Search results

Now I am confused. I thought your system(CT) essentially marked a price level then sold high and bought low in a range around it??? What I am asking is why you didn't get any"buy lows" from the yellow circles in the middle?

Re CAD, Yes I see you buy 1 initially, but then as price goes down I see the yellow circle which is you marking the price, but you don't buy more as you go down(until the low) instead the price is remarked. That's great - but how did it avoid seeing lower price as a "good location" to buy...

Abattia, That's what I am trying to work out! And I want to see if anyone who has developed a fill-engine has had similar results once running live. I believe that Tom, has a different approach, so the question might not be relevent to him.

Tom, I think our posts have crossed! Yes - I can understand why you like "intrinsic time". But I was just looking for a rough number. From your charts - it looks like you probably trade < 10 times per day per instrument? Would that be correct?

http://www.datatime.eu/public/gbot/Tue%2022%20Jun%202010_port4001_Cli1_2/GBotReport_2010-06-22_port4001_Cli1.htm Tom, In this CAD chart. Why is your model not buying more on the way down?

Ah I see. What would you call "medium frequency" in TPD? And are you sytems intra-day i.e. Do you flatten position each night? Moon

Tom, Excuse me - I should have been more specific. I am thinking about resting "limit" orders, anf quite High Frequency. Moon

Hi Tom, Thanks for quick response. By simulated I mean backtest. BUT in particular here I am talking about backtest of a strategy that uses LimitOrders not MarketOrders. MarketOrder backtests I understand pretty well. But simulating when you might get a fill on a LimitOrder is a different...

Hi Tom, Have you found a close correspondance between your simulated fills and what you get in real life? Moon

Depends on the timescale of your strategy. You may only need more granular data if you intend to trade at a higher frequency.

Does anyone have experience of creating a fill-engine for simulating limit orders - and then has compared that to live trading results?

Is this the wrong forum for CME? Could someone point me to the right place please?

Hi, Has anyone successfully created a fill engine to backtest limit orders on CME? I could do with some advice. Moon

rosy2, Sorry - another thought. If you are picking up that market is "different" surely you are less likely to get out for 1 tick? Would spreads not be likely to have widened?

rosy2, Being out by 1 tick in FX isn't guaranteed... I guess markets are different.

LngEnf2NoBetter, I do not know what you trade, but do you think the FX market is somehow different. And that maybe why vol-stops don't add value? I am am a bit stumped as to why I see not the slightest benefit.

rosy2, Do you not find the cost of "quit before you reach your loss limit" when spread tells you market is different, is prohibitive. The cost of exiting a trade, and missing potential opportunities, is usually higher than the benefit of getting out before a bad move. Do you find...

Hi, Can anyone tell me the best platforms available to private traders that would give closest match to EBS and Reuters?

Mizhael, Hi I am a bit late to this thread, but I am thinking about stops myself right now. 4% is noise. BUT does it limit your max hit on any day? If so, as it's not effecting your performance overall - put it in. BUT is it really helping? I have found it difficult to find a working...

LngEnf2NoBetter, Now you've got my blood up! I spent the afternoon revisiting vol-based stops - I am not finding value. By value I mean - the Sharpe goes up, or at least the maximum drawdown goes down. I take it - you are intra-day with these models?