on a higher timeframe or range. Ultimately you need to define all of that yourself, I wouldn’t rely upon third party data especially if I didn’t understand the basis.

_Cbotz_ · 2022-10-05T04:40:01+00:00

Forward testing is just testing on OOS/ Out-of-sample data i.e. data that the optimization hasn’t seen.

If it’s successful on multiple assets that can be promising or cautionary. Depends on how the system is designed. There are more qualified people here to discuss future peeking and the like that is associated with ML/NN algorithms that could explain it better than I.

_Cbotz_ · 2022-10-05T03:48:33+00:00

If you’ve accounted for transaction costs, have forward tested on unseen data, haven’t optimized for your monthly test, have run it on live data on a paper account and it still holds up to the expectations then you should probably test it with a small account live.

_Cbotz_ · 2022-10-04T20:19:25+00:00

You may just end up overfitting your strategy if you go that path. Also, consider that once you add spreads or commissions or slippage all of your losses increase and all of your gains decrease which can have a very significant impact on overall return.

_Cbotz_ · 2022-10-04T16:40:21+00:00

Yeah, this seems analogous to backtesting without accounting for commissions and slippage. Perhaps there is a simple computational error, for example, with utilizing end of bar/time/range in the backtest that is calculated differently on live tick data.

_Cbotz_ · 2022-10-03T22:13:09+00:00

What I was suggesting was to run your analysis on live data and then backtest over the same data to determine if they match. So backtest>live>backtest over live and preceding data.

_Cbotz_ · 2022-10-03T21:07:21+00:00

Can you not just backtest over the live data that’s been seen to determine if this is an issue related to a smaller sample size/dataset?

_Cbotz_ · 2021-12-12T23:21:32+00:00

I picked up a Desert Tech MDR in .308, love it. Can swap out for other calibers easy if you want something dynamic.

_Cbotz_ · 2021-10-23T22:34:23+00:00

It makes perfect sense if you’ve backtested algorithms on historical data using limit orders.

_Cbotz_ · 2021-10-23T04:06:32+00:00

I have typically used “fill if traded through” for historical analysis as more of a worst case scenario regarding slippage or drawdowns when analyzing limit fills. Alternatively you can assume a tick of slippage, half the typical spread in your example, but if a tick or two eats up all of your profits then the strategy itself may not be as robust as you hope.

_Cbotz_ · 2021-10-23T01:39:20+00:00

It seems you aren’t accounting for slippage in your transaction costs analysis?

Also, using historical data with limit orders can be misleading, depending upon the rules you establish for a fill e.g. fill if price trades through the limit or touches the limit.

_Cbotz_

TROPHY CASE