Jim Dean![]() Elite ![]() ![]() ![]() Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA ![]() | As usual, excellent work! I think you've milked the rock as much as possible given the current status of OV. Now the ball is in N's court to provide limit order options. Correct me if wrong: your simulation potentially makes two entries for every trade - 1. MOO with relatively low percentage 2. Then once MOO is filled, a subsequent Limit order (same day?) kicks in which if filled uses a much higher allocation. If so, you're "scaling in" to the trade. GREAT idea. Maybe consider separating 1 & 2 by a day. Only submit the limit order if the first day is profitable. Net result would be a less-appealing limit entry price - but imho it might be more reliable when used with out of sample non-curvefit data. [Edited by Jim Dean on 8/13/2017 7:55 PM] |