Tuesday, 24 July 2012

No Slippage for Algos?

Here is what Flo has done so far today. Not a great morning, but she's still green for the day so far. The high win rate based on my settings from the end of June continue to be robust. I am due to retest at the end of July.

I am making a change to the way that stops are activated. Entries already occur on a LIMIT order. My risk is that I will miss a trade, but better that than paying an extra tick or more on EVERY trade. I am going to carry this through to my stops. Flo will have two stops for shorts and two for long. The closest will be a stop limit and one a little further out distance based on testing will be a hard stop in case the stop limit is not elected. My testing shows that this will eliminate stop slippage in a high enough percentage of cases to warrant a further away hard stop that loses a bit more in a small percentage of cases.


  1. Great idea on the stops. I use stop limits for all my stops (on NQ) and rarely do I ever not get filled (which causes a mad dash for the "exit at market" button as I am not automated). Curious how far away you plan to set your hard stop? I'm guessing 3 ticks should do it...

    1. MBA, the hard stop depends on the trade location of the entry. I have zones.

    2. I meant how far between the stop limit and the hard (market) stop? Or do you mean that varies based on entry and zones?

    3. MBA, yes, that varies on how far I am from the 33EMA on entry.