I have been a coder by profession since the late 80's. Never quite created that "killer app" to make me my millions.
Giving it a go now in NinjaTrader.
The driving criteria for me are as follows:
Safety (Prevents catastrophic losses)
Reliability (Power Failure Resistance)
Confidence-inspiring (Hourly status updates by email)
Reasonable Draw-downs
Makes Money
Trading Halts for Holidays/Weekends, or Symbol Rollover (Don't want to take delivery on 1,000 barrels of crude!)
(This will not be the usual Trading Journal. No discretionary trading allowed in this thread.)
I figure I'll relate a key coding tip each day, along with updates as to my journey with the Bot.
My first strategy I went "live" with was against the CL.
(Mike warns us all not to start with this one, but it is so tempting with its big multiplier effect.)
Well, the bot was up for 2 days and lost $2,000. 10% of my stake washed away, being wrong against the "chop", back and forth. On the first trade, I got taken out exactly on the tick of my Stop Loss...the low of the day. Was it the market makers gunning for my stop, or just bad luck?
That strategy had a 34% win rate in backtest, loss limit was 34 ticks or $500, profit target was $3500, so in backtest it looked alright, but the draw-downs were hell. Draw-downs in real life hurt WAY more than Sim, especially when you lead with a draw-down.
Back to the drawing board, I switched to QM. In QM, the profit/loss gearing is about 50% of CL, so my fixed stop/targets work better to not get chopped out, yielding a 65% backtest win rate, with losses still stopped to the $500 range and max profits at $1500. Since QM tracks CL, the same strategy transfers over with new settings.
So I am now on my second week of trading the QM strategy live. The first week won $1000. 2 wins/0 losses.
(This is a swing strategy, if you had not guessed.)
No trades were taken today. Volume on QM stayed low all day. I only enter on volume correlating to price pattern.
(To protect against the poor liquidity QM is reputed for.)