Darryl’s Journal

[ScottMcNab]

Hi Maurice,

I don’t think the low number of fills obtained in relation to the number of limit orders placed is a sign of any problem or issue…probably the opposite in fact. If Darryl’s MRV is similar to Nick’s or mine then the price needs to drop a certain amount on the entry day for all of entry setup criteria of the system to be satisfied. The large number of limit orders relates to the prior day showing a possible entry setup but the price on the next (entry) day still has to drop a specified amount before the entry criteria are in fact met. On a large number of those says however the price movement is not sufficient to meet the entry criteria and so the limit price is not reached (hope that makes sense). The system would not have taken these trades in the backtest.

If the setup criteria for the system were all met the previous day and then the entry orders then were not filled the next day then it would mean there was an error with the backtest I guess.

[LeeDanello]

Ok thanks for that. Getting confused between actual trades and potential trades.
You’d need to run an exploration to find the “rejected” trades or setup trades and then compare these to trades taken. Would be interesting to see if these tally up with the real time results.

[TrentRothall]

Maurice Petterlin wrote:

Ok thanks for that. Getting confused between actual trades and potential trades.
You’d need to run an exploration to find the “rejected” trades or setup trades and then compare these to trades taken. Would be interesting to see if these tally up with the real time results.

Hi Maurice

You could tweak the code so the system takes every signal next open instead of at a buy limit, then set open positions 200 or however many you need.Then run a backtest to see the total trades/buuy setups.

[Nick Radge]

Maurice,
This is discussed in Module 24 Lesson 6

http://edu.thechartist.com.au/gurutasks/4-mentor-courses/46-section-3-module-24-robustness-system-biases-and-errors/335-selection-bias.html

[LeeDanello]

Thanks, Went off at a tangent.

[Anonymous]

Scott McNab wrote:

Hi Darryl, Are you using limit orders or are there some buy or sell mkt orders in there ? I would be interested to compare your slippage in the 66 entry or 46 exit trades if any of them were mkt orders (if you get a spare few minutes some time).
Cheers
Scott

Hi Scott, finally got around to calculating some slippage from the paper trading account. attached are some stats from the time i started to log signal details. they are just the stats from the buy limit orders placed. sell signals are all placed at market open and im yet to calculate those.
april trades:

may trades:

[ScottMcNab]

Thanks Darryl. The mkt orders in a paper trading account are apparently not as accurate as live account. I was so freaked out by the slippage in my mkt orders that I went to a buy limit order for entry too. My slippage was about 0.2% from memory paper trading.

[TrentRothall]

Darryl Vink wrote:

Scott McNab wrote:

Hi Darryl, Are you using limit orders or are there some buy or sell mkt orders in there ? I would be interested to compare your slippage in the 66 entry or 46 exit trades if any of them were mkt orders (if you get a spare few minutes some time).
Cheers
Scott

Hi Scott, finally got around to calculating some slippage from the paper trading account. attached are some stats from the time i started to log signal details. they are just the stats from the buy limit orders placed. sell signals are all placed at market open and im yet to calculate those.
april trades:

may trades:

Hi Darryl

Most of those figures are from gaps below the buy limit entry price, is that correct? Is that slippage or just a function of the system? I think of slippage as – you want to sell on open at 10.55 but get filled at 10.50, but Amibroker would pick up 10.55, so slippage is the difference 5c in this case

if that made sense

[Nick Radge]

They’re all positive slippage…

[Anonymous]

good point trent… i got so caught up with getting everything into a spread sheet that i did not bother to check if it was slippage or a gap down.

[TrentRothall]

Nothing like making extra work for yourself lol

[Anonymous]

all good fun!

[Anonymous]

Turned off paper trading yesterday due to unreliable internet connection in fuerteventura. looks like the honeymoon is going to take priority for the next 10 days
shall return to paper trading on return to perth on the 30th…

[TrentRothall]

Have a good trip!

[ScottMcNab]

Congratulations and best wishes

[Author]

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