Trading Methods Revealed

Quote from AK Trader123:

Vision Trader (or anyone trading the ER2 Automated),

Thanks for your posts... I am new at perfecting automated strategies and have finally cornered the best settings for our specific set of parameters in the ER2. I will go with either the 89 tick or the 110, but have tested 144, 55, 233 and several other timeframes.

Here is my question. How much of a factor is slippage?

I am using Tradestation and RJO as well, and have not actually started the automation process yet. I hope to do so this week. Do you use a factor for slippage in backtesting your strategies? I've heard everything from slippage being as bad as 1 tick loss per side ($20 loss per trade), to 1 tick lost in every 5 round-trips (about $2 per round-trip trade).

So far our strategies are backtesting out with very smooth equity curves...some of them over $45K per contract over the past year (granted...this is not figuring anything for slippage...but does include commissions). They are built up of a lot of trades....between 3000 and 4000 per year. This is why slippage is such a concern to us.

Would love to know what your experiences have been....and those of others also....Thank you!

Frank
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In my testing I used $20. One tick on each side. If I had to give you a number to test with I would say use at least $50 and if possible use $75 based on real world. My strategy only takes one trade per day if conditions are met....so slippage is not that critical (although costly at the end of the year). If you are moving in and out of trades several times per day than it will be an issue.
 
Quote from AK Trader123:

Vision Trader (or anyone trading the ER2 Automated),

Thanks for your posts... I am new at perfecting automated strategies and have finally cornered the best settings for our specific set of parameters in the ER2. I will go with either the 89 tick or the 110, but have tested 144, 55, 233 and several other timeframes.

Here is my question. How much of a factor is slippage?

I am using Tradestation and RJO as well, and have not actually started the automation process yet. I hope to do so this week. Do you use a factor for slippage in backtesting your strategies? I've heard everything from slippage being as bad as 1 tick loss per side ($20 loss per trade), to 1 tick lost in every 5 round-trips (about $2 per round-trip trade).

So far our strategies are backtesting out with very smooth equity curves...some of them over $45K per contract over the past year (granted...this is not figuring anything for slippage...but does include commissions). They are built up of a lot of trades....between 3000 and 4000 per year. This is why slippage is such a concern to us.

Would love to know what your experiences have been....and those of others also....Thank you!

Frank
More...

slippage can turn a nice upward sloping equity curve into a mirror image downward slope

factor in at least 1 tick for entry and 1 tick for exit
 
Quote from mogul:

slippage can turn a nice upward sloping equity curve into a mirror image downward slope

factor in at least 1 tick for entry and 1 tick for exit
More...

especially at a trade frequency of 3-4k per year......
 
Any system that becomes well known self destructs so why do so many people keep looking for a simple answer. I was pretty naive when I started trading but from day one I never thought that somebody was going to hand me a way to make money out of the market. Any system that works is probably guarded like Fort Knox. The only thing I ever found that works are certain well known patterns which continue to work because trading them successfully takes a lot of painful practice which most people are unwilling to endure.
 
Quote from VisionTrader:

I will start...

I can't believe it, but last October I began trading an automated strategy full time. I never thought I would admit this. Was a major skeptic and non-believer. It is a simple system. It trades the ER2 and takes one trade per day based on 2 simple rules. I am only in the market a few hours a day. I spent a lot of time developing this and was really skeptical, but it is working. March was terrible, but overall I am really pleased with the results. I decided to go this route to help me manage my emotions. I made a (weak)committment... that for one year I would let the computer trade for me. I will not judge this strategy until the end of the trial. Should be interesting. I am going nuts just watching it trade. I think it is kinda of like retirement....sometimes I am away, sometimes fishing, etc. My only goal is to make sure the computer is on and the ISP is realiable and such. Just keeping the shop open so to speak.

I like to trade a few times per day and I suspect I will need to resume this before the trial period ends. (or else I will go crazy). So far though I have not hit my mouse button since October 2004. I used to trade with indcators a while back, but (prior to the above system) I just watched price and S/R levels and entered on pullbacks in the direction of the trend. Nothing fancy. I trade EC, ER2, Notes and Bonds. I tried to keep my size up when prudent and take what the market would give. Although, I would consider this successful....I always seemed to lack discipline soooo.........that's how the auto strategy evolved.

BTW - I use Tradestation and RJO.

VT
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VT -

So it's been more than a year... were you able to stick to your automated system. How's it doing?

JB
 
I am still here but not trading this automated system any longer. I could not stand the boredom. I gained too much weight. The equity curve on my "darling" system turned south and it looks to have self-destructed as best I can tell. I returned to discretionary trading currencies many moons ago.

The P&L on this system is still repectable, but not good enough for me to put my capital on the line. Sorry I can not help you further. Good luck in your system trading ventures.

DRT
 
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