Futures global settings

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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Roundtable Knight
Roundtable Knight
Posts: 1429
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Location: Des Moines, IA

Futures global settings

Post by LeviF » Wed Apr 22, 2009 4:07 pm

At the advice of someone wiser than I, I have begun testing futures systems in Blox. I have not traded futures before. I am curious as to what experienced traders use for global slippage and liquidity settings in Blox. Going right down the list I guess:

1. Slippage %
2. Minimum $ slippage
3. Minimum contract volume
4. Max % of volume per trade
5. Roll slippage (% of ATR)
6. Commission per contract

Any input is appreciated. I will be testing relatively long-term systems.

Roundtable Knight
Roundtable Knight
Posts: 130
Joined: Sat Aug 02, 2008 2:32 am
Location: London, England.

Post by jas-105 » Thu Apr 23, 2009 4:04 am

Here are what I use for a medium term system , after 1 year of live trading they have been ok:

1. 8%
2. 10$
3. 1,000
4. 5%
5. 4%
6. 3$

I hope this is helpful !

Roundtable Knight
Roundtable Knight
Posts: 695
Joined: Mon May 17, 2004 4:18 pm
Location: Boston, MA

Post by LeapFrog » Thu Apr 23, 2009 2:49 pm

You might want to add "entry day retracement (%)" to your list, if you use systems with entry day stops (like the Donchian). For this, I'm currently using 50 percent.

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