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Thanks for clarifying! I was trying to use the calculation from your book, but it didn't match the calculations from the calculator on your site at first. I even pulled out my Van Tharp books and realized he did not have the calculation clearly defined. I trolled here and the internet and came up with a few different calculations
Regardless of how the calculation came out, I believe my expectancy is good.
Now, I think my Van Tharp expectancy is .78 for that two day period, .30 for the month of January. Phew, no sweat.
I just have a quick update. I set my ED strategy on for EDZ20 last night, but I failed to turn on the automation, thus I missed 4 hours of trades.
Also, things started to get weird once I turned on the automation. Some orders were not getting sent from the strategy, possibly because I am doing other work on my PC. The solution will be to restart, but for now I'm just watching it. As-is, I know I will not have accurate reporting. My solution on Monday will be to cold-reboot my PC on Sunday evening, then set my strategies. I have a pretty powerful PC (my own build), but Tradestation still has some performance issues when performing multiple tasks (it locked up twice yesterday).
Friday was a bad day from the start with Eurodollar, but it had a silver lining. I will just go through each piece, one by one.
Forgot to automate my strategy
Yeah, this happened. So no trades were taken. This becomes important a little later.
TradeStation goes wacky
Once I turned on automation, a few weird things happened. Firstly, there were trades that should have been sent to the Trade Manager, but weren't. Secondly, later in the day, I turned off the automation because the trades weren't going in. Then at about 1400 I saw that a buy order went to the Trade Manager, and then was filled before I could react. I immediately sold, since I wasn't supposed to be in any position. I thought I might have fat-fingered something, but then it happened again sometime after 1500, this time a short sell. My strategy does not trade after 1500 and I know for sure that I did not accidentally place an order, but it happened again while I was working on backtesting another strategy.
I don't know where these orders came from. Maybe they were stuck in memory....I just don't know. I won't go into my bad history with this software, but it is what I have for now. I suspect that maybe I am causing this by doing other things on my PC while my strategy runs.
Disappointment
My main disappointment is that I was not able to allow the strategy to run and evaluate the execution, which was my primary goal.
Not a total bust
Yesterday would have been a losing day, likely about -$44 on one contract (or -$440 when I scale up). So I avoided losses, but again my goal is to see if the strategy executes. This was my silver lining, for what it's worth.
Lessons learned:
Restart PC before each trading session
Turn on automation at the beginning of the trading day and leave it on
Do not do anything else on my PC that is processor intensive (e.g. optimization)
If the strategy has problems, restart everything and enable the strategy at the beginning of the next bar
So this wasn't my best week, but I do expect things to be better next week. I am excited to take @kevinkdog's Strategy Factory course on Wednesday, so hopefully it ads value to our strategy development processes.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,057 since Dec 2013
Thanks Given: 4,399
Thanks Received: 10,225
Or have a computer dedicated to running your Tradestation automation. You can get something cloud based very cheap <$60/month. Dedicated server will $100+/month.
Thanks for the suggestion. This is already in the pipeline for us. We will be moving to a virtual PC at some point in the future dedicated to running our strategies, because this solves a few of our problems: uptime (internet connectivity, overloaded PC, location dependence/mobility, etc.). The problem I have not solved is the increased costs, mainly around data fees. Example:
PC 1:
Runs our live trading strategies
Data fees: $160 / month
Virtual machine costs: $0-60 / month
PC 2:
Development of strategies
Back-testing and optimization
Sim testing
Data fees: $160 / month
TradeStation (and I'm guessing other platforms are similar) only allow us to have one active login: either sim or live trading, but not both simultaneously. I believe this is due to exchange limitations regarding data usage (one active connection per data subscription), but I'm not certain. Anyhow, I can do development offline with data, but there are limitations, and I need to be able to do both sim and live at the same time, otherwise development gets to be exceptionally difficult.
If anyone knows of a better solution for running sim and live at the same time, I would appreciate any feedback.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,057 since Dec 2013
Thanks Given: 4,399
Thanks Received: 10,225
Sorry for double post.
Re: Tradestation. You can get a second account, thats what I used to do. On the primary account I would have real time data just for the products I was trading, then on the second account have delayed data for everything! As long as your primary account does 2x the minimum volume, both accounts will have Tradestation for free. You will have to pay for data on both accounts though.
Thanks! We have a main account and a sub-account. We do get TS free, but of course there is data. We are classified as pros, so hence the higher fees.
I may open a personal account, which may help but I am working through the particulars of that. The main thing for me will be running sim for a long period of time while trading live. Algorithmically of course.