Hi
With strategy evolver I generate strategies with historical futures data. Evolver generates strategies, which I backtest with different historical futures data and they give good results, with commissions included. These are strategies applied on short time intervals such as 5 or 10 minutes, which generate profits of 1 or 2 ticks ( some kind of high-frequency trading).
But in live trading, due to the existence of slippage, the results are very poor and even negative.
I would like to ask if two things are possible.
1. If there is a possibility in Strategy genetic evolver, before it starts generating strategies, slippage can be included. For example, to include one tick slippage and then generate strategies, so that the results look more reliable. On such small time frames, it is unlikely that strategies with positive results will be generated, but I would like to try with larger time frames, for example 30 minutes. I haven't been able to find such an option, so if anyone knows, it would be helpful.
2. Is it possible to include a targeted profit in the preferences of Genetic Evolver before starting to generate strategies? For example, to generate strategies with a profit of three ticks and then to evolve strategies. In the preferences there are only options to choose Profit per bar, profit pct, …. Maybe there is such an opportunity, but I can't find it.
With strategy evolver I generate strategies with historical futures data. Evolver generates strategies, which I backtest with different historical futures data and they give good results, with commissions included. These are strategies applied on short time intervals such as 5 or 10 minutes, which generate profits of 1 or 2 ticks ( some kind of high-frequency trading).
But in live trading, due to the existence of slippage, the results are very poor and even negative.
I would like to ask if two things are possible.
1. If there is a possibility in Strategy genetic evolver, before it starts generating strategies, slippage can be included. For example, to include one tick slippage and then generate strategies, so that the results look more reliable. On such small time frames, it is unlikely that strategies with positive results will be generated, but I would like to try with larger time frames, for example 30 minutes. I haven't been able to find such an option, so if anyone knows, it would be helpful.
2. Is it possible to include a targeted profit in the preferences of Genetic Evolver before starting to generate strategies? For example, to generate strategies with a profit of three ticks and then to evolve strategies. In the preferences there are only options to choose Profit per bar, profit pct, …. Maybe there is such an opportunity, but I can't find it.
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