The live trading results for the 200K Portfolio for the month of May were:
$29,714
The hypothetical results for the 200K Portfolio for the month of May based on 6 micros per 200K or 60% of 1 e-mini were:
$37,869
This difference is too large and this is Part I of a video highlighting the differences.
Throughout the month of May, we noticed trades that were different between our desktop research platform and the server platform for strategies using the NYSE TICK. The research platform includes data sets with missing data. I am working with the Tradestation data integrity team and a data scientist to show the visual differences between the two data sets.
Hopefully once the data issues are resolved, the hypothetical results will show the additional trades that went against us on the hypothetical platform to match the server platform and our hypothetical results will adjust and come down closer to the live results.
We don't typically see this many data differences so we are working with Tradestation to resolve this. There are occasional data differences but we have seen data differences all month long.
Stay tuned for Part II next week.
Overall, we are happy with a nice profit on the month.