[TerryDunne]

Thanks for the really thoughtful replies. It’s becoming clear to me how much knowledge exists here and how generous people are in sharing it!

Said, I think you’re saying that you don’t have any slippage issues with your exits? That would be really encouraging if I’ve understood correctly as I’ve concluded that this is a much bigger risk than the entry side. I also now understand why testing with a minimum share price is important – selling at $1 but only getting 99c is much more of an issue than selling at $10 but only getting filled at $9.99.

Matt, my curiosity has really been piqued by the idea of trading (potentially) all stocks with a sufficient price and liquidity rather than only the ones in an index…can’t wait to get home to my special friend Amibroker! Are you putting on dozens of LIT trades each night?

One thing I haven’t understood is how my fills might improve using a dedicated server? Are you suggesting that speed will improve and that will lead to better fills?

Best wishes,

Terry

[TerryDunne]

I’m slowly catching up on the thought processes of the smart people here…when I first read this thread I mentally shrugged my shoulders. However, now that I’m near finalizing my mean reversion system, this has become a much bigger issue in my mind.

Not only is there the risk of slippage in the way Dustin highlighted, but also there is the issue of slippage on exiting, whether a MOC exit or next day open.

Has anybody been able to accumulate any stats on these types of slippage? I had data from many years ago on the differences between the open and my fills for entries and exits, but that was for a trend following system and in any case is probably out of date now.

Without slippage, my system makes on average about 1.4% per trade. But it wouldn’t take much slippage to turn a very healthy system into something that isn’t tradeable…

Best wishes,

Terry

[TerryDunne]

Matthew,

Tax in the US is quite different in a range of ways from here.

On the positive side, you can choose to domicile your shelf company in a ‘no tax’ state. For example, I think Arizona has no state taxes.

On the negative side, depending on your setup, brokerage costs may not be tax deductible…

This isn’t meant as tax advice of course (while I’m an accountant, I’m not a tax accountant and certainly not a US tax accountant), just to highlight that it can be quite different there.

Regards,

Terry

[TerryDunne]

Wow Matt, thanks for that detailed reply – really helpful!

Regards,

Terry

[TerryDunne]

Interesting post Nick, although only for US residents?

Do you think it’s an exchange of commission for slippage?

Regards,

Terry

[TerryDunne]

Hi Scott and Craig,

Thanks for your help. I now know that my laptop has 8GB of RAM and an i5 processor. This does not sound like a winning solution to my simulation needs

Craig, thanks for the tip on the Aibroker set up, I made the changes that were necessary.

Regards,

Terry

[TerryDunne]

That makes sense, thanks!

[TerryDunne]

Hi Julian,

I don’t even know what RAM I have…I did say I was not tech savvy .

Running with say 16GB, how long would the overnight analysis take do you think? I guess I’m trying to decide whether I need to invest another $2k on electronic devices…

[TerryDunne]

Hi everyone,

Because I’m not very tech, I hope you don’t mind if I ask a potentially dumb question or two…

If I’m using a $1,000 laptop (which is what I have right now) versus something with 32GB and SSD, how long are we talking about in terms of time difference to run a monte carlo simulation? I know that this will vary but I’m hoping to get some indication of what I’d be paying for.

Should I set up my current laptop as my back up?

Thanks in advance,

Terry

[TerryDunne]

Hi everyone!

My name is Terry. I live in Sydney and have a wife, 2 teenagers and a cat. I have a five year plan to replace the two teenagers with a chocolate Labrador and to trade to supplement my (semi) retirement.

I’ve traded for just under 20 years now, up to trading other people’s money through a fund that a partner and I set up while I was living in California. We launched – long only equities – in 2008, which wasn’t the world’s best timing. However, we were able to return all of the money of those people who stayed with us by 2012…and then I put my queue in the rack, where it has stayed ever since.

Now I want to get back on the bike and I see Nick’s service as a great way to do this. I can’t wait to get into the course, starting tonight!

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