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Currencies: AD, BP, CD, EC, JY, SF plus 2 crosses from NY ICE: EJ & GB
Indices: DF, HS, NX, SP, X
Interest rates/bonds: BF, ED, US
Industrials / ags: C, CB, CC, CT, GC, HG, KC, SB
I can dump any that cause large slippage - although I only suspect the EJ and GB
currency crosses because of their lower volume.
I know if I doubled the costs from my system from $50 to $100 that it wouldn't
work - as in show a profit. But even before that, I want my backtesting to show
zero loss-making 6 month periods, and I doubt I'll see that unless I can get the
profit level up to about $20 per trade (after costs). It's a high frequency
system, entering on break-outs with exits on same day close.
I don't have any experience with mkt on close orders - do you know if slippage
is better or worse than mkt orders?
Regards
Adam
jack zaner on 22/07/08 18:34, wrote:
The problem is that the huge slippage variances among various markets
makes estimating "average slippage" extremely difficult. What will your
typical portfolio mix look like? Slippage, and all costs, can
absolutely rip the heart out of what appears to be a good system. I
would stress test your system with ever increasing slippge until it
breaks. When you think you have determined a reasonable level of costs
(what you think will actually occur), double them and see if it works.
----- Original Message ----- From: "Adam Hardy"
<adam.ts@xxxxxxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Tuesday, July 22, 2008 4:37 AM
Subject: Re: user error?
Stops only, in every market. Which makes slippage worse, but at least
consistently worse across all markets, I assume.
jack zaner on 17/07/08 17:49, wrote:
Also, do you enter/exit using stops, limits, etc?
Regards, Jack.
----- Original Message ----- From: "Adam Hardy"
<adam.ts@xxxxxxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Thursday, July 17, 2008 9:21 AM
Subject: Re: user error?
Gary Fritz on 17/07/08 17:00, wrote:
Adam Hardy wrote:
Out of interest, since I'm just looking at my slippage setting and
wondering if
it's too much ($50 per round-turn), what level do you use?
That depends hugely on what you're trading. You get very different
slippage on, say, IBM vs. tiger-shrimp futures. :-)
Sorry. I always assume everyone's doing what I'm doing. I'm trading
25 diverse and liquid futures markets. Indices, currencies, energy,
ag, interest rates, metals. I adjusted the TS point value for each
market to reflect their respective volatility, and I'm just hoping
that the slippage will be a factor of the volatility, on average
(all other things being equal).
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