Trade Station Summary Report

Discussion in 'Strategy Development' started by Pedro, Jul 15, 2003.

  1. Pedro


    I saw on the internet a TS report with $25 deduction (for slippage, commission,...), trading the E-mini S&P.

    Is this really enough? Does this give a realistic view when I should trade real time?

    Let me know more!
  2. We use $15 commission plus $12.50 slippage per round trip per contract when showing our TS performance reports online. Commissions will vary at different brokers, but the slippage factor is more important to see how efficiently your broker can execute your trades. Some systems don't auto-execute as well since there may be limit orders involved. E-mail me to see actual trade results.
  3. Pedro, performance reports for scalping systems (5-minute time frames or less) are extremely deceptive, especially breakout systems where slippage is a greater consideration. Fills and spreads are everything. Slippage of a penny on either side can blow what appears to be an extremely profitable system out of the water. Watch the system in real-time for a few days and then simply try it. Can you pull off the executions? For example, I developed a system that traded blocks of large-cap tech with a holding period of 10 minutes, profit factor in the mid 2's. The system turned me to jelly, the executions were so difficult to pull off, and those misses sabotaged the performance.
  4. Agree.....

    slippage occurs for sure if you're trading a system. You need to create a system that captures enough profit. High Frequency daytrading systems tends to look good on paper but not good for real trading.


    Good Luck!!