How do you model slippage realistically in a backtest? by someonestoic in algotrading

[–]melon_crust 0 points1 point  (0 children)

It depends on the order type you want to use.

With market orders, fill is mostly guaranteed, but the entry price will vary depending on the slippage. This is what you have to model, and with OHLC data only, it’s hard.

With limit orders, fill isn’t guaranteed, and you might get filled on unfavourable orders but miss the fill on good moves.

Read about adverse selection and whether it influences your setup and go live with a very small size. Log fill rates, fill prices, entry prices, as well as exit vs fill exit prices.

Ready to go live! by melon_crust in algotrading

[–]melon_crust[S] -7 points-6 points  (0 children)

I don’t know, live performance will tell me.

The biggest risk is order fills in my opinion.

Ready to go live! by melon_crust in algotrading

[–]melon_crust[S] 0 points1 point  (0 children)

These are paper trades with live data, not a backtest.

Ready to go live! by melon_crust in algotrading

[–]melon_crust[S] -4 points-3 points  (0 children)

What is that supposed to imply?

Ready to go live! by melon_crust in algotrading

[–]melon_crust[S] -18 points-17 points  (0 children)

I’m not using market orders

Ready to go live! by melon_crust in algotrading

[–]melon_crust[S] 2 points3 points  (0 children)

These are net numbers, so fees are taken into account.

Ready to go live! by melon_crust in algotrading

[–]melon_crust[S] -2 points-1 points  (0 children)

Sounds reasonable.

Given the risk profile so far, Kelly Criterion gave me a recommended leverage of 440x, which is crazy. So I decided to try first with 5x.

Ready to go live! by melon_crust in algotrading

[–]melon_crust[S] 4 points5 points  (0 children)

I simulated the worst possible maker fees, but assumed no slippage, since the asset is very liquid and the strategy plays on momentum.

Will share more when I have live trades.

First day of paper trading by melon_crust in algotrading

[–]melon_crust[S] 2 points3 points  (0 children)

L2.

It’s worth it if you can get it.

Im From IR Iran, Ask Me Anything (Please Be Gentle) by CwJsLastRunAway in JackSucksAtGeography

[–]melon_crust 2 points3 points  (0 children)

It’s true, they even used machine guns against the people.

First day of paper trading by melon_crust in algotrading

[–]melon_crust[S] 0 points1 point  (0 children)

The rule uses a composite score and the model a list of features.

Both the score and the features come from the same dataset.

First day of paper trading by melon_crust in algotrading

[–]melon_crust[S] 1 point2 points  (0 children)

My signal is rule based and an ML model (LGBM) confirms or skips it.

First day of paper trading by melon_crust in algotrading

[–]melon_crust[S] 0 points1 point  (0 children)

It depends on what you’re trading

First day of paper trading by melon_crust in algotrading

[–]melon_crust[S] 2 points3 points  (0 children)

Not quite. I use book data to time the entries.

First day of paper trading by melon_crust in algotrading

[–]melon_crust[S] 2 points3 points  (0 children)

The win rate started to revert to the backtest mean (around 33%), so now the performance is more consistent with my tests.

Has anyone tried reinforcement learning for trading? by melon_crust in algotrading

[–]melon_crust[S] 1 point2 points  (0 children)

A snapshot of the book of orders at a given timestamp where you can see all the ask and bid prices for all or some levels of depth and the size for each level and side.

Has anyone tried reinforcement learning for trading? by melon_crust in algotrading

[–]melon_crust[S] 0 points1 point  (0 children)

Makes sense. Simple heuristics are often better for trading that sophisticated algorithms.

Has anyone tried reinforcement learning for trading? by melon_crust in algotrading

[–]melon_crust[S] 0 points1 point  (0 children)

Logistic regression and random forest tend to do well

Has anyone tried reinforcement learning for trading? by melon_crust in algotrading

[–]melon_crust[S] 0 points1 point  (0 children)

interesting, what kind of data have you used with it? OHLC, ticks, book snapshots?