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Simple Strategy Trading
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Created: by timendaGain Attachments:2

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Simple Strategy Trading

  #1 (permalink)
Elite Member
New York, NY
 
Futures Experience: Beginner
Platform: NinjaTrader
Broker/Data: NinjaTrader
Favorite Futures: ES
 
Posts: 779 since Nov 2010
Thanks: 135 given, 207 received

Simple Strategy Trading

Moved here from thread:
Big Mike's day trading method and advice

I started getting carried away with revisions.
@Big Mike
@kevinkdog

var:buypt(0);

If time=0 then buypt=close-.5;

If time=0 then
buy next bar at buypt limit;
If time=700 then sell next bar at close+.5 limit;
// commission $5 round turn. $12.50 slippage ( not in play for limit orders )


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  #2 (permalink)
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  #3 (permalink)
Elite Member
New York, NY
 
Futures Experience: Beginner
Platform: NinjaTrader
Broker/Data: NinjaTrader
Favorite Futures: ES
 
Posts: 779 since Nov 2010
Thanks: 135 given, 207 received


By the way I'm running on ETH ( regular session ) 5 minute bars.

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  #4 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,368 since Jul 2012
Thanks: 1,130 given, 4,340 received


timendaGain View Post
Moved here from thread:
Big Mike's day trading method and advice

I started getting carried away with revisions.
@Big Mike
@kevinkdog

var:buypt(0);

If time=0 then buypt=close-.5;

If time=0 then
buy next bar at buypt limit;
If time=700 then sell next bar at close+.5 limit;
// commission $5 round turn. $12.50 slippage ( not in play for limit orders )


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Since you are using limit orders for both entry and exit, shouldn't the slippage always be $0?

The risk here is when the sell limit is not filled, the strategy will hold until the next morning at 7 AM.

Also, did you assume limit orders were filled only if price was exceeded? That chops off 30% of the net profit, with around 55% fewer trades...

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  #5 (permalink)
Elite Member
New York, NY
 
Futures Experience: Beginner
Platform: NinjaTrader
Broker/Data: NinjaTrader
Favorite Futures: ES
 
Posts: 779 since Nov 2010
Thanks: 135 given, 207 received

I think slippage is automatically eliminated when using limit orders.
That's a good point about that setting. I had thought the default would be the one you suggested so that price must pass through. That's how it is on NinjaTrader's default fill type.
Oh well. That kills it!

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  #6 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,368 since Jul 2012
Thanks: 1,130 given, 4,340 received


timendaGain View Post
I think slippage is automatically eliminated when using limit orders.
That's a good point about that setting. I had thought the default would be the one you suggested so that price must pass through. That's how it is on NinjaTrader's default fill type.
Oh well. That kills it!

As long as you have a slippage amount in the box, it will count it, regardless of the order type. It would be slick if it did what you said.

And yes, the default should be "fill only if exceeded." Why this isn't the default just amazes me. Probably thousands of traders, myself included, have been tripped up by this setting.


The simple strategy did not work, but it is possible that slightly complicating it might lead to something. I might look later this week, and I'll anything of value I find.

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