My Automated Trading Strategy (3Years+ of Historical Data) Please Critique!

julian0625 · Mar 27, 2011

Quote from DT-waw:

yeah, add 1 tick slippage per rt and the strat is underwater

Yes thats one thing that scared me a little. I am trying to figure out how to raise the average trade profit.

HOWEVER It sends a limit order out on the close of the bar the initiates the signal to buy or sell. If the order isn't filled, the trade is canceled. So no worries with slippage on limits.

nonlinear5 · Mar 27, 2011

Quote from julian0625:

My commission on the s&p emini is about $4.50 a RT so it will cut into a little less than half of the profits as the strategy makes about $10 a trade.

$10-$4.50= $5.50

So, with the commissions accounted for, your average trade expectancy is $5.50. Now, what were your assumptions regarding the fill price for your orders. Did you use limit or market orders?

julian0625 · Mar 27, 2011

Quote from Rol:

Is it buying at the bid and selling at the ask? (unlikely in real life)

LOL no it is not XD

It is a reversal strategy and it uses two proprietary indicators I created.

julian0625 · Mar 27, 2011

Alright to make it clear, there should never be any slippage as the strategy uses limit orders. If the order isnt filled in the next bar, it cancels the trade.

AND BTW I am also with a prop firm so I'll be able to access MUCH better commissions than my retail account which is $4.50.

nonlinear5 · Mar 27, 2011

Quote from julian0625:

Alright to make it clear, there should never be any slippage as the strategy uses limit orders. If the order isnt filled in the next bar, it cancels the trade.

So, if the market is 1200.00/1200.25, do you make an assumption that you can buy at 1200.00 and sell at 1200.25?

Zr1Trader · Mar 27, 2011

Quote from DT-waw:

yeah, add 1 tick slippage per rt and the strat is underwater

I am afraid he is correct, if you calculate your slippage your system is probably underwater. I make sure I am using limit orders . a "trade through price" fill algorithm ( not just a touch) and calculate 1.5-2 ticks of slippage to be on the conservative side. You might be able to get away with calculating 1 tick of slippage per exit or entry with a market order if its liquid during RTH.

Your slippage doesn't come from the entry if you use limjit orders. it comes from the exit when you get stopped out.

julian0625 · Mar 27, 2011

Quote from nonlinear5:

So, if the market is 1200.00/1200.25, do you make an assumption that you can buy at 1200.00 and sell at 1200.25?

LOL no im not trying to buy the bid and sell the ask.. thats impossible to do successfully retail.

It just sends an order out @ whatever the close of the bar that initiated the signal is.

nonlinear5 · Mar 27, 2011

Quote from julian0625:

LOL no im not trying to buy the bid and sell the ask.. thats impossible to do successfully retail.

It just sends an order out @ whatever the close of the bar that initiated the signal is.

I am still confused. Let's say your strategy generated a "long" signal. It paces the limit order to buy at 1200.00. The close of the bar is 1200.00. Does this mean to your strategy that your order was filled?

julian0625 · Mar 27, 2011

Quote from nonlinear5:

I am still confused. Let's say your strategy generated a "long" signal. It paces the limit order to buy at 1200.00. The close of the bar is 1200.00. Does this mean to your strategy that your order was filled?

It keeps the order out until it is filled. If it is not filled and another signal generates to the opposite side or at a different price, it cancels that order and enters the new signals order.

nonlinear5 · Mar 27, 2011

Quote from julian0625:

It keeps the order out until it is filled.

You never explained what needs to happen for your order to be "filled". Does the market have to touch your limit price, or to exceed it?