Todays trade:
Code:
code contractid filled_datetime filledtrade filledprice
2757 KR3 201503 2015-02-11 01:01:56 -1 108.48
Slippage in GBP, for entire trade
code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total
2757 KR3 -6.16 3.08 -6.16 -3.08 -9.24
A quick explanation of these tables.
'gbpt' is just GBP total. Negative slippage means I made money executing, positive I lost.
A= Mid Price when data grabbed
B= Mid price when order issued
C= Bid price when order issued
D= Traded price
'Process' is money lost (-ve = gained) between prices A and B, 'Bid-Ask' would be what I would have paid if I had just hit the bid i.e. C - B, 'Execution' is what I pay versus what I would have paid if I'd just hit the bid (i.e. D- C). So in this case I made £9.24, of which two thirds was just a fluke of the price moving in the right direction, and £3.08 from not just issuing a market order.
Todays p & l: £1,350
Impressive 350k profit in under one year, what was your starting equity? could you talk a bit about your entry and exit.
Starting equity was £300K, and as I said earlier I'm now operating with £400K, so I've withdrawn £220K (actual profit to date £320K) to pay taxes, living costs and to reinvest in safer portfolios which I run to to get a steady yield.
I don't have discrete entry and exit. Each market has a continous signal; when it goes to zero I'll not hold a position. Signals are a mixture of trend following, breakout and Carry (or rolldown/contango if you prefer). The predominance of trend following means positions will tend to be cut when prices move against us, so its an implicit rather than an explicit stop loss.
If you don't mind me asking further, how many degrees of freedom are being manipulated within each instrument to build up its meta signal. Instances of such degrees could be number of ticks analyzed, bar widths, number of days, sub signals,number of indicators, their thresholds etc. Just wondering about approximate numbers.
I use daily prices to generate the signal (but the most recent price used is the one we've just got, not yesterdays close). Signals vary in their use of time, the slowest uses about a year of data. There are currently four signal 'styles', covering seven signals, and each of those may have different lookbacks, so 17 subsignals. To take a concrete example one of my styles is trend following and one of the signals within that is a break out signal, and I use five different lookbacks for that.
I'm not sure 'bars' or 'ticks' are relevant to me. I don't know what you mean by 'indicator' or 'threshold', perhaps you could give an example.
