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Can Day Trading be profitable for retail?

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jefforey View Post
Thankyou Iang for sharing the simulation result. I will definitely read your journal. I did some basic math with your results and the below is my observation:

1. You have 3000 trades in the week with profit of $18000.
2. With round trip commission of $4 it will cost $12000 for commission. If we assume $1 round trip (which is quite unrealistic) then it is $3000.
3. With 2 ticks of slippage per trade it comes to $25 * 3000= $75,000. if we assume 1 tick slippage per trade then it is $ 37,500.
4. That means $40,000 to $78,000 could be lost to slippage and commission alone.

With those numbers your strategy is not profitable.

How do i arrive at 2 ticks of slippage? It's my personal experience trading strategy live and also the number given by likes of kevin davey. This is what i saw. My entries were limit orders and exits market orders. My strategy converted the entry limit order to a market if it was not filled within 5 seconds of price crossing it. All exits were naturally market orders. My observation was a minimum of 2 tick slippage in every trade in es.
You have to win at least 3 ticks per trade to stay profitable overall in the retail world.

Ian's strat really relies on not having any slippage, and using limit order fills on both sides. Can it be done by a retail trader? As I've told Ian privately, I have my doubts. But I am very interested to see his live real money results.

I always include slippage of a few ticks, even on some strats where I am using limit orders. I find being a little conservative with slippage estimates is a good thing. But that is likely because of the type of strats I trade (non HF strats)...

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