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Real life example. I was trading QCOM and was so confident of one
particular signal that I decided to trade it with calls for leverage.
Soon I was up well over 100%. The run up started to lose momentum
and against my better judgement, I put in a *limit order* to exit
because I got greedy. I ended up getting distracted on something
having to do with my car registration and to make a long story short
*lost everything* on the trade. How's that for slippage? Not because
I was trading options. I've traded them for as long as I've been
trading and totally understand them. It was because I spectacularly
mismanaged the trade, part of the chain of errors being that limit
order.
Regards,
Mark
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> Fred, you forget the probability of going up
> or down; it also could go exactly to the other direction.
> Why has it always to fall? Has it to? I mean the
> same scenario could also happen inversed (ie. in
> short covering case). So what? IMHO a zero-sum game.
>
> And, it also depends on the qty one wants to sell/cover.
> Small qty will not have any effect to the share
> price regarded enough volume and liquidity is
> present at the moment of the selling/covering.
>
> It has of course also todo with the right timing; imagine
> in your example: if you only placed your order 30 seconds
> earlier... And: you can't expect cathing the H or L.
> Work with averages (ie. p=0.5). This leaves room to
> both directions, and is "neutral"
>
>
>
> ----- Original Message -----
> From: "Fred" <fctonetti@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, November 05, 2003 1:13 AM
> Subject: [amibroker] Re: On Robustness, Post #2
>
>
> Difference ? The difference is between missing a train that just
> pulled out of the station and getting run over by the train that's
> pulling in. Limit orders that don't get exercised on exit leave
open
> large capabilities of losing money or leaving it on the table.
>
> Picture a long position that one bought on a limit order at 10 for
> which one has a 10% MaxLoss and Profit stop set up that will get one
> out at 9 or 11 respectively. Price gets up to 10.94 and no further,
> so for whatever reason you decide to settle for a 9.0% gain and move
> your limit order to 10.90 but by the time it gets placed price is at
> 10.45 and falling. THIS is what slippage is about and can quite
> easily be the result whether one has a limit order in place or not.
> In this particular example it's already at 5.5% and growing.
> Depending on how one treats this one might well wind up chasing with
> ones profit stop all the way down to ones maxloss point. This is
one
> area where most simulated accounts don't and can't emulate real
> trading as simulated accounts are likely to make limit orders go off
> regardless of price and volume when in real trading they don't
always
> happen.
>
> --- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> > True, RT quotes & level-II is IMHO mandatory
> > to manage this. But why the distinction with exits?
> > What´s there different compared to the entry?
> >
> >
> > ----- Original Message -----
> > From: "Fred" <fctonetti@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Tuesday, November 04, 2003 7:41 PM
> > Subject: [amibroker] Re: On Robustness, Post #2
> >
> >
> > > There's also no guarantee they get filled which on the trade
entry
> > > side might not be a horrible thing, on the exit however ...
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> > > > In backtesting it was simulated using limit orders.
> > > > As you might know there is no slippage with limit orders.
> > > > Commission 11 per single trade for an unlimited nbr
> > > > of shares (ie. Ameritrade rates), inital capital was 25k.
> > > >
> > > >
> > > > ----- Original Message -----
> > > > From: "Fred" <fctonetti@xxxx>
> > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > Sent: Monday, November 03, 2003 9:10 PM
> > > > Subject: [amibroker] Re: On Robustness, Post #2
> > > >
> > > >
> > > > > At what combined commission and slippage rate so we have a
> clue
> > > > > exactly how REAL it is ?
> > > > >
> > > > > > A real example:
> > > > > > The system xxSys005 has the following data:
> > > > > > pWinRate = 0.64
> > > > > > pProfitRate = 0.82
> > > > > > ER = (0.64 * 0.82) / (0.64 * 0.82 + (1 - 0.64) * (1 -
> 0.82)) =
> > > 0.89
> > > > > > That means: this system makes up 89% of an ideal system.
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