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I track slippage on every trade. I keep a record of actual price traded vs.
theoretical (open, if I'm leaving orders for the open, stop or limit
otherwise) and commissions, and distinguish between longs and shorts. After
100 trades or so I got a very exact figure (including commissions) for
slippage that I can use in backtesting - it gives me much more confidence
that my numbers are realistic, so long as my base assumptions aren't
changing too much (mostly liquid stocks, mostly orders at the open). I keep
the data as part of my Excel based trade log.
The vendor has a lot to do with it, but don't forget ease of use. I use
optionsXpress not because they are the cheapest, but because they have the
most idiot proof entry screens. One order mistake costing a couple of grand
offsets a couple of bucks per order real fast!
Andrew
-----Original Message-----
From: Metastockusers@xxxxxxxxxxxxxxx [mailto:Metastockusers@xxxxxxxxxxxxxxx]
On Behalf Of superfragalist
Sent: Thursday, April 14, 2005 10:49 PM
To: Metastockusers@xxxxxxxxxxxxxxx
Subject: [Metastockusers] Re: System Tester Results (Redu) Idea for Scott
Slippage is often a function of the vendor you are using.
I use Fidelity. I'm a big block trader and I have very little slippage and
very fast execution. It wasn't that way when I first started with them. I
had several conversations with their order desk, and over time they've made
huge improvements. There trading software is now also excellent. At first it
was pretty but not real good. Now it is as good as any trade execution
software I've used, and I've tried a lot of them.
Your idea about narrowing your list of stocks is a good idea but when I talk
about narrowing the list, I'm talking about a universe of maybe 100 to 200
stocks. A lot of my trading buddies keep their lists to less than 20.
I don't rely much on systems tests results because I've never seen a system
that produced nearly the same stats in live trading. Perhaps it depends on
whose is driving the boat.
In addition, there are a lot of settings I can make with the systems tester
that gives me results that can't be duplicated in living trading.
Anyway, have fun!
Don't forget us little people when you get wealthy.
--- In Metastockusers@xxxxxxxxxxxxxxx, "Scooter" <mariani@xxxx> wrote:
> Super,
> I am only cautiously optimistic I can make any money with this system.
> I have been paper trading it this month with decent results but I
don't think
> I am capturing slippage properly. I need some education on placing
> large (for me) orders.
>
> I will go back and search the forum for documented differences
between 8.0
> and 8.01.
>
> Thanks again for taking the time to try and help me and others, I
know how
> valuable time is.
> Scott
> -----Original Message-----
> From: Metastockusers@xxxxxxxxxxxxxxx
> [mailto:Metastockusers@xxxxxxxxxxxxxxx]On Behalf Of superfragalist
> Sent: Thursday, April 14, 2005 9:21 PM
> To: Metastockusers@xxxxxxxxxxxxxxx
> Subject: [Metastockusers] Re: System Tester Results (Redu) Idea
for Scott
>
>
>
> Okay, good luck with the system. In three years, you can tell us how
> much you've made. Get the results audited, and you can sell the system
> to the less fortunate.
>
> Next time you run tests year by year use the calendar year. I've run
> into some problems with test results that used starting dates in the
> middle of the year. Intuitively, it doesn't seem like it would matter,
> but I've seen a few systems tests where it did make a difference.
>
> --- In Metastockusers@xxxxxxxxxxxxxxx, "Scooter" <mariani@xxxx> wrote:
> > Roy,
> > I was afraid of that.
> >
> > Super,
> > Thanks for the detailed explanation. Guess I am SOL.
> >
> > Here are the overall portfolio profits each year for 10 years.
Based on
> > $20,000 initial with 100% available equity invested.
> >
> > Test # Description OPT1=2 OPT1=3
> > Simulation 26
> > Simulation 33 Tickers from 4/13/95 to 4/13/96 $56,191.43
> $50,938.91
> > Simulation 34 Tickers from 4/13/96 to 4/13/97 $57,085.49
> $16,903.62
> > Simulation 35 Tickers from 4/13/97 to 4/13/98 $77,511.63
> $114,957.57
> > Simulation 36 Tickers from 4/13/98 to 4/13/99 $71,420.85
> $98,303.31
> > Simulation 37 Tickers from 4/13/99 to 4/13/00 $209,405.87
> $290,114.33
> > Simulation 38 Tickers from 4/13/00 to 4/13/01 $1,615.60
> ($29,693.35)
> > Simulation 39 Tickers from 4/13/01 to 4/13/02 $152,639.93
> $158,116.91
> > Simulation 40 Tickers from 4/13/02 to 4/13/03 ($11,963.12)
> $106,714.19
> > Simulation 41 Tickers from 4/13/03 to 4/13/04 $160,324.40
> $234,187.23
> > Simulation 42 Tickers from 4/13/04 to 4/13/05 $85,159.69
> $139,048.32
> > $859,391.77 $1,179,591.04
> >
> >
> > I don't have the time to manually move the individual data to excel
> at this
> > time.
> >
> > Thanks again, Scott
> > -----Original Message-----
> > From: Metastockusers@xxxxxxxxxxxxxxx
> > [mailto:Metastockusers@xxxxxxxxxxxxxxx]On Behalf Of Roy Larsen
> > Sent: Thursday, April 14, 2005 8:50 PM
> > To: Metastockusers@xxxxxxxxxxxxxxx
> > Subject: Re: [Metastockusers] Re: System Tester Results (Redu)
> Idea for
> > Scott
> >
> >
> > Scott
> >
> >
> > Somewhere I got the impression you were using MS 8.0. I may be
> wrong but I
> > don't think it's possible
> > to copy System Tester results from 8.0. I think that was one of
> the bugs
> > fixed with 8.01. The "copy
> > to clipboard" option certainly works for 9.0, though Ctrl+C
> doesn't seem
> > to work. Once pasted to the
> > clipboard Crtl+V works OK for pasting into Excel.
> >
> >
> > Kind regards
> >
> > Roy Larsen
> > www.metastocktips.co.nz
> > Free formulas and MS links
> >
> >
> >
> >
> >
> > ----- Original Message -----
> > From: "Scooter" <mariani@xxxx>
> > To: <Metastockusers@xxxxxxxxxxxxxxx>
> > Sent: Friday, April 15, 2005 11:15 AM
> > Subject: RE: [Metastockusers] Re: System Tester Results (Redu)
> Idea for
> > Scott
> >
> >
> > > If only it was that easy. I can not get the data out of MS,
short of
> > > manually transferring every symbol. I select the results but the
> only
> > right
> > > mouse click option is "discard". I have tried all the Windows
> tricks I
> > know,
> > > no luck.
> > > Scott
> > > -----Original Message-----
> > > From: Metastockusers@xxxxxxxxxxxxxxx
> > > [mailto:Metastockusers@xxxxxxxxxxxxxxx]On Behalf Of John
> > > Sent: Thursday, April 14, 2005 6:19 PM
> > > To: Metastockusers@xxxxxxxxxxxxxxx
> > > Subject: [Metastockusers] Re: System Tester Results (Redu)
Idea for
> > Scott
> > >
> > >
> > >
> > > I'm sorry Scott, I meant to say copy results from the system
> tester,
> > > not the explorer. You open your test results page and follow
> the steps
> > > I've explained. Highlight the results you want to transfer to
> excel,
> > > copy to the clipboard, etc.
> > >
> > >
> > >
> > >
> > >
> > > --- In Metastockusers@xxxxxxxxxxxxxxx, "Scooter" <mariani@xxxx>
> wrote:
> > > > Super,
> > > > Thanks for taking some time to help me!
> > > >
> > > > I know how to get the results from the Explorer, I do not
> know how
> > > to get
> > > > the results from the System Tester.
> > > > I am excited to try what you suggest but need a little more
> help to
> > > start.
> > > >
> > > > Scott
> > > > -----Original Message-----
> > > > From: superfragalist [mailto:jackolso@x...]
> > > > Sent: Thursday, April 14, 2005 11:05 AM
> > > > To: Metastockusers@xxxxxxxxxxxxxxx
> > > > Subject: [Metastockusers] System Tester Results (Redu)
Idea for
> > Scott
> > > >
> > > >
> > > >
> > > > Scott,
> > > >
> > > > Here's an idea that you can use to test your theory. I
> explained
> > how
> > > > to copy results from an exploration into excel and then
> from excel
> > > > back into various MS lists.
> > > >
> > > > Run your systems test year by year on your expert.
> > > >
> > > > Sort the test alphabetically, and then copy the entire
test for
> > each
> > > > year into a new excel worksheet for that year.
> > > >
> > > > From each worksheet copy the symbol and it's annual
percentage
> > return
> > > > into a new worksheet. Once you have delete symbols that
> don't match
> > > > across all ten columns, you can delete all of the symbols
> except
> > the
> > > > first year's. You'll be left with a year by year comparison
> of the
> > > > return on each symbol with your expert.
> > > >
> > > > You can then see which symbols were consistently
profitable and
> > which
> > > > one weren't. This will answer your question.
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > --- In Metastockusers@xxxxxxxxxxxxxxx, "Scooter"
<mariani@xxxx>
> > wrote:
> > > > > Super,
> > > > > I did read Mr. Wright's series of articles as you
suggested
> > > > previously. I
> > > > > found it very informative. I found that I was already
> doing many
> > > of the
> > > > > things he suggested in developing a system. I have
> applied many
> > of
> > > > the ideas
> > > > > he talked about since reading the articles, more like
a book!
> > > > >
> > > > > He does not address the validity of throwing out losers,
> based on
> > a
> > > > system
> > > > > test, from an available list of potential stocks to
trade.
> > > > >
> > > > > I know there are a cagillion system developing books to
> read. I
> > will
> > > > pick up
> > > > > a few to read when I have the time.
> > > > >
> > > > > Can you C&P system test results from MS8.0?
> > > > >
> > > > > Scott
> > > > >
> > > > >
> > > > > -----Original Message-----
> > > > > From: superfragalist [mailto:jackolso@x...]
> > > > > Sent: Wednesday, April 13, 2005 8:34 PM
> > > > > To: Metastockusers@xxxxxxxxxxxxxxx
> > > > > Subject: [Metastockusers] Re: System Tester Results
(Redu)
> > > > >
> > > > >
> > > > >
> > > > > Looks like you're using the systems tester without much
> > > knowledge of
> > > > > systems development.
> > > > >
> > > > > Read a few books on system design and then you'll see
> you're
> > > wasting
> > > > > your time.
> > > > >
> > > > > There's a very good article on this coming up in the
> May issue
> > of
> > > > > Roy's newsletter.
> > > > >
> > > > > Don't ask for book recommendations because one book
> won't do
> > it.
> > > > > You'll need to read around a dozen or so systems
> development
> > > books to
> > > > > get a really good take on how things work. Once
you've done
> > that,
> > > > > you'll soon figure out that using TA by itself is not
> the best
> > > method
> > > > > for picking stocks to trade, the performance of any
system
> > > based on TA
> > > > > is going to dramatically change each year with a lot of
> losing
> > > years,
> > > > > there are no indicators that work even reasonably well
> across a
> > > > > variety of stocks or in changing market conditions, and
> > searching
> > > > > thousands of stocks every night for something to trade
> is in
> > > the long
> > > > > run a losing idea.
> > > > >
> > > > > Does that mean you can't make money using TA. You can,
> but you
> > > have to
> > > > > have a well thought out strategy and apply the strategy
> > > appropriately
> > > > > for the market conditions.
> > > > >
> > > > > I'm amazed at how many people that refuse to spend a
> dime on
> > > > > education, information, good data or anything else that
> might
> > help
> > > > > them, but they'll pay a guru thousands for useless
trading
> > > methods or
> > > > > lose thousands more making bad trades. It's baffaling.
> > > > >
> > > > > You can read Charlie Wright's series of articles called
> > > Trading as a
> > > > > Business. That will give you some basics about how to
> approach
> > > this.
> > > > > Read all the articles in the series. They all have
> something
> > > important
> > > > > to say.
> > > > >
> > > > > http://www.elitetrader.com/tr/index.cfm?s=17
> > > > >
> > > > > Give Roy's newsletter a try. It's all about MS with the
> code
> > for
> > > > > everything discussed in it. You'll learn more from that
> in a
> > > few hours
> > > > > of reading the back issues than you will from playing
> with the
> > > systems
> > > > > tester for next few years.
> > > > >
> > > > > www.metastocktips.co.nz
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > --- In Metastockusers@xxxxxxxxxxxxxxx, "Scooter"
> > > <mariani@xxxx> wrote:
> > > > > > O.k.,
> > > > > > I have finally cooked the indicators enough (nothing
> new) to
> > > come up
> > > > > with a
> > > > > > system that is profitable over several different
> period back
> > > tests,
> > > > > at least
> > > > > > in MS. My question is, do I remove the loosing or
> zero trade
> > > tickers
> > > > > from my
> > > > > > potential list of tradable tickers I will run my
> Exploration
> > > on when
> > > > > looking
> > > > > > for a new trading opportunity? MS seems to be keen on
> > "cleaning
> > > > up" by
> > > > > > removing the losers. Doesn't make sense to me to say
> because
> > the
> > > > > tickers did
> > > > > > not hit or make a profit over x amount of periods
> they will
> > not
> > > > make a
> > > > > > profit in the future. Or does it increase my
potential
> > > > profitability by
> > > > > > removing them? Can I somehow export the remaining
ticker
> > > symbols to
> > > > > excel or
> > > > > > csv so I can adjust my HSQuote list accordingly?
> > > > > > Thanks, Scott
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > >
> >
> > >
>
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