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Tundi's ATS


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Tundi's ATS

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  #41 (permalink)
 bluemele 
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Tundi View Post
Prior to today, my expectations exceeded the results. Granted, three weeks of testing isn't a large sample. Even considering the flaws in NT's backtester, I was overly optimistic. I'm hopeful the new tweaks will continue to produce results like today's which are decent (especially in FDAX which are incorrectly quoted by NT in USD rather than Euros and thus understated.)

My baseline for success is $2500/month/one contract/instrument after commission. Scaling to 5-10 contracts per instrument is the goal.

I think that alone will create substantial changes to your instruments. EMD will not handle 10 on limit orders in my opinion.

I think what you will find is that your larger orders will only get filled when you are to make a loss unless your stops are large?

Buy @ Ask, Sell @ Bid will get you filled.

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  #42 (permalink)
Tundi
Fullerton, CA
 
 
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bluemele View Post
I think that alone will create substantial changes to your instruments. EMD will not handle 10 on limit orders in my opinion.

I think what you will find is that your larger orders will only get filled when you are to make a loss unless your stops are large?

Buy @ Ask, Sell @ Bid will get you filled.

Currently, I enter at Limit which is the price at the close of the trigger bar. My fill rate is about 65%. As far as exits go, it's market which is anywhere from +1-2 ticks from the close of trigger bar. The latest tweaks have reduced the number of trades and increased the average price per trade which is constructive.

There may be an opportunity to improve exit price with an ATR trailing stop based on Jurik MA. This is on the plate for testing.

 
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  #43 (permalink)
Tundi
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I spent the day watching charts and adjusting the STJMA indicator to improve exits over what's in the current code. I have my work cut out for me.

I've also given more thought to @ bluemele's suggestion to enter buy at ask and sell at bid and have rejected there idea given the lack of depth in the instruments under review. There are times when the spread exceeds a tick and one or two contracts are bid or offered. In these situations I don't think the fill will be better than a market order. I dread the thought of taking slippage on both entries and exits. For now, I'll stick with limits on the entry and try +1 tick limit on exits.

Perhaps I can't have it both ways: a system that effectively takes small, manageable losses and captures runners in volatile instruments without too much slippage. We'll see.

 
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  #44 (permalink)
 bluemele 
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Tundi View Post
I spent the day watching charts and adjusting the STJMA indicator to improve exits over what's in the current code. I have my work cut out for me.

I've also given more thought to @ bluemele's suggestion to enter buy at ask and sell at bid and have rejected there idea given the lack of depth in the instruments under review. There are times when the spread exceeds a tick and one or two contracts are bid or offered. In these situations I don't think the fill will be better than a market order. I dread the thought of taking slippage on both entries and exits. For now, I'll stick with limits on the entry and try +1 tick limit on exits.

Perhaps I can't have it both ways: a system that effectively takes small, manageable losses and captures runners in volatile instruments without too much slippage. We'll see.

Well, there is the split of that. instead of buy/ask, sell/bid you could:

buy/bid-1, sell/ask+1



Common using Tradestation and built in. I think it is called a JOIN order if I can recall.

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  #45 (permalink)
Tundi
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bluemele View Post
Well, there is the split of that. instead of buy/ask, sell/bid you could:

buy/bid-1, sell/ask+1.

It's been a long day. I don't understand this. If I'm exiting a long isn't sell/ask+1 a one tick limit above the market?

 
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  #46 (permalink)
 bluemele 
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Tundi View Post
It's been a long day. I don't understand this. If I'm exiting a long isn't sell/ask+1 a one tick limit above the market?

I was talking about entry, not exit.

The point is move it to bid/ask -1/+1 or whatever to get you a better chance of getting filled is all I am saying. If the bid/ask spread is too far apart (sometimes greater than 1) than you are saying that is almost 'market', well I am saying that if you do bid/ask w/ 1 offset your chances of getting filled are much better. I always do market exit but you could do the same here is they are too far apart.

Sometimes the 1 offset will be the same as just using bid/ask but sometimes not like you pointed out.

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  #47 (permalink)
 ThatManFromTexas 
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bluemele View Post
I was talking about entry, not exit.

The point is move it to bid/ask -1/+1 or whatever to get you a better chance of getting filled is all I am saying. If the bid/ask spread is too far apart (sometimes greater than 1) than you are saying that is almost 'market', well I am saying that if you do bid/ask w/ 1 offset your chances of getting filled are much better. I always do market exit but you could do the same here is they are too far apart.

Sometimes the 1 offset will be the same as just using bid/ask but sometimes not like you pointed out.

Interesting thread. Brought back memories from my early trading days. Good Luck!

Word of advice:

When Bluemele talks trading ... listen. (Of course when he starts talking about eating that dang raw fish... feel free to tune out... I know I certainly do... )

I understand what you are trying to accomplish by using the Limit Orders and Stop Limit Orders and it theory it is great. But sometimes the market just won't cooperate.

From my personal experience as a discretionary trader; I use Limits and Stop Limits on all my orders, and I trend trade and don't scalp. But I have seen the price bump my Limit/Stop Limit order 3 or 4 times and not get filled and finally turn back . Then I either have to hit a market order real quick or watch in disgust as price continues to move away.

Just my 2 cents worth...

I'm just a simple man trading a simple plan.

My daddy always said, "Every day above ground is a good day!"
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  #48 (permalink)
Tundi
Fullerton, CA
 
 
Posts: 201 since Dec 2010
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Today I ran parallel trades with Limit and +1 for entries and wouldn't you know it, each Limit trade was filled, so there was no benefit to the +1 fills. On the contrary, it turned out to be a tad expensive paying that additional tick! The thought process is, of course, to get trades I would miss with Limit. I'll try again for the next week or so to see if there is a benefit to +1. All exits were at Market. Also, all trading ends at 12:00ET. This is a new rule.

I have more work here. First, to learn if the Jurik ATR trailing stop is better than Market and to see what the effect of setting daily max gains and losses.

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  #49 (permalink)
 bluemele 
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Tundi View Post
Today I ran parallel trades with Limit and +1 for entries and wouldn't you know it, each Limit trade was filled, so there was no benefit to the +1 fills. On the contrary, it turned out to be a tad expensive paying that additional tick! The thought process is, of course, to get trades I would miss with Limit. I'll try again for the next week or so to see if there is a benefit to +1. All exits were at Market. Also, all trading ends at 12:00ET. This is a new rule.

I have more work here. First, to learn if the Jurik ATR trailing stop is better than Market and to see what the effect of setting daily max gains and losses.

Sounds like you have figured it out. One thing you can do to, but just a comment, not a recommendation is that I believe you can create an ATM in Ninja and call it. So you can set up a 'if touched' to move to move your limit entry. I think they call it 'chase' in advanced properties on the DOM/Chart Trader.

Just trying to help.

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  #50 (permalink)
Tundi
Fullerton, CA
 
 
Posts: 201 since Dec 2010
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Today was the first one in which all trading stopped at 12:00ET and I really enjoyed it. Win, lose or draw at 12:00, the doors are closed and I'm free to do other things. Although I can't prove it, it seems as though most of the movement takes place before noon anyway.

I'm revisiting a few of the instruments previously rejected to see if they perform better with the new and improved indicator settings. Also, I'm starting to test the other FX futures. 6A was traded today. There may be some merit with these despite lower volatility--when they make a trend move, it's a good one as shown in the attachment.

Lastly, I started using max daily profit/loss targets and FDAX hit its loss goal early. At first I had mixed feelings about not trading it for the rest of the session, thinking the system would win back the losses, but that's just wishful folly. The system could have easily continued to lose. So, mission one is to follow the rules and ignore the banter in my mind.

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