I've found lots of awesome awesome Algos here. Everything works great in theory and backtest. Who's actually live trading and hows it going? I plan to set an algo up on robinhood.
I am live trading too. My algo is trading as expected and within a reasonable margin of error.
The biggest problem I have is caused by backtests being run per minute. So a trade placed at 10am in the backtest, is actually running off the close price of 10am (which should be thought of as 10:00:59). But in the live environment, the trade is placed at approx 10:00:01
So there is a 58 second price error here. This could be reduced by using 10:01 in live, therefore reducing the price error to 2 seconds.
I'm live trading with 3 accounts (3 different algo's: a value, a momentum and a minvar) and each trade as expected. I usually do a bit better then the backtest as I dont seem to have a lot of real life slippage. I expect to put another 3 live in the next 3 months.... I hope to put some estimize data to work, some debt/equity issue algo, frontrunning the indexes and maybe maybe a volatility algo.... if my family lets me alone for a few hours a day ;)
http://www.ft.com/intl/cms/s/0/0808729a-faa6-11e5-b3f6-11d5706b613b.html
Quantopian seems to be doing okay with their hedge fund too!
Mohammad Forouzani also states here: https://www.quantopian.com/posts/is-slippage-a-silly-idea something I found interesting:
When backtesting, I could not figure out why my model was not profitable. After hours of scratching my head, I finally turned off slippage and BOOM - instant profitability. With the slippage model active, almost every trade I made lost money.
I suspected that the Q slippage model was not real at all and decided to go live with my algo. My suspicions were correct. For my algo, the Q slippage model doesn't apply at all.
I should note that I am only trading 6 figures. Once I start trading larger amounts I expect to start experience minor slippage, but I trade very liquid securities so I don't think it will be a big problem. Also, I converted many of my algo trades to limit orders to get around slippage when trading live.
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