|
PureBytes Links
Trading Reference Links
|
I can't proffer any info on MIT orders, but I'd suggest any
system that dependent upon catching highs/lows is most
likely the result of data fitting, rather than catching
profitable trading concepts.
----- Original Message -----
From: "Scott Hoffman" <trader20@xxxxxxxxxxxxxx>
To: "omega-list" <omega-list@xxxxxxxxxx>
Sent: Monday, August 27, 2001 2:46 PM
Subject: MIT orders
> Fellow traders:
>
> I've developed a EOD system with profit exits using limit
orders. I went
> through trade by trade and determined on which days my
limit price was
> exactly the high of the day (for longs) or the low of the
day (for shorts).
> For worst case testing, I presumed I would not have been
filled on those
> day. On some of those cases, this caused a winner, as
reported by TS, to be
> turned into a loser.
>
> I am trying to decide whether to use MIT orders instead.
>
> My question is this: To those of you who have used MIT
orders, what kind of
> *average* slippage should I expect, in terms of ticks? I
am not looking for
> worst case, just average over many trades. Some have told
me that they get
> their price most of the time. For example, if you are
filled at your price
> 50% of the time and average a tick slip the other half,
you would figure
> your *average* slip on MITs to be a half tick per fill. In
particular case,
> if this were true, it would be better to use MITs because
it doesn't take
> many cases of a winner turned into a loser to wipe out any
advantage of no
> slippage.
>
> The markets I am interested in are: NY energies, Bonds and
Notes, and Hogs.
>
> TIA,
> SH
>
>
|