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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LeviF
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Futures global settings

Post by LeviF »

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.
jas-105
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Post by jas-105 »

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 !
LeapFrog
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Post by LeapFrog »

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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