Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile | Hi Jim, In response to your questions: 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. My excel analysis assumed that the MOO and Limit were placed together in time for the Open & the limit ran for the day. If the Open was lower than the Limit, then the trade was entered at the Open with both the Limit order and the MOO filled at the same price (a total of 11% allocation at the Open). If the Open was higher than the Limit, the MOO (1% allocation) filled at the Open and the Limit (10% allocation) would only fill if the Low for the day was below the limit. (Scaled in, with price adjusted according to the allocation at each price, Open & Limit) Maybe consider separating 1 & 2 by a day. Only submit the limit order if the first day is profitable. Waiting a day might be interesting, but there are a lot of RTM trades that close after one day. Nature of the beast. There's also the possibility of not having the equity available the next day - and the primary goal here is to get as much equity as possible into the trades with the highest potential profit / trade (at least according to the historical stats). Hope that helps, Mark [Edited by Mark Holstius on 8/14/2017 11:06 AM] | |
