Steve2 Elite    Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD  User Profile | Trey, Losing a day every time you close a position makes a big difference. Notice that your TPM dropped from 4.7 to 3.1. That's 35% fewer trades per month. With each trade using 50% of your account value your % invested really drops (although that is not evident from OV stats given the way that OV computes % invested). I'd be curious to know what happens if your backtest is done with settlement wait days set to 1. With the small number of trades you are executing per month, I think you really need to do a bunch of sims with randomly selected starting dates to assess volatility of the performance results. The one flaw in Mark's approach may be that with very few large trades per month, results may vary widely (I'm hoping that's not the case because you can put together some very interesting portfolios with his approach). Lastly, there is no need to set settlement wait days to 1 when trading an IB IRA Margin account. Set settlement wait days to 0 then in TP, enable the "Delay Opening Orders" option and set the time to say 9:35 am EDT. This will cause TP to submit closing orders before market open (assuming you have your trading window configured to do that) and opening orders 5 minutes after market open. This will allow closing orders to complete execution before opening orders are submitted and you shouldn't get any rejected orders. I've been trading an IRA Margin account at IB this way for almost 6 months with no rejected orders. Your slippage on the opening orders will be more volatile but I think it all evens out in the end. Steve [Edited by Steve2 on 6/21/2015 9:46 PM] | |
