Example Trading System

sidinuk,

Could you speculate as to why an awful lot of wannabe's will not test different variables of the system you've already spelt out, for themselves?
Is it that they wear the badge of laziness with pride?

Or perhaps your article is too complicated for the average or below average trader to grasp?
 
Quote from fan27:

so far I average about 1 tic slippage per trade (entry and exit).

fan27
More...

That's pretty good, but from my experience it's hard to get a bigger slippage than 2 ticks on average for ES (per trade) and that includes trades triggered by a stop order and/or exited at market at the close.
 
In case there is any confusion on what I meant by slippage earlier, the 1 tic average slippage per trade I was referring to was the difference between the price I enter at 16:14:55 and the settlement price.

fan27
 
Sometimes its better and sometimes its worse.....isn't it a wash?

But the point is...when the data is collected for sidinuk's statistics ...is the settlement price a bid or an ask?

Michael B.

Quote from fan27:

In case there is any confusion on what I meant by slippage earlier, the 1 tic average slippage per trade I was referring to was the difference between the price I enter at 16:14:55 and the settlement price.

fan27
More...
 
I think some people are missing (or misunderstanding) my point. The definition of slippage is the difference beween your trigger price and your fill price.

I guess it depends on how the data was compiled. Was entry expeceted at the next tick, or the OR high or low? If you have an OR high at 1205, you put in an order at 1205.25 or higher, and you'd likely get another tick slippage on that.

Also, the slippage concept is very dependant on the market. This particular study was done in depth on the ES; other markets are much less liquid and much more volatile, which will increase the likelyhood of slippage. You can try to limit slippage with stop-limits, but you may miss opportunities.

Try sending a 1-tick stop-limit to the pits.....some pits don't even accept them (like grains). Send a plain stop to a pit and I'll guarantee you'll see slippage. Basically, the data presented can only be accepted for the ES, as the other markets have much different characteristics.

Bottom line, though, is the point of system testing is to provide a worst-case picture of system activity; from that point the trader decided if the results warrant actively trading the strategy in real time, since real trading is almost always worse than the tested results. Assuming no commissions or slippage contradicts the whole point of testing a system (in my opinion....).
 
hanseng,

Correct. I find myself building my statisics in the way you describe, then when real trading begins, if my entry was better I increase my "canned target" by that amount I improved my entry with, thus improving my results. If I built my statistics correctly I NEVER get a worse price.

Michael B.


Quote from hanseng1:

I think some people are missing (or misunderstanding) my point. The definition of slippage is the difference beween your trigger price and your fill price.

I guess it depends on how the data was compiled. Was entry expeceted at the next tick, or the OR high or low? If you have an OR high at 1205, you put in an order at 1205.25 or higher, and you'd likely get another tick slippage on that.

Also, the slippage concept is very dependant on the market. This particular study was done in depth on the ES; other markets are much less liquid and much more volatile, which will increase the likelyhood of slippage. You can try to limit slippage with stop-limits, but you may miss opportunities.

Try sending a 1-tick stop-limit to the pits.....some pits don't even accept them (like grains). Send a plain stop to a pit and I'll guarantee you'll see slippage. Basically, the data presented can only be accepted for the ES, as the other markets have much different characteristics.

Bottom line, though, is the point of system testing is to provide a worst-case picture of system activity; from that point the trader decided if the results warrant actively trading the strategy in real time, since real trading is almost always worse than the tested results. Assuming no commissions or slippage contradicts the whole point of testing a system (in my opinion....).
More...
 
You must log in or register to reply here.
Back
Top