Algorithmic Trading Systems: Advanced Gap Strategies for the Futures Markets by David Bean

Author:David Bean [Bean, David]
Language: eng
Format: azw, epub
Published: 2015-10-11T16:00:00+00:00

Typically the back test results will be worse than real world trading results when back testing using the “Fill entire order when trade price exceeds limit price” option since it is a worst case scenario since and it will miss some winning trades in the back test that actually get picked up in live trading. The amount of slippage and commission used in the previous scenario where we Cancel and Replace Limit Orders to the market can be reduced in this scenario where we require price to trade through the limit in order to get filled. We will still have to account for slippage on stop orders. Because of this, we can typically cut the slippage calculation we used in the first scenario in half for a strategy that has 50% winners. We also have to consider if we use a time exit and how to determine how much slippage to include for a market order that occurs as a part of the exit strategy, such as a time exit. We would have to determine what percentage of the trades are stopped out or exited with a market order to determine how much slippage to use.

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