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| Subject: | High commissions |
| Posted by: | Panu Haaramo ( C2 Score: 710 ) |
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| When: | 7/28/06 (5:15) | |
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| | The real life results show less than 60% realism. As we can see here, the problem is the commissions, not the slippage:
Cumu $ $37,077
after typical commission $22,417
and real-life slippage $22,137
As I already suggested via e-mail I think you should move to bigger contracts like DJ or DD to tackle the commission issue. No one will trade this system with 1/60 leverage so there is no reason to use the mini contracts.
thanks,
Panu |
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| Subject: | High commissions |
| Posted by: | Jake R (Admin) ( C2 Score: 960) |
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| When: | 7/28/06 (8:58) | |
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| | In response to post by Panu Haaramo of 7/28/06 (5:15) The real life results show less than 60% realism. As we can see here, the problem is the commissions, not the slippage:
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This system is geared towards the smaller trader (1-5 contracts) so that is the reason why I am trading the mini Futures. Also, DD and DJ do not have much volume, less than 1000 shares for DD and less than 5000 for DJ yesterday.
I'll also start making stock calls during the day. I've been avoiding them due to lower leverage in moving the equity curve, but for the sake of acheiving my goal of $750/week ( using the base position sizes: 1 emini contract, 400 shares of stock trades) I'll start making those calls as well. For stocks I'll keep the share sizes small (less than 30% of equity) so I will be alble to continue trading the futures at the same time.
Thanks
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| Subject: | High commissions |
| Posted by: | Panu Haaramo ( C2 Score: 710) |
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| When: | 7/28/06 (12:08) | |
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| | In response to post by Jake R of 7/28/06 (8:58) This system is geared towards the smaller trader (1-5 contracts) so that is the reason why I am trading the mini Futures. Also, DD and DJ do not have much volume, less than 1000 shares for DD and less than 5000 for DJ yesterday....
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Volume of 5000 sounds like enough to me. Also for Nasdaq there is CME NASDAQ-100 big contracts which has decent volume.
I still don't believe that someone is trading your system with 1.6% leverage. And even if someone is, I don't understand why the system should be targeted to that person.
Anyway you decide of course, I'm just suggesting how to reduce the unbelievable big commissions. And thanks for the free system!
Panu |
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| Subject: | High commissions |
| Posted by: | Sam Cook ( C2 Score: 276) |
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| When: | 7/28/06 (12:21) | |
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| | In response to post by Panu Haaramo of 7/28/06 (12:08) Volume of 5000 sounds like enough to me. Also for Nasdaq there is CME NASDAQ-100 big contracts which has decent volume.
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> Volume of 5000 sounds like enough to me. Also for Nasdaq there is CME NASDAQ-100 big contracts which has decent volume.
In real life, real big slippage....far more than commish. |
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| Subject: | High commissions |
| Posted by: | Panu Haaramo ( C2 Score: 710) |
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| When: | 7/28/06 (17:22) | |
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| | In response to post by Sam Cook of 7/28/06 (12:21) > Volume of 5000 sounds like enough to me. Also for Nasdaq there is CME NASDAQ-100 big contracts which has decent volume.
In real life, real big slippage....far more than commish.
Well, currently it shows 38% realism:
Cumu $ $26,427
after typical commission $10,567
and real-life slippage $10,513
Can it get any worse?
Panu |
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| Subject: | High commissions |
| Posted by: | Sam Cook ( C2 Score: 276) |
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| When: | 7/28/06 (17:26) | |
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| | In response to post by Panu Haaramo of 7/28/06 (17:22) Well, currently it shows 38% realism:
Cumu $ $26,427
after typical commission $10,567
and real-life slippage $10,513
Can it get any worse?
Panu
> Can it get any worse?
> Panu
I know nothing about the system, but you can expect full
points slippage++++ on each side in the bid ND.
Have you ever traded the ND? |
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| Subject: | High commissions |
| Posted by: | Panu Haaramo ( C2 Score: 710) |
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| When: | 7/28/06 (17:36) | |
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| | In response to post by Sam Cook of 7/28/06 (17:26) > Can it get any worse?
> Panu
I know nothing about the system, but you can expect full
points slippage++++ on each side in the bid ND....
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No I haven't. I'm just trying to find a way to avoid paying hundreds of dollars per day in commissions. But you may be right: slippage is a problem in bigger contracts and nothing can be done to improve the realism here. Unless of course the system starts taking smaller positions and shoot for bigger moves. |
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| Subject: | High commissions |
| Posted by: | Jake R (Admin) ( C2 Score: 960) |
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| When: | 7/30/06 (14:42) | |
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| | In response to post by Sam Cook of 7/28/06 (17:26) > Can it get any worse?
> Panu
I know nothing about the system, but you can expect full
points slippage++++ on each side in the bid ND....
See entire
Sam, I usually place my entry orders with a stop market before it is hit. Sometimes the market moves too fast to get that price but most of the time there should be enough time to set the stop entry price to get the exact price.
I exit with market orders so there might be differences there. In general I am trying to keep following this system as realistic as possible so that is why I also factor in commissions into the P/L totals.
Panu, I agree, it's been terrible. The reason you are experiencing pain from high commissions is not really because of the instrument. It's because my signals have been absolutely lousy. The methods were fine, they generated over +100pts for YM on Friday alone. But my ability to recognize the signal and input them into C2 before they trigger is another story. My goal is still $750/week on one contract or 150pts/week on YM. Those performance numbers will be here soon, just check back from time to time to see how it's progressing. Thanks. |
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| Subject: | High commissions |
| Posted by: | Sam Cook ( C2 Score: 276) |
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| When: | 7/30/06 (20:52) | |
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| | In response to post by Jake R of 7/30/06 (14:42) Sam, I usually place my entry orders with a stop market before it is hit. Sometimes the market moves too fast to get that price but most of the time there should be enough time to set the stop entry price to get the exact price....
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> Sam, I usually place my entry orders with a stop market before it is hit. Sometimes the market moves too fast to get that price but most of the time there should be enough time to set the stop entry price to **get the exact price.**
Well, not in a market like the big NDX (ND) futures. Expect slippage of 2+ point per side on a frequent basis |
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| Subject: | High commissions |
| Posted by: | Jake R (Admin) ( C2 Score: 960) |
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| When: | 7/31/06 (8:47) | |
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| | In response to post by Sam Cook of 7/30/06 (20:52) > Sam, I usually place my entry orders with a stop market before it is hit. Sometimes the market moves too fast to get that price but most of the time there should be enough time to set the stop entry price to **get the exact price.**
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Are you saying if I put in a stop market buy order for ND @ 1520 and the current price is 1518 that I should expect a fill at 1522 when the market moves up to an ask price of 1520? I don't trade ND so the lower volume might have something to do with that. That's another reason I want to stay away from low volume instruments. But for YM and NQ unless the market is moving really fast I get the price I wanted using the stop market order.
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| Subject: | High commissions |
| Posted by: | Index ( C2 Score: 975) |
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| When: | 7/31/06 (8:55) | |
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| | In response to post by Jake R of 7/31/06 (8:47) Are you saying if I put in a stop market buy order for ND @ 1520 and the current price is 1518 that I should expect a fill at 1522 when the market moves up to an ask price of 1520? I don't trade ND so the lower volume might have something to do with that. That's another reason I want to stay away from low volume instruments. But for YM and NQ unless the market is moving really fast I get the price I wanted using the stop market order....
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"1518 that I should expect a fill at 1522 when the market moves up to an ask price of 1520."
I think that would be 4 points of slippage then |
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| Subject: | High commissions |
| Posted by: | Jake R (Admin) ( C2 Score: 960) |
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| When: | 7/31/06 (9:45) | |
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| | In response to post by Index of 7/31/06 (8:55) "1518 that I should expect a fill at 1522 when the market moves up to an ask price of 1520."
I think that would be 4 points of slippage then
Actually it's 2pts of slippage since the trade doesn't get activated until the ask price of 1520 is reached, where the stop market order would be set to enter the trade. The current price could be anywhere below the trigger price, say 1500 etc.. The point is the trade does not get activated until the price of 1520 is reached, in the example. That is why I was wondering why Sam was saying 2pts of slippage. But with ND I'm thinking the low volume has something to do with it. |
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| Subject: | High commissions |
| Posted by: | Sam Cook ( C2 Score: 276) |
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| When: | 7/31/06 (10:38) | |
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| | In response to post by Jake R of 7/31/06 (8:47) Are you saying if I put in a stop market buy order for ND @ 1520 and the current price is 1518 that I should expect a fill at 1522 when the market moves up to an ask price of 1520? I don't trade ND so the lower volume might have something to do with that. That's another reason I want to stay away from low volume instruments. But for YM and NQ unless the market is moving really fast I get the price I wanted using the stop market order....
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Not always, but often enough. For example on the move from 1517.5
to 1521 today there were a TOTAL of five (trade) ticks (17.50, 18.50, 19.00, 20.00, 21.00). Very easily there could have been 1 to 3.5 points slippage on a 1517.5 buy stop. Just look at a chart and/or time and sales. If there were four orders ahead of you on a 17.50 buy stop your fill could have been 21.00. |
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| Subject: | High commissions |
| Posted by: | Index ( C2 Score: 975) |
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| When: | 7/31/06 (10:44) | |
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| | In response to post by Sam Cook of 7/31/06 (10:38) Not always, but often enough. For example on the move from 1517.5
to 1521 today there were a TOTAL of five (trade) ...
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It is a bit of a nirvana for some newer traders, the first time they learn that saving a bit of a commission trading 1 of the big contracts does not compare with saving the slippage using some eminis. Liquidity is a great anti-slippage device!
I remember years before - futures contracts like shrimp & anhydrous ammonia (think that was the one??) traded 1 or 2 contracts daily. Wonder what the slippage was on that one??? |
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