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.
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4 comments:

  1. MBAGearhead24 July 2012 at 21:01

    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...

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    Replies
    1. Electronic Local25 July 2012 at 12:29

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

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    2. MBAGearhead25 July 2012 at 14:51

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

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    3. Electronic Local27 July 2012 at 06:38

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

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