Teach a Man to Fish – "Rise of Machines" version

ag_fx

Well-Known Member
#71
No never seen this from my experience, slippage is always a cost over large sample size, even in NIfty, even with 1 lot. It does not even out in indian makets.
So yeah better to have some space in calculations. Would be less of an issue for HTF and only positive slippage if you can manage to enter using limit orders.
That depends on how your execution logic is set up. On a bare SL-M entry orders, there will be slippages for sure. Accounting for them in backtesting is prudent and useful. I did mention a 0.1% of slippage assumption is fair and on conservative side. If and when I code this up for backtesting, all costs and commissions will get accounted for.
 

ag_fx

Well-Known Member
#77
EOD Update - 24-Jun-20

Importance of following a system and discipline associated with it is showcased in days like today. It only needs 1-2 stocks to do well to make a day positive. The system kept us out of all Longs today on a day that clearly was bearish.

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raju.vzm

Well-Known Member
#78
Thanks for the strategy, did you backtested this strategy? Want to see how this works in non trending days.

Do you see any issue if we consider only 6 scripts instead of 10 just for the sake of reducing strain while loading.

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ag_fx

Well-Known Member
#79
Thanks for the strategy, did you backtested this strategy? Want to see how this works in non trending days.

Do you see any issue if we consider only 6 scripts instead of 10 just for the sake of reducing strain while loading.

Sent from my Realme1 using Tapatalk
This thread is capturing non-trending days already. I intend to document these trades here so that a general idea of system may be gained.

You can make any tweaks to it as per your wish. You can come up with an alternate way to filter into the first 10 stocks that we want to trade. you can reduce or increase the stocks you want to track. This thread is an overall framework - you can adapt it to your suitability.
 
#80
This is a wonderful thread. So good to see the algo-trading/systematic trading version of "Teach a man .." thread. I will definitely try the approach on my historical dataset and backtest it. I'm currently trying a similar approach but more from a swing-trade perspective. So my current long-short triggers are happening on an average of 3-4 days. Downside is that I can't initiate a short->long trade. So opening of my trades is always long.
 
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