loop forever

Discussion in 'Trading' started by kiwi1, Dec 24, 2008.

  1. kiwi1


    paperTrading account
    ES futures

    automated startegy:
    target + a tick
    stop - a tick
    reverse on close

    set it up and let it go for a while...

    I was expecting about 50/50 win/loss trades.

    Not so...

    I get pretty consistenty almost 3:1 losses

    why is that?
  2. The bid/ask spread is what's killing it.
  3. Maybe paper trading account can't accurately simulate FIFO.
  4. I don’t know how IB handles these kinds of orders with paper trading, but this is how it works in the real world…

    It’s because your limit order is placed in the queue of orders at that price, and the market must trade enough at that price to hit your limit order in the queue.
    But as soon as any order is filled at the stop price, your stop (market) order becomes a live market order, and you are taken out of your position at a tick loss.

    So this makes it much more likely that your stop will be activated before your profit target is hit.
  5. Its the spread.
  6. kiwi1


    TraderGreg123, that makes sence