Search found 39 matches
- Fri May 16, 2008 10:16 am
- Forum: Testing and Simulation
- Topic: Slip and Commission
- Replies: 23
- Views: 28344
Hello all, It has been two years since the last post in this very important (and helpful) thread regarding slippage estimates. And during those intervening years the markets have gotten progressively more volatile and noisy. However, commission costs have dropped dramatically, and electronic trading...
- Tue Apr 29, 2008 4:00 pm
- Forum: Futures Markets
- Topic: Let's List the smoothest trending markets
- Replies: 15
- Views: 15753
- Sun Apr 20, 2008 8:37 pm
- Forum: Testing and Simulation
- Topic: Execution and slippage for MOO and MOC Orders
- Replies: 16
- Views: 14977
Thanks, Sluggo. For those interested, some trading commentary from myfuturesblog.com (no affiliation, just stumbled across it) regarding MOC orders. Not sure if others would agree, but thought it was worth sharing nonetheless. ***** ——————————————————————â...
- Sun Apr 20, 2008 7:50 pm
- Forum: Testing and Simulation
- Topic: Execution and slippage for MOO and MOC Orders
- Replies: 16
- Views: 14977
- Sun Apr 20, 2008 7:44 pm
- Forum: Testing and Simulation
- Topic: Execution and slippage for MOO and MOC Orders
- Replies: 16
- Views: 14977
Thanks, Sluggo. So I load your system on my computer, and as stated -- no slippage regardless of the slippage % setting. However, my system is extremely simple, and I have checked and double checked the code -- all orders are long or short on close. I am running version 2.2.9 on Vista, off my C: dri...
- Sat Apr 19, 2008 7:54 pm
- Forum: Testing and Simulation
- Topic: Execution and slippage for MOO and MOC Orders
- Replies: 16
- Views: 14977
MOC Slippage
Tim:
In a prior post, you stated that TB did not take slippage into account with MOC orders. However, when I adjust the slippage % figure with my system, which uses MOC orders, slippage is taken into account. Could you explain? Thanks.
Algonquin
In a prior post, you stated that TB did not take slippage into account with MOC orders. However, when I adjust the slippage % figure with my system, which uses MOC orders, slippage is taken into account. Could you explain? Thanks.
Algonquin
- Fri Apr 11, 2008 9:37 pm
- Forum: Testing and Simulation
- Topic: What to make of this chart?
- Replies: 19
- Views: 14425
- Thu Apr 10, 2008 6:57 am
- Forum: Trader Psychology
- Topic: This is why trendfollowing is hard
- Replies: 19
- Views: 27611
- Thu Apr 10, 2008 6:46 am
- Forum: Trader Psychology
- Topic: This is why trendfollowing is hard
- Replies: 19
- Views: 27611
If you have stong feelings about taking money off the table, or lightening up, these positively intended feelings (which are intended to get you focused on your risk control) will find a way to express themselves, probably through some unplanned drama. I think you have two options: work through your...
- Sun Mar 30, 2008 12:12 pm
- Forum: Testing and Simulation
- Topic: Rounds Turns Per Million -- How Low Can You Go?
- Replies: 8
- Views: 6849
- Sat Mar 29, 2008 10:53 pm
- Forum: Testing and Simulation
- Topic: Rounds Turns Per Million -- How Low Can You Go?
- Replies: 8
- Views: 6849
- Sat Mar 29, 2008 3:21 pm
- Forum: Testing and Simulation
- Topic: Rounds Turns Per Million -- How Low Can You Go?
- Replies: 8
- Views: 6849
Rounds Turns Per Million -- How Low Can You Go?
I have developed a few very long term trend following systems, with solid performance characteristics. I developed the systems using 50% slippage assumptions, and thus gravitated toward systems with extremely low trading frequencies. Most of the systems trade between 200-250 round turns per million....
- Tue Mar 18, 2008 8:11 pm
- Forum: Testing and Simulation
- Topic: Data Problem: GC -- CSI Data?
- Replies: 4
- Views: 4370
- Sat Mar 15, 2008 8:21 pm
- Forum: Testing and Simulation
- Topic: Data Problem: GC -- CSI Data?
- Replies: 4
- Views: 4370
Data Problem: GC -- CSI Data?
I am using CSI data with the standard default settings. I was examining historical gold prices, and noticed that the high historical price is being shown as $1644 on 01/21/80. Even given the price distortions which occur with continuous back-adjusted data, this number seems way off, especially when ...
- Wed May 09, 2007 9:07 pm
- Forum: Testing and Simulation
- Topic: TradingBlox Roll Over Specifications
- Replies: 3
- Views: 5170
- Mon May 07, 2007 6:47 pm
- Forum: Testing and Simulation
- Topic: TradingBlox Roll Over Specifications
- Replies: 3
- Views: 5170
TradingBlox Roll Over Specifications
OK. So I searched the forum, using both the native search tool as well as Google, and was unable to locate a (the) post which specifies the roll over methodology used in calculating the sample data for TradingBlox. As I can only assume such a post exists, I was hoping a kind soul could point me to t...
- Tue Apr 03, 2007 10:07 pm
- Forum: Testing and Simulation
- Topic: Cats out of the BAG LTTF VS SWINGING
- Replies: 34
- Views: 40142
- Tue Mar 27, 2007 12:10 am
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 45906
To be more precise, my intention in raising this issue is not to resurrect the tired debate surrounding back adjusted contracts. Instead, I am attempting to draw attention to some potentially more subtle issues that may arise as tested data series become more elongated. Specifically, over very lengt...
- Sun Mar 25, 2007 12:17 pm
- Forum: Testing and Simulation
- Topic: Very Long Term Trend Following: The Data Implications
- Replies: 37
- Views: 45906
Very Long Term Trend Following: The Data Implications
As many systematic trend followers migrate to very long term trend following systems, do the problems inherent in backadjusted data become more manifest and problematic? Thus, for example, if a trader is using a moving average system based on 300+ days, or a channel breakout system predicated on a 2...