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Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading, + Website by Kevin J. Davey

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CHAPTER 24 Real Time

When I take a new strategy live, I like to review the performance on an ongoing basis, to make sure things are going more or less as expected. For my euro day and night strategy, which I started live trading in late August 2013, here are my real-time updates every three to four weeks of trading it, for the first four months, along with a discussion of a few interesting events that came up along the way.

images Four-Week Review—September 13, 2013, End Date

Week 4 of trading the euro day and night system with actual money is now complete. For the first few months of live trading, every four weeks or so, I review the current performance of the system as shown in Figure 24.1, and answer some standard questions. This information may be useful should the performance of the system become erratic—maybe there was something I could have seen earlier, or something I just plain out missed.

  • Summary: Well, after four weeks of trading this system live, I am right where I started—breakeven. 
  • Am I surprised at this result? Absolutely not. It is well within expectations. 
  • Am I disappointed in the results so far? Yes. Anytime I start a new strategy I want to make money at the beginning. 
  • Are results in line with expectations? Yes. The current profit is below the average I expect, and it is above the lower 10 percent line. So, while it is underperforming currently, I see no reason ...

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