Convert back testing formula to real life algorithm

[michaelb]

Hi, I'm a newby in EFS and I want to develope auto-trading algorithms.
According to the walkthroughs and tutorials, I can test my algorithms with backtesting using Strategy object. However, for the real-life trading actions I should use completely different set of functions (buy, sell etc). So once I wrote and tested algorithm with Strategy, I should completely overwrite it with real-life functions (please correct me if I'm wrong).

I came from software development and I see two major problems:
1. I need to do the same work twice
2. I can't test real-life algorithms. Of cause, I can assume that it is logically the same as one I tested with Strategy, but there is always a possibility for "lost in translation" mistake, that will cost me a real money in a real time trade.

Is there any best practices how i can avoid those problems?
Any help will be greatly appriciated.

Best regards,
Michael

[eSignal_JasonK]

Hello Michael,

We are aware of situation you have described and plan to improve this area of EFS in 2010. Part of the plan is to use the completed Generic Broker functionality for both live and back testing so that you won't have to use two different sets of logic. See this thread for more details on the GB update. At this time, to properly code an automated strategy in EFS you will need to use a third party tool (or write your own) that will give you two-way communication between the EFS environment and your broker account information.

Keep in mind however, that back testing results no matter how the EFS is coded will not be able to produce that exact same results as what would have occurred in real trading. Back testing will only evaluate completed bars, so there will always be a set of assumptions being made for back tested trade fills where as forward testing with the paper broker and live trading could execute on every tick.

[michaelb]

Jason, thank you for your answer. I got a couple of additional questions:

Can you please suggest me a good reference about compatibility issues between Strategy and GB?
Do all brokers provide their own functions set (who provides and who doesn't)?
Also, how can I use broker's specific functionality instead of GB (say, Interactive Brokers)- since it gives me wider functionality than GB does?


Thanks in advance,
Michael

[eSignal_JasonK]

Hello Michael,

The reference you are looking for does not exist as the GB functions are not promoted as an auto-trading solution at this time. As I have mentioned previously, we plan to work on this feature in 2010. Please read this post for more details.

Some brokers do provide an auto-trading facility or API that you can integrate with. You will need to inquire with the broker directly and any documentation they provide.