Long introduction, so bear with me...
I do technology at a large US bank, and eventually want to be a trader. I've been paper trading to gain experience until I either have enough money to go it on my own, or can get a job trading at a firm. To do this there's a few hurdles I have to jump. I can't trade a real account because employee accounts require positions to be held for a month or more. I also don't want to send trades to an external demo system because of internet communication policies.
So instead I've been using my demo platform (ThinkOrSwim) just for data, and track all of my trades in an elaborate spreadsheet. I've been trading every day since last August, and feel great about my results.
I take my paper trading very seriously, but my fear is that nobody else will. I'm afraid that people will pass off my results as unrealistic or just plain fake. I'm trying to do everything I can to make my spreadsheet as legit as possible. For instance, I try to track performance with numerous metrics including my monthly sharpe ratio.
Right now I think the biggest hole in my system is slippage. There's no way to guarantee that I would have gotten the prices I enter on my spreadsheet. I also feel that my current strategies would be particularly vulnerable to slippage. I try to catch big momentum swings based on my macro views. A perfect example would be the huge moves we've seen in silver, or more recently in EUR/USD. If it doesn't do anything or goes against me I just stop out at the same price I got in. I end up striking a lot of my trades that don't go anywhere, and I think that in the real world slippage would probably turn these into losses.
Is there a good way for me to account for such slippage in my simulations? I'd also be interested in any other suggestions that would strengthen the trade history I have in my spreadsheet.
I do technology at a large US bank, and eventually want to be a trader. I've been paper trading to gain experience until I either have enough money to go it on my own, or can get a job trading at a firm. To do this there's a few hurdles I have to jump. I can't trade a real account because employee accounts require positions to be held for a month or more. I also don't want to send trades to an external demo system because of internet communication policies.
So instead I've been using my demo platform (ThinkOrSwim) just for data, and track all of my trades in an elaborate spreadsheet. I've been trading every day since last August, and feel great about my results.
I take my paper trading very seriously, but my fear is that nobody else will. I'm afraid that people will pass off my results as unrealistic or just plain fake. I'm trying to do everything I can to make my spreadsheet as legit as possible. For instance, I try to track performance with numerous metrics including my monthly sharpe ratio.
Right now I think the biggest hole in my system is slippage. There's no way to guarantee that I would have gotten the prices I enter on my spreadsheet. I also feel that my current strategies would be particularly vulnerable to slippage. I try to catch big momentum swings based on my macro views. A perfect example would be the huge moves we've seen in silver, or more recently in EUR/USD. If it doesn't do anything or goes against me I just stop out at the same price I got in. I end up striking a lot of my trades that don't go anywhere, and I think that in the real world slippage would probably turn these into losses.
Is there a good way for me to account for such slippage in my simulations? I'd also be interested in any other suggestions that would strengthen the trade history I have in my spreadsheet.
