Sometimes I also look at (a) impact of partial fills (b) impact of having no fill including unable to borrow (c) impact on having a fill that didn't happen in a model (d) impact of later data adjustments by data provider The slippage I mentioned is somewhat easy to track since I have formal models of all systems. Slippage could be by far the biggest % cost creeping into your trading. Likely double-digit % My guess is - for most traders it is order of magnitude bigger than obvious costs like commissions. So logically, everyone should be most concerned with their slippage. But looking at those things lacks excitement and probably looks like being a cheapskate. Who cares about executing at 58.76 or 58.77 anyway. Aren't we after big moves? Val
Unlike the real trading costs (which is pretty hard to estimate), slippage is fairly easy to model by simply introducing a delay in your backtest.
Pulled a trigger on one strategy last month. Have a promising alternative version but will not trade it for now as it has greater correlation with other strategies than I would like. Need to figure out my registered accounts. Too much money is sitting there doing nothing. Well.. other than being FX hedge lately. Open to any suggestions. Ideal scenario is to run a number of slower automated strategies there that will be in compliance. I might just end up using modified/simplified versions of current long strategies portfolio. --- PL update: Val
Wow what a stellar record! Keep the updates coming. Just curious, what do you mean as FX hedge? Keen to learn more from you! Are you a US citizen? I'm a Non US citizen and my returns suffered a few % point in my home currency and I've recently taken steps to hedge against USD.
Thanks. I am probably not as good as the year results might suggest.. But they do look very nice and I think it would be criminal of me not to show off! I am Canadian and normally just keep most of money in USD, but started converting a fraction into CAD in last few months. Most of the time, my use of retirement accounts ends with putting as much money there as legally allowed to avoid paying ~50% tax on a portion of earnings. Which is pretty good deal on its own. I only wish contribution limits weren't that low. So my FX hedge is just converting cash to CAD in my registered accounts instead of my usual USD holding there. With IB - literally just buying / selling USD.CAD pair. Val
Thanks! Good to know. I'm also selling USD/SGD to hedge my US exposure. I'm exploring futures as an option to hedge but this will be down the line.
I think, from memory, you are already using Norgate Val so one option is to subscribe to their ASX stock data and explore also running some systems there. The commissions are higher but its most likely better than leaving the money doing nothing. Liquidity can be issue for buy limit orders resulting in partial fills...very rough rule I used in past is 5k positions normally ok (depending on price and vol filters etc) but 10k results in problems..some other slight difference too (eg no MOC)..for automated systems can hopefully minimize position size by running multiple systems on asx overnight
Understanding liquidity is quite valuable and I found that not many people can contribute anything on that. So appreciate that! Outside of outright trading I personally think that now might be a good time to lock in some real estate deals that wouldn't normally be available. Tax advantages and low interest rate combined are something I'm also looking into. Val
Hope everyone is doing alright. Seeing today's action I looked at recent closed short positions, and mix of "looking for justice" and curiosity, but there was no justice, not today.. Just look at GME and GSX. Whoever is trading them up doesn't care about market or tomorrow. I think GME wasn't on my list but it's probably more of a luck than doing something particularly smart. Changes I made back in August to both short strategies paid off handsomely. If anyone remembers, my logic was - as market was hitting new highs despite the state of economy and so many people having nothing better to do than learn trading from home, we might as well see a bubble follow. My pre-august versions were fine for 20 years, except bubble in 90-ies, where they encountered few, somewhat short 20-40% DD bursts. Which didn't seem unreasonable as that market type is pretty rare and rate of recovery was not too bad. Basically what I did was reducing individual position sizes, average market exposure and used more bubble-friendly setups and ranking. All changes combined managed to keep ARR close to original but DD cut to ~12%. As of now old version is in ~34% DD (basically close to historical max during 90-ies), "after-august" version is around 15%. Sounds pretty bad but in a context - not really. This system is not expected to make money in such market. Anyway, this post is getting too long. One more thing - good to have thought thru exposure management, probably not too much of a problem for discretionary traders. But with automation lots of things can go wrong if market moves fast and there are many anticipated positions hitting their entry points. Pretty much everything my long systems were willing to get into was triggered. Highlighted in red trades that were not taken. Not often I see list that long. Once again, some work put in July to assure correct exposure management automatically pays off. Val