OmniVest Forum OmniVest Forum
forums calendars search
today this week
 
register logon control panel Forum Rules
You are currently browsing as a guest.
You should logon to access more features
A Self-Moderated Community - ALL MEMBERS, PLEASE READ!
Vote for Members who contribute the most to your trading, and help us moderate content within the Forums.


Only Forum Moderators, Administrators, and the owner of this message may delete it.

 
Jim Dean

Elite
10002525
Posts: 1059

Joined: 10/11/2012
Location: L'ville, GA

User Profile
 
Subject : RE: Improving RTM Results With Limit Entries
Posted : 8/13/2017 7:51 PM
Post #36849 - In reply to #36847

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]

Deleting message 36849 : RE: Improving RTM Results With Limit Entries


Nirvana Systems
For any problems or issues please contact our Webmaster at webmaster@nirvsys.com.