Automated Trading of ES

Discussion in 'Automated Trading' started by empee, Oct 8, 2007.

  1. empee


    Hi All,

    I recently started experiment with intraday ATS since I am a systematic swing trader right now.

    I wanted to find out what the minimum points per ES you need to take to factor in slippage/commissions to see positive results.

    I'm also aware that many people use tick data, and was curious how high frequency traders make money when factoring in slippage + commission?

    If you have any tips/tricks for ATS development would be appreciated. I'm just getting started.

    So far I've developed systems that generate on avg net +.15 pts all the way up to +.48 pts.

    I can go for more points but leads to far fewer trades.

    Also, what is the minimum backtesting period most intraday ppl use? I use 10 years for daily trading, but I haven't found a good source for 10 years intraday. (tho I would think 2-5 years would be adequate).