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Slippage - for a market order it is the difference between the last trade price quoted before sending an order and the fill. For stops and limit orders it is the difference between the resting price and the fill.

Yep, .5 slippage everytime. Today I was trying to sell near the close. I saw the market ticking up to 909.50 and decided to wait and use a market order. Sold just before the close. I saw 909.0 on the screen just before I hit send. What was the fill? 908.50. Maybe my eye/hand coordination isn't...

I've traded up to 50 emini's at a time for my personal account since last year. My slippage has been 0 when using stops or limit orders. Everytime I've used market orders I've had .5 slippage per-side.

Here's the last one; random entry, trailing stop, and 3x the initial stop as the profit target.

Here's a random entry, trailing stop, and profit target of 2x the initial stop in the SP market.

Here's a random entry, fixed stop and 3x the fixed stop as the profit target in the SP market

Here's a random entry, fixed stop and 2x stop loss as profit target in the SP market.

Here's a 11 year test on SP from 1/1/1990 - 12/31/2000 using 30 min. data and forcing exit on the close. This way new trades start every day. I also reduced the trailing stop from 5x the average true range to 3. I'm not sure any of this means anything. I think I'd need to do the test 1,000...

Here's the TS code for anyone interested:

Here's results of a random entry with a trailing stop in the SP market using daily data from 1983 - present.

Since the stop is in place all you can do is manage the winning trade. After the trade is ahead by the amount of the stop I'd move the stop to breakeven (including costs). As the trade went in my favor, I'd trail the stop by the same distance as the initial stop.

I had two months of training at a investment bank. The third month, I traded, lost money... and got kicked off the desk. The fourth month I papertraded profitably. The fifth month I returned to the desk and was profitable for each of the next 40 months.

I was trained as a net position trader at a investment bank years before it was discovered the markets contained periodic non-randomness. In our training we were taught the markets are completely random. Since they're completely random, the entry doesn't mean anything (one entry point is as...

Expectation = (prob. of win * size of win) - (prob. of loss * size of loss) In this case the size of win is a distribution: .6*100 = 60 .2* 240 = 48 .2* -30 = -6 The size of win is 60+48-6 = 102 Solving for expectancy: E = (.5*102) - (.5*-100) E = 51 - 50 E = 1 I wouldn't...

Eddy, That's a pretty clear example of the Gambler's Fallacy. The problem with the thought process is the trades have to be shown to have some dependence for this to work. While regression to the mean is a viable concept, the odds don't improve on any single trade (unless they are dependent)...

I'm a retired trader and an INTJ. My wife is a ESFJ. Very happy together. Here's the link to the test for those that haven't tried: http://www.personalitytype.com/quiz.html

I have a couple of hours to kill before I close out my currently 50+ pt. winner per-contract in the weekly SP trade. I'm sure I'm just lucky! (LOL). This will be my last post on this site. I thought I could add value to some of the folks struggling. However, I didn't realize how thin my skin...

Sorry to have wasted everyone's time on the topic of an edge. It's what enabled me to retire after 14 years as a pro. I can see that discussions of measuring an edge by using conditional entropy and probability sampling are beneath this sites members. If anyone has any further interest on this...

Program trading restrictions. Remember it's been accounting for 50% of NYSE volume recently.

In the trading world it's ancient! I retired last year at 45 and was by far the old man on the desk. Most guys that have made $1.98 retire by 30. As my old boss said, "We like traders that are young, smart, poor, and hungry." Don: Travel is not as appealing as the dream. I hired our travel...