You might want to check out this sites systems. They have backtested data as well as realtime. All are 100% mechanical. No affiliation with them and have not used them. http://www.spb.addr.com/index.html
Actually I have. If I were trading using stops there is no question the es is better. For now paying $62 for sl and comm per round turn is pretty good for me. I also could adapt quickly to a big electronic contract.
Thanks everyone for the great feedback. I'm considering automating on 15,30,and 60 min bars. I'm using the "buy/short next bar at close limit" construct for entries. I've been a little hesitant to use LIMIT orders on my stop losses and trailing stops, and have kept them market orders. Does anyone here use limits for their stop loss? I'm using limits, of course, for profit targets. My positions are usually held 1-3 days. Any more great feedback?...
I'm sure these systems work but what i'd really like to see is a site which shows equity curves per system based on %'s.
Anyone else care to share their stories about mechanical trading? Love to hear if anyone else does it successfully. Additionally, if any of you use Tradestation, do you notice a lag on the ES? If you are trading a mechanical system, how much effect has this lag had on your system performance?
You can find his writing by exploring [here] elite trader. Like reading about mechanical systems ;helps with discretion. Even the systems trders ahve to use discretion to pick a system.
Anyone here use Advanced Futures's AutoExecute software? If so, what has your experience been? How hard is it to port a strategy over from Tradestation? What has your experience with customer service been like?
Thank you for this thread. I have read it with great interest. I found acrarys' contribution the most realistic. Thank you for that. I am a system trader and find it very rewarding. It can be boring to be a neutral trader ....trading a system. But realistically one can't gamble forever and must turn this into a job, if they become serious. I like to call myself an executor.....not a Trader. Michael B.
Ok, this is very disturbing. Every strategy I've been working with thus far has been enter/exit on open next bar. Exactly how bad is this strategy? Could someone please chime in and say it's not that bad... btw, I've been testing mostly 2min bars
Corso, Have you traded any of these strategies live? If so, what type of slippage did you get? I've just started trading some strategies live that were supposed to enter "next bar at Close Limit". What I found is that I may or may not get filled at that price. Now I'm just entering at market (on the ES) and slippage, thus far has been .25 or nothing. However, I am also playing for several ES points and holding overnight so slippage is less of an issue for me. The bigger issue for me is getting in the trade. I'll be interested to hear your experience actually trading your strategies. MYD