new: tick variance

["Robert Linders" <Robert@xxxxxxxxxxxxxx>]

Hi List,
After checking my actual trade records, I started to wonder why:
1. for instance YM would be a better signal to trade DIA than DJ
2. trade results on S&P midcap would be much farther from my calculated
results as would the S&P 500.

I believe the answer is slippage or what I call tick variance.
Tradestation calculates by always stepping up or down prices by a minimum
increment decrement called MinMove.
Tick variance actually measures the "true" minmove, if you multiply that
minmove by the tick $ amount you get some surprising results:

Tick variance (measured over 5 days last week in TS6)
MD (S&P Midcap): 0.453
SP (S&P 500): 0.186
DJ (Dow Jones): 4.11
YM (Dow Jones e mini): 1.66
ND (Nasdaq 100): 0.94
NQ (Nasdaq e mini): 0.505

Now if I subtract the official "MinMove" and multiple by the $ value and
multiply by 2 (going in and out of the trade), I get:
MD (S&P Midcap): (0.453-0.05) x $500 x 2 =$403
SP (S&P 500): (0.186-0.1) x $250 x 2         =$43
DJ (Dow Jones): (4.11-1) x $10 x 2            =$62
YM (Dow Jones e mini): (1.66-1) x $5 x 2   =$6.6
ND (Nasdaq 100): (0.94-0.5) x $100 x 2     =$88
NQ (Nasdaq e mini): (0.505-0.5) x$20 x 2   =$0.20

WOW, just putting a signal on MD sets you back $403 even if you get the fill
at that exact price that exceeds your stopprice (unlikely)!

In general putting a strategy on ND always works better than putting it on
NQ, BUT NQ ticks travels through almost every tickprice while ND "jumps"
above my stopprice by $88. So from now on I have to add $88 more slippage to
ND when I compare it to NQ!

If you are interested here is the code (notice how ticks with the same price
are skipped from the total, those ticks will never cause a stop price to be
hit):

Inputs: MinFluc(0);
Vars: Price(0),Variant(0),Count(0);

If Date>Date[1] Or Price=0 Then Begin
 Price=Close;
{ Variant=0;
 Count=0;}
End
Else If Price<>Close Then Begin { forget same price ticks }
 Variant = Variant + AbsValue(Close-Price) - MinFluc;
    Price=Close;
    Count = Count + 1;
End;
If Count>0 Then Plot1(Variant/Count,"TickVariance");

=================================
Robert Linders
Orlando
Robert@xxxxxxxxxxxxxx
=================================

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