Zish said:
What are everyones thoughts on changing the entry rules from 0.25% to 0.2, 0.15, 0.1 and 0.05%. I tried this on the data RTNs provided and it lead to increasingly higher points totals for both the FTSE and DAX. Obviously you'll get stopped out on more trades, but what are the disadvantages in doing this. Is it the problem that Hoggums suggests, in that it'll be harder to get the SB company to give you a quote for prices that are closer to the close price. i.e. with +/- 0.05% entry points, they are only 3 points away from the close price compared with 16 ponts for 0.25% entry?
Changing the entry trigger levels to 0.20% increases FTSE gains over last 3 years to 3502 points, up from 2000 points with 0.25%. 27548 total points in 9 years, up from 23918 over 9 years at 0.25%.
Changing the entry trigger levels to 0.15% increases FTSE gains over last 3 years to 4200 points, up from 2000 points with 0.25%.
31165 total points in 9 years, up from 23918 over 9 years at 0.25%.
Changing the entry trigger levels to 0.125% increases FTSE gains over last 3 years to 4835 points, up from 2000 points with 0.25%. 32197 total points in 9 years, up from 23918 over 9 years at 0.25%.
Changing the entry trigger levels to 0.10% increases FTSE gains over last 3 years to 5400 points, up from 2000 points with 0.25%. 34102 total points in 9 years, up from 23918 over 9 years at 0.25%.
Changing the entry trigger levels to 0.05% increases FTSE gains over last 3 years to 6440 points, up from 2000 points with 0.25%. 36073 total points in 9 years, up from 23918 over 9 years at 0.25%.
The more or less diagonal equity curves look rather nice.
The good thing about using these smaller %'s to calculate the long and short entry price is that these two levels become closer together, hence stop-losses are typically smaller, hence stake sizes can be bigger, while risking approximately the same level of capital per trade.
Getting filled at or very close to today open price is another issue, on the occassions when the open is above the long entry trigger, or below the short entry trigger.
WorldSpreads for example, base their quotes on the futures price, with both the cash and LIFFE futures markets open at 0800.
A few minutes later the FTSE100 cash and futures prices come in line with one another, as the cash catches up with the futures price, or vice versa.
On these occassions, entering on the opening WS quote may be beneficial in some instances, and detrimental in other instances.
Sometimes the cash and futures price open in line with one another at 0800, and so entering the trade at 08:00, or placing the online orders at 0800 will not be a problem, and if eg. the cash long entry trigger level is hit, but the futures price (and WS quote) are lower, then entering on the opening WS price will be beneficial.
The alternative would be to manually wait a few minutes until the cash index comes back in line with the futures price, and the WS quote (based on the futures price all day) moves back in line with the live cash index price.
Typically, there may be a 2 point difference between the cash and futures prices during the course of a day.
The cash and futures prices can easily open at 08:00:00 10 or more points out of line. Usually by 08:10, they will have come back in line with one another - or so a more knowledgeable person than me has informed me.
Personally, trading this system, i would want to be manually sat in front of my live cash FTSE100 chart at 0800-0810.
If the cash market open price triggered the systems long or short entry prices, I would then decide whether to enter immediately based on if the spreadbet quote was in my favour.
If the SB quote was not in my favour my more than a few points, I would wait for the cash and futures prices come back in line, at which point, i may be able to enter at a more favourable price, or the cash and futures prices may not have come closer to my entry trigger price at which point I would be entering at an equally unfavourable, or even less favourable price, but at least the cash and futures prices would be in line at this stage.
If the cash market opened within the long or short trade entry triggger, I would not want the opening SB price (based on the futures price) to enter me into a trade that the cash market did not signal. Therefore placing opening orders before the cash and futures come back in line with each other is something I would not want to do.
If the cash open was within the the long and short entry triggers, once the cash and futures markets came back in line with each other, I would then be happy to place my orders online, and wait for them to be hit during the day.