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Monte_Carlo


Total Posts: 3
Joined: Dec 2019
 
Posted: 2020-02-14 08:58
After much tweaking and tinkering, I've convinced myself my models are sound and my strategy is robust. That said, this will be the first strategy I've taken live. I've checked my training/validation/test data for errors against known clean data, my statistical methods seem sound and are without typos, the models do not appear to be over fit, position sizing is appropriate, etc. That said, I can't shake the feeling that I have overlooked some major risk that will blow up my account within a week of going live.

What is on your pre-flight checklist before you take a new strategy live?

nikol


Total Posts: 932
Joined: Jun 2005
 
Posted: 2020-02-14 09:34
Check operational robustness.
What is your daily routine. What can go wrong. How quickly you can get alive (or shutdown) if connection if lost. etc. etc.
Switch-on a bit of paranoia and think through.

ronin


Total Posts: 532
Joined: May 2006
 
Posted: 2020-02-14 09:52
If it's the first strategy, or even the first strategy in a new set-up, first test simple dummy strategies with simple executions.

Just buy and sell some stuff in fixed quantities over fixed periods of time. Check that it really executes what you expect, you see the inventory as and when you expect, you get all acks and fill messages as and when you expect etc.

When that is done, run the strategy in small sizes and paper-trade it in parallel. Check and double check the tape and make sure you understand every single difference and you understand how it will scale up.

Then start slowly scaling up and keep doing as above as you scale up.

In reality, it sounds like you are at best 6 months away from actually trading this in the way that you would want, in the size that you would want.

But that is a great place to be. Good luck!


"There is a SIX am?" -- Arthur

fomisha


Total Posts: 36
Joined: Jul 2007
 
Posted: 2020-02-14 21:39
If you execute programmatically, put lots of safeguards. E.g. how many orders you can send per day/hour/min/sec, how many fills/contracts can you have per -/-, what is the largest order size etc etc. These issues will not bite you in a backtest, but when something goes off in realtime you don't want to be in a situation when you lose your shirt over something which can be prevented by a very simple safeguard, something that a human would easily spot as a mistake.

Monte_Carlo


Total Posts: 3
Joined: Dec 2019
 
Posted: 2020-02-20 19:21
Thanks for the advice all.
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