i could adopt these types of patterns, but i'm not interested in naked overnight risk, or the countertrend approach at this time. plenty of others are, and sharing these snippets will either dilute their efficacy to my potential benefit, or they will continue working at no particular cost i've thought for a long time about what effect publicity has on a given pattern, and these two are very deeply entrenched
That's very surprising! How have you tested? I assume it isn't with TradeStation (or similar). What %age of limit orders get filled? What timescale are you using (5 min, daily)? Thanks
I have been running a similar system with 5 contracts a trade through IB API. It is true that my system a little bit more complex and has logic for when to take market order vs limit. But all together I had around 80% of my limit orders filled during a test period of almost 1.5 years. You are right, I don't run Trade Station, I always program my own code in C++ or Visual Prolog, but the carcass of the system is very similar. As a side note, S&P gained 250% in the past 10 years so utilizing this kind of system on it is very reasonable. Cheers. P.S. I'm running it on 1 min bars.