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Steve Mayo

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Posts: 414

Joined: 10/11/2012
Location: Austin, TX

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Subject : RE: IB Slippage Data By Order Size and Trade Type
Posted : 8/9/2013 10:05 AM
Post #26654 - In reply to #26649

Thanks Steve. Very helpful info.

I'm running live on GX, virtually unmanaged, on an AWS cloud server. I started with an account running about 30 strats back in March. It had good returns, admittedly much better before the commission increase, but even after margin costs and the platform fee, making dozens of trades a day. But it missed a lot of trades for various reasons...and I don't even want to think about doing my tax return now. :-(

In the end, however, the return, although significantly beating the S&P, was only about half of what OV showed over the same period. So, I switched to an account with fewer strats. It still misses the ocassional trade or two (not shortable, couldn't get a price, exceeding overnight limit, data hickups, etc.) but has tracked OV much better over the last month. Unfortunately, the return hasn't been as good (albeit, its hard to compare short term returns in different market conditions). This one seems to bear much more market risk, meaning it more closely tracks the S&P500. I think that is probably because it uses more of the trend-following strats than my prior portfolio which was mostly just quick RTM trades.
Deleting message 26654 : RE: IB Slippage Data By Order Size and Trade Type


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