全是根据系统的指令。说实在的，我是个蹩脚的直觉交易员，好在还能在系统交易上捣鼓两下，而且慢慢地学会相信系统，才能活到今天，不然早干别的去了。 这个系统是在日线上开发的，但也是当日进，当日出。这是称为 "positional daytrading" （可能译作“持仓当冲”）的一类系统，不同于通常的只持有几分钟，或几十分钟的当冲交易。 我另外有10余个系统都是多日的。日内 的系统也试过，还没有找到很满意的。经常是去掉费用后只能打平。
hylt，我理解的海龟系统是长期的趋势跟踪（long-term trend-following）系统，是“positional trading” 的一种，但不会是daytrading 的系统。 这是我对 daytrading 不严格的分类: 1. scalping：抓市场在极短时间内的inefficiency 2. swing daytrading: 抓日内波段 3. positional daytrading: 抓趋势日(trend day)，一般在入场后都拿到收盘清仓
dear mahajh, May I ask your actual average slippage for trading NG between strategy order & actual filling? Cause I also trade NG recently, and found the slippage variance is quite big. Somethings is 1-2 ticks, and sometimes is 20-30 ticks. tks. btw: IMHO, NG is a good instrument to trade. Always with beautiful trend.
Hello BluSpeculator, Slippage is an issue. In backtests, I allow 4 ticks of slippage per contract per side. The actual slippage is much less than that. For the six-month period I have traded this system, the slippage per contract per side is less than 2 ticks. Be aware that this system is not a breakout system. It enters at the open and exits on the close, and we all know that open and close are reliably the most liquid times for almost any security. For breakout type of systems, it is a different story. I have other systems which use stop orders for entry. Typical slippage is around 4 ticks and sometime it is as large as 10 ticks. If you trade outside the regular hours, it can be 20 ticks or more. One of the experiments that I have done is to use stop limit orders instead of stop market. Usually I set limit price 3-4 ticks away from the stop price. This works well at most of the times, except if the order falls within a single print area, where volume is typically the lowest, and the order will be left unfilled and the trade missed. Now I will use different orders or slippage allowance depending on where the stop buy/sell order is with relation to the price action. Another factor is the seasonal changes of volume. Usually volume will dry up prior to bank holidays. If I have orders during these periods, I will give larger room for slippage. The other option, which might be better and wiser, is to go golfing, swimming, or shopping, whichever you like. NG is really a great hunting ground for short-term speculators...lucrative volatility, nice trends, consistent price patterns...almost everything a technical trader would be hoping for.
Dear maharaj, Thank you for sharing experience with us. I also agree that we'll face BIG slippage problem for NG in non liquid time. The most liquid time for NG will between 9:00am - 2:30pm EST. And this the time period I place order to execute. And yes, I use breakout system for NG. So I also expect a bigger slippage and use 8 tick slippage in backtesting. What made me shock is I faced a 80 ticks slippage few days ago. After checking with TS & compare the data feed between TS & another broker. I found the big slippage issue is caused by the TS data delay. Some other TS user also complain this issue before. It seems TS doesn't fix that problem completely. The data delay is about 30-60 seconds. I assume you use IB, and I think IB is better in data feed. btw: I would like to thank you for your sharing dual thurst system w/ us. It's a very famous system & still works fine in many market now. tks.
Dear BlueSpeculator, I have to say that TradeStation have done a lame job in their data feeds. I also noticed significant data delays when trading index futures, espcially within the first hour after open. Some people brought the issue to the TradeStation forum but there has been no satisfactory improvements. On the contrary, I have been a customer of IB for many years and I can testify that I have never experienced data delays of this magnitude with IB. It is the user's problem when the broker and the strategy testing platform are bound together. The combination of IB and Amibroker appears to be a good alternative. Tradebullet claims to support TradeStation, but it is a subscription-based software so the cost can be an issue. Regarding the Dual Thrust system: Yes, it is also an amazingly simple system and the same logic can be applied to different markets and different time frames. Thank you for the feedback.
NG這個市場 maharaj的作法positional daytrading是最佳解 swing daytrading: 抓日内波段,bid ask 在這個市場略大 ,交易成本會將優勢吃盡 同理有較大資金的海友者,可好好考慮NG這個市場