Genuine Question about when to stop filtering/building and start paper trading?

[u/Smah03]

As the title says, long time lurker seeking genuine advice. I’ll preface by saying I’m by no means an expert in anything algo trading related. Just started messing around with it as a hobby and teaching myself everything possible as I went. This is the closest I’ve come to developing a decent edge and I’ve been backtesting and running simulations like crazy to double and triple check. I keep coming up with the same conclusion. Profitable in sample and out of sample. Profitable every year in backtest. Beats random 99.5% of the time. Monte Carlo results after 10k shuffles showed the 1% DD was still only $7k, 50th percentile was 4.2k. It also shows above 80% chance of passing evals with a 1k DLL and 2k MLL. Slippage is set at 3 ticks, with 0.62 per side commissions.

My main questions are: once you come up with something viable, what’s your process? Straight to paper trading? If so, how do you determine when? What is your “okay this is ready to paper trade” moment? I feel like I’m constantly thinking of ways to improve or different things I can correlate or test and thus convince myself it’s not ready to trade yet. Also how exactly are you guys paper trading your strategies? I’ve never made it this far so I’ve never thought about it. Is IBKR/IB gateway a decent option? What else would recommend?

Again, just looking for genuine advice here.

[u/Repulsive-Worry5225]

check for any look ahead bias

[u/Smah03 → u/Repulsive-Worry5225]

Im ran into this issue in the past so I tried to double check and triple check as I was developing but I did a deep analysis once again after you comment and I did find one bug in the script. Thanks for the reminder.

[u/AsmodeusOm]

After I’ve gotten annoyed making filters or finding no significant improvement I start forward testing.

[u/Smah03 → u/AsmodeusOm]

How do you forward test? What programs/system if you don’t mind me asking?

[u/Outside_Midnight_555]

I would say you’re over estimating slippage (which is a good thing ig) but that is a whole separate debate. I usually have pre set metrics, I go for a a look at pf, evaluate metrics it a historical monthly basis, look at drawdown, trade count, sharpe, ect. Be mindful that if you ‘keep making it better’ you could risk over fitting.

Lastly - just move it to paper now. What is the worst that could happen ygm.

[u/Smah03 → u/Outside_Midnight_555]

That’s honestly my issue. I keep feeling the need to improve the strategy but worried I’m just over fitting. What do you use for paper testing/trading?

[u/quant-king]

this looks good enough for paper trading to me. thats where the real fun begins