nibor100
1,031 posts
msg #146200
- Ignore nibor100 |
1/21/2019 2:50:04 PM
@Village Elder,
Some curiosity questions regarding your backtest methodology:
1. I've never shorted a stock below $10 in price,is it always true that when one enters an order to short a stock the night before the market opens that it is impossible to get the Open price?
2. Do you realize that your slippage method for the end of day Cover forces everyone of your calculated trades into a simulated price greater than the Close for the day?
a. Any idea of what the odds are that all of those trades would be covered at a higher price than the close just before the market close? I assume its possible for the stock to be coming off of the lows of the day, just before closing as opposed to coming off of the highs of the day.
b. Would you have made the closing slippage, of 1 cent greater than the closing price, the same, if you were backtesting a 1 day Long strategy?
3. Were you aware that your slippage methodology also reduces the potential profit for every successful short trade in this backtest by lowering each entry price?
4. Do you agree that a 1 cent slippage on lower than 50 cent priced stocks on both ends of a daily trade is a much greater slippage % impact, than its impact would be on most of the higher priced stocks and might be unreasonably large?
Thanks,
Ed S.
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Village Elder
231 posts
msg #146206
- Ignore Village Elder |
1/21/2019 5:51:53 PM
What is the least slippage you can model without it being zero? Answer is one cent. The low and high of the day do not necessarily include the bid/ask spread (that is a fee added on by the broker).
The fact that you might be taking a hit on pennies is no surprise - that is why most traders ignore them.
My guess on slippage is that I am underestimating the costs for shorting most of these stocks, if they are shortable at all through most brokers. And besides, this is to test a system and so some assumptions regarding slippage need to be made or the backtest is not meaningful.
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mahkoh
1,065 posts
msg #146211
- Ignore mahkoh |
1/22/2019 12:25:44 PM
If I place a market on open order I either get the open price or there is no trade, no such thing as slippage.
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KSK8
561 posts
msg #146320
- Ignore KSK8 |
1/30/2019 8:15:56 AM
Screw commissions killing the trade!
TIME TO GO BIG OR GO HOME!
Regarding that, I have built a mechanical shorting system that yields 10% PER TRADE with a high win rate.
Under this system's criteria the theory is that sometime during the day the price will fall 10% or more below its open.
The caveat is that it only spits out candidates a few times per month and often there is severe whipsaw that can be so volatile it makes this system not practical to function mechanically.
This is just for fun. I don't recommend trading it.
Check it out!
RULES: Short open, and take profit once price dips 10% below the open, and if that dip fails to transpire then cover close.
BACKTESTING VERSION
The "fell 10% below open price" column indicates a success of achieving 10%.
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scott111552
173 posts
msg #146340
- Ignore scott111552 |
1/31/2019 5:30:42 AM
Unless I've missed it, I'm still looking forward to your favorite long strategy....Thanks!
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