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Dear Any (why does your email adrress look like -- ?),
My measurement of slippage march-june 2001, where the system made $339160
for the last 12 month.
Indeed margin was much higher in 2000 and maybe slippage was too, so the
$696580 for 2001 is maybe unrealistic.
But than again 1998 would have been better.
==>> the slippage is measure on buying/selling NQ at market when you get the
signal on the ND, since NQ many times moves faster (and in 0.5 steps) you
might think that ND would show LESS slippage on stop-orders ?
I might try to develop an entry system based on bid/ask or tickdata to see
if the system could work with limit orders.
Again guys the idea is to start sharing, if you have better systems by all
means I'll be more than happy to learn !
Thanks
Robert
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Robert Linders
Orlando, FL
email: mugsnug@xxxxxxxxx
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----- Original Message -----
From: "--" <andy@xxxxxxxxxx>
To: "Robert Linders" <mugsnug@xxxxxxxxx>
Sent: Wednesday, November 28, 2001 12:40 PM
Subject: Re: Will "trade" my great tradingsystem
> : From real trading I determined that the slippage in NQ (I traded NQ as
> : market order while taking signals from ND) equals $35 per contract.
Hence
> I
> : set my commission to a whopping $180 for the big ND.
> :
> : The system made huge amounts of money ($30,000 avg per month) with
limited
> : drawdown ($57690 over 41 months) and a great average trade amount
($846).
> By
> : just trading 1 ND contract overnight.
>
> I don't think you're making this system very realistic at all. For one
> thing, you're just trading one contract. Have you thought of making the
> number of contracts adjusted for risk? For instance, in March of 2000, the
> margin requirements for the ND was + $68K per contract whereas when the ND
> first began trading in April of 1996, the margin was under $5K. So, $100k
in
> 1996 may allow you to 'trade' a maximum of 20 contracts whereas that same
> $100k in 2000 would allow you to 'trade' just 1. Another thing I have a
> problem with is the slippage assumption. $180 slippage is unrealistic.
Let's
> say commision is fixed at $20 per trade RT. So the only thing that varies
is
> the slippage. Now, in 1996, $180 slippage is HUGE whereas in 2000, $180 is
> unrealistic and miniscule. I remember that trading March of 2000 I had
> slippage of $500-1000 for market orders (but then, I was making $30K per
> contract on the winning trades and losing $5-10K on losing trades.).
>
>
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