creating a system that feels good

I like the way you are headed. I would like to accomplish a similar feat.

Most of my best performing systems don't feel good... Or they go through phases of good then terrible. Since I rarely can tell which phase is coming I find myself expecting the worst/ best at the most inopportune times( from a psychological standpoint).

I tried to make a scalping system on two separate occasions and found that the unables and slippage killed the edge...

In my first case I was buying / selling against the short term trend in the direction of the LT trend with limit orders
only trading ES. Needless to say I only missed the good trades never the bad.

On second attempt I used a combination of orders: Limits
that converted to market orders after a specified time.

When I tested my system with market orders and a tick of slippage per side it fell apart.

Be very careful when you design it so as to incorporate reasonable expectations for fills if you won't be executing with market orders.

A little slippage here and there and some missed trades that touch your price without filling you then take off can really ruin your equity curve when you go live.

I know this first hand. It was a very expensive lesson.
 
Quote from mercurial:

Be very careful when you design it so as to incorporate reasonable expectations for fills if you won't be executing with market orders.

A little slippage here and there and some missed trades that touch your price without filling you then take off can really ruin your equity curve when you go live.

I know this first hand. It was a very expensive lesson.
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That's why i am thinking of scaling in instead of relying on single fills.

The problem of getting fills on bad trades and partial or none on good trades is one problem i definitely will want to avoid.

ps. also scaling in should give comfort in that you don't need to be entirely right per trade to still make money. of course you will also risk on losing more when you are wrong, but proper money management, combined with discretionary input should make the big hit less likely.
 
the only ways that I know of to get good fills is by taking the bid/offer or loading the que with orders at many levels in an envelope around the current price range and canceling orders that don't need to be filled as the market approaches.

Obviously the first works with the added cost of the inside spread and occasional slippage during fast markets.

The second solution works well too, if you have the computational capacity and bandwidth to manage the order placement and cancellation of many orders at once.

I have heard horror stories of situations where in fast markets, similar bots that stack the que with orders to get price time priority have been swept and filled for several price levels.

obviously you wouldn't trade around data release times or other sensitive times but shocks happen.

It ends up being much, much worse / costly than the unables although it doesn't happen that often.

I think the best way would be to create a system that is robust enough to withstand a marketable execution on both sides of the trade and still be profitable.


If it works consistently you can always scale it up!
 
Quote from ea0680:

It is new - but may help many traders. I have created this system to to meet my needs as a full-time trader.

Take a look at how this system is currently performing. The profit and loss results are being verified
by a third-party monitoring service called Collective2

www.collective2.com/go/stockpullback
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oh well, that's even better, just take signals from somebody else!

errr. naahhh it doesn't feel good.
 
Quote from trade4succes:

oh well, that's even better, just take signals from somebody else!

errr. naahhh it doesn't feel good.
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Yea, what would be the point?
I trade to proof something to myself, if I want other people to make or loose money for me I throw them at an Hedgy.
And if I lose at least I know it is my fault and I may learn something from it.
 
Early on, comfort and profitability are usually inversely correlated. I'd think that paying one's dues would mean a trader has adapted his idea of the former to conform with optimizing the latter.
 
Quote from illiquid:

Early on, comfort and profitability are usually inversely correlated. I'd think that paying one's dues would mean a trader has adapted his idea of the former to conform with optimizing the latter.
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True enough.
But how could he be still called a trader then?
 
What I left out was "and not the other way around".

Trading not to lose is one example where comfort becomes a priority, and it usually isn't pretty over the long run.
 
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