My algo trading daily performance

[neowave_india]

Hi mechtrader, do you use strategy on Nifty? And what is your overall experience with Symphony. Would you recommend it?

 

[c.trader]

I dont know if its allowed to post your results in the forum but I have been doing it for the past so many months. Hence posting it. Tell me if its not ok, i will remove it.

The month was good for the strategies. However slippages were significant this month. Now I am tracking slippage per scrip per strategy for entry as well as exit orders. Will do this for 3 months to draw any conclusion about how to reduce this. However during backtesting I have tested with 300Rs. slippage and commission per complete trade. The slippage is under that level but its still something to ponder upon.

All the best for this month's trading.

THanks,
MT

great
sir really

 

[mechtrader]

The strategies performed as expected this series.
Slippage is still an issue, but I am OK till the cost per trade is <300. Nevertheless, I will test collect one more month's statistics to take a decision on slippage issues.
Will be replacing 1/3rd of the stocks of the portfolio from next series. Lets see how it goes.

Thanks,
MT

 

[bpr]

The strategies performed as expected this series.
Slippage is still an issue, but I am OK till the cost per trade is <300. Nevertheless, I will test collect one more month's statistics to take a decision on slippage issues.
Will be replacing 1/3rd of the stocks of the portfolio from next series. Lets see how it goes.

Thanks,
MT

at how many lots you see the slippage issue and for which stock.
I am also facing these issue would like to know your exp.
I always factored in some slippage as part of the trading cost.

 

[jagankris]

The strategies performed as expected this series.
Slippage is still an issue, but I am OK till the cost per trade is <300. Nevertheless, I will test collect one more month's statistics to take a decision on slippage issues.
Will be replacing 1/3rd of the stocks of the portfolio from next series. Lets see how it goes.

Thanks,
MT

Dear MechTrader,

Even algo is respecting PA trend !!! Higher High and Higher Lows :thumb:
I guess Model Value = Actual + Slippage.
So the model value = 140871 but your excel shows 135584.

But just slippages eating away 23 % of profits
Why slippages are very high ?

So this mean as a thumb rule while designing a algo trading system one should at least keep 25% for the slippages from the backtesting figures ?

TIA.

 

[mechtrader]

HI,

@bpr -- I trade 1 lot of any stock. And the slippages are for more or less every stock in the portfolio.

@jagan -- Yes, model= actual + slippages. The difference here is because I closed some trades ( 3-4 ) with discretion.
Dont calculate slippage as % of profits. Calculate slippage per trade.
When I test my strategies I keep all costs at 300 per trade. I am fine for anything under that. This month the costs were 240 per trade.

My slippages are high because of my execution logic. I send limit order when signal is triggered and if it is not filled in 10 secs limit order is cancelled and market order takes the trade.

Thanks,
MT

 

[alroyraj]

HI,

@bpr -- I trade 1 lot of any stock. And the slippages are for more or less every stock in the portfolio.

@jagan -- Yes, model= actual + slippages. The difference here is because I closed some trades ( 3-4 ) with discretion.
Dont calculate slippage as % of profits. Calculate slippage per trade.
When I test my strategies I keep all costs at 300 per trade. I am fine for anything under that. This month the costs were 240 per trade.

My slippages are high because of my execution logic. I send limit order when signal is triggered and if it is not filled in 10 secs limit order is cancelled and market order takes the trade.

Thanks,
MT

Hi Mechtrader,
I think the execution logic is part of the edge your system has.
Good to hear orders placed by the algorithm Presto can be cancelled and modified, I think that was possible only in presto like you said. Also you said you plan to rotate some stocks out, wouldn't it change the expectancy?

 

[TraderRavi]

The strategies performed as expected this series.
Slippage is still an issue, but I am OK till the cost per trade is <300. Nevertheless, I will test collect one more month's statistics to take a decision on slippage issues.
Will be replacing 1/3rd of the stocks of the portfolio from next series. Lets see how it goes.

Thanks,
MT

superb performance month after month !! :clapping::clapping::clapping:

 

[mechtrader]

Hi Mechtrader,
I think the execution logic is part of the edge your system has.
Good to hear orders placed by the algorithm Presto can be cancelled and modified, I think that was possible only in presto like you said. Also you said you plan to rotate some stocks out, wouldn't it change the expectancy?

I have a basket of about 50 stocks but I trade only 25 in my portfolio. I prefer to change so as to get the hang of all the live market dynamics in each stock so that later I could have a execution logic for each kind of stocks.

Yes the expectancy would change but it would be +-10% as per me.

Thanks,
MT

 

[mechtrader]

http://chatwithtraders.com/ep-023-david-bush/