slippage on rollovers
Posted: Sun Mar 22, 2009 12:39 pm
Hi,
I'm testing a system assuming all buy entries happening at day's high and sells at day's low. But, if I do the same brutality on every rollover it kills the system which is not too surprising perhaps. My question is what's a good assumption for slippage at rollover points?
Separate question. I'm discovering (as everybody else on this forum probably already knows) that slippage can kill a moderately good TF system. I wonder what are the alternatives. Is limit order at the risk of missing a trade a good alternative (especially if trading a lot of markets and insisting on good entry points once signal is generated)?
t.
I'm testing a system assuming all buy entries happening at day's high and sells at day's low. But, if I do the same brutality on every rollover it kills the system which is not too surprising perhaps. My question is what's a good assumption for slippage at rollover points?
Separate question. I'm discovering (as everybody else on this forum probably already knows) that slippage can kill a moderately good TF system. I wonder what are the alternatives. Is limit order at the risk of missing a trade a good alternative (especially if trading a lot of markets and insisting on good entry points once signal is generated)?
t.