Autotrading ES

[daveyc]

Hello,

I was wondering if anybody out there that trades the emini futures and uses an auto-trade service can answer me a couple of questions please as I am investigating the possibility of trading this. First, how accurate or how closely does backtested results on a particular autotrade system resemble real results or in other words, are backtested results the reality of what I would find had I been trading a system all along? And, secondly, if a system has stops in place, how likely are these stops to get blown through? Hope these questions make sense and would appreciate any input on this topic. Thanks!

 

[bnaimy]

Hello,

I was wondering if anybody out there that trades the emini futures and uses an auto-trade service can answer me a couple of questions please as I am investigating the possibility of trading this. First, how accurate or how closely does backtested results on a particular autotrade system resemble real results or in other words, are backtested results the reality of what I would find had I been trading a system all along? And, secondly, if a system has stops in place, how likely are these stops to get blown through? Hope these questions make sense and would appreciate any input on this topic. Thanks!

1: if a system has stops in place, how likely are these stops to get blown through?
Weird question to ask, stop will get blown true IF placed at the wrong place or if the
trade is wrong in the first place. So its not a question if the stops will be blown
through but more about if the trade is right or not and if the stop is put at the
correct level. The question boild down to if the system is profitable or not in the
first place.

2: Back testing can be very accurate, if you take into account slippage...but should not problem if the system is goes short long on limits.Then if system wants to go long lets say 1101, then assume u got a fill at 1102, this will make sure that in reallife scenario u will get the fill, price toutchen the level does not mean a fill.Do the same when covering the trades for profit.And finaly, also take into account the brokerage fee, as they dont let you trade for free.

DO these things right, and u should be pretty sure about the accurecy, if the system with these changes gives a negative results, then get back to the drawing table and
create a system that is more robust.

With kind regards
Bashir Naimy

 

[DionysusToast]

stops immediately above a swing high or immediately below a swing low have a good chance of being hit. A tight stop will also be more likely to be filled. A 10 tick stop is a decent amount of breathing room for shorter trades and a 2 tick stop is likely to be hit most of the time.

In terms of fills, I am not sure when Bnaimy trades but allowing for 4 tick slippage is totally overkill. For a limit order fill, you'll need actual price to go 1 tick past your limit price, as you can presume you'll be last in the queue. If the price doesn't go 1 tick past your limit order, presume no fill.

For stop orders - 1 tick slippage is fine and more than you'll experience in real life UNLESS you put your stop above a swing high aka "where every other sucker puts a stop" - if you do that, you could get hit with more slippage.

 

[daveyc]

Ok thats great info guys. Thanks! Back-tested results are important and wanted to see how accurate results are or if they were fiction. I'm just looking for a conservative scalping system that can be left on auto. Thanks for your replies.

Dave