Simple System for Beginners

2xtick for entry and exit may not be appropriate. If backtesting includes a stop for entry then you may realistically exclude slippage for entries in the ES.

Next, on exits you may exclude slippage on losing trades resulting from stop losses. Suppose backtesting showed 50% winners and 50% losers. Of losers, perhaps half of those result from stop losses. Then you could exclude half of half or 25%. So on exits your slippage cost would be .75 * 12.50 or $9.38

 

Thanks Anomaly. Do you suppose it is market orders that get hit with the full slippage? From my experience with market orders, I get hit with one tick either getting in, or getting out.

Tradestation asks for commission and slippage "per trade". I had erroneously entered $5 for commish and $25 for slippage, thinking round turn when the software is thinking per side. So I was doubling everything and really mangling my equity curves beyond recognition. When I enter $2.50 for commish and $6 for slippage, it seems a tolerable system. Still, I'm curious about using it as a directional bias filter for some shorter trades.

Here's a Q out of curiousity. Given a fairly consistent equity curve with fairly mild and consistent drawdowns, is it valid to try and up the winning percentage by buying the dips in ones equity curve...either adding contracts, or simply waiting for dips to enter and then riding till the next peak?

Also, anybody else think it's valid to backtest with zero commish and slip...just to see if there is any positive expectancy at all? I think it's helpful, especially in trying to design a smooth equity curve.

Thanks.

JohnnyK

 

June 2005 results

-$1055

 

What does the half year summary look like?

 

Its essentially flat for the year 2005.
See this thread for the monthly results summary:


http://www.elitetrader.com/vb/showthread.php?threadid=39031

 

July 2005 results

+ $2800


<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=803288">

 

August 2005 results

- $ 860

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=832241">

 

September 2005 results

+ $1645

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=856596">

 

Good luck to all. This will be the final post to this thread.
The graph shows the monthly P/L for the system since it was posted in September 2004.

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=856601">

 

Easy then.
Don't start.
No drawdown .. guaranteed
No loss .. guaranteed .