Index futures automation

[hilmy83]

What software do you use to analyze your trading performance?

This looks very nice.

https://strategyquant.com/quantanalyzer/

 

[hilmy83]

50+ trades in. December has been really clean. PF out of whack since trades just hitting TPs. But looking back, Jan/Feb is usually when markets revert


And I finally got my limit orders coded in!

no more market slips on exits!!

 

[hilmy83]

50+ trades in. December has been really clean. PF out of whack since trades just hitting TPs. And I finally got my limit orders coded in!

no more market slips on exits!!

But looking back, Jan/Feb is usually when markets revert

View attachment 301572

View attachment 301573

Example of why you shouldn't use MT5 bracket TP. Notice the actual fill vs TP (red)

Today, all exits at limits, no more bracket.

I lost about 19 ticks yesterday overall from market bracket exits. Fuckin ridiculous

 

[Overnight]

Example of why you shouldn't use MT5 bracket TP. Notice the actual fill vs TP (red)

Today, all exits at limits, no more bracket.

I lost about 19 ticks yesterday overall from market bracket exits. Fuckin ridiculous

View attachment 301575

I do not understand how you can be getting negative slippage on limit orders. Something does make sense there, man.

 

[hilmy83]

I do not understand how you can be getting negative slippage on limit orders. Something does make sense there, man.

This is the 2nd time you post something that I already explained.

Need to modify the algo slightly to execute TP as straight limit. This "market if touched" bracket TP order is just dumb. Getting scrwed on the slippage during fast moves. I probably lose >10% gains on slippage

https://support.ampglobal.com/hc/en...etaTrader-5-Order-Types-Order-Execution-Logic

Additional Explanation on MetaTrader 5 Advanced Order Execution Logic:

For Exchange Contracts, Stop Loss and Take Profit orders are triggered according to the rules of the exchange where trading is performed. Usually this will be by Last price (price of the last performed transaction). In other words, a TP/SL order triggers when the Last price touches the specified TP/SL price.

However buying or selling as a result of the activation of a stop-order is always performed by the Bid and Ask prices during the activation of the Stop order, which may differ from the Price specified by the trader.

What this means for a trader? If you are working a Bracket Order <stop loss & take profit> orders, the take profit order is a MIT (Market Order if Touched) just like the Stop Loss order. Depending on the market conditions, since it is triggering a market order, there will be a difference between the final fill price and the take profit order price. At least 1 tick “slippage” due to the market order fill price of the next available Bid/Offer price.

Key Clarification >> If you work a Straight Limit Order (not connected to a Bracket Order or if you are using an automated trading strategy that uses straight limit orders) the order will work as a standard limit order (filling at your price or better).

 

[Overnight]

This is the 2nd time you post something that I already explained.

K, yes, I recall that now. Sorry, I am not good at thread memory at times.

So after your first missive, when you said the bracket orders were crap, you went ahead and continued to use them in your strat, and are still bitching about them. You did not modify anything in your bracket code so they would not be market orders.

 

[hilmy83]

K, yes, I recall that now. Sorry, I am not good at thread memory at times.

So after your first missive, when you said the bracket orders were crap, you went ahead and continued to use them in your strat, and are still bitching about them. You did not modify anything in your bracket code so they would not be market orders.

No problem, can't expect a swing trader to pay attention to minute details...gazinngggggg

 

[Overnight]

No problem, can't expect a swing trader to pay attention to minute details...gazinngggggg

Yes sir. And I do not notice that you have increased your account size by, what is that? 1000% in a month? And you are bitching about a few ticks of slippage. Gift horse, mouth, etc.

 

[hilmy83]

Yes sir. And I do not notice that you have increased your account size by, what is that? 1000% in a month? And you are bitching about a few ticks of slippage. Gift horse, mouth, etc.

Omg, are you serious. You don't care about few ticks here and there cause you never really day traded. Any person with business sense would care about minimizing costs. Commission/slippage are teh biggest costs that I try to control.

 

[hilmy83]

This is like the same stupid argument some of you made when someone posted CME is going to increase fees next year. You're like yea it's a tick or two..who cares.
I'm like who the hell are these people, are they real traders???