Again ask yourself why is algo performing like this, if you can't explain it in a sentence it is probably a fluke

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My approach would be to search activily for counter arguments, saves lot of time

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rlstreet 

Again ask yourself why is algo performing like this

A lot of good posts came so far and the quote above is the most important question. According to the recent answers from topic opener he's on the right way and it seems he just seeks for some opinions from other people.

The point is: If the question why the algo performs great can be answered with the followed defined workflow than things turn out to be great for the system. If it's not clear to see which points the system claims from the market than one has to be extremely careful.

Either way at this stage I'd immediately go live for testing purposes and as said before in MC you can do this even in live-account (correctly configured the trades won't be transmitted to the broker). Doing this in the last months I came upon some problems in MC where trade entry points are not as correct as they should be even though I was using second data for tests on a 15 minute time frame. Thatswhy I asked whether he could show us some screenshots with entry / exit points. This way he doesn't necessarily unveil the strategy and it could help in a great way to have a better approuch to answer the question of this thread.

rlstreet 

Again ask yourself why is algo performing like this, if you can't explain it in a sentence it is probably a fluke Sent using the NexusFi mobile app

I have to accept all critics because every word can help me to grow.
Honestly I've already replied to this. I don't see any particular performance here. It is actually performing as it should based on my entry rules. It WIN and LOSS and I already said that my entries are on Value Area High, Value Area Low and POC. It doesn't have any magic tools inside.
I can explane every details except the full logic code that I'm going to take for me.

PK 1 

A lot of good posts came so far and the quote above is the most important question. According to the recent answers from topic opener he's on the right way and it seems he just seeks for some opinions from other people. The point is: If the question why the algo performs great can be answered with the followed defined workflow than things turn out to be great for the system. If it's not clear to see which points the system claims from the market than one has to be extremely careful. Either way at this stage I'd immediately go live for testing purposes and as said before in MC you can do this even in live-account (correctly configured the trades won't be transmitted to the broker). Doing this in the last months I came upon some problems in MC where trade entry points are not as correct as they should be even though I was using second data for tests on a 15 minute time frame. Thatswhy I asked whether he could show us some screenshots with entry / exit points. This way he doesn't necessarily unveil the strategy and it could help in a great way to have a better approuch to answer the question of this thread.

Hello PK 1,

Thanks again for your reply. To BE CLEAR I'm saying THANKS TO EVERY REPLY HERE FROM EVERYONE, they're helping me a lot to understand what's the best practice before go real. You're right, I like to receive some opinion from experts in automated systems before go live with real money FOR THE FIRST TIME.

About the question "why is the algo perform like this": As I said above the system is simply doing what it's supposed to do, I'm not surprised about entries and exits as they are performed as they should around VAH and VAL and POC of the previous day.

What I'm actually doing with other strategies is to leave them live all the day on MC with IQFEED and save every late evening the entries and exits on an excel file and then I compare those live results with the backtest.
And of course I'll do it with this stategy as you suggested. I'm also convinced that a minimum of incubation period is needed to see in entry levels during live simulation match with backtests entries.

Another talk is the broker, latency, datafeed.

As datafeed actually for the EUREX I'm using IQ FEED. Almost all people around here and elsewhere said that their close to the best and as far as I can see that's true.
I actually I have an italian broker WEBANK (they also give for free with the trading account the datafeed but I think that maybe is best to use IQ FEED Anyway don't you think?) and I have NO IDEA about their latency during order transmissions and executions and this is something that I have to investigate. But only a real test can show me how fast they are.
Secondary thing I have to decide if charge my account on WEBANK for algo trading or go with another broker like IB or similar. All will depends from:

1) How fast the new broker will be compared to webank (and with the good reputation of IB I think it's not easy to beat them with whatever italian bank)
2) from the margin required for the big DAX that is very high even for intraday trading.

Anyway I think that a good and clever idea would be to test it first on the MINIDAX and take a risk (and the gain) 5 time smaller... if it will perform as it should I can simply add contract if it gain enough money to cover the risk.

Actually I don't have other data subscription than for the EUREX exchange so I can test it only on dax and on the euro BUND.
I would be curious to test it with the ES and I'll do it as far as I'll find some good data of the last 10 years...

Your doing the right thing to ask around. The more point of views, the better the result.

But what I mean is a more fundemental question you have to ask yourself: what is the deficiency you think that this algo is exploiting? Preferably you do this in advance of developing an algo, by doing a little research: article's , own research. So you know what is going on and where the odds are.

So if I had an algo going long thebDAX when the sma200 is half the size of angle of the Moon compared goals scored by Germany, and back tests results where amazing, would you trade it, only because of the back test results?

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So my advice: don't take it just works for an answer, but try to come up with a mini theory why something is working, by doing some research. Imo this way you really learn and develop the skills for an algo trader.

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Dvdkite 

Hello PK 1, Thanks again for your reply. To BE CLEAR I'm saying THANKS TO EVERY REPLY HERE FROM EVERYONE, they're helping me a lot to understand what's the best practice before go real. You're right, I like to receive some opinion from experts in automated systems before go live with real money FOR THE FIRST TIME. About the question "why is the algo perform like this": As I said above the system is simply doing what it's supposed to do, I'm not surprised about entries and exits as they are performed as they should around VAH and VAL and POC of the previous day. What I'm actually doing with other strategies is to leave them live all the day on MC with IQFEED and save every late evening the entries and exits on an excel file and then I compare those live results with the backtest. And of course I'll do it with this stategy as you suggested. I'm also convinced that a minimum of incubation period is needed to see in entry levels during live simulation match with backtests entries. Another talk is the broker, latency, datafeed. As datafeed actually for the EUREX I'm using IQ FEED. Almost all people around here and elsewhere said that their close to the best and as far as I can see that's true. I actually I have an italian broker WEBANK (they also give for free with the trading account the datafeed but I think that maybe is best to use IQ FEED Anyway don't you think?) and I have NO IDEA about their latency during order transmissions and executions and this is something that I have to investigate. But only a real test can show me how fast they are. Secondary thing I have to decide if charge my account on WEBANK for algo trading or go with another broker like IB or similar. All will depends from: 1) How fast the new broker will be compared to webank (and with the good reputation of IB I think it's not easy to beat them with whatever italian bank) 2) from the margin required for the big DAX that is very high even for intraday trading. Anyway I think that a good and clever idea would be to test it first on the MINIDAX and take a risk (and the gain) 5 time smaller... if it will perform as it should I can simply add contract if it gain enough money to cover the risk. Actually I don't have other data subscription than for the EUREX exchange so I can test it only on dax and on the euro BUND. I would be curious to test it with the ES and I'll do it as far as I'll find some good data of the last 10 years...

If you're don't super accurate/unfiltered tick data you should use IB. Just be sure your account is hosted in Zug Switzerland and not somewhere else. You can't use IB for large historical data but if you already have the data with IQFeed...
No idea on what Webank is using, it might be a white label trading platform and same thing for the data/order feed (I didn't recognized the trading platform).
You can have an idea of the execution latency in sending a limit order far from the current price and cancel it when it's in the book. Not 100% accurate but it will give you an idea.
IQFeed servers are in Nebraska, DAX data is coming from Frankfurt, and you're in Italy, so this combo will take time . But not a big deal on large time frame.

sam028 

If you're don't super accurate/unfiltered tick data you should use IB. Just be sure your account is hosted in Zug Switzerland and not somewhere else. You can't use IB for large historical data but if you already have the data with IQFeed...

AFAIK people from EU are hosted in Switzerland or maybe London. Recently I called them on the phone regarding PRIIP and according to that accounts from residents from the EU are definitely treated different to accounts from the US, so must be the account. But I wonder if there's a difference when it comes to the data, when reading the quote above.

For my combination of IB and MC I can say the tickdata is something like 1 second data. I'd think this is due to the known kind of tickdata from IB. For using many years of historical data it doesn't matter whether IB is used or not, MC is dealing with the data and there is no real limit.

PK 1 

AFAIK people from EU are hosted in Switzerland or maybe London. Recently I called them on the phone regarding PRIIP and according to that accounts from residents from the EU are definitely treated different to accounts from the US, so must be the account. But I wonder if there's a difference when it comes to the data, when reading the quote above. For my combination of IB and MC I can say the tickdata is something like 1 second data. I'd think this is due to the known kind of tickdata from IB. For using many years of historical data it doesn't matter whether IB is used or not, MC is dealing with the data and there is no real limit.

It's Switzerland by default for IB European customers (nothing in London) but if the customer is mainly trading US stocks or futures they will move the account in Connecticut or in Chicago. It's also possible to ask IB to move to one of these data centers. This is for the order feed, for the data themselves there are different farms for each instrument type/source of the data.

IB "tick data" is in fact 4 snapshot/second. Not sure why they keep doing this in 2018...