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How to reduce slippage when stop loss is hit
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How to reduce slippage when stop loss is hit

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w00dmann View Post
Thanks rleplae,

Hm, I hadn't counted on this being so complicated. Do you have any suggestions on how I can minimize slippage on the buy and sell side? Or am I doomed to use market buy orders and stop loss (market) orders?

Well, you can enter positions with limit orders and just accept that sometimes you won't get filled. Fills on limit orders are mostly a problem when you want to get breakouts or when you absolutely insist on buying on the exact line of support or selling on the exact line of resistance.

Think logically about what you are trying to accomplish and then try and find methods that would work but can also be adapted to include some more "actual market" type of adjustments. For instance, rather than buying at support, buy at support + x ticks. Of course when buying / selling breakouts this type of adjustment may not work and market orders may be needed.

With regards to stops, I never use stop-limits. When I want to get out, I don't want to miss my stop just because I am quibbling over a tick.


w00dmann View Post
Thanks rleplae,

Good suggestion, and yes I have tested my strategy on the ES, and it didn't fare very well. I really am hoping to be able to get it to work on the TF if at all possible.

Considering that your system is so sensitive to slippage, I can tell you right now that it won't work going forward. Have you run a backtest to determine whether the system is viable (in-sample / out-of-sample testing, etc..)? Gut feel tells me that the system won't stand up to a rigorous backtest.

If you want to pursue algorithmic trading, research Kevin Davey. He has a very good track record for the period he made public, has a book (which I have not read), posts here as kevinkdog and he also has a website where he helps people find systems that work.

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