Tundi, if you backtested your system with renko, forget it ! It is false. If you did this real time, congratulation. I look for a system like this since long long time. I have a server with fast access to market (<1ms) but never found a profitable system...Well done
Today, CL and EMD acted quite well, in the "always in" and filtered version. There was slippage of a tick now and then, but it wasn't chronic. The filtered version is less frenetic and less profitable, understandably, since it takes fewer trades. What I like about it, however, is that is removes about half of those pesky, narrow range trades and leaves the runners intact. Having said that, I would still trade the always in version if capital and costs were not an issue.
I'm going to try to get the RT commission down to $3-3.25 with the inducement of high volume to brokers. At that price, this could be a slot machine with the odds in my favor.
LG, this isn't really a HFT system in the strict sense, but more like an actively traded one in which once a position is closed, another is opened and so on and so forth. This is the "always in" mode. The method employs fast, short period Renko type bricks and a proprietary indicator that "looks" like Roonius' SuperTrend, but responds much faster at the turning points.
The almost always in mode can but doesn't necessarily have to perpetually be in the market. This mode adds a zero lag EMA to weed out some of the trades in a very tight range without overriding the runners.
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I'm currently testing the strategy with limit and market if touched orders. The fills with market orders only aren't good enough given the high price for slippage. I'm also experimenting with other bar types than Renko. This is not a knock on Renko as much as it's a search for better results with the primary indicator.
I'm 99% sure I'm going to lease a seat on the CME for electronic trading. The reduction in exchange fees is compelling for the high volume trader. So far, I like CL, EMD, and TF and I've determined I'm better off employing the filter than being "always in" the market.
If anyone is currently leasing a seat from an exchange member, I'd be interested in hearing/speaking to you.
I am looking into it as well. But I think you should create a new thread for such a discussion.
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