GBP breakout system

[TWI]

5 ticks is too much. Over time I have auto-executed an FX strategy in a number of FX futures with TS and the slippage I have averaged is just over 1 tick/order. The variation of this slippage has been -22 to +18 both extremes occurring in thin overnight hours but during main session if your execution is good i.e. orders are placed in market, 2-tick will be fine to work with. Even including extremes I have averaged below this over time which is a surprise to me.
I now work analysis basis 2 ticks + Comm.

I did code this strategy when it was originally posted but did not see very good results beyond the very recent past. Saying that, I was not convinced I had the 21sma filter working perfectly when overlaying a daily average on intraday data but didn't have time to fiddle around with it.
Wish you good luck but I do suggest you have an exit plan if it starts to break down.

 

[JohnDoe]

Maybe it is - but 5 tick slippage during the European morning session would not be unheard of I am sure.

2 ticks during US hours (13.30-17.00 GMT) would be average I would imagine (for SF).

Out of interest, how do these automated testing things base a fill upon? I can only assume it to be past ticks/prints. As I am sure you know, just because something prints does not guarantee we could get a fill at that price - especially in something as thin as SF. This issue is compounded when we consider execution infrastructure used by the typical retail trader v that of a prop house.

Just some thoughts.

 

[TWI]

Generally the testing will base on last traded price so with certain systems you already have the bid/ask risk generally I have been using stop-market orders for live system. The execution risk should really be more than 2-ticks as there is a definite lag between trigger and order. Sometimes it is pretty horrible but over time you also get fills a tick+ better which slowly pulls things back. The worst times have definitely been the overnight or early morning session where I have had 2 digit slip. May be far better to institute limit orders here as almost without fail, after the terrible fill has been provided the market has traded back through the trigger price again.
I use TT Pro with direct exchange access for a lot of stuff and ultimately it would make far more sense to execute using this but I have not been able to integrate TS or anything else that can do similar analysis, with this yet.

 

[ddunne82]

twalker,

Out of interest, how far back did you back test this? At the moment, its trading pretty much in line with the backtest results but if you dont use the filter, the results are terrible. And John, 5 ticks slippage each side - mate, you're doing something seriously wrong if youre getting that.

 

[TWI]

I would have tested it back 600 days as a start. I think that the filter may have been giving some incorrect signals since the results I saw were not too good, although they were in the recent past. I will revisit this when I get some time to do it and post the result from TS. Just got 8.1 and busy converting a lot of strats that can now use the intrabar execution...bit of a nightmare in some cases and may still be best to use 2 data sets.

 

[JohnDoe]

I'm not getting that because I don't trade SF!

I have watched it though and have seen it jump up to 10 ticks on occasion in the UK morning hours when trading is thin. 5 ticks is a guestimate to be honest, but I wouldn't be surprised if it was easily more than 2. I mention 5 as a worse case scenario. Sorry if that wasn't clear. A 5 tick spread is not unheard of in SF during UK hours. (although spread size doesn't indicate slippage size obviously)

I do often trade BP in more liquid US hours. Even then 2 tick slippage is not uncommon (though not frequent!). Sometimes BP will just jump up 5 ticks in these hours - although this is rare (few times a day maybe).

I wouldn't dream of trading BP futures before US hours and that is slightly more liquid than SF.

 

[ddunne82]

This weeks results:

Good week this week - 8 out of the 10 trades were profitable
Total net profit (incl slippage and commission) of $828.75
Gold star this week goes to Mr Swiss.

 

[ddunne82]

Last weeks results:

Combined of $-852.

Dissappointing week with the big hit on the tuesday morning in the swiss and the euro. Once again it got me looking at putting stops in at the oppopsite side of the breakout but it just seems to hamper the performance overall. By my reckoning, that means the system is about $600 up over the last 6 weeks. There has been less volatility in the currency markets as of late but hopefully with the chinese getting their fingers out, hopefully volatility should pick up and we can all go and buy that porsche!

 

[ddunne82]

Last week:

Combined $491 NET

Strong week for the euro but the swiss and to a lesser extent the pound took away some of the profits.

 

[jeminipatel]

I had a look at the GBP breakout system, but not great results.

I thought I would share this with you

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God Bless

J Patel

 

[TWI]

JP - That sounds suspiciously like a sales pitch.
Maybe you could post the URL again in case anybody missed it.
Great to know that we can find out how the "BIG DOGS" got rich...mmmmm

 

[nine]

Ahhh ... the application of justice ... a certain URL has disappeared from all 4 posts. I love it when it all comes together.