http://thetradingdigest.com/blog/2007/07/15/why-cant-people-grasp-this-critical-component-of-a-system/ Wed, 20 Aug 2008 14:19:23 +0000 http://wordpress.org/?v=2.5.1 http://thetradingdigest.com/blog/2007/07/15/why-cant-people-grasp-this-critical-component-of-a-system/#comment-2146 George Thu, 19 Jul 2007 02:25:55 +0000 http://thetradingdigest.com/blog/2007/07/15/why-cant-people-grasp-this-critical-component-of-a-system/#comment-2146 Hi Dave, May I ask what platform you use for back testing? TradeStation, eSignal, or something fancier? Hi Dave,
May I ask what platform you use for back testing? TradeStation, eSignal, or something fancier?

]]> http://thetradingdigest.com/blog/2007/07/15/why-cant-people-grasp-this-critical-component-of-a-system/#comment-2141 Dave Wed, 18 Jul 2007 23:40:30 +0000 http://thetradingdigest.com/blog/2007/07/15/why-cant-people-grasp-this-critical-component-of-a-system/#comment-2141 JKW: As I could write a book on this subject alone and delves into some rather technical parameters I will email you directly. You should here from me soon. So so busy.... JKW:
As I could write a book on this subject alone and delves into some rather technical parameters I will email you directly. You should here from me soon. So so busy….

]]> http://thetradingdigest.com/blog/2007/07/15/why-cant-people-grasp-this-critical-component-of-a-system/#comment-2100 jkw Mon, 16 Jul 2007 18:58:42 +0000 http://thetradingdigest.com/blog/2007/07/15/why-cant-people-grasp-this-critical-component-of-a-system/#comment-2100 I have a question related to backtesting. How do you model slippage? I'm trying to develop an intraday system for trading e-minis. My slippage model is to use the worst price for the 15 seconds after the order decision is made. This results in an average slippage of about 4-5 ticks per trade (2-3 per order). I have managed to develop lots of systems with about 2-4 ticks of profit average per trade, but with my slippage model I can't manage to make anything consistently profitable. It seems likely that I am overestimating slippage, but I would rather overestimate it and throw out marginally profitable systems than underestimate it and start trading a marginally losing system. I have a question related to backtesting. How do you model slippage? I’m trying to develop an intraday system for trading e-minis. My slippage model is to use the worst price for the 15 seconds after the order decision is made. This results in an average slippage of about 4-5 ticks per trade (2-3 per order). I have managed to develop lots of systems with about 2-4 ticks of profit average per trade, but with my slippage model I can’t manage to make anything consistently profitable. It seems likely that I am overestimating slippage, but I would rather overestimate it and throw out marginally profitable systems than underestimate it and start trading a marginally losing system.

]]> http://thetradingdigest.com/blog/2007/07/15/why-cant-people-grasp-this-critical-component-of-a-system/#comment-2085 No B.S. Chat -- Move the Markets Mon, 16 Jul 2007 04:48:23 +0000 http://thetradingdigest.com/blog/2007/07/15/why-cant-people-grasp-this-critical-component-of-a-system/#comment-2085 [...] reading this post, I like where he is going with it. He is also posting calls for a futures system that he uses, and [...] [...] reading this post, I like where he is going with it. He is also posting calls for a futures system that he uses, and [...]

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