Ive traded oil for about 2 years. When I send a market order, I get filled with NO slippage 95% of the time. If I was trading 30 contracts, maybe it would be something to worry about. 1 contract, I do not get 15 ticks of slippage. My strategy in theory would make money even if every trade I made gave me slippage of 14 cents. My average trade is $150, and that is including 2 ticks of slippage, and commission. SO before you start laughing, why don't you do some research about how oil trades, and ensure you know the data behind my strategy.
No it doesn't. Your 14 years old. You don't trade daily the CL since 2 years like I do since many years. You have no clue how fills works during the day in CL. But whatever, go ahead, lose all the money of other people.
I have been trading since I was 11 years old. Dont get me fucking started about proving you wrong because it pisses me off when people don't take my word. I am trying to make it in a business that absolutely takes no prisoners, and is dominated by the rich. It has been my goal since 11 years old. I do have a "clue" how oil trades. Once again I have traded it for 2 Years, in one of the most volatile periods in oil.
I know you're only 14 but Julian you've really got to thicken your skin. Don't get into pissing contests with anonymous people on the internet, it's totally pointless. Let the haters hate, and ignore them. You can never win against the haters, so there's no point in engaging them.
Yea true...I still got growing up to do I guess . My father always tells me its the haters that fuel your fire to succeed. You arguing with them doesn't do anything, just prove them wrong without words.
The market doesn't care how hard you work or how hard you want to succeed. I'm just saying that IMHO you will lose money on that strategy.
Some random thoughts... 1. Taking on the antagonists 2. On backtesting period Backtesting can be deceptive. The backtest period should be long enough to include all market conditions you are measuring at least twice over. More on that later. 3. On backtesting data I have yet to see a data set that was error free and I have been backtesting since before you were even in liquid form. I am a software engineer, so most of my backtesting was my own code. The first task was to write an expert system to test the data set and through out the bad data. 4. On backtesting algorithms. There is a maxim in software engineering: "In programming you are always off by 1." I'm embarrassed to tell you how many times I thought I had a great strategy only to find that I had accidentally looked into the future. Some of my bugs were quite subtle and hard to detect. 5. Curve fitting One of the most common mistakes is to optimize your strategy to the point that it gets wonderful results on your training data set. This is not your goal. Your goal is to discover some general truth that will also give good results outside of the test data set. 6. Backtesting technique. I go to extraordinary measures to eliminate "curve fitting," but then I'm a fanatic on the subject. At a minimum I recommend dividing your historical data into two data sets; one for training and one for validation. Only if the results are similar do you have any confidence that you have generalized your strategy to survive all the market conditions it uses. 7. Backtesting fanaticism. To give you a small idea the extent fanatics will go, permit me to give you some idea of what I do. First, each run against my test strategy goes against a randomly selected subset of my data. Each data set is generally within 40% to 60% of the entire set. I tweak my strategy until I get "similar results" between the training data and the validation data. Now I do thousands of runs (Monte Carlo analysis) and get some statistics that measure consistency within each data set type (training and validation) and between data set types. If your set of training runs show a wide variance, I would worry. 8. Manufacturing analogy. From working for a mechanical components manufacturing company I learned the four steps from idea to production and use their equivalent in qualifying a strategy for serious money trading. Computer simulation -- any time we did a new design we first designed it within design programs where we could perform stress and performance prediction on the part. -- This is backtesting in the trading world. Prototype testing -- we built prototype parts to find out how they interfaced with the real world and to validate that our simulations represented reality. -- This is SIM or paper trading in the trading world. You need to find out the market rhythm of the trading vehicle and what is required of the trader (or robot) to execute successfully. I never fail to learn something I did not expect when looking a trading vehicle that is new to me. And I have never performed as well in SIM trading as I did in backtesting. Preproduction -- once a part has qualified with prototype testing, we do a preprpduction run. Here you get the real world of manufacturing and you find out if you can hold the tolerances and keep the production speed up high enough to be profitable -- This is small money trading. Here you encounter real world fills rather than the fills you project in SIM trading. You get to verify many of your assumptions you made in backtesting and SIM trading. Production -- ready to rock and roll!! Here we crank up the line, but put in place monitors (guaging) to quickly spot failures in the system, both anticipated and unanticipated. -- Serious money trading In trading you have similar concerns. You now have a trading system; a strategy and the trader (you). A good strategy traded by a failing trader will still lose money. The trick is to put measurements in place to spot trader failure (and fix it) vs. strategy failure. I use a trading journal for this purpose. _____________________________________________________ You're are young, inquisitive and willing to try stuff. I'm excited for you. Hopefully, I have given you some insights into the tools that you may find helpful. A book I would recommend is The Evaluation and Optimization of Trading Strategies It's expensive, but your library may be able to borrow one via inter-library loan.
Thank you so so much for this information! I really appreciate it! I am going to see if I can get more data for the oil contract strategy. The same strategy does work on other instruments, however it works on oil the best, so I do believe it has found a pattern in the markets. Thanks for the best wishes! I'll definitely check that book out.
If you need to worry about slippage in CL then you should be sitting on your own private island. There is no slippage on your orders... it's microstructure. What is your profit factor?