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

[TracerBullet]

Are you executing these trades ? Your losses seem to be all at 1% whereas in real life we get slippages and taxes. Also data is not perfect so BO orders can trigger even if not visible in data. You must already know that, just checking ..

 

[ag_fx]

Are you executing these trades ? Your losses seem to be all at 1% whereas in real life we get slippages and taxes. Also data is not perfect so BO orders can trigger even if not visible in data. You must already know that, just checking ..

As noted in the system introduction - this is not a live system that I trade. Slippages and commissions have not been accounted for yet. The aim of this thread is to help traders think more systematically and build/adapt a system for themselves.

From my experience of trading Breakout systems though - Slippage over long term kind of evens out. I've had trades which were way worse than my entry and at times I get better fills too. Nonetheless, for anyone trying to quantify this and backtest it, a 10 bps slippage is a conservative estimate. That would come out to be 21 points on Bank Nifty.

 

[rahuld0890]

What are your thoughts about using a scanner (like Chartink) for scanning the ORB in Nifty50?
I am currently working on an intraday strategy and using Chartink scanner to find our the breakouts/breakdowns easily. Worth giving a try.

 

[ag_fx]

What are your thoughts about using a scanner (like Chartink) for scanning the ORB in Nifty50?
I am currently working on an intraday strategy and using Chartink scanner to find our the breakouts/breakdowns easily. Worth giving a try.

Never used that - thus not sure about the screener. Identifying the shortlist of stocks to trade is one component of the system. This component can be executed in 100 of ways. I have exhibited one of that way. Another user on this thread exhibited another. You should pick whatever works best for you.

 

[TracerBullet]

As noted in the system introduction - this is not a live system that I trade. Slippages and commissions have not been accounted for yet. The aim of this thread is to help traders think more systematically and build/adapt a system for themselves.

From my experience of trading Breakout systems though - Slippage over long term kind of evens out. I've had trades which were way worse than my entry and at times I get better fills too. Nonetheless, for anyone trying to quantify this and backtest it, a 10 bps slippage is a conservative estimate. That would come out to be 21 points on Bank Nifty.

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.

 

[ag_fx]

Pre-Market Levels 19-Jun-20

 

[marimuthu13]

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.

Stocks ORB, i prefer to SL-Limit order for entry so there is no slippage at all...very rare chances are missing out entry...( only cash trades in F&O stocks).

 

[TracerBullet]

Stocks ORB, i prefer to SL-Limit order for entry so there is no slippage at all...very rare chances are missing out entry...( only cash trades in F&O stocks).

Yes, so there will still be diff between filled price and trigger price which is the slippage, but you can size as per limit price then risk can be fixed. But no such control for exit and you will need to set market order or something similar. So exit will have some slippage over large sample too.
In stocks, i have seen exit slippage that was more than twice my full risk and my stop was not small. Its rare but can happen too ..

 

[marimuthu13]

Yes, so there will still be diff between filled price and trigger price which is the slippage, but you can size as per limit price then risk can be fixed. But no such control for exit and you will need to set market order or something similar. So exit will have some slippage over large sample too.
In stocks, i have seen exit slippage that was more than twice my full risk and my stop was not small. Its rare but can happen too ..

Exit - for profit booking , LIMIT order so no slippage..

Exit - for stop loss, yes SL-Market is the only option which will be sometimes huge

 

[ag_fx]

Pre-Market Levels 19-Jun-20

View attachment 43048

EOD Update
Overall slight positive day. Two SLs were saved by filter today.