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Whoops- - should have said buy at 10 stop.
Regards, Jack.
----- Original Message -----
From: "jack zaner" <jzaner@xxxxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Sunday, January 30, 2005 6:56 PM
Subject: Slippage
> List: I rarely use profit points in the systems I trade, but one of my
best
> performing systems uses them. Although it does well in real time, I've
> encountered a problem that might not have a good solution. Anyway- -
> suppose I tell the system to buy at 10 limit and, using the canned profit
> signal (it's from TS 4 I think) I set a profit target of $100. In an
ideal
> world the buy would occur at 10 and the profit target at- let's say 20.
But
> let's program in a slippage of 1 tick. What TS does is simply deduct the
> slippage cost from the back tested results. But in real life, the
slippage
> may be occassioned by the buy not happening at 10 but rather at 11. Thus
> the PT should be at 21, not 20. But suppose 21 is not reached- -and
suppose
> the trades are interdependent. Other nasty scenarios can happen- - but
you
> get the point. Is there a coding or other solution ? Or is this just one
> of those backtesting vs. actual trading things?
> TIA, Jack.
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