Son of Something Very Simplistic

quah,

did i do anything wrong here?

ESZ2;BOT;1;802.25;15:46:54;20021008;GLOBEX;;
ESZ2;SLD;1;801.25;15:47:52;20021008;GLOBEX;;

say you enter your entry limit price based on the open price, the OCA pair will be calculated on that price. but say you get filled at a "better" price. then the stop may really be 1 point away instead 1.25.

as you can see in my above loser, i went long and got filled at 802.25. i got stopped out at 801.25, which is 1 point away not 1.25. so my entry limit order was probably for 802.50...but i got filled at 802.25.....

just wondering if you handle this the same way i do?
 
hi quah,

i wonder what you're using for slippage, if any.

for instance, if the 2176 tick bar starts out at 801.00 and goes up to 802.25 do you consider that a winning trade?

to me, that could be a losing trade because at 801.00, the ask could be at 801.25, and if the price hits 802.25, you most likely wont be able to sell at that price, but most likely sell at 802.00. vice versa for a short. so what might look like a 1.25 pt profit, is actually 0.75 pts.

so your winners would in most cases have to move at least 1.50 points to reach your target of one point.
 
Hey Guys,

As you may have noticed a few off-topic posts have disappeared. Quah's threads are excellent, some of the most heavily trafficked on ET, and I can't let this one become as unwieldy as SVS became. Many members complained that it was just impossible to try and fish thru 100+ pages to find some comment, some chart, some setting, etc. And I allowed a tremendous amount of off-topic fluff there, my mistake. That won't happen in this thread so please keep all posts on the matter at hand. Thanks alot.
 
Originally posted by riggz
hi quah,

i wonder what you're using for slippage, if any.

for instance, if the 2176 tick bar starts out at 801.00 and goes up to 802.25 do you consider that a winning trade?

to me, that could be a losing trade because at 801.00, the ask could be at 801.25, and if the price hits 802.25, you most likely wont be able to sell at that price, but most likely sell at 802.00. vice versa for a short. so what might look like a 1.25 pt profit, is actually 0.75 pts.

so your winners would in most cases have to move at least 1.50 points to reach your target of one point.
More...

Very few of these don't trade through - and no, on the ones that don't, I'm not including any slippage. My experience seems to be that even in real life you are likely to get a fill at the extremes unless there is some really big size or you are really late in getting the order in. This has proven to be the case in SVS.
 
Here are three pieces of todays 272 tick chart. Vertical lines mark the 2176 accumulations.

Trades would have been made in the direction of the color of the bar just before the one marked with the vertical line. I haven't checked to make sure that this matches exactly with the 2176 tick chart that I was using - so don't set this in concrete - however, it should be a pretty good representation of what things looked like at each of those points.

Instead of keying up the info for 55 trades, I figure this might answer some questions. When I trade it for real, I'll just export the trades - it will be easy that way.

I think most of the trades are pretty easy to see looking at these charts.

http://home.carolina.rr.com/quah/es272part1.jpg
http://home.carolina.rr.com/quah/es272part2.jpg
http://home.carolina.rr.com/quah/es272part3.jpg
 
Originally posted by Gordon Gekko
quah,

did i do anything wrong here?

ESZ2;BOT;1;802.25;15:46:54;20021008;GLOBEX;;
ESZ2;SLD;1;801.25;15:47:52;20021008;GLOBEX;;

say you enter your entry limit price based on the open price, the OCA pair will be calculated on that price. but say you get filled at a "better" price. then the stop may really be 1 point away instead 1.25.

as you can see in my above loser, i went long and got filled at 802.25. i got stopped out at 801.25, which is 1 point away not 1.25. so my entry limit order was probably for 802.50...but i got filled at 802.25.....

just wondering if you handle this the same way i do?
More...

If you get filled better, I'd change the stop. Now, if you get stopped out, there is the chance that you will get a better fill on that end also - which is great.
 
anyone trading this needs to realize something important, imo.

if you enter OCA orders using excel, watch out for when you get "better" executions than your limit order. say the open was 800 and you enter long, limit 800. the OCA pair will be sent as target 801 and stop 798.75. according to quah's system, this is correct (+1, -1.25). HOWEVER, if you get filled at 799.75, your OCA pair is still set as if you entered at 800. here's my point: because you got filled at 799.75, the target and stop distances are now basically reversed! now the stop is 1 point away and the target is 1.25 points away!!!
 
Originally posted by Gordon Gekko
anyone trading this needs to realize something important, imo.

if you enter OCA orders using excel, watch out for when you get "better" executions than your limit order. say the open was 800 and you enter long, limit 800. the OCA pair will be sent as target 801 and stop 798.75. according to quah's system, this is correct (+1, -1.25). HOWEVER, if you get filled at 799.75, your OCA pair is still set as if you entered at 800. here's my point: because you got filled at 799.75, the target and stop distances are now basically reversed! now the stop is 1 point away and the target is 1.25 points away!!!
More...

GG - I wouldn't say this has anything to do with trading this or entering OCA orders via excel, it simply has to do with order entry period. All of the issues you mention are just a result of how *you* are entering the orders - not saying you are doing anything wrong - but it really isn't because you are sending OCA orders via excel. You can't expect the orders you've already sent to be changed automatically because you got a better fill.

It might be best to wait for the fill before sending the other set of orders and adjust them to the fill.
 
Originally posted by Quah


GG - I wouldn't say this has anything to do with trading this or entering OCA orders via excel, it simply has to do with order entry period. All of the issues you mention are just a result of how *you* are entering the orders - not saying you are doing anything wrong - but it really isn't because you are sending OCA orders via excel. You can't expect the orders you've already sent to be changed automatically because you got a better fill.

It might be best to wait for the fill before sending the other set of orders and adjust them to the fill.
More...

TradeExecutor, BracketTrader, AutoTrader all send the OCA orders at prices adjusted to the fill price.
 
Originally posted by Quah
Here are three pieces of todays 272 tick chart. Vertical lines mark the 2176 accumulations.

Trades would have been made in the direction of the color of the bar just before the one marked with the vertical line. I haven't checked to make sure that this matches exactly with the 2176 tick chart that I was using - so don't set this in concrete - however, it should be a pretty good representation of what things looked like at each of those points.

Instead of keying up the info for 55 trades, I figure this might answer some questions. When I trade it for real, I'll just export the trades - it will be easy that way.

I think most of the trades are pretty easy to see looking at these charts.

http://home.carolina.rr.com/quah/es272part1.jpg
http://home.carolina.rr.com/quah/es272part2.jpg
http://home.carolina.rr.com/quah/es272part3.jpg
More...

Thanks Quah, but I'm confused now. :(

On page one of this thread you said about the entry: Enter at the open of each 2176T bar, in the direction of the 272T stochastic, %D>%K short, %K>%D, long, just like "SVS".

Now you say we are to enter in "the direction of the color of the bar just before the one marked with the vertical line."

This seems like two separate entries. So when a new 2176T bar opens do we enter in the direction of the 272T stochastic being displayed or in the direction of the 272T stochastic candle just before this current one (the last completed one)? Thanks again for your great help.

--opm8
 
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