Average Losing trade Greater then Average winning trade:

Discussion in 'Strategy Building' started by amigasearch, Nov 22, 2003.

  1. Hi probability systems need to be closely examined to be sure the fills are reasonable in real time actual trading . In the ES for example, I have developed many such ideas which test out nicely , but often buy a bottom tick/ sell a top tick. As anyone trading the ES lately knows, most of the time you need the price to trade through to get a limit order filled. A few of these missed fills can cause the collapse of the system. Tradestation needs a testing criteria which requires a tradethru price to record a fill. This requirement is actually different than simply deducting a slippage factor. A system may "miss" a few winning trades and still be profitable, but the same system tested with a slippage factor in and out would be a net loser. Just one more thing to examine in your system testing.
     
    #11     Nov 24, 2003
  2. Aaron

    Aaron

    How about testing your strategy with your limit price another tick away from the market? Tradestation will indicate a fill when the market has traded through your original price and hit the next price.
     
    #12     Nov 24, 2003