Any pure mechnical traders or system traders?

Discussion in 'Strategy Building' started by feng456, Nov 30, 2010.

  1. feng456

    feng456

    Thank you. Without going into greater detail, what you wrote does not apply to me. To answer your question though, my stops and limits are based on signals that do not change from backtesting. Again, it's designed so the variables are all the same so it's actually relevant and useful.

    I did double check after reading your text to make sure that it was the case.

     
    #41     Nov 30, 2010
  2. feng456

    feng456

    Just a friendly reminder...
     
    #42     Dec 1, 2010
  3. Hi. Wasn't ignoring you, was in a trade. Some people here DO trade, strangely enough. Kindly humor an old man and let me start over. Do I recall correctly that your screen is nothing but 30 minute price bars with indicators running at the same 30 minute clock (not in real time, that is, the indicators only update on the close of the 30 minute bar)?
     
    #43     Dec 1, 2010
  4. feng456

    feng456

    30 mins candles with volume at the bottom that i dont really use. no other indicators.
     
    #44     Dec 1, 2010
  5. Thanks. Trade entry triggers at the end of the bar or at the beginning of the next bar? That is, would you enter at 10:29:59 or 10:30:00?
     
    #45     Dec 1, 2010
  6. feng456

    feng456

    actual entry is made on 30:00 but based on several previous candles
     
    #46     Dec 1, 2010
  7. OK. Are you punching the trade button at, say, 29:58 or 29:59 to get a 30:00 entry to measure slippage?
     
    #47     Dec 1, 2010
  8. feng456

    feng456

    30:00...market order..would do 29:59 if i had a clock that was that accurate and intune with the market times...but such a solution has not been found.
     
    #48     Dec 1, 2010
  9. The easiest method would be to backtest the VIX... I'm sorry, but for clarity sake, you are indeed profitable, right? I understand that your profit is not as much as you expect, correct?

    Walt

     
    #49     Dec 1, 2010
  10. Roger that. I run a one second chart on ESignal find that ES ticks and the Interactive Brokers clock almost always match to the second. When they do, I trade off of the IB clock. Invaluable IMO to get a good handle on slippage to plug into your backtesting.

    Same deal on stop loss and profit taking exits, signals and exits on 30:00?
     
    #50     Dec 1, 2010