Something very simplistic

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Originally posted by Quah


How can you have slippage on a limit order? Not possible.

You see the open, you put the limit order there, you get filled. You don't get filled, you don't have a trade.
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That will work.

But then you better not assume that you will get filled there _SYSTEMICALLY_ when back testing just because there was a tick at the open. If you really wanted to see if you really got filled there, you would need to put a limit on the price of the open AFTER the open using tick bars...But you would never get the open...

People here need to understand that there is a FAR cry from waving your hands paper trading a system and testing a system critically REALTIME. This is a non trivial skill that not only requires the right set of tools and data, but a skilled programmer and a keen eye for "the worst possible case..."

nitro
 
Originally posted by nitro

That will work.

But then you better not assume that you will get filled there _SYSTEMICALLY_ when back testing just because there was a tick at the open. If you really wanted to see if you really got filled there, you would need to put a limit on the price of the open AFTER the open using tick bars...But you would never get the open...

People here need to understand that there is a FAR cry from waving your hands paper trading a system and testing a system critically REALTIME. This is a non trivial skill that not only requires the right set of tools and data, but a skilled programmer and a keen eye for "the worst possible case..."

nitro
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Of course there is a difference - no doubt. The results I've posted have been realtime trades unless posted otherwise. It's not that hard to get a fill on the open - most of the time you end up buying the ask or selling the bid anyway. Unless the open is the high of the bar (and you were shorting) or the low of the bar (and you were buying) there is not much doubt you'd get your fill anyway since it is trading through your limit.

But there does exist the possibility that you won't get filled. That's one of the reasons (as I stated way back on this thread) that I don't care for or about backtesting results. It's way too hard to simulate what would have really happened - so most people automatically throw in slippage of some sort. That doesn't make much sense to me either, to assume that you never get your fill. With a system like this, only looking for a small amount of profit, automatically including .25 point ES slippage in some backtesting scheme will surely make something like this seem untradable.

IMO, backtesting scalping system is useless unless you can code your own backtesting system fron scratch and include all of these things in it.

(edited to add: BTW, just because you don't get your fill right away doesn't mean you wouldn't wait for some time to see if it comes back. I think earlier I said something about waiting for a couple of bars to get the fill. I don't think I've had to wait for more than a few seconds to get filled on any position opening order.)
 
Hey nitro,

I missed you guys today in the room. My home chat doesn't work and I was there tody. Ever since I loaded TWS. I unchecked the Java 2 at home and still no good.

I have the same concern about the limit entry. The point was made that the opening price is rarely the extreme, thus back-filling should help. There have been some bars where the entry/open is the extreme and I have made a mental note that it does occur.

Same goes for the exit. By far the exit and or reversal does not occur at the extreme, although it does occur there occasionally. Again I have made a mental note.

Your overall point is very well taken however. I recently learned real time that I could not duplicate what I was able to design on paper, regardless of the simplicity.

Fortunately, the ES is liquid and tight enough, and cheap enough to allow a 1 lotter to try this real time without too much damage. As I have said, and you are saying, the key is going to be order entry efficiency and fills. There is not a whole lot of room for error here.

You know man, I need something to battle the boredom of position trading. Heck if I can trade to scratch including commish, and not have to be on it every moment all day, ie liquidity traders, then I'm good. The position stuff grows the acct and pays the bills. I'm just looking for something to do.

Hope you had a great day Nitro.
 
And yes, the exit is another reason that backtesting this really doesn't prove anything. If it just trades at the exit price without going through it you might not get a fill. This happens all the time - you hit the exit price, no fill, but it almost always comes back - either in a few seconds or a few minutes. But that is beside the point - backtesting would have showed a fill.
 
Hey here is a question for you guys. I just opened up an account with IB so I can trade futures every now and then. Anyway, are you guys using TWS to place your orders? It seems kinda (I don't know) difficult to use. Like is there anyway to get it so that it is not full screen? And how do you know where you got filled without having to open the execution window? Is there a better order entry system that can be downloaded to work with IB? I think I saw one on these boards awhile back but I can't find it. Is TWS all you use? I only need it for futures.
 
tHERE ARE TWO AUTO ENTRY PROGRAMS THAT i KNOW OF: aUTOtRADER AND bRACKETtRADER.

gO TO ib'S WEB PAGE, CLICK FORUMS, api, AND YOU WILL FIND THEM THERE.
 
Originally posted by Quah
And yes, the exit is another reason that backtesting this really doesn't prove anything. If it just trades at the exit price without going through it you might not get a fill. This happens all the time - you hit the exit price, no fill, but it almost always comes back - either in a few seconds or a few minutes. But that is beside the point - backtesting would have showed a fill.
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I do not consider this besides the point - I think it is a point well made and should also be taken into consideration when automating the system...

nitro
 
Originally posted by nitro

I do not consider this besides the point - I think it is a point well made and should also be taken into consideration when automating the system...

nitro
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I meant it was besides the point that you normally end up getting a fill in real life. That doesn't mean you always will, thus if backtesting always gives you a fill the first time thats another area where it may be inaccurate.
 
Originally posted by Quah


I meant it was besides the point that you normally end up getting a fill in real life. That doesn't mean you always will, thus if backtesting always gives you a fill the first time thats another area where it may be inaccurate.
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Egggssssszzzzzzactly...

nitro
 
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