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  #14 (permalink)

Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: Tradestation, DeCarley, others
Favorite Futures: futures
 
Posts: 2,582 since Jul 2012
Thanks: 1,311 given, 4,836 received
Forum Reputation: Legendary


ktrader View Post
I looked at the thread, and I can't say anything meaningful with the information provided.

You do ask about its performance compared to other strategies:

How does it compare to the goals you set up before starting development?

Do you have any form of reliable statistics telling you 5$ pr RT is a reasonable amount for market slippage and mishaps?

If it were my strategy and my testing, the performance report would have shown a loss of approx $130.000, since I use 25$ RT for slippage and mishaps on ES . (I got this number based on experience shared by @kevinkdog - I do not currently have enough statistics of my own)

--ktrader


My number for slippage assumes market or stop orders for entry and exit. If you employ limit orders correctly, you won't have slippage for those. If all your entries were limit orders done correctly, and all stop/market orders for exit, you could reduce the slippage by 1/2.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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