I spent my entire weekend on this and I'm ready to just bash my head into the wall and give up.
I have a strategy that looks to place buy and sell orders simultaneously using tick data.
This has proven to be extremely difficult, I need some advice from someone who can help me sort through this.
TLDR – should I be using playback or backtesting? And should I be using managed or unmanaged order types? and is there a difference in the results?
Initially I created a strategy that seemed to do exactly what I wanted, and it was profitable enough for me to pursue it further. That is using EnterLongLimit() and EnterShortLimit() inside OnMarketData(). I am using playback from thursday and friday's session, and it doesn't matter what interval I use for the data, I have used 1 minute or 1 tick, it doesn't matter because I'm using OnMarketData to place my orders. At this point I don't know if I should be using a multiple timeframe strategy and a completely different way altogether, but I keep going down this road.
I'm also not sure there is a way to do this using backtesting but I continue down the route of playback, and I export my executions into excel to get some data. I find that a couple trades are blowing up half of my returns, so I decide the next step is to build in a stop loss. That is where everything starts going to hell.
For my life I can't get SetStopLoss() to work. I tried it in every part of the code and it wouldn't work. I decided this is maybe because it needs to run through the full minute bar to work, but it doesn't work on 1 tick interval either. I changed this to ExitLongMIT() and ExitShortMIT(),or ExitLongStopMarket() and ExitShortStopMarket(), nothing has the desired result…as they cancel the other simultaneous orders! Bahh….
SO then I set out to use unmanaged orders. First of all, I had an error that SubmitOrderUmanaged can't be used in a managed strategy. This error wasted 2 hours last night until I gave up. Today I realized that the program needed to be rebooted….epic wtf…working now.
Now the thing is that using unmanaged orders, I spent a couple hours getting it to perfectly replicate the prior strategy, and it can't. It's just different. the fills are completely different. And they aren't profitable at all. So now I am just totally confused and questioning life.
Submitted November 08, 2020 at 09:34AM by stilloriginal