|
PureBytes Links
Trading Reference Links
|
Actually, for this reason I have completely stopped using limit orders
for entry in backtesting. From my limited experience in coding
strategies and running them in realtime, I think the following works
very well in simulating realtime trading.
1) Entry on a stop / market. No ifs and buts about it. Always true. Yep,
there is slippage, but you account for that.
2) It's okay to exit on a limit, if entered far ahead. Say, on russell,
if you want to take some off at +5 points, and you enter exit at 573,
when you got filled at 568, you are fairly certain to get the first fill
at 573, as your order is sitting on the GLOBEX book for a while,
probably ahead of everyone else. But after a 568 fill, exit order at 569
limit is very iffy, of course.
my 2 cents 8 )
Abhijit
jack zaner wrote:
Yep, quite true, it would give him what he wants- - but it will also
eliminate all those trades that just touched the price and would have been
executed. But you can't have it both ways.
Regards, Jack.
|