generating signal/order plots

[LEONARDZIR]

Brent, you didn’t mention which market you tested. You certainly have quite a lot of trades so I assume you have IB commission rates and trade the us market perhaps the Russell 1000?
I am surprised you generate so many trades with a 1.5 atr stretch

[Anonymous]

It is the Russell 1k. I test on higher comm rates than reality to help account for slippage. I test using .01/share in the US instead of the IB rate of .005/share.

[ScottMcNab]

Are you using buy limit entry and moc orders Brent ? If so, then the only slippage would be on those odd days when the open is lower than the buy limit order and your fill is somewhere higher than the open but less that the buy limit ? The days of negative slippage and positive slippage may even things out a bit too. Your metrics may be even better than your seeing based on the higher commission you are using but I guess it would be nice to have live results better than backtesting rather than the other way round.

[Anonymous]

Yes Scott – using buy limit / MOC orders. So far my live results are tracking the MCS pretty well. I missed one fill where the open was below the limit but then the stock shot off the lows and above my buy limit pretty quickly, but other than that things are tracking well.

[Author]

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