I will add my bit from trading the All Ordinaries with my mean reversion system since March 2016. I don’t have the exact stats like Scott does, but just from experience partial fills are not so much of an issue as compared with missed trades when the low is equal to the limit order. It also seems be more of an issue in the Australian market when compared to the US, I’m guessing just due to liquidity. I would say if you didn’t have a very good buffer in terms of a high CAR missed trades would kill a mean reversion system on the ASX. Also the lack of margin for non-corporate accounts is a big issue now, I’m still assessing whether I’ll have to move towards a trend following approach if i want to stay in the aussie market.
In case the issue of missed trades was due to people seeing my orders before it was hit i changed the order type to “limit if touched – LIT ” this way interactive brokers holds the order until the price is met and then sends it to the exchange believe. This is good in theory but because LIT orders require price to trade at a set strike price before it’s sent you can miss fills at the very start of the day in the premarket auction. If the opening price is on or just below your limit order and then quickly shoot higher you can miss the trade, these trades also up being big most of the time.
