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Juan

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2525
Posts: 74

Joined: 10/11/2012
Location: Round Rock, Tx

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Subject : RE: IB Slippage Data By Order Size and Trade Type
Posted : 3/14/2013 12:25 AM
Post #24587 - In reply to #24579

Ed, I thought you're supposed to be on spring break. Thanks for taking the time off your vacation to converse on this very interesting topic. I regret that I said 'This thread has zeroed in on what I think is the "Achilles' heel" of OV'. Truth is the equity curves are so incredible that I find them hard to believe...and I feel that this issue will dampen the curve somewhat. But I feel that even so, this system will still generate very generous returns.

The idea I proposed about multiple strategies based on real-time set points ("execute trades at say 8:30am market open (current default), 9:30am, 10:30am, 12noon, 1:30pm, 2:30pm, and 3pm CST") is something that I'm hoping the Nirvana team can consider sometime down the road. Certainly not right away since it would be quite a development effort. I do believe it has merit and will be beneficial for real-time trading. I also believe it's very doable but only in the long run.

For slippage and risk controls, I'm all for this but I have to be able back test this and confirm that any new risk controls won't dramatically lower the equity curve. I hope that as your team decides to add risk controls that we're able to run historical simulations.

I've noticed in my trading, over the years, that when I put in too many risk controls my returns go way down...like the old saying no risk no reward. I'm all four risk controls but need to confirm that they don't damage the equity curve historically.

Once again thanks for the great product and I hope you're having a great vacation.

Deleting message 24587 : RE: IB Slippage Data By Order Size and Trade Type


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