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  • Writer's pictureJohnQ

Day 6 - No trades as ETF had server/login issues and the end of the challenge

I could not log into ETF Rithmic this morning as there appear to be ETF/Rithmic issues, and therefore, no automated trades were taken.

During the downtime, I had a look at the live strategy performance compared to the backtest performance, and the live trades appear to not match up with what I see in the backtesting data. There are several reasons for discrepancies between the backtest and live trades.

  1. Slippage: Live trade with market orders will cause slippages.

  2. Stop order rejection: When the market moves fast, orders that are placed using the strategy will sometimes cause the order to be rejected. Order rejection has happened numerous times.

  3. Risk to Reward: Most losing trades happen when the risk to reward is not favorable. For example, risking 40 ticks to get 20 (1:2 ratio) caused some drawdowns.

As a result of the discrepancies and findings, I have decided to end the current live testing and focus on addressing the issues. There will be modifications to the code to address the problems found.

I will schedule another live challenge once I feel comfortable with the changes.

Below is the end-of-challenge result. It started with 150,000, and after five days of automated trading, the ending balance is 149, 962.

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