the young and the feckless

[EricP]

Quote from captcontrary:

btw, i doubt i would have gotten some of these fills had i been trading live.

That's very good that you notice that sort of thing. I'm not sure what program you are using to do your paper trading, but is there any way to have it make adjustments to account for more realistic executions? Are you being 'charged' for commissions? If so, one good way to adjust for more realistic commissions is to 'charge' yourself an inflated commission rate (assuming commissions are user adjustable in that program). So, if you get an improved fill (by one tick) on one out of every four orders, then your average undeserved benefit is 1/4 of a tick (tick = 0.25 ES points) per order, or 0.25 x 0.25 x $50 per ES point = $3.12.

So, for example, if you bump up your commission rate by $3.12 per contract above the actual rate, then you can be more confident that your P&L results are more closely tracking what your 'real' results would be.

The amount to adjust the commission rate should be based upon how often you estimate you got an unrealistically improved fill. However, you will definitely want to account for this in some way, to ensure that you don't become overconfident in the performance of your paper trading, only to crash and burn with much tougher results once you begin trading for real. If you can't track it within the trading simulator, then maybe you could just account for it separately in an Excel spreadsheet, or something that you are using to track cumulative results. Just a thought... Best of luck.

 

[captcontrary]

Quote from EricP:

...is there any way to have it make adjustments to account for more realistic executions? Are you being 'charged' for commissions? If so, one good way to adjust for more realistic commissions is to 'charge' yourself an inflated commission rate (assuming commissions are user adjustable in that program). So, if you get an improved fill (by one tick) on one out of every four orders, then your average undeserved benefit is 1/4 of a tick (tick = 0.25 ES points) per order, or 0.25 x 0.25 x $50 per ES point = $3.12.

yep, commissions are "charged," but i don't think i can adjust them in the thinkorswim platform. i'll have to look though my trades to get an idea of how often i get unrealistic fills. generally the fills are within the realm of legitimacy, but i'm skeptical when i get filled on the outside (near very top or bottom) of a move. seems like all it takes is for my limit price to be touched once and i'm in the trade. i'll see if i can easily add a column to my spreadsheet with a formula to account for questionable fills. thanks for your insight on how to adjust.


the es is showing surprising strength today. i unwittingly turned off my alarm this morning so i slept late and missed the long signals that happened early. only caught one long for 2 points off the 2 min chart so far. could have conceivably taken two continuation trades after i got out of that first one, but as i said the other day my continuations haven't worked all that well. i didn't take them as they were questionable and it appeared earlier there were some signs of weakness in the market, but somehow the price keeps rebounding and is sticking up near the highs.

just got back from a coffee shop so i haven't watched the action for about 20 mins but i'm looking to get short sometime this afternoon if what i was seeing earlier eventually pans out.

 

[captcontrary]

took a short off the 2 min that was questionable and got hit for 2 points. got a head fake long signal so reversed my position before checking for confirmation and got hit for another half point. my fault.

a similar short setup to that first one i took just occurred on the 5 min but i didn't take it and it ended up dropping. darn.

 

[captcontrary]

6/5:
4 round trips
+159.50 post commission

trade (2.) was the right trade and i should have just let it ride. stop was set at 1401 but i bailed early because i thought the 2 min chart indicated the signal reversed. i recognized quickly that was incorrect and went flat so i could regroup and get a better look at what was going on. that loss was simply a misinterpretation of the charts and can be attributed completely to human error.

 

[captcontrary]

i've never been good at keeping any type of journal...

here's where i am. i'll update with charts at a later juncture. it's been a tough but good week to get me back on track.

 

[captcontrary]

i tend to settle down and trade more mechanically in the afternoon. it irks me to see how i trade in the chop. the signals i watch require patience and i'm developing that, but slowly.

By tgdontap at 2008-06-12