+ and - slippage on MOC orders

T

TraderD

This is my first post, many thanks to all contributors!:)

I am backtesting high churn system which enters on open and exits on close using market orders. My original assumptions were that with Market On Close orders I would experience both positive and negative slippage about 50% of the time, and therefore I could ignore slippage. Is this a correct assumption?

Thanks!
 
Originally posted by TraderD
This is my first post, many thanks to all contributors!:)

I am backtesting high churn system which enters on open and exits on close using market orders. My original assumptions were that with Market On Close orders I would experience both positive and negative slippage about 50% of the time, and therefore I could ignore slippage. Is this a correct assumption?

Thanks!
More...

Maybe, but, that's not the market I know. You might experience slippage evenly, but slippage often goes with the trend. So if you're closing out a long on a downstroke slippage will probably work against you.

If you're long in an uptrend or short in a downtrend, slippage may cancel out. If you're short in an uptrend or long in a downtrend, it may work against you. Best case is neutral, worst case is negative.

I'm no expert. I would err on the side of conservatism, myself.
 
Actually, the way I understand MOC orders, there is no slippage on a market order - because there is only one price, not a bid and ask. Of course that doesn't mean you get a good price, just that there is not a spread.
 
Originally posted by drbtk
Actually, the way I understand MOC orders, there is no slippage on a market order - because there is only one price, not a bid and ask. Of course that doesn't mean you get a good price, just that there is not a spread.
More...

often the moc prints are substantially away from the last prints of the "day."
 
Originally posted by TraderD
This is my first post, many thanks to all contributors!:)

I am backtesting high churn system which enters on open and exits on close using market orders. My original assumptions were that with Market On Close orders I would experience both positive and negative slippage about 50% of the time, and therefore I could ignore slippage. Is this a correct assumption?

Thanks!
More...

Your methodology has one major flaw, and that is the market order for the opening. Many have backtested to prove the slippage back (when opening up on imbalances), and vice versa.

There are other MOC gambits that have proven to be more viable, and, of course, the Opening Only strategies (outlined here on the board under "Don's Openings Part 2" ) speak for themselves.

Welcome to you, and keep the posts coming!!

Don
 
This may sound naive, but to test the system (back to 1970) I had to use open/close prices and make assumption that over large number of trades my entries/exits would be close to open/close prints.


Don:

>>"Your methodology has one major flaw, and that is the market order for the opening. "

I should clarify, system uses market order few ticks after the opening (it needs to know opening price).

>>"Many have backtested to prove the slippage back (when opening up on imbalances), and vice versa."

Can slippage be really backtested?
 
This may sound naive, but to test the system (back to 1970) I had to use open/close prices and make assumption that over large number of trades my entries/exits would be close to open/close prints.


Don:

>>"Your methodology has one major flaw, and that is the market order for the opening. "

I should clarify, system uses market order few ticks after the opening (it needs to know opening price).

>>"Many have backtested to prove the slippage back (when opening up on imbalances), and vice versa."

Can slippage be really backtested?
 
Originally posted by TraderD
This may sound naive, but to test the system (back to 1970) I had to use open/close prices and make assumption that over large number of trades my entries/exits would be close to open/close prints.


Don:

>>"Your methodology has one major flaw, and that is the market order for the opening. "

I should clarify, system uses market order few ticks after the opening (it needs to know opening price).

>>"Many have backtested to prove the slippage back (when opening up on imbalances), and vice versa."

Can slippage be really backtested?
More...

Well, you won't like this, but you have eliminated most of the '"edge" by waiting for the opening price...since that is when the "balloon is stretched" by the Specialist, thus allowing for an excellent entry point. The other problem is that I think you are planning on buying in the morning and selling in the afternoon....that is complete "deal breaker." You're getting close to some workable techniques, and I am just trying to help you avoid spending too much time going over the paths of others.

And, yes, you can search old Stocks and Commodities magazines to see their reports and backtests on the opening plays.

Keep at it!!

Don
 
Originally posted by TraderD
This is my first post, many thanks to all contributors!:)

I am backtesting high churn system which enters on open and exits on close using market orders. My original assumptions were that with Market On Close orders I would experience both positive and negative slippage about 50% of the time, and therefore I could ignore slippage. Is this a correct assumption?

Thanks!
More...

You should have 0 slippage. MOC gives you the closing price, that's it, just use the closing price in your backtesting, no slippage. Same thing if you enter with a market open. You get the opening price. For your backtesting, just use the opening price.

I guess slippage sould be possible in backtesting if the prices in your data are different from the opening price that the specialist fills at, but that's a data issue, not a slippage issue.
 
You must log in or register to reply here.
Back
Top