Great info, thank you.
Currently, I use the US Tradestation for back testing. So far I'm testing price, volume, time and up/down ticks. Is there data for the other items such as lot size or cancels?
My programming is cude but sufficient.
Your suggestions are appreciated!
Great feedback options-George.
Do you know of a broker and platform that offers data on the mentioned items (execution rates, order sizes, cancellation etc.)? Your point hits home. I see the need to do more detailed research.
Thank you!
Yes +/-1 or 2 ticks on the emini.
I reflect all transaction fees for the broker and exchange. Orders use a limit so there is only slippage for the 15% losers.
The profit is clearly overstated at 5.0. I do assume 1/2 of the posite trades ocurr and all of the negative trades...
"Trade you program" mean to decide how you are going to trade and stick to it.
Any "Program" consists of a set of rules for entry and exit. A program places an entry, an exit, and a stop for every market entry.
What is your opinion?
Trading the emini on a back tested scalping strategy (which includes broker fees):
Is 5.0 a good profit factor?
Is 85% a good success rate?
Is an average of trade of +$12.50 and -$13.00 OK?
Should the greatest cumulative loss be less than 3% of the annual return?
Is...
I started from small capital an I'm still trading. Here is what worked for me.
#1) back test over 10 years - preferably 20 years (include broker fees in back testing)
#2) have 4 times the capital of the greatest cumulative loss
#3) keep working on you strategy until you have a 5.0 profit...
How I learned.
Looked at a chart (S&P 500 1 minute - before the emini)
Make a guess. E.G. go long on Monday at 9:00 EST
Back test the guess (20+years should do it).
Realize the first guess isn't right all the time. Make another guess.
Repeat.
You can only have full trust in your own program...
Asses her system for slippage. If she is loosing due to slippage then either:
1) you have a bad broker OR
2) she is truly on the wrong side of the market